N-Q 1 d145291dnq.htm N-Q - AIF N-Q - AIF
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number     

    811-05426

AIM Investment Funds (Invesco Investment Funds)

 

(Exact name of registrant as specified in charter)

11 Greenway Plaza, Suite 1000     Houston, Texas 77046

 

(Address of principal executive offices)        (Zip code)

Sheri Morris     11 Greenway Plaza, Suite 1000 Houston, Texas 77046

 

(Name and address of agent for service)

Registrant’s telephone number, including area code:       (713) 626-1919                

Date of fiscal year end:          10/31                                 

Date of reporting period:       1/31/16                             

Item 1. Schedule of Investments.

 

 

Invesco All Cap Market Neutral Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

  LOGO    
  invesco.com/us   ACMN-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments(a)

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–89.80%

  

Aerospace & Defense–0.84%

      

Huntington Ingalls Industries, Inc.

      5,100       $ 652,188   

Agricultural & Farm Machinery–0.21%

      

AGCO Corp.

      3,300         160,941   

Air Freight & Logistics–0.32%

      

Atlas Air Worldwide Holdings, Inc. (b)

      6,750         247,928   

Airlines–1.42%

      

Delta Air Lines, Inc.

      12,850         569,126   

JetBlue Airways Corp. (b)

      25,050         533,816   
                1,102,942   

Aluminum–0.69%

      

Century Aluminum Co. (b)

      114,300         539,496   

Apparel Retail–1.47%

      

Abercrombie & Fitch Co. -Class A

      26,500         695,360   

Guess?, Inc.

      23,900         443,106   
                1,138,466   

Application Software–0.99%

      

Citrix Systems, Inc. (b)

      10,900         768,014   

Auto Parts & Equipment–1.56%

      

China Automotive Systems, Inc. (China)

      17,450         68,927   

Stoneridge, Inc. (b)

      7,600         85,956   

Tower International Inc. (b)

      11,750         270,485   

Visteon Corp. (b)

      11,700         782,496   
                1,207,864   

Biotechnology–11.23%

      

Adamas Pharmaceuticals, Inc. (b)

      27,500         471,350   

Applied Genetic Technologies Corp. (b)

      23,650         345,527   

BioSpecifics Technologies Corp. (b)

      9,100         347,438   

Concert Pharmaceuticals, Inc. (b)

      22,250         339,758   

Cytokinetics, Inc. (b)

      31,550         242,935   

Eagle Pharmaceuticals, Inc. (b)

      8,500         611,150   

Ionis Pharmaceuticals, Inc. (b)

      24,050         936,266   

MacroGenics, Inc. (b)

      19,450         391,529   

Myriad Genetics, Inc. (b)

      26,250         1,022,962   

NewLink Genetics Corp. (b)

      37,850         922,026   

PDL BioPharma Inc.

      64,550         202,687   

Pfenex Inc. (b)

      28,500         252,795   

Progenics Pharmaceuticals, Inc. (b)

      70,500         293,985   

Regeneron Pharmaceuticals, Inc. (b)

      1,540         646,939   

Repligen Corp. (b)

      30,950         685,542   

United Therapeutics Corp. (b)

      8,150         1,003,917   
                8,716,806   

 

      Shares      Value  

Broadcasting–0.04%

      

TEGNA Inc.

      1,450       $ 34,815   

Building Products–0.34%

      

Owens Corning

      5,650         260,974   

Cable & Satellite–1.36%

      

Comcast Corp. -Class A

      18,900         1,052,919   

Casinos & Gaming–0.87%

      

Isle of Capri Casinos, Inc. (b)

      53,550         677,943   

Commercial Printing–0.57%

      

Ennis Inc.

      22,000         439,340   

Commodity Chemicals–1.34%

      

LyondellBasell Industries N.V. -Class A

      13,300         1,037,001   

Communications Equipment–1.92%

      

Black Box Corp.

      3,450         26,289   

Cisco Systems, Inc.

      9,550         227,194   

Digi International Inc. (b)

      12,750         116,280   

Extreme Networks, Inc.

      61,650         170,154   

Juniper Networks, Inc.

      38,500         908,600   

Polycom, Inc. (b)

      3,850         39,232   
                1,487,749   

Computer & Electronics Retail–1.49%

  

Best Buy Co., Inc.

      37,500         1,047,375   

GameStop Corp. -Class A

      4,300         112,703   
                1,160,078   

Construction Machinery & Heavy Trucks–0.50%

  

Joy Global Inc.

      38,650         385,341   

Consumer Electronics–0.43%

      

ZAGG Inc. (b)

      36,250         334,225   

Consumer Finance–1.17%

      

Nelnet, Inc. -Class A

      4,000         129,880   

Santander Consumer USA Holdings Inc. (b)

      74,550         779,048   
                908,928   

Data Processing & Outsourced Services–0.23%

  

Information Services Group, Inc.

      12,900         49,407   

Planet Payment Inc. (b)

      44,950         129,906   
                179,313   

Diversified Banks–0.47%

      

Citigroup Inc.

      8,600         366,188   

Diversified Chemicals–1.28%

      

Cabot Corp.

      24,700         996,398   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco All Cap Market Neutral Fund

      Shares      Value  

Diversified Metals & Mining–0.21%

      

Turquoise Hill Resources Ltd. (Canada)(b)

      77,700       $ 160,062   

Education Services–0.35%

      

Cambium Learning Group Inc. (b)

      18,100         81,450   

K12 Inc. (b)

      21,100         193,909   
                275,359   

Electrical Components & Equipment–0.29%

  

General Cable Corp.

      19,300         226,196   

Electronic Manufacturing Services–0.72%

  

Celestica Inc. (Canada)(b)

      2,100         19,026   

Multi-Fineline Electronix, Inc. (b)

      32,100         537,033   
                556,059   

Gold–2.90%

      

Barrick Gold Corp. (Canada)

      121,400         1,203,074   

Newmont Mining Corp.

      52,550         1,048,898   
                  2,251,972   

Health Care Equipment–0.68%

      

Hologic, Inc. (b)

      9,300         315,642   

LeMaitre Vascular, Inc.

      14,700         214,620   
                530,262   

Health Care Facilities–2.06%

      

AmSurg Corp. (b)

      14,400         1,053,936   

LifePoint Health, Inc. (b)

      7,800         544,362   
                1,598,298   

Health Care REIT’s–0.04%

      

Care Capital Properties, Inc.

      1,000         29,940   

Health Care Services–0.58%

      

Almost Family Inc. (b)

      3,050         116,632   

LHC Group Inc. (b)

      6,600         250,272   

Premier Inc. -Class A (b)

      2,700         86,238   
                453,142   

Home Furnishings–0.43%

      

Tempur Sealy International, Inc. (b)

      5,500         331,870   

Homebuilding–0.04%

      

TopBuild Corp. (b)

      1,050         28,119   

Human Resource & Employment Services–0.65%

  

Insperity, Inc.

      11,200         503,216   

Integrated Oil & Gas–1.53%

  

Cenovus Energy Inc. (Canada)

      8,500         104,465   

Suncor Energy, Inc. (Canada)

      45,950         1,082,122   
                1,186,587   

Internet Retail–0.47%

      

Nutrisystem, Inc.

      18,350         363,514   
      Shares      Value  

Internet Software & Services–3.52%

      

Demand Media, Inc. (b)

      26,400       $ 133,056   

DHI Group, Inc. (b)

      37,950         353,314   

Earthlink Holdings Corp.

      136,550         808,376   

MeetMe, Inc. (b)

      60,000         191,400   

Monster Worldwide, Inc. (b)

      36,850         183,881   

Sohu.com Inc. (China)(b)

      20,500         1,032,995   

United Online, Inc. (b)

      2,950         31,300   
                  2,734,322   

IT Consulting & Other Services–1.99%

  

Hackett Group, Inc. (The)

      28,750         424,637   

Leidos Holdings, Inc.

      22,150         1,021,558   

NCI, Inc. -Class A

      7,950         100,329   
                1,546,524   

Leisure Products–1.25%

      

Brunswick Corp.

      24,250         966,362   

Life Sciences Tools & Services–2.10%

  

Cambrex Corp. (b)

      25,800         893,712   

INC Research Holdings, Inc. -Class A (b)

      17,450         735,168   
                1,628,880   

Managed Health Care–0.87%

      

Triple-S Management Corp. -Class B
(Puerto Rico)(b)

      30,200         673,158   

Mortgage REIT’s–0.39%

      

Annaly Capital Management Inc.

      31,700         301,150   

Office REIT’s–0.48%

      

Mack-Cali Realty Corp.

      14,400         299,376   

NorthStar Realty Europe Corp.

      7,850         74,104   
                373,480   

Oil & Gas Drilling–1.04%

  

Noble Corp. PLC

      95,450         743,555   

Pioneer Energy Services Corp. (b)

      44,150         60,486   
                804,041   

Oil & Gas Equipment & Services–0.51%

  

Superior Energy Services, Inc.

      38,700         398,997   

Oil & Gas Exploration & Production–5.80%

  

Baytex Energy Corp. (Canada)

      63,150         133,878   

Canadian Natural Resources Ltd. (Canada)

      33,400         710,084   

Clayton Williams Energy, Inc. (b)

      12,250         210,455   

Denbury Resources Inc.

      106,400         165,984   

Enerplus Corp. (Canada)

      81,500         258,355   

Evolution Petroleum Corp.

      8,150         37,979   

Newfield Exploration Co. (b)

      14,150         411,341   

Oasis Petroleum Inc. (b)

      182,950         978,782   

Panhandle Oil & Gas, Inc. -Class A

      10,400         150,072   

PDC Energy, Inc. (b)

      19,300         1,097,591   

Ultra Petroleum Corp. (b)

      154,850         349,961   
                4,504,482   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco All Cap Market Neutral Fund

      Shares      Value  

Oil & Gas Refining & Marketing–4.71%

  

CVR Energy, Inc.

      6,250       $ 218,875   

REX American Resources Corp. (b)

      4,600         245,778   

Tesoro Corp.

      12,350         1,077,537   

Valero Energy Corp.

      15,500         1,051,985   

Western Refining, Inc.

      32,300         1,062,670   
                3,656,845   

Packaged Foods & Meats–1.78%

      

Dean Foods Co.

      36,050         720,279   

Omega Protein Corp. (b)

      29,250         660,757   
                  1,381,036   

Paper Packaging–0.15%

      

AEP Industries Inc. (b)

      1,400         118,496   

Paper Products–0.21%

      

Mercer International, Inc. (Canada)(b)

      22,250         163,538   

Personal Products–0.35%

      

Nu Skin Enterprises, Inc. -Class A

      8,500         269,025   

Pharmaceuticals–3.20%

      

Corcept Therapeutics Inc. (b)

      22,550         82,308   

Heska Corp. (b)

      6,550         244,708   

Lannett Co., Inc. (b)

      3,700         94,387   

Sagent Pharmaceuticals Inc. (b)

      15,250         230,427   

SciClone Pharmaceuticals, Inc. (b)

      64,950         518,950   

Sucampo Pharmaceuticals, Inc. -Class A (b)

      59,600         753,940   

Supernus Pharmaceuticals Inc. (b)

      49,400         560,196   
                2,484,916   

Property & Casualty Insurance–2.35%

  

Ambac Financial Group, Inc. (b)

      59,200         831,168   

Assured Guaranty Ltd.

      32,250         766,905   

Heritage Insurance Holdings, Inc.

      11,350         224,957   
                1,823,030   

Real Estate Services–0.95%

      

Altisource Portfolio Solutions S.A. (b)

      25,400         734,060   

Restaurants–1.33%

      

Darden Restaurants, Inc.

      16,350         1,031,031   

Semiconductors–5.75%

      

First Solar, Inc. (b)

      15,550         1,067,663   

Integrated Device Technology, Inc. (b)

      42,350         1,079,078   

Intel Corp.

      30,950         960,069   

NeoPhotonics Corp. (b)

      32,950         295,562   

NVIDIA Corp.

      36,050         1,055,904   
                4,458,276   
      Shares      Value  

Specialized REIT’s–2.49%

      

CoreSite Realty Corp.

      13,050       $ 837,027   

Four Corners Property Trust, Inc.

      3,150         53,235   

Public Storage

      4,100         1,039,596   
                1,929,858   

Specialty Stores–1.17%

      

GNC Holdings, Inc. -Class A

      4,950         138,650   

Outerwall Inc. (b)

      22,700         767,260   
                905,910   

Steel–0.79%

      

Commercial Metals Co.

      43,850         610,392   

Systems Software–0.82%

      

Rovi Corp. (b)

      32,600         634,396   

Technology Distributors–0.85%

      

Tech Data Corp. (b)

      10,550         658,320   

Technology Hardware, Storage & Peripherals–1.40%

  

Apple Inc.

      10,950         1,065,873   

NetApp, Inc.

      1,100         24,123   
                1,089,996   

Tires & Rubber–0.20%

      

Cooper Tire & Rubber Co.

      4,350         158,601   

Trading Companies & Distributors–0.20%

  

Titan Machinery, Inc. (b)

      18,400         156,216   

Trucking–1.46%

      

Swift Transportation Co. (b)

      36,300         592,053   

USA Truck, Inc. (b)

      5,900         95,403   

YRC Worldwide, Inc. (b)

      42,900         443,586   
                1,131,042   

Total Common Stocks & Other Equity Interests (Cost $73,386,860)

                 69,676,833   

Money Market Funds–9.70%

      

Liquid Assets Portfolio –Institutional Class, 0.38% (c)

      3,763,610         3,763,610   

Premier Portfolio –Institutional Class, 0.34% (c)

      3,763,610         3,763,610   

Total Money Market Funds
(Cost $7,527,220)

               7,527,220   

TOTAL INVESTMENTS–99.50%
(Cost $80,914,080)

               77,204,053   

OTHER ASSETS LESS LIABILITIES–0.50%

               385,986   

NET ASSETS–100.00%

             $ 77,590,039   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco All Cap Market Neutral Fund

Investment Abbreviations:

 

REIT

   —Real Estate Investment Trust

Notes to Schedule of Investments:

 

(a)  Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.

 

(b)  Non-income producing security.

 

(c)  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 January 31, 2016.

Open Total Return Swap Agreements – Equity Risk

Reference Entity    Counterparty   

Expiration

Date

    Floating Rate Index (1)    Notional Value   

Unrealized

Appreciation
(Depreciation)

    Net Value of
Reference
Entities		     

Equity Securities -Short

    Morgan Stanley & Co. LLC    04/24/17    Federal Funds floating rate    $(68,738,247)    $(513,226)(2)    $(69,232,280)    
(1)  The Fund receives or pays the total return on the short positions underlying the total return swap and pays or receives a specific Federal Funds floating rate.
(2)  Amount includes $(19,193) of dividends payable and financing fees.

The following table represents the individual short positions and related values of equity securities underlying the total swap with Morgan Stanley & Co. LLC as of January 31, 2016.

 

      Shares     Value  

Equity Securities - Short

  

Airlines

     

Copa Holdings S.A. -Class A (Panama)

      (2,700 )    $ (127,170 ) 

Spirit Airlines Inc.

      (24,850 )      (1,038,730 ) 
               (1,165,900 ) 

Airport Services

     

Macquarie Infrastructure Corp.

      (5,350 )      (358,771 ) 

Apparel Retail

     

Boot Barn Holdings, Inc.

      (34,700 )      (210,976 ) 

Apparel, Accessories & Luxury Goods

  

Sequential Brands Group, Inc.

      (47,750 )      (307,510 ) 

Under Armour, Inc. -Class A

      (1,400 )      (119,602 ) 
               (427,112 ) 

Application Software

     

EnerNOC, Inc.

      (40,550 )      (212,888 ) 

Guidewire Software, Inc.

      (2,000 )      (110,080 ) 

MobileIron, Inc.

      (20,650 )      (76,199 ) 
               (399,167 ) 

Asset Management & Custody Banks

  

Financial Engines Inc.

      (13,100 )      (353,307 ) 

Automobile Manufacturers

     

Tesla Motors, Inc.

      (2,200 )      (420,640 ) 

Automotive Retail

     

CarMax, Inc.

      (22,850 )        (1,009,513 ) 
      Shares     Value  

Biotechnology

     

ACADIA Pharmaceuticals Inc.

      (43,350 )    $ (896,911 ) 

Advaxis, Inc.

      (21,000 )      (143,220 ) 

Agios Pharmaceuticals, Inc.

      (11,250 )      (474,975 ) 

Amicus Therapeutics, Inc.

      (84,300 )      (509,172 ) 

Aquinox Pharmaceuticals, Inc. (Canada)

      (13,950 )      (146,335 ) 

ARCA biopharma, Inc.

      (9,650 )      (36,573 ) 

Arrowhead Research Corp.

      (39,700 )      (138,156 ) 

bluebird bio, Inc.

      (14,500 )      (599,720 ) 

CytRx Corp.

      (37,350 )      (68,724 ) 

Exact Sciences Corp.

      (19,900 )      (130,743 ) 

Fibrocell Science, Inc.

      (41,400 )      (106,398 ) 

Genocea Biosciences, Inc.

      (26,100 )      (81,171 ) 

Heron Therapeutics, Inc.

      (27,650 )      (580,374 ) 

Ignyta, Inc.

      (17,300 )      (172,654 ) 

Intercept Pharmaceuticals, Inc.

      (9,250 )      (982,628 ) 

Keryx Biopharmaceuticals, Inc.

      (60,950 )      (215,153 ) 

La Jolla Pharmaceutical Co.

      (14,850 )      (262,993 ) 

Medgenics, Inc.

      (20,400 )      (73,440 ) 

Mirati Therapeutics, Inc.

      (25,400 )      (546,862 ) 

Navidea Biopharmaceuticals Inc.

      (72,900 )      (60,507 ) 

Northwest Biotherapeutics, Inc.

      (31,150 )      (66,038 ) 

Novavax, Inc.

      (106,650 )      (549,248 ) 

Ohr Pharmaceutical, Inc.

      (7,000 )      (27,510 ) 

OvaScience, Inc.

      (18,250 )      (103,112 ) 

PTC Therapeutics, Inc.

      (14,000 )      (333,480 ) 

Puma Biotechnology, Inc.

      (12,800 )      (534,272 ) 

TG Therapeutics, Inc.

      (2,950 )      (24,101 ) 

Trovagene, Inc.

      (20,450 )      (74,438 ) 
                 (7,938,908 ) 
 

 

See accompanying notes which are an integral part of this schedule.

Invesco All Cap Market Neutral Fund

      Shares     Value  

Cable & Satellite

     

Loral Space & Communications Inc.

      (2,150 )    $ (74,282 ) 

Casinos & Gaming

     

Wynn Resorts Ltd.

      (11,100 )      (747,474 ) 

Coal & Consumable Fuels

     

CONSOL Energy Inc.

      (67,800 )      (538,332 ) 

Commodity Chemicals

     

Methanex Corp. (Canada)

      (6,300 )      (167,076 ) 

Communications Equipment

  

NetScout Systems, Inc.

      (36,500 )      (786,575 ) 

ViaSat, Inc.

      (14,100 )      (881,250 ) 
                 (1,667,825 ) 

Computer & Electronics Retail

  

Conn’s, Inc.

      (4,350 )      (53,592 ) 

Construction & Engineering

  

HC2 Holdings, Inc.

      (46,450 )      (176,510 ) 

Orion Marine Group, Inc.

      (10,100 )      (36,461 ) 
               (212,971 ) 

Construction Materials

     

Eagle Materials Inc.

      (11,250 )      (602,325 ) 

Consumer Finance

     

Emergent Capital, Inc.

      (8,850 )      (38,940 ) 

EZCORP, Inc. -Class A

      (68,350 )      (207,783 ) 

LendingClub Corp.

      (132,550 )      (978,219 ) 
               (1,224,942 ) 

Data Processing & Outsourced Services

  

MAXIMUS, Inc.

      (8,700 )      (464,319 ) 

Diversified Chemicals

     

LSB Industries, Inc.

      (22,950 )      (128,520 ) 

Diversified Metals & Mining

     

Freeport-McMoRan Inc.

      (138,450 )      (636,870 ) 

Diversified REIT’s

     

Gramercy Property Trust

      (143,300 )      (1,047,523 ) 

NorthStar Realty Finance Corp.

      (72,500 )      (860,575 ) 

VEREIT, Inc.

      (70,550 )      (543,941 ) 
               (2,452,039 ) 

Education Services

     

2U, Inc.

      (4,550 )      (91,865 ) 

Electrical Components & Equipment

  

American Superconductor Corp.

      (13,800 )      (86,526 ) 

SolarCity Corp.

      (10,700 )      (381,455 ) 
               (467,981 ) 

Electronic Equipment Manufacturers

  

CUI Global, Inc.

      (18,750 )      (137,625 ) 

Zebra Technologies Corp. -Class A

      (14,350 )      (866,740 ) 
               (1,004,365 ) 
      Shares     Value  

Fertilizers & Agricultural Chemicals

  

AgroFresh Solutions, Inc.

      (65,750 )    $ (360,968 ) 

CF Industries Holdings, Inc.

      (1,650 )      (49,500 ) 

FMC Corp.

      (29,400 )      (1,050,168 ) 
                 (1,460,636 ) 

Food Retail

     

Whole Foods Market, Inc.

      (6,450 )      (189,050 ) 

Footwear

     

Deckers Outdoor Corp.

      (12,750 )      (630,615 ) 

General Merchandise Stores

  

Tuesday Morning Corp.

      (26,350 )      (146,769 ) 

Gold

     

Franco-Nevada Corp. (Canada)

      (23,400 )      (1,032,174 ) 

Royal Gold, Inc.

      (8,500 )      (253,215 ) 
               (1,285,389 ) 

Health Care Equipment

     

GenMark Diagnostics Inc.

      (29,900 )      (158,171 ) 

Tandem Diabetes Care, Inc.

      (25,300 )      (227,953 ) 

TriVascular Technologies, Inc.

      (7,101 )      (39,837 ) 

Veracyte, Inc.

      (36,050 )      (233,604 ) 

Zimmer Biomet Holdings, Inc.

      (7,850 )      (779,191 ) 
               (1,438,756 ) 

Health Care Facilities

     

Acadia Healthcare Co., Inc.

      (16,950 )      (1,034,458 ) 

Health Care Supplies

     

Cerus Corp.

      (66,200 )      (359,466 ) 

Cooper Cos., Inc. (The)

      (7,900 )      (1,036,085 ) 
               (1,395,551 ) 

Homebuilding

     

New Home Co. Inc. (The)

      (26,350 )      (266,925 ) 

Homefurnishing Retail

     

Restoration Hardware Holdings, Inc.

      (16,000 )      (985,920 ) 

Independent Power Producers & Energy Traders

  

Dynegy Inc.

      (47,650 )      (564,176 ) 

Industrial Machinery

     

Chart Industries, Inc.

      (5,900 )      (95,639 ) 

Colfax Corp.

      (16,250 )      (359,775 ) 
               (455,414 ) 

Integrated Oil & Gas

     

Chevron Corp.

      (12,250 )      (1,059,258 ) 

Exxon Mobil Corp.

      (5,950 )      (463,208 ) 
               (1,522,466 ) 

Internet Retail

     

Amazon.com, Inc.

      (880 )      (516,560 ) 
 

 

See accompanying notes which are an integral part of this schedule.

Invesco All Cap Market Neutral Fund

      Shares     Value  

Internet Software & Services

  

Alphabet Inc. -Class A

      (1,420 )    $ (1,081,117 ) 

Demandware, Inc.

      (1,550 )      (65,766 ) 

GrubHub Inc.

      (33,550 )      (632,418 ) 

Hortonworks, Inc.

      (60,900 )      (590,730 ) 

TrueCar, Inc.

      (56,800 )      (368,064 ) 
               (2,738,095 ) 

Leisure Products

     

Polaris Industries Inc.

      (14,550 )      (1,074,372 ) 

Life Sciences Tools & Services

  

Accelerate Diagnostics, Inc.

      (22,350 )      (331,003 ) 

Illumina, Inc.

      (6,250 )      (987,188 ) 

NanoString Technologies, Inc.

      (10,650 )      (148,568 ) 
               (1,466,759 ) 

Mortgage REIT’s

     

Altisource Residential Corp.

      (28,600 )      (284,570 ) 

Orchid Island Capital Inc.

      (2,600 )      (23,088 ) 
               (307,658 ) 

Motorcycle Manufacturers

     

Kandi Technologies Group Inc. (China)

      (31,450 )      (247,826 ) 

Movies & Entertainment

     

IMAX Corp.

      (27,300 )      (847,938 ) 

Lions Gate Entertainment Corp.

      (18,400 )      (481,160 ) 
               (1,329,098 ) 

Oil & Gas Drilling

     

Diamond Offshore Drilling, Inc.

      (1,650 )      (30,673 ) 

Unit Corp.

      (12,400 )      (129,332 ) 
               (160,005 ) 

Oil & Gas Equipment & Services

  

Bristow Group, Inc.

      (13,850 )      (322,151 ) 

CARBO Ceramics Inc.

      (2,200 )      (36,410 ) 

Helix Energy Solutions Group Inc.

      (41,950 )      (169,058 ) 

Schlumberger Ltd.

      (3,700 )      (267,399 ) 
               (795,018 ) 

Oil & Gas Exploration & Production

  

Cabot Oil & Gas Corp.

      (14,300 )      (296,725 ) 

Eclipse Resources Corp.

      (95,500 )      (115,555 ) 

EQT Corp.

      (17,000 )      (1,049,580 ) 

Gulfport Energy Corp.

      (32,650 )      (964,808 ) 

Rice Energy Inc.

      (53,900 )      (629,013 ) 

SM Energy Co.

      (6,550 )      (91,569 ) 

Southwestern Energy Co.

      (113,950 )        (1,013,015 ) 

Whiting Petroleum Corp.

      (80,700 )      (593,145 ) 
               (4,753,410 ) 

Oil & Gas Refining & Marketing

  

Pacific Ethanol, Inc.

      (39,150 )      (136,633 ) 
      Shares     Value  

Oil & Gas Storage & Transportation

  

Cheniere Energy, Inc.

      (35,000 )    $ (1,051,750 ) 

GasLog Ltd. (Monaco)

      (28,600 )      (213,642 ) 

Golar LNG Ltd. (Bermuda)

      (36,750 )      (684,285 ) 

Pembina Pipeline Corp. (Canada)

      (4,850 )      (110,289 ) 

SemGroup Corp -Class A

      (17,400 )      (385,236 ) 
               (2,445,202 ) 

Packaged Foods & Meats

     

Inventure Foods, Inc.

      (25,850 )      (145,277 ) 

Personal Products

     

Elizabeth Arden, Inc.

      (2,850 )      (22,800 ) 

Pharmaceuticals

     

Aerie Pharmaceuticals, Inc.

      (19,300 )      (319,222 ) 

Akorn, Inc.

      (39,300 )      (1,021,407 ) 

Alimera Sciences Inc.

      (14,300 )      (33,033 ) 

Ampio Pharmaceuticals, Inc.

      (13,550 )      (32,249 ) 

BioDelivery Sciences International, Inc.

      (43,050 )      (174,352 ) 

Egalet Corp.

      (30,350 )      (255,547 ) 

Omeros Corp.

      (7,950 )      (85,780 ) 

XenoPort Inc.

      (54,050 )      (268,629 ) 
               (2,190,219 ) 

Property & Casualty Insurance

  

Mercury General Corp.

      (850 )      (39,466 ) 

White Mountains Insurance Group, Ltd.

      (1,380 )      (984,064 ) 
               (1,023,530 ) 

Railroads

     

Kansas City Southern

      (14,500 )      (1,027,760 ) 

Real Estate Development

  

Howard Hughes Corp. (The)

      (10,850 )      (1,031,075 ) 

Real Estate Services

     

Kennedy-Wilson Holdings Inc.

      (40,000 )      (811,200 ) 

Reinsurance

     

Greenlight Capital Re, Ltd. -Class A

      (30,650 )      (595,223 ) 

Restaurants

     

Chipotle Mexican Grill, Inc.

      (2,300 )      (1,041,831 ) 

Kona Grill, Inc.

      (14,900 )      (242,274 ) 
                 (1,284,105 ) 

Semiconductor Equipment

     

SunEdison, Inc.

      (79,750 )      (249,618 ) 

Semiconductors

     

Cypress Semiconductor Corp.

      (126,950 )      (997,827 ) 

Micron Technology, Inc.

      (98,350 )      (1,084,800 ) 

Qorvo, Inc.

      (27,600 )      (1,092,960 ) 

SunPower Corp.

      (19,700 )      (501,168 ) 
               (3,676,755 ) 

Silver

     

Silver Wheaton Corp. (Canada)

      (59,200 )      (696,192 ) 
 

 

See accompanying notes which are an integral part of this schedule.

Invesco All Cap Market Neutral Fund

      Shares     Value  

Soft Drinks

     

Coca-Cola Co. (The)

      (13,500 )    $ (579,420 ) 

Specialty Chemicals

     

Platform Specialty Products Corp.

      (90,650 )      (691,660 ) 

Senomyx, Inc.

      (36,000 )      (121,680 ) 
               (813,340 ) 

Specialty Stores

     

Cabela’s Inc.

      (25,050 )      (1,053,853 ) 

Systems Software

     

FireEye, Inc.

      (12,250 )      (172,602 ) 

NetSuite Inc.

      (11,000 )      (763,070 ) 

Tableau Software, Inc. -Class A

      (13,850 )      (1,111,324 ) 
               (2,046,996 ) 

Technology Hardware, Storage & Peripherals

  

3D Systems Corp.

      (22,450 )      (179,825 ) 

Nimble Storage, Inc.

      (20,250 )      (133,043 ) 

Silicon Graphics International Corp.

      (30,450 )      (178,894 ) 

Stratasys, Ltd

      (23,400 )      (381,420 ) 

Violin Memory, Inc.

      (34,550 )      (30,750 ) 
               (903,932 ) 

Thrifts & Mortgage Finance

     

EverBank Financial Corp.

      (8,000 )      (112,560 ) 

Nationstar Mortgage Holdings, Inc.

      (20,450 )      (206,545 ) 
               (319,105 ) 

Trucking

     

Ryder System, Inc.

      (2,750 )      (146,218 ) 

Wireless Telecommunication Services

  

Sprint Corp.

      (148,950 )      (449,829 ) 

Total Equity Securities - Short

            $ (69,232,280 ) 

    

 

 

See accompanying notes which are an integral part of this schedule.

Invesco All Cap Market Neutral Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

 

Invesco All Cap Market Neutral Fund

A. Security Valuations – (continued)

 

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, volatility, variance, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, equity, currency or credit risk. Such transactions are agreements between two parties (“Counterparties”). These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, volatility, variance, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index.

 

Invesco All Cap Market Neutral Fund

D. Swap Agreements – (continued)

 

A total return swap is an agreement in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income generated and capital gains, if any. The unrealized appreciation (depreciation) on total return swaps includes dividends on the underlying equity securities and financing rate payable from the Counterparty. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, the Fund would receive payments based on any positive total return and would owe payments in the event of a negative total return. As the payer, the Fund would owe payments on any net positive total return, and would receive payment in the event of a negative total return.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

E. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
F. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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  

Equity Securities

    $ 77,204,053       $ —       $  —       $   77,204,053   

Swap Agreements*

      —         (513,226 )       —         (513,226 ) 

Total Investments

    $   77,204,053       $   (513,226 )     $    —       $ 76,690,827   
* Unrealized appreciation (depreciation).

 

Invesco All Cap Market Neutral Fund

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

     Value  

  Risk Exposure/ Derivative Type

          Assets                 Liabilities       

  Equity risk:

      

 Swap agreements

      $—               $(513,226)       

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

     Location of Gain (Loss) on
Statement of Operations
  Swap Agreements

  Realized Gain:

  

Equity Risk

   $6,765,475

  Change in Net Unrealized Appreciation (Depreciation):

  

Equity Risk

      (866,701)

  Total

   $5,898,774

The table below summarizes the average notional value of swap agreements outstanding during the period.

 

      Swap Agreements          

Average notional value

      $46,452,550               

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $53,132,212 and $6,019,743, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis

  

Aggregate unrealized appreciation of investment securities

    $ 1,819,791   

Aggregate unrealized (depreciation) of investment securities

                  (5,741,258)   

Net unrealized appreciation (depreciation) of investment securities

    $ (3,921,467)   

Cost of investments for tax purposes is $81,125,520.

   

 

Invesco All Cap Market Neutral Fund

 

Invesco Balanced-Risk Allocation Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

LOGO

 

invesco.com/us    IBRA-QTR-1      01/16    Invesco Advisers, Inc.
 

Consolidated Schedule of Investments

January 31, 2016

(Unaudited)

 

      Interest
Rate		      Maturity
Date		    Principal
Amount		      Value  

U.S. Treasury Securities–35.11%

              

U.S. Treasury Bills–7.20%(a)

              

U.S. Treasury Bills

    0.24%      03/03/2016    $ 48,160,000       $ 48,150,666   

U.S. Treasury Bills

    0.26%      03/10/2016      35,150,000         35,141,092   

U.S. Treasury Bills

    0.25%      03/17/2016      65,830,000         65,811,478   

U.S. Treasury Bills

    0.47%      07/07/2016      37,600,000         37,542,592   

U.S. Treasury Bills

    0.43%      07/28/2016      233,180,000         232,701,409   
                            419,347,237   

U.S. Treasury Notes–27.91%

              

U.S. Treasury Floating Rate Notes (b)(c)

    0.37%      04/30/2016      479,266,000         479,283,232   

U.S. Treasury Floating Rate Notes (b)

    0.38%      07/31/2016      603,420,000         603,448,705   

U.S. Treasury Floating Rate Notes (b)

    0.58%      01/31/2018      541,980,000         542,370,369   
                            1,625,102,306   

Total U.S. Treasury Securities (Cost $2,044,059,531)

                           2,044,449,543   
            Expiration
Date		              

Commodity-Linked Securities–3.74%

              

Canadian Imperial Bank of Commerce, Commodity-Linked EMTN, U.S. Federal Funds Effective Rate minus 0.02% (linked to Canadian Imperial Bank of Commerce Custom 4 Agriculture Commodity Index, multiplied by 2) (Canada) (d)

           02/13/2017      68,000,000         67,624,063   

Cargill, Inc., Commodity-Linked Notes, one month LIBOR rate minus 0.10% (linked to the Monthly Rebalance Commodity Excess Return Index, multiplied by 2) (d)

           02/27/2017      105,000,000         102,910,053   

RBC Capital Markets, LLC, Commodity-Linked Notes, U.S. Federal Funds Effective Rate minus 0.04% (linked to the RBC Enhanced Agricultural Basket 03 Excess Return Index, multiplied by 2) (Canada) (d)

           02/28/2017      47,500,000         47,274,379   

Total Commodity-Linked Securities (Cost $220,500,000)

                           217,808,495   
             Shares      

Money Market Funds–51.99%

              

Liquid Assets Portfolio - Institutional Class, 0.38% (e)

                  433,474,393         433,474,393   

Premier Portfolio – Institutional Class, 0.34% (e)

                  433,474,394         433,474,394   

STIC (Global Series) PLC – U.S. Dollar Liquidity Portfolio (Ireland) – Institutional Class, 0.37% (e)

             416,153,573         416,153,573   

Treasury Portfolio - Institutional Class, 0.18% (e)

             1,744,223,152         1,744,223,152   

Total Money Market Funds (Cost $3,027,325,512)

                           3,027,325,512   

TOTAL INVESTMENTS–90.84% (Cost $5,291,885,043)

                           5,289,583,550   

OTHER ASSETS LESS LIABILITIES–9.16%

                           533,580,037   

NET ASSETS–100.00%

                         $     5,823,163,587   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Allocation Fund

            Open Futures Contracts(f)                      
Futures Contracts    Type of
Contract		    Number of
Contracts		          Expiration
Month		          Notional
Value		     

Unrealized

Appreciation

(Depreciation)

  

Brent Crude

    Long    1,295         May-2016           $  47,681,900         $  5,276,686   
Gasoline Reformulated Blendstock Oxygenate Blending    Long    1,650         March-2016           78,468,390         5,079,991   

Silver

    Long    1,738         March-2016           123,771,670         799,776   

WTI Crude

    Long    900         July-2016           35,091,000         (1,516,670 ) 

Subtotal – Commodity Risk

                                        9,639,783   

Dow Jones EURO STOXX 50 Index

    Long    10,800         March-2016           354,281,450         (21,361,293 ) 

E-Mini S&P 500 Index

    Long    3,000         March-2016           289,515,000         (14,513,809 ) 

FTSE 100 Index

    Long    4,800         March-2016           410,864,383         3,717,556   

Hang Seng Index

    Long    2,770         February-2016           351,062,582         10,803,434   

Russell 2000 Index Mini

    Long    2,430         March-2016           250,630,200         (19,385,706 ) 

Tokyo Stock Price Index

    Long    3,050         March-2016           362,528,394         (37,120,888 ) 

Subtotal – Equity Risk

                                        (77,860,706 ) 

Australian 10 Year Bonds

    Long    8,150         March-2016           746,367,896         17,784,735   

Canada 10 Year Bonds

    Long    10,880         March-2016           1,109,397,294         35,554,966   

Euro Bonds

    Long    5,950         March-2016           1,052,943,074         24,945,969   

Japan 10 Year Bonds

    Long    392         March-2016           487,049,436         5,660,593   

Long Gilt

    Long    6,780         March-2016           1,162,430,892         28,988,965   

U.S. Treasury 30 Year Bonds

    Long    3,390         March-2016           545,895,938         25,085,167   

Subtotal – Interest Rate Risk

                                        138,020,395   

Total Future Contracts

                                        $  69,799,472   

 

      Open Over-The-Counter Total Return Swap  Agreements                
Long Swap Agreements    Type of
Contract		   Counterparty   Number of
Contracts		    Termination
Date		    Notional
Value(g)		      Unrealized
Appreciation		  

Receive a return equal to the Barclays Commodity Strategy 1452 Excess Return Index and pay the product of (i) 0.33% of the Notional value multiplied by (ii) days in the period divided by 365

    Long   Barclays Bank
PLC		   158,500    October-2016      $  56,363,440       $ 3,010,343   

Receive a return equal to the CIBC Dynamic Roll LME Copper Excess Return Index and pay the product of (i) 0.30% of the Notional value multiplied by (ii) days in the period divided by 365

    Long   Canadian
Imperial Bank
of Commerce		   2,055,000    April-2016      114,413,358         4,607,926   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Allocation Fund

     Open Over-The-Counter Total Return Swap  Agreements              
Long Swap Agreements   Type of
Contract		   Counterparty   Number of
Contracts		    Termination
Date		  

Notional

Value(g)

     Unrealized
Appreciation		  

Receive a return equal to the Monthly Rebalance Commodity Excess Return Index and pay the product of (i) 0.47% of the Notional value multiplied by (ii) days in the period divided by 365

   Long   Cargill, Inc.   46,500    January-2017     $  36,999,580      $ 0   

Receive a return equal to the S&P GSCI Gold Index Excess Return and pay the product of (i) 0.09% of the Notional value multiplied by (ii) days in the period divided by 365

   Long   J.P. Morgan
Chase Bank,
N.A.		   880,000    October-2016     80,561,536        1,477,054   

Receive a return equal to the Merrill Lynch Gold Excess Return Index and pay the product of (i) 0.14% of the Notional Amount multiplied by (ii) days in the period divided by 365

   Long   Merrill Lynch
International		   702,000    June-2016     102,565,850        0   

Receive a return equal to the S&P GSCI Aluminum Dynamic Roll Index Excess Return and pay the product of (i) 0.38% of the Notional value multiplied by (ii) days in the period divided by 365

   Long   Morgan Stanley
Capital Services
LLC		   1,508,000    October-2016     125,601,094        2,947,009   

Subtotal – Commodity Risk

                              12,042,332   

Receive a return equal to the Hang Seng Index Futures multiplied by the Notional Value

   Long   Goldman Sachs
International		   250    February-2016     31,684,349        983,687   

Subtotal – Equity Risk

                              983,687   

Receive a return equal to the Macquarie CGB 10 Year Index and pay the product of (i) 0.34% of the Notional Amount multiplied by (ii) days in the period divided by 365

   Long   Macquarie
Bank Ltd.		   330,000    June-2016     CAD 60,764,781        143,204   

Subtotal – Interest Rate Risk

                          143,204   

Total Swap Agreements

                              $    13,169,223   

Investment Abbreviations:

 

CGB   —   Canadian Government Bonds
EMTN   —   Euro Medium-Term Notes
LIBOR   —   London Interbank Offered Rate

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Allocation Fund

Index Information:
Canadian Imperial Bank of Commerce Custom 4 Agriculture Index   —   a basket of indices that provide exposure to various components of the agriculture markets. The underlying commodities comprising the indices are: Cocoa, Coffee ‘C’, Corn, Cotton, Lean Hogs, Live Cattle, Soybeans, Soybean Meal, Soybean Oil, Sugar and Wheat.
Monthly Rebalance Commodity Excess Return Index   —   a commodity index composed of futures contracts on Coffee ‘C’, Corn, Cotton No.2, Soybeans, Soybean Meal, Soybean Oil, Sugar No.11 and Wheat.
RBC Enhanced Agricultural Basket 03 Excess Return Index   —   a commodity index composed of futures contracts on Cocoa, Corn, Coffee, Cotton, Lean Hogs, Live Cattle, Soybeans, Soybean Meal, Soybean Oil, Sugar and Wheat.
Barclays Commodity Strategy 1452 Excess Return Index   —   a commodity index that provide exposure to futures contracts on Copper.

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)  Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on January 31, 2016.

 

(c)  All or a portion of the value was designated as collateral for open swap agreements. See Note 1H and Note 3.

 

(d)  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 January 31, 2016 was $217,808,495, which represented 3.74% of the Fund’s Net Assets.

 

(e)  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 January 31, 2016.

 

(f)  Futures collateralized by $440,520,000 cash held with Merrill Lynch, the futures commission merchant.

 

(g)  Notional Value is denominated in U.S. Dollars unless otherwise noted.

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Allocation Fund

Notes to Quarterly Consolidated Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

Invesco Balanced-Risk Allocation Fund (the “Fund”) will seek to gain exposure to the commodity markets primarily through investments in the Invesco Cayman Commodity Fund I Ltd. (the “Subsidiary”), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands. The Subsidiary was organized by the Fund to invest in commodity-linked derivatives and other securities that may provide leveraged and non-leveraged exposure to commodities. The Fund may invest up to 25% of its total assets in the Subsidiary.

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

 

Invesco Balanced-Risk Allocation Fund

A. Security Valuations – (continued)

 

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Consolidated Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Consolidated Statement of Operations and the Consolidated Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Consolidated Statement of Operations and the Consolidated Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Consolidated Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Structured Securities – The Fund may invest in structured securities. Structured securities are a type of derivative security whose value is determined by reference to changes in the value of underlying securities, currencies, interest rates, commodities, indices or other financial indicators (“reference instruments”). Most structured securities are fixed-income securities that have maturities of three years or less. Structured securities may be positively or negatively indexed (i.e., their principal value or interest rates may increase or decrease if the underlying reference instrument appreciates) and may have return characteristics similar to direct investments in the underlying reference instrument.

 

Invesco Balanced-Risk Allocation Fund

D. Structured Securities – (continued)

 

Structured securities may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference instruments. In addition to the credit risk of structured securities and the normal risks of price changes in response to changes in interest rates, the principal amount of structured notes or indexed securities may decrease as a result of changes in the value of the underlying reference instruments. Changes in the daily value of structured securities are recorded as unrealized gains (losses) in the Consolidated Statement of Operations. When the structured securities mature or are sold, the Fund recognizes a realized gain (loss) on the Consolidated Statement of Operations.

E. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Consolidated Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Consolidated Statement of Operations.

F. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Consolidated Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Consolidated Statement of Assets and Liabilities.

G. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between Counterparties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Consolidated Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Consolidated Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If

 

Invesco Balanced-Risk Allocation Fund

G. Futures Contracts – (continued)

 

the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Consolidated Statement of Assets and Liabilities.

H. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. Such transactions are agreements between Counterparties. These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, the Fund would receive payments based on any positive total return and would owe payments in the event of a negative total return. As the payer, the Fund would owe payments on any net positive total return, and would receive payment in the event of a negative total return.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Consolidated Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Consolidated Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Consolidated Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Consolidated Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

I. Other Risks – The Fund will seek to gain exposure to commodity markets primarily through an investment in the Subsidiary and through investments in exchange traded funds and commodity-linked derivatives. The Subsidiary, unlike the Fund, may invest without limitation in commodities, commodity-linked derivatives and other securities, such as exchange traded notes, that may provide leveraged and non-leveraged exposure to commodity markets. The Fund is indirectly exposed to the risks associated with the Subsidiary’s investments.
J. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
K. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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

 

Invesco Balanced-Risk Allocation Fund

(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 January 31, 2016. 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  

Money Market Funds

    $ 3,027,325,512       $ —       $ —       $ 3,027,325,512   

U.S. Treasury Securities

      —         2,044,449,543         —         2,044,449,543   

Commodity-Linked Securities

      —         217,808,495         —         217,808,495   
       3,027,325,512         2,262,258,038         —         5,289,583,550   

Futures Contracts*

      69,799,472         —         —         69,799,472   

Swap Agreements*

      —         13,169,223         —         13,169,223   

Total Investments

    $   3,097,124,984       $   2,275,427,261       $     —       $     5,372,552,245   
* Unrealized appreciation.

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

    

Value

  
Risk Exposure/ Derivative Type            Assets              Liabilities  

Commodity risk:

              

Futures contracts (a)

         $ 11,156,453              $ (1,516,670)   

Swap agreements

           12,042,332                —   

Equity risk:

              

Futures contracts (a)

           14,520,990                (92,381,696)   

Swap agreements

           983,687                —   

Interest rate risk:

              

Futures contracts (a)

           138,020,395                —   

Swap agreements

           143,204                —   

Total

         $   176,867,061              $   (93,898,366)   

 

(a)  Includes cumulative appreciation (depreciation) of futures contracts.

 

Invesco Balanced-Risk Allocation Fund

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

     Location of Gain (Loss) on
Consolidated Statement of Operations		  
     

Futures

Contracts

        Swap
Agreements		  

Realized Gain (Loss):

        

Commodity Risk

      $  (68,368,381)           $  (33,248,271)   

Equity Risk

      (37,121,078)           (30,626,875)   

Interest Rate Risk

      (288,916)           451,400   

Change in Net Unrealized Appreciation (Depreciation):

        

Commodity Risk

      3,682,786           28,285,853   

Equity Risk

      (172,155,342)           983,687   

Interest Rate Risk

      125,513,483           143,204   

Total

      $ (148,737,448)           $  (34,011,002)   

The table below summarizes the average notional value of futures contracts and swap agreements outstanding during the period.

 

     

Futures    

Contracts    

      Swap
Agreements

Average notional value

    $8,212,256,381          $642,021,273

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $220,500,000 and $226,464,480, respectively. During the same period, purchases and sales of long-term U.S. Treasury obligations were $541,979,984 and $80,508,473, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 444,209   

Aggregate unrealized (depreciation) of investment securities

      (2,803,976)   

Net unrealized appreciation (depreciation) of investment securities

    $             (2,359,767)   

Cost of investments for tax purposes is $5,291,943,317.

   

 

Invesco Balanced-Risk Allocation Fund

 

Invesco Balanced-Risk Commodity

Strategy Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

LOGO

 

invesco.com/us    BRCS-QTR-1       01/16    Invesco Advisers, Inc.
 

Consolidated Schedule of Investments

January 31, 2016

(Unaudited)

 

      Interest
Rate		        Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Securities–55.32%

              

U.S. Treasury Bills–24.62%(a)

              

U.S. Treasury Bills (b)

      0.24%           03/03/2016       $     38,390,000       $ 38,382,559   

U.S. Treasury Bills

      0.26%           03/10/2016         2,210,000         2,209,440   

U.S. Treasury Bills (b)

      0.25%           03/17/2016         18,770,000         18,764,719   

U.S. Treasury Bills

      0.47%           07/07/2016         8,400,000         8,387,175   

U.S. Treasury Bills (c)

      0.46%           07/14/2016         28,200,000         28,155,024   

U.S. Treasury Bills (b)

      0.33%           07/21/2016         11,760,000         11,737,930   

U.S. Treasury Bills (b)

      0.43%           07/28/2016         53,610,000         53,499,968   
                                    161,136,815   

U.S. Treasury Notes–30.70%

              

U.S. Treasury Floating Rate Notes (c)(d)

      0.37%           04/30/2016         74,190,000         74,192,668   

U.S. Treasury Floating Rate Notes (d)

      0.38%           07/31/2016         55,360,000         55,362,633   

U.S. Treasury Floating Rate Notes (d)

      0.58%           01/31/2018         71,290,000         71,341,348   
                                    200,896,649   

Total U.S. Treasury Securities (Cost $361,960,470)

                                   362,033,464   

Commodity-Linked Securities–2.95%

              

Barclays Bank PLC (United Kingdom), U.S. Federal Funds (Effective) Rate minus 0.06%
(linked to the Barclays Diversified Energy-Metals Total Return Index, multiplied by 3) (e)
(Cost $15,380,000)

    

        02/15/2017         15,380,000         19,273,843   
             Shares      

Exchange Traded Funds–2.55%

              

PowerShares DB Gold Fund (Cost $23,933,649) (f)

                          458,000         16,707,840   

Money Market Funds–33.41%

              

Liquid Assets Portfolio –Institutional Class, 0.38% (g)

                          95,072,316         95,072,316   

Premier Portfolio –Institutional Class, 0.34% (g)

                          95,072,317         95,072,317   

STIC (Global Series) PLC – U.S. Dollar Liquidity Portfolio (Ireland) –Institutional Class, 0.37% (g)

  

                 28,526,434         28,526,434   

Total Money Market Funds (Cost $218,671,067)

                                   218,671,067   

TOTAL INVESTMENTS–94.23% (Cost $619,945,186)

                                   616,686,214   

OTHER ASSETS LESS LIABILITIES–5.77%

                                   37,792,634   

NET ASSETS–100.00%

                                 $   654,478,848   

 

Open Futures Contracts  
Futures Contracts    Type of
Contract		          Number of
Contracts		      Expiration
Month		          Notional
Value		     Unrealized
Appreciation
(Depreciation)		  

Coffee C

    Long           181               March-2016         $ 7,897,256          $ (374,565 ) 

Corn

    Long           391               July-2016           7,458,325        (209,061 ) 

Cotton No. 2

    Long           745               March-2016           22,770,925        (770,973 ) 

LME Nickel

    Short           173               March-2016           (8,931,990 )      301,708   

LME Zinc

    Short           199               March-2016           (8,069,450 )      (344,567 ) 

Natural Gas

    Long           1,225               December–2016           8,397,375        (358,684 ) 

NYH RBOB Gasoline (Globex)

    Long           610               March-2016           29,009,526        2,209,505   

Soybean

    Long           1,005               July–2016           44,722,500        (328,673 ) 

Wheat

    Long           324               July-2016           7,946,100        (469,039 ) 

Total Futures Contracts—Commodity Risk

                                             $ (344,349 ) 

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Commodity Strategy Fund

Open Over-The-Counter Total Return Swap Agreements  
Swap Agreements    Type of
Contract		    Counterparty    Number of
Contracts		      Termination
Date		    Notional
Value		     Unrealized
Appreciation
(Depreciation)		  

Receive a return equal to the Barclays Brent Crude Roll Yield Excess Return Index and pay the product of (i) 0.35% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Barclays Bank PLC      86,800       March-2016      $16,137,283        $3,146,300   

Receive a return equal to the Barclays WTI Crude Roll Yield Excess Return Index and pay the product of (i) 0.35% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Barclays Bank PLC      70,100       March-2016      12,268,313        1,899,591   

Pay/Receive a return equal to the Barclays Live Cattle Roll Yield Excess Return Index and pay the product of (i) 0.47% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Short    Barclays Bank PLC      18,400       January-2017      (2,414,084 )      14,580   

Receive a return equal to the Optimum GSCI Heating Oil Roll Yield 9m Excess Return Index and pay the product of (i) 0.37% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Barclays Bank PLC      23,600       February-2016      3,582,858        483,144   

Receive a return equal to the CIBC Dynamic Roll LME Copper Excess Return Index 2 and pay the product of (i) 0.30% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Canadian Imperial Bank of Commerce      8,000       April-2016      445,405        17,939   

Receive a return equal to the Enhanced Strategy AB31 on the S&P GSCI Cotton Excess Return Index and pay the product of (i) 0.45% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Goldman Sachs International      217,000       October-2016      7,476,045        (36,504 ) 

Receive a return equal to the Enhanced Strategy Sugar A141 on the S&P GSCI Sugar Excess Return Index and pay the product of (i) 0.37% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Goldman Sachs International      139,300       March-2016      27,021,163        0   

Receive a return equal to the S&P GSCI Brent Crude 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Goldman Sachs International      16,900       June-2016      6,324,054        145,989   

Pay/Receive a return equal to the S&P GSCI Crude Oil 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Short    Goldman Sachs International      8,400       March-2016      (1,579,083 )      16,177   

Receive a return equal to the S&P GSCI Gasoil 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Goldman Sachs International      8,000       May-2016      2,397,465        0   

Pay/Receive a return equal to the S&P GSCI Unleaded Gasoline 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Short    Goldman Sachs International      7,150       May-2016      (4,729,482 )      198,736   

Pay/Receive a return equal to the S&P GSCI Heating Oil 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Short    Goldman Sachs International      15,300       May-2016      (2,451,612 )      0   

Receive a return equal to the S&P GSCI Soybean Meal Excess Return Index and pay the product of (i) 0.30% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Goldman Sachs International      45,350       September-2016      44,162,551        825,805   

Receive a return equal to the J.P. Morgan Contag Beta Gas Oil Excess Return Index and pay the product of (i) 0.25% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    JPMorgan Chase Bank, N.A.      1,600       April-2016      247,222        18,555   

Receive a return equal to the S&P GSCI Gold Index Excess Return and pay the product of (i) 0.09% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    JPMorgan Chase Bank, N.A.      521,500       October-2016      47,741,865        875,322   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Commodity Strategy Fund

Swap Agreements – (continued)    Type of
Contract		    Counterparty    Number of
Contracts		      Termination
Date		    Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Receive a return equal to the Macquarie Single Commodity Silver type A Excess Return Index and pay the product of (i) 0.16% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Macquarie Bank Ltd.      231,500       May-2016      $39,837,353         $ (30,743 ) 

Receive a return equal to the Modified Macquarie Single Commodity Sugar type A Excess Return Index and pay the product of (i) 0.34% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Macquarie Bank Ltd.      101,200       January-2017      18,236,625         (574,280 ) 

Receive a return equal to the Merrill Lynch Gold Excess Return Index and pay the product of (i) 0.14% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Merrill Lynch International      102,400       June-2016      14,961,172         0   

Receive a return equal to the MLCX Aluminum Annual Excess Return Index and pay the product of (i) 0.28% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Merrill Lynch International      571,000       September-2016      50,114,837         0   

Receive a return equal to the MLCX Dynamic Enhanced Copper Excess Return Index and pay the product of (i) 0.25% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Merrill Lynch International      133,950       May-2016      59,694,067         0   

Receive a return equal to the MS Soybean Oil Dynamic Roll Index and pay the product of (i) 0.30% of the Notional Amount multiplied by (ii) days in the period divided by 365.

    Long    Morgan Stanley Capital Services LLC      60,300       April-2016      8,531,335         251,083   

Total Swap Agreements– Commodity Risk

                                       $7,251,694   

Index Information:

 

Barclays Diversified Energy-Metals Total Return Index   —      a basket of indices that provide exposure to various components of the energy and metals markets. The underlying commodities comprising the indices are: Gold, Silver, Copper, Brent Crude Oil, WTI Crude Oil, Gasoil and Unleaded Gasoline.

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)  All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. See Note 1E and Note 3.

 

(c)  All or a portion of the value was designated as collateral for open swap agreements. See Note 1F and Note 3.

 

(d)  Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on January 31, 2016.

 

(e)  Security purchased or received in 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 value of this security at January 31, 2016 represented 2.95% of the Fund’s Net Assets.

 

(f)  Affiliated company during the period. The Investment Company Act of 1940 defines an “affiliated person” as an issuance in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the Investment Company Act of 1940) of that issuer. The value of this security as of January 31, 2016 represented 2.55% of the Fund’s Net Assets. See Note 4.

 

(g)  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 January 31, 2016.

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Commodity Strategy Fund

Notes to Quarterly Consolidated Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

Invesco Balanced-Risk Commodity Strategy Fund (the “Fund”) will seek to gain exposure to the commodity markets primarily through investments in Invesco Cayman Commodity Fund III Ltd. (the “Subsidiary”), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands. The Subsidiary was organized by the Fund to invest in commodity-linked derivatives and other securities that may provide leveraged and non-leveraged exposure to commodities. The Fund may invest up to 25% of its total assets in the Subsidiary.

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

 

Invesco Balanced-Risk Commodity Strategy Fund

A. Security Valuations – (continued)

 

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Consolidated Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Consolidated Statement of Operations and the Consolidated Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Consolidated Statement of Operations and the Consolidated Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Consolidated Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Structured Securities – The Fund may invest in structured securities. Structured securities are a type of derivative security whose value is determined by reference to changes in the value of underlying securities, currencies, interest rates, commodities, indices or other financial indicators (“reference instruments”). Most structured securities are fixed-income securities that have maturities of three years or less. Structured securities may be positively or negatively indexed (i.e., their principal value or interest rates may increase or decrease if the underlying reference instrument appreciates) and may have return characteristics similar to direct investments in the underlying reference instrument.

 

Invesco Balanced-Risk Commodity Strategy Fund

D. Structured Securities – (continued)

 

Structured securities may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference instruments. In addition to the credit risk of structured securities and the normal risks of price changes in response to changes in interest rates, the principal amount of structured notes or indexed securities may decrease as a result of changes in the value of the underlying reference instruments. Changes in the daily value of structured securities are recorded as unrealized gains (losses) in the Consolidated Statement of Operations. When the structured securities mature or are sold, the Fund recognizes a realized gain (loss) on the Consolidated Statement of Operations.

E. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties (“Counterparties”) to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Consolidated Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Consolidated Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Consolidated Statement of Assets and Liabilities.
F. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. Such transactions are agreements between Counterparties. These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, the Fund would receive payments based on any positive total return and would owe payments in the event of a negative total return. As the payer, the Fund would owe payments on any net positive total return, and would receive payment in the event of a negative total return.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Consolidated Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Consolidated Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Consolidated Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Consolidated Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates

 

Invesco Balanced-Risk Commodity Strategy Fund

F. Swap Agreements – (continued)

 

and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

G. Other Risks – The Fund will seek to gain exposure to commodity markets primarily through an investment in the Subsidiary and through investments in exchange traded funds and commodity-linked derivatives. The Subsidiary, unlike the Fund, may invest without limitation in commodities, commodity-linked derivatives and other securities, such as exchange traded notes, that may provide leveraged and non-leveraged exposure to commodity markets. The Fund is indirectly exposed to the risks associated with the Subsidiary’s investments.
H. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
I. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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  

Commodity-Linked Securities

    $ —       $ 19,273,843       $ —       $ 19,273,843   

Exchanged Traded Funds

      16,707,840         —         —         16,707,840   

U.S. Treasury Securities

      —         362,033,464         —         362,033,464   

Money Market Funds

      218,671,067         —         —         218,671,067   
       235,378,907         381,307,307         —         616,686,214   

Futures Contracts*

      (344,349)         —         —         (344,349)   

Swap Agreements*

      —         7,251,694         —         7,251,694   

Total

    $     235,034,558       $   388,559,001       $     —       $   623,593,559   

* Unrealized appreciation (depreciation).

 

Invesco Balanced-Risk Commodity Strategy Fund

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

     Value  
Risk Exposure/ Derivative Type    Assets        Liabilities  

Commodity risk:

    $ 2,511,213         $ (2,855,562 ) 

Futures contracts (a)

                    

Swap agreements

      7,893,221           (641,527 ) 

Total

    $ 10,404,434         $ (3,497,089 ) 

 

(a)  Includes cumulative appreciation (depreciation) of futures contracts.

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

     Location of Gain (Loss) on
Consolidated Statement of
Operations		  
      Futures
Contracts		      Swap
Agreements		  

Realized Gain (Loss):

      

Commodity Risk

    $ (10,303,951 )     $ (39,919,543 ) 

Change in Net Unrealized Appreciation:

      

Commodity Risk

      2,408,264         8,989,367   

Total

    $ (7,895,687 )     $ (30,930,176 ) 

The table below summarizes the average notional value of futures contracts and swap agreements outstanding during the period.

 

      Futures
Contracts		        Swap
Agreements		  

Average notional value

    $ 132,982,509         $ 355,926,556   

 

Invesco Balanced-Risk Commodity Strategy Fund

NOTE 4 — Investments in Other Affiliates

The Investment Company Act of 1940, as amended (the “1940 Act”), defines an “affiliated person” as an issuance in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the 1940 Act) of that issuer. The following is a summary of the investments in other affiliates for the three months ended January 31, 2016.

 

    

Value

10/31/15

         Purchases    
at Cost		     Proceeds
  from Sales  		     Change in
Unrealized
  Appreciation  		     Realized
  Gain (Loss)  		    

Value

  01/31/16  

       Dividend  
Income		  
PowerShares DB Gold Fund   $     20,009,000      $ —        $   (2,703,859)      $ 1,149,294      $ (1,746,595)      $   16,707,840      $ —     

NOTE 5 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $32,800,000 and $22,045,758, respectively. During the same period, purchases and sales of long-term U.S. Treasury obligations were $71,289,998 and $44,512,719, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 3,972,417   

Aggregate unrealized (depreciation) of investment securities

      (202,037)   

Net unrealized appreciation of investment securities

    $             3,770,380   

Cost of investments for tax purposes is $612,915,834.

   

 

Invesco Balanced-Risk Commodity Strategy Fund

 

 

Invesco Developing Markets Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

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  invesco.com/us   DVM-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–92.05%

  

Brazil–15.54%

  

   

Arcos Dorados Holdings, Inc. -Class A(a)

      5,024,709       $ 14,370,668   

Banco Bradesco S.A. -ADR

      3,402,286         15,548,447   

BM&FBOVESPA S.A.

      26,972,120         69,197,327   

BR Malls Participacoes S.A.

      9,696,600         28,780,416   

BRF S.A.

      1,277,040         15,400,990   

CETIP S.A. - Mercados Organizados

      4,354,486         41,637,214   

Cielo S.A.

      4,455,756         37,736,661   

Diagnosticos da America S.A.

      3,877,300         10,082,997   

Duratex S.A.

      10,561,244         13,996,448   

Fleury S.A.(b)

      8,702,000         31,768,654   

Totvs S.A.

      2,764,600         22,397,739   

Wilson Sons Ltd. -BDR

      962,600         6,867,118   
                307,784,679   

China–19.04%

      

Baidu, Inc. -ADR(a)

      226,964         37,056,412   

China Mobile Ltd.

      5,075,500         55,349,887   

CNOOC Ltd.

      15,142,000         15,292,955   

Golden Eagle Retail Group Ltd.

      10,343,000         11,378,423   

Industrial & Commercial Bank of China Ltd. -Class H

      141,791,000         74,364,976   

Kweichow Moutai Co., Ltd. -Class A

      1,151,061         35,259,474   

Lee & Man Paper Manufacturing Ltd.

      80,495,000         45,531,150   

NetEase, Inc. -ADR

      306,663         47,882,361   

Stella International Holdings Ltd.

      11,189,000         26,957,547   

Want Want China Holdings Ltd.

      42,669,000         28,131,069   
                377,204,254   

Egypt–0.29%

      

Egyptian Financial Group-Hermes Holding Co.(a)

      6,185,376         5,678,171   

France–1.11%

      

Bollore S.A.

      5,436,306         21,975,791   

Hong Kong–3.92%

      

Galaxy Entertainment Group Ltd.

      6,518,000         20,535,249   

WH Group Ltd. (a)(c)

      99,909,000         57,118,072   
                77,653,321   

Hungary–3.30%

      

Richter Gedeon Nyrt

      3,354,462         65,453,511   

Indonesia–5.94%

      

PT Bank Central Asia Tbk

      24,641,600         23,637,486   

PT Bank Mandiri Persero Tbk

      30,063,300         21,197,059   

PT Perusahaan Gas Negara Persero Tbk

      67,048,000         11,864,407   

PT Telekomunikasi Indonesia Persero Tbk

      248,402,100         60,915,197   
                117,614,149   
      Shares      Value  

Israel–3.42%

  

Israel Chemicals Ltd.

      5,210,384       $ 21,358,156   

Teva Pharmaceutical Industries Ltd. -ADR

      755,127         46,425,208   
                67,783,364   

Malaysia–2.52%

      

Public Bank Berhad

      11,209,800         49,840,260   

Mexico–8.21%

      

America Movil S.A.B. de C.V. - Class L -ADR

      1,145,257         16,193,934   

Fomento Economico Mexicano, S.A.B. de C.V. -ADR

      602,030         57,084,390   

Grupo Televisa S.A.B. -ADR

      2,208,805         58,489,156   

Kimberly-Clark de Mexico, S.A.B. de C.V. -Class A

      12,925,370         30,867,726   
                162,635,206   

Nigeria–1.40%

      

Zenith Bank PLC

      440,176,509         27,759,514   

Peru–1.12%

      

Credicorp Ltd.

      218,960         22,193,786   

Philippines–4.22%

      

Energy Development Corp.

      246,329,900         28,482,628   

Philippine Long Distance Telephone Co.

      434,810         20,319,933   

SM Prime Holdings Inc.

      78,138,700         34,883,299   
                83,685,860   

Poland–0.39%

      

Eurocash S.A.

      577,031         7,803,844   

Russia–6.79%

      

Gazprom PAO -ADR

      3,731,713         13,498,659   

Mobile TeleSystems PJSC -ADR

      1,836,494         12,855,458   

Sberbank PAO (a)

      35,218,144         45,035,977   

Sberbank PAO -Preference Shares(a)

      35,854,175         32,545,874   

Yandex N.V. -Class A(a)

      2,272,126         30,491,931   
                134,427,899   

South Korea–1.00%

      

Samsung Electronics Co., Ltd.

      20,445         19,732,086   

Taiwan–3.40%

      

Taiwan Semiconductor Manufacturing Co. Ltd.

      15,781,000         67,359,210   

Thailand–4.07%

      

Kasikornbank PCL

      16,868,700         80,659,803   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Developing Markets Fund

      Shares      Value  

Turkey–6.37%

  

Anadolu Efes Biracilik ve Malt Sanayii A.S.

      3,443,512       $ 21,381,731   

Eczacibasi Ilac Sanayi ve Ticaret A.S.

      12,359,196         12,653,306   

Haci Omer Sabanci Holding A.S.

      23,428,223         67,926,103   

Tupras-Turkiye Petrol Rafinerileri A.S. (a)

      950,357         24,173,877   
                126,135,017   

Total Common Stocks & Other Equity Interests
(Cost $2,157,040,990)

               1,823,379,725   
      Shares      Value  

Money Market Funds–6.53%

  

Liquid Assets Portfolio –Institutional Class, 0.38% (d)

      64,684,284       $ 64,684,284   

Premier Portfolio –Institutional Class, 0.34% (d)

      64,684,285         64,684,285   

Total Money Market Funds
(Cost $129,368,569)

               129,368,569   

TOTAL INVESTMENTS–98.58%
(Cost $2,286,409,559)

               1,952,748,294   

OTHER ASSETS LESS LIABILITIES–1.42%

  

      28,101,440   

NET ASSETS–100.00%

             $ 1,980,849,734   
 

 

Investment Abbreviations:

 

ADR

    —American Depositary Receipt

BDR

    —Brazilian Depositary Receipt

 

Notes to Schedule of Investments:

 

(a) Non-income producing security.

 

(b)  Affiliated company during the period. The Investment Company Act of 1940 defines an “affiliated person” as an issuance in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the Investment Company Act of 1940) of that issuer. The value of this security as of January 31, 2016 represented 1.60% of the Fund’s Net Assets. See Note 3.

 

(c)  Security purchased or received in 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 value of this security at January 31, 2016 represented 2.88% of the Fund’s Net Assets.

 

(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 January 31, 2016.

See accompanying notes which are an integral part of this schedule.

Invesco Developing Markets Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

Invesco Developing Markets Fund

A. Security Valuations – (continued)

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign

Invesco Developing Markets Fund

E. Forward Foreign Currency Contracts – (continued)

currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

NOTE 2 — 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 January 31, 2016. 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.

During the three months ended January 31, 2016, there were transfers from Level 1 to Level 2 of $288,914,348, due to foreign fair value adjustments.

Invesco Developing Markets Fund

      Level 1      Level 2      Level 3      Total  

Brazil

    $   307,784,679       $ —       $ —       $ 307,784,679   

China

      96,317,196         280,887,058         —         377,204,254   

Egypt

      5,678,171         —         —         5,678,171   

France

      —         21,975,791         —         21,975,791   

Hong Kong

      —         77,653,321         —         77,653,321   

Hungary

      —         65,453,511         —         65,453,511   

Indonesia

      —         117,614,149         —         117,614,149   

Israel

      46,425,208         21,358,156         —         67,783,364   

Malaysia

      —         49,840,260         —         49,840,260   

Mexico

      162,635,206         —         —         162,635,206   

Nigeria

      —         27,759,514         —         27,759,514   

Peru

      22,193,786         —         —         22,193,786   

Philippines

      —         83,685,860         —         83,685,860   

Poland

      —         7,803,844         —         7,803,844   

Russia

      43,347,389         91,080,510         —         134,427,899   

South Korea

      —         19,732,086         —         19,732,086   

Taiwan

      —         67,359,210         —         67,359,210   

Thailand

      —         80,659,803         —         80,659,803   

Turkey

      —         126,135,017         —         126,135,017   

United States

      129,368,569         —         —         129,368,569   

Total Investments

    $ 813,750,204       $   1,138,998,090       $ —       $   1,952,748,294   

NOTE 3 — Investments in Other Affiliates

The Investment Company Act of 1940, as amended (the “1940 Act”), defines an “affiliated person” as an issuance in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the 1940 Act) of that issuer. The following is a summary of the investments in other affiliates for the three months ended January 31, 2016.

 

     

Value

10/31/15

      Purchases at
Cost		      Proceeds from
Sales		      Change in
Unrealized
Appreciation
(Depreciation)		     Realized
Gain (Loss)		     

Value

01/31/16

      Dividend
Income		  

Fleury S.A.

    $     37,001,448       $     —       $     —       $     (5,232,794 )    $     —       $     31,768,654       $     —   

Invesco Developing Markets Fund

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $0 and $324,778,010, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 313,079,352   

Aggregate unrealized (depreciation) of investment securities

      (651,044,396 ) 

Net unrealized appreciation (depreciation) of investment securities

    $ (337,965,044 ) 

Cost of investments for tax purposes is $2,290,713,338.

   

NOTE 5 — Subsequent Event

As of the open of business on February 26, 2016, the Fund will open sales of its shares to certain investors.

Invesco Developing Markets Fund

  

 

Invesco Emerging Markets Equity Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

LOGO

 

   
  invesco.com/us    EME-QTR-1      01/16    Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–98.73%

  

Brazil–5.88%

      

BB Seguridade Participacoes S.A.

      64,200       $ 371,311   

Grendene S.A.

      94,800         361,734   

Multiplus S.A.

      32,400         256,821   

Raia Drogasil S.A.

      45,100         467,781   
         1,457,647   

China–20.47%

      

Baidu, Inc. -ADR(a)

      4,610         752,675   

Bank of China Ltd. -Class H

      1,337,000         529,190   

Industrial & Commercial Bank of China
Ltd. -Class H

      1,054,000         552,790   

Ping An Insurance (Group) Co. of
China Ltd. -Class H

      146,500         668,718   

Shenzhou International Group Holdings Ltd.

      119,000         639,075   

Tencent Holdings Ltd.

      75,100         1,418,758   

Zhuzhou CSR Times Electric Co., Ltd. -Class H

      99,500         513,613   
         5,074,819   

Hong Kong–4.49%

      

AIA Group Ltd.

      103,400         578,605   

Techtronic Industries Co. Ltd.

      141,500         535,659   
         1,114,264   

India–10.94%

      

Axis Bank Ltd.

      58,458         355,896   

Britannia Industries Ltd.

      7,631         304,203   

Eicher Motors Ltd.

      1,575         387,023   

Emami Ltd.

      28,457         424,161   

LIC Housing Finance Ltd.

      51,728         366,132   

Maruti Suzuki India Ltd.

      4,956         300,337   

Tata Consultancy Services Ltd.

      16,220         573,758   
         2,711,510   

Indonesia–5.80%

      

PT Bank Negara Indonesia (Persero) Tbk

      1,153,900         416,041   

PT Bank Rakyat Indonesia Persero Tbk

      764,300         630,894   

PT Matahari Department Store Tbk

      332,400         390,392   
         1,437,327   

Mexico–5.79%

      

Fomento Economico Mexicano, S.A.B. de C.V. -ADR

      6,797         644,492   

Grupo Financiero Inbursa, S.A.B. de C.V. -Class O

      270,900         437,427   

Wal-Mart de México, S.A.B. de C.V. -Class V

      141,200         354,655   
         1,436,574   

Peru–2.03%

      

Credicorp Ltd.

      3,448         349,489   

Intercorp Financial Services Inc.

      7,606         153,261   
         502,750   
      Shares      Value  

Russia–3.53%

      

Magnit PJSC -REGS -GDR(b)

      11,377       $ 446,508   

Sberbank PAO -ADR

      77,614         429,314   
         875,822   

South Africa–3.64%

      

Clicks Group Ltd.

      81,128         446,078   

Mr. Price Group Ltd.

      44,110         457,279   
         903,357   

South Korea–16.88%

      

AmorePacific Corp. (a)

      1,373         468,117   

AmorePacific Group (a)

      3,017         379,193   

BGF Retail Co., Ltd. (a)

      2,905         524,271   

CJ CGV Co., Ltd.

      4,277         483,003   

Hanssem Co., Ltd. (a)

      2,731         622,102   

KEPCO Plant Service & Engineering Co., Ltd. (a)

      7,034         587,619   

Medy-Tox Inc.

      864         374,486   

Ottogi Corp. (a)

      380         448,093   

Samsung Electronics Co., Ltd.

      310         299,190   
         4,186,074   

Taiwan–12.50%

      

King Slide Works Co., Ltd.

      48,000         627,289   

Largan Precision Co., Ltd.

      4,000         291,295   

President Chain Store Corp.

      124,000         821,932   

Taiwan Semiconductor Manufacturing Co. Ltd.

      318,000         1,357,343   
         3,097,859   

Thailand–5.31%

      

Delta Electronics (Thailand) PCL

      196,000         439,370   

Kasikornbank PCL

      94,700         452,820   

Thanachart Capital PCL

      400,300         425,336   
         1,317,526   

United States–1.47%

      

Market Vectors® Vietnam ETF

      26,100         364,356   

Total Common Stocks & Other Equity Interests
(Cost $26,044,171)

   

      24,479,885   

Money Market Funds–0.31%

      

Liquid Assets Portfolio –Institutional Class, 0.38% (c)

      37,739         37,739   

Premier Portfolio –Institutional Class, 0.34% (c)

      37,739         37,739   

Total Money Market Funds
(Cost $75,478)

   

      75,478   

TOTAL INVESTMENTS–99.04%
(Cost $26,119,649)

   

      24,555,363   

OTHER ASSETS LESS LIABILITIES–0.96%

  

      238,368   

NET ASSETS–100.00%

  

    $ 24,793,731   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Emerging Markets Equity Fund

Investment Abbreviations:

 

ADR —American Depositary Receipt
ETF —Exchange-Traded Fund
GDR —Global Depositary Receipt
REGS —Regulation S

Notes to Schedule of Investments:

 

(a)  Non-income producing security.

 

(b)  Security purchased or received in 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 value of this security at January 31, 2016 represented 1.80% of the Fund’s Net Assets.

 

(c)  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 January 31, 2016.

See accompanying notes which are an integral part of this schedule.

Invesco Emerging Markets Equity Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

Invesco Emerging Markets Equity Fund

A. Security Valuations – (continued)

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign

Invesco Emerging Markets Equity Fund

E. Forward Foreign Currency Contracts – (continued)

currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

NOTE 2 — 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 January 31, 2016. 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.

During the three months ended January 31, 2016, there were transfers from Level 1 to Level 2 of $2,336,014, due to foreign fair value adjustments.

Invesco Emerging Markets Equity Fund

      Level 1      Level 2      Level 3      Total  

Brazil

    $ 1,457,647       $ —       $ —       $ 1,457,647   

China

      752,675         4,322,144         —         5,074,819   

Hong Kong

      —         1,114,264         —         1,114,264   

India

      —         2,711,510         —         2,711,510   

Indonesia

      —         1,437,327         —         1,437,327   

Mexico

      1,436,574         —         —         1,436,574   

Peru

      502,750         —         —         502,750   

Russia

      —         875,822         —         875,822   

South Africa

      —         903,357         —         903,357   

South Korea

      448,093         3,737,981         —         4,186,074   

Taiwan

      —         3,097,859         —         3,097,859   

Thailand

      —         1,317,526         —         1,317,526   

United States

      439,834         —         —         439,834   

Total Investments

    $ 5,037,573       $ 19,517,790       $ —       $ 24,555,363   

NOTE 3 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $3,706,402 and $2,939,314, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis  

Aggregate unrealized appreciation of investment securities

    $ 1,855,584   

Aggregate unrealized (depreciation) of investment securities

      (3,449,468 ) 

Net unrealized appreciation (depreciation) of investment securities

    $ (1,593,884 ) 

Cost of investments for tax purposes is $26,149,247.

   

Invesco Emerging Markets Equity Fund

 

 

Invesco Emerging Markets Flexible Bond Fund

Effective February 26, 2016, after the close of the reporting period, Invesco Emerging Market Local Currency Debt Fund was renamed Invesco Emerging Markets Flexible Bond Fund.

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

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  invesco.com/us   EMFB-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

            Principal
Amount		      Value  

Non-U.S. Dollar Denominated Bonds & Notes–72.61%(a)

  

Brazil–5.69%

         

Banco Safra S.A.,
Sr. Unsec. Notes,
10.25%, 08/08/2016(b)

    BRL      956,000       $ 228,530   

REGS, Sr. Unsec. Euro Notes,

10.25%, 08/08/2016(b)

    BRL      680,000         162,552   

Brazil Letras do Tesouro Nacional, Unsec. Bonds, 0.00%, 07/01/2016(c)

    BRL      4,600,000         1,088,586   

Brazil Notas do Tesouro Nacional, Series F, Sr. Unsec. Notes, 10.00%, 01/01/2017

    BRL      4,000,000         976,819   
                     2,456,487   

Colombia–4.76%

         

Colombian Titulos De Tesoreria, Class B, Sr. Unsec. Bonds, 10.00%, 07/24/2024

    COP      478,200,000         157,705   

Unsec. Bonds,

7.75%, 09/18/2030

    COP      3,800,000,000         1,015,585   

Empresas Publicas de Medellin ESP, Sr. Unsec. Notes,
8.38%, 02/01/2021(b)

    COP      1,000,000,000         293,548   

REGS, Sr. Unsec. Euro Notes,

8.38%, 02/01/2021(b)

    COP      2,000,000,000         587,096   
                     2,053,934   

Hungary–4.10%

         

Hungary Government Bond,
Series 20/B,
Unsec. Bonds,
3.50%, 06/24/2020

    HUF      130,000,000         479,478   

Series 24/B, Unsec. Bonds,

3.00%, 06/26/2024

    HUF      130,000,000         451,176   

Series 25/B, Unsec. Bonds,

5.50%, 06/24/2025

    HUF      201,500,000         837,816   
                     1,768,470   

Indonesia–2.25%

         

Indonesia Treasury Bond, Series FR54, Sr. Unsec. Bonds, 9.50%, 07/15/2031

    IDR      12,700,000,000         969,092   

Malaysia–8.01%

         

Malaysia Government Bond, Series 0111, Sr. Unsec. Bonds, 4.16%, 07/15/2021

    MYR      5,100,000         1,261,424   

Series 0112, Sr. Unsec. Bonds,

3.42%, 08/15/2022

    MYR      2,000,000         475,182   

Series 0902, Sr. Unsec. Bonds,

4.38%, 11/29/2019

    MYR      6,900,000         1,721,673   
                     3,458,279   
            Principal
Amount		      Value  

Mexico–10.07%

         

America Movil S.A.B. de C.V.,
Sr. Unsec. Euro Notes,
7.13%, 12/09/2024

    MXN      27,500,000       $   1,477,782   

Mexican Bonos, Series M,
Sr. Unsec. Bonds,
7.75%, 11/13/2042

    MXN      47,000,000         2,866,634   
                     4,344,416   

Peru–1.22%

         

Peruvian Government International Bond, Sr. Unsec. Notes,
5.70%, 08/12/2024(b)

    PEN      300,000         77,855   

8.20%, 08/12/2026(b)

    PEN      1,496,000         449,973   
                     527,828   

Philippines–0.47%

         

Philippine Government International Bond, Sr. Unsec. Global Bonds, 3.90%, 11/26/2022

    PHP      10,000,000         202,804   

Poland–6.79%

         

Poland Government Bond,
Series 0421,
Unsec. Bonds,
2.00%, 04/25/2021

    PLN      10,000,000         2,412,065   

Series 1020,

Unsec. Bonds,

5.25%, 10/25/2020

    PLN      800,000         222,918   

Series 1021,

Unsec. Bonds,

5.75%, 10/25/2021

    PLN      1,015,000         292,829   
                     2,927,812   

Romania–2.10%

         

Romania Government Bond,
Series 5Y, Unsec. Bonds,
5.90%, 07/26/2017

    RON      1,700,000         434,325   

Series 10Y, Unsec. Bonds,

4.75%, 02/24/2025

    RON      1,800,000         472,105   
                     906,430   

Russia–4.03%

         

Russian Federal Bond – OFZ,
Series 5080, Unsec. Bonds,
7.40%, 04/19/2017

    RUB      11,500,000         148,671   

Series 6206, Unsec. Bonds,

7.40%, 06/14/2017

    RUB      37,000,000         475,705   

Series 6208, Unsec. Bonds,

7.50%, 02/27/2019

    RUB      40,000,000         496,403   

Series 6212, Unsec. Bonds,

7.05%, 01/19/2028

    RUB      47,916,000         511,555   

Series 6215, Unsec. Bonds,

7.00%, 08/16/2023

    RUB      9,615,000         107,919   
                     1,740,253   

 

 

 

See accompanying notes which are an integral part of this schedule.

Invesco Emerging Markets Flexible Bond Fund

            Principal
Amount		     Value  

South Africa–4.67%

        

South Africa Government Bond, Series R208, Sr. Unsec. Bonds, 6.75%, 03/31/2021

    ZAR      35,000,000      $ 2,014,519   

Supranational–3.94%

        

European Bank for Reconstruction & Development, Sr. Unsec. Medium-Term Euro Notes, 0.00%, 12/31/2018(c)

    ZAR      5,600,000        275,643   

European Investment Bank, REGS, Sr. Unsec. Medium-Term Euro Notes, 7.20%, 07/09/2019(b)

    IDR      3,080,000,000        209,426   

International Bank for Reconstruction & Development, Sr. Unsec. Medium-Term Euro Notes, 7.00%, 06/07/2023

    ZAR      17,000,000        948,181   

Series GDIF,

Sr. Unsec. Medium-Term Euro

Notes, 7.68%, 08/10/2016

    ZAR      4,250,000        266,683   
                    1,699,933   

Thailand–4.72%

        

Thailand Government Bond, Sr. Unsec. Bonds,
3.65%, 12/17/2021

    THB      43,600,000        1,335,454   

3.88%, 06/13/2019

    THB      23,290,000        701,837   
                    2,037,291   

Turkey–9.79%

        

Turkey Government Bond,
Unsec. Bonds,
7.10%, 03/08/2023

    TRY      2,030,000        570,090   

8.00%, 03/12/2025

    TRY      1,010,000        292,355   

8.20%, 11/16/2016

    TRY      4,850,000        1,614,096   

8.50%, 07/10/2019

    TRY      499,989        159,445   

8.80%, 09/27/2023

    TRY      1,079,000        332,042   

9.00%, 07/24/2024

    TRY      1,250,000        389,739   

Series 5Y, Unsec. Bonds,

6.30%, 02/14/2018

    TRY      1,637,811        512,595   

Series CPI, Unsec. Bonds,

4.00%, 04/01/2020

    TRY      997,931 (d)      355,396   
                    4,225,758   

Total Non-U.S. Dollar Denominated Bonds & Notes (Cost $38,687,252)

              31,333,306   

Credit-Linked Securities –14.37%

  

  

Germany–2.97%

        

Deutsche Bank A.G., Sr. Unsec. Medium-Term Euro Notes, 8.38%, 03/17/2034 (Credit-Linked to Indonesia Government Bonds, 8.38%, 03/15/2034)
(Cost $1,351,353) (b)

    IDR      18,300,000,000        1,281,704   
            Principal
Amount		      Value  

United Kingdom–10.76%

         

Standard Chartered Bank, Sr. Unsec. Medium-Term Euro Notes, 7.80%, 05/05/2020 (Credit-Linked to India Government Bonds, 7.80%, 05/03/2020) (Cost $539,541)

    INR      33,600,000       $ 499,122   

Standard Chartered Bank, Sr. Unsec. Medium-Term Euro Notes, 8.12%, 12/14/2020 (Credit-Linked to India Government Bonds, 8.12%, 12/10/2020) (Cost $666,527)

    INR      40,000,000         602,698   

Standard Chartered Bank, Sr. Unsec. Medium-Term Euro Notes, 8.28%, 09/23/2027 (Credit-Linked to India Government Bonds, 8.28%, 09/21/2027) (Cost $929,768)

    INR      58,000,000         876,761   

Standard Chartered Bank, Sr. Unsec. Medium-Term Euro Notes, 8.38%, 03/17/2034 (Credit-Linked to Indonesia Government Bonds, 8.38%, 03/15/2034)
(Cost $1,421,856)

    IDR      16,304,000,000         1,141,907   

Standard Chartered Bank, Sr. Unsec. Medium-Term Euro Notes, 8.40%, 07/30/2024 (Credit-Linked to India Government Bonds, 8.40%, 07/28/2024)
(Cost $1,644,974) (b)

    INR      100,000,000         1,525,869   
                     4,646,357   

United States–0.64%

         

JP Morgan Chase Bank N.A., Unsec. Medium-Term Euro Notes, 8.25%, 06/17/2032 (Credit-Linked to Indonesia Government Bonds, 8.25%, 06/15/2032)
(Cost $493,949) (b)

    IDR      4,000,000,000         274,912   

Total Credit-Linked Securities
(Cost $7,047,968)

               6,202,973   

U.S. Dollar Denominated Bonds and Notes–3.80%

  

Argentina–1.12%

         

Argentina Bonar Bonds,
Series X, Sr. Unsec. Bonds,
7.00%, 04/17/2017

         $ 470,000         484,335   

Colombia–1.36%

         

SUAM Finance B.V., REGS, Sr. Unsec. Gtd. Euro Notes,
4.88%, 04/17/2024(b)

           600,000         588,000   

Peru–1.32%

         

Peruvian Government International Bond, Sr. Unsec. Global Bonds,
4.13%, 08/25/2027

           574,000         566,489   

Total U.S. Dollar Denominated Bonds and Notes
(Cost $1,636,871)

               1,638,824   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Emerging Markets Flexible Bond Fund

 

      Shares      Value  

Money Market Funds–3.75%

      

Liquid Assets Portfolio –Institutional
Class, 0.38% (e)

      808,584       $ 808,584   

Premier Portfolio –Institutional
Class, 0.34% (e)

      808,583         808,583   

Total Money Market Funds
(Cost $1,617,167)

               1,617,167   

TOTAL INVESTMENTS–94.53%
(Cost $48,989,258)

               40,792,270   

OTHER ASSETS LESS LIABILITIES–5.47%

  

      2,361,097   

NET ASSETS–100.00%

             $  43,153,367   
 

Investment Abbreviations:

 

BRL    —    Brazilian Real    PHP    —    Philippines Peso
COP    —    Colombian Peso    PLN    —    Poland Zloty
CPI.    —    Consumer Price Index    REGS    —    Regulation S
Gtd.    —    Guaranteed    RON    —    Romanian Leu
HUF    —    Hungary Forint    RUB    —    Russian Rouble
IDR    —    Indonesian Rupiah    Sr.    —    Senior
INR    —    Indian Rupee    THB    —    Thailand Baht
MXN    —    Mexican Peso    TRY    —    New Turkish Lire
MYR    —    Malaysian Ringgit    Unsec.    —    Unsecured
PEN    —    Peru Nuevo Sol    ZAR    —    South African Rand

Notes to Schedule of Investments:

 

(a)  Foreign denominated security. Principal amount is denominated in the currency indicated.
(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 January 31, 2016 was $5,679,465, which represented 13.16% of the Fund’s Net Assets.
(c)  Zero coupon bond issued at a discount.
(d)  Principal amount of security and interest payments are adjusted for inflation. See Note 1E.
(e)  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 January 31, 2016.

 

See accompanying notes which are an integral part of this schedule.

Invesco Emerging Markets Flexible Bond Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

 

Invesco Emerging Markets Flexible Bond Fund

A. Security Valuations – (continued)

 

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Structured Securities – The Fund may invest in structured securities. Structured securities are a type of derivative security whose value is determined by reference to changes in the value of underlying securities, currencies, interest rates, commodities, indices or other financial indicators (“reference instruments”). Most structured securities are fixed-income securities that have maturities of three years or less. Structured securities may be positively or negatively indexed (i.e., their principal value or interest rates may increase or decrease if the underlying reference instrument appreciates) and may have return characteristics similar to direct investments in the underlying reference instrument. Structured securities may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference instruments. In addition to the credit risk of structured securities and the normal risks of price changes in response to changes in interest rates, the principal amount of structured notes or indexed securities may decrease as a result of changes in the value of the underlying reference instruments. Changes in the daily value of structured securities are recorded as unrealized gains (losses) in the Statement of Operations. When the structured securities mature or are sold, the Fund recognizes a realized gain (loss) on the Statement of Operations.
E. Treasury Inflation-Protected Securities - The Fund may invest in Treasury Inflation-Protected Securities (“TIPS”). TIPS are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The principal value of TIPS will be adjusted upward or downward, and any increase or decrease in the principal amount of TIPS will be included as interest income in the Statement of Operations, even though investors do not receive their principal until maturity.
F. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding)

 

Invesco Emerging Markets Flexible Bond Fund

F. Foreign Currency Translations – (continued)

 

are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

G. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

H. Other Risks – The Fund is non-diversified and may invest in securities of fewer issuers than if it were diversified. Thus, the value of the Fund’s shares may vary more widely and the Fund may be subject to greater market and credit risk than if the Fund invested more broadly.

NOTE 2 — 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 January 31, 2016. 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.

 

Invesco Emerging Markets Flexible Bond Fund

      Level 1      Level 2      Level 3      Total  

Money Market Funds

    $ 1,617,167       $ —       $ —       $ 1,617,167   

Credit-Linked Securities

      —         6,202,973         —         6,202,973   

Corporate Debt Securities

      —         588,000         —         588,000   

Foreign Debt Securities

      —         4,449,441         —         4,449,441   

Foreign Sovereign Debt Securities

      —         27,934,689         —         27,934,689   
           1,617,167         39,175,103         —         40,792,270   

Forward Foreign Currency Contracts*

      —         66,128         —         66,128   

Total Investments

    $ 1,617,167       $     39,241,231       $     —       $     40,858,398   

* Unrealized appreciation.

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

Risk Exposure/ Derivative Type   Value
  Assets   Liabilities

Currency risk:

    

Forward foreign currency contracts

   $265,400   $(199,272)

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

     Location of Gain
(Loss) on Statement
of Operations
  Forward Foreign
Currency Contracts

Realized Gain (Loss) :

  

Currency risk

  

$ (453,128)

Change in Net Unrealized Appreciation:

  

Currency risk

  

       3,613

Total

  

$ (449,515)

The table below summarizes the average notional value of forward foreign currency contracts outstanding during the period.

 

     Forward Foreign
Currency Contracts

Average notional value

   $27,589,086

 

Invesco Emerging Markets Flexible Bond Fund

Open Forward Foreign Currency Contracts  

Settlement

Date

        

Contract to

     

Notional

Value

     

Unrealized

Appreciation

(Depreciation)

  
   Counterparty    Deliver      Receive        

02/02/16

    Goldman Sachs International    BRL      5,922,000       USD      1,466,677       $ 1,479,083       $ (12,406 ) 

02/02/16

    Goldman Sachs International    USD      1,546,756       BRL      5,922,000           1,479,082         (67,674 ) 

02/19/16

    Goldman Sachs International    CNY      4,500,000       USD      685,976         682,199         3,777   

02/19/16

    Goldman Sachs International    USD      694,230       CNY      4,500,000         682,199         (12,031 ) 

03/02/16

    Goldman Sachs International    USD      1,454,894       BRL      5,922,000         1,466,538         11,644   

04/29/16

    Deutsche Bank Securities Inc.    KRW      2,100,000,000       USD      1,747,279         1,733,735         13,544   

04/29/16

    Goldman Sachs International    MYR      5,600,000       USD      1,307,128         1,349,531         (42,403 ) 

04/29/16

    Goldman Sachs International    PLN      3,560,000       USD      861,387         871,429         (10,042 ) 

04/29/16

    Goldman Sachs International    RON      3,800,000       USD      909,731         904,231         5,500   

04/29/16

    Goldman Sachs International    TRY      300,000       USD      96,880         98,930         (2,050 ) 

04/29/16

    Goldman Sachs International    USD      383,718       COP      1,300,000,000         391,275         7,557   

04/29/16

    Goldman Sachs International    USD      706,782       HUF      203,000,000         705,607         (1,175 ) 

04/29/16

    Goldman Sachs International    USD      183,395       IDR      2,600,000,000         186,529         3,134   

04/29/16

    Goldman Sachs International    USD      364,113       INR      25,000,000         363,251         (862 ) 

04/29/16

    Goldman Sachs International    USD      1,200,900       MXN      22,400,168         1,227,954         27,054   

04/29/16

    Goldman Sachs International    USD      1,818,711       PLN      7,500,000         1,835,875         17,164   

04/29/16

    Goldman Sachs International    USD      1,066,216       RUB      87,000,000         1,124,129         57,913   

04/29/16

    Goldman Sachs International    USD      429,346       THB      15,500,000         432,642         3,296   

04/29/16

    Goldman Sachs International    USD      990,737       ZAR      16,000,000         989,670         (1,067 ) 

09/02/16

    Deutsche Bank Securities Inc.    CNY      10,200,000       USD      1,537,302         1,501,954         35,348   

09/02/16

    Goldman Sachs International    USD      1,551,516       CNY      10,200,000         1,501,954         (49,562 ) 

11/21/16

    Goldman Sachs International    CNY      15,000,000       USD      2,270,264         2,190,795         79,469   

Total Forward Foreign Currency Contracts—Currency Risk

  

                           $   66,128   

Currency Abbreviations:

 

BRL – Brazilian Real

    CNY – Chinese Yuan Renminbi      COP – Colombian Peso   HUF – Hungarian Forint    IDR – Indonesian Rupiah

INR – Indian Rupee

    KRW – South Korean Won      MXN – Mexican Peso   MYR – Malaysian Ringgit    PLN – Poland Zloty

RON – Romanian Leu

    RUB – Russian Ruble      THB – Thai Baht   TRY – Turkish Lira    USD – U.S. Dollar

ZAR – South African Rand

             

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $9,369,178 and $12,299,400, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 159,512    

Aggregate unrealized (depreciation) of investment securities

      (8,628,821)   

Net unrealized appreciation (depreciation) of investment securities

    $     (8,469,309)   

Cost of investments for tax purposes is $49,261,579.

   

 

Invesco Emerging Markets Flexible Bond Fund

NOTE 5 — Significant Event

Effective December 4, 2015, the Board of Trustees recently approved changes to the Fund’s investment strategies to reposition the Fund as an unconstrained emerging markets debt securities fund, including the Fund’s name change to Invesco Emerging Markets Flexible Bond Fund. The Fund will have expanded investment derivative capabilities primarily through its investment in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands. These changes are scheduled to take effect on or about February 26, 2016.

 

Invesco Emerging Markets Flexible Bond Fund

 

 

Invesco Endeavor Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

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  invesco.com/us   END-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments(a)

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–89.20%

  

Agricultural & Farm Machinery–2.94%

  

   

Deere & Co.

      121,955       $ 9,391,755   

Air Freight & Logistics–3.61%

      

Echo Global Logistics, Inc. (b)

      523,511           11,522,477   

Airlines–2.67%

      

Ryanair Holdings PLC -ADR (Ireland)

      108,903         8,532,550   

Apparel Retail–5.02%

      

Francesca’s Holdings Corp. (b)

      285,573         5,205,996   

Ross Stores, Inc.

      192,554         10,833,088   
         16,039,084   

Asset Management & Custody Banks–6.50%

  

   

Affiliated Managers Group, Inc. (b)

      52,381         7,029,006   

Oaktree Capital Group LLC

      313,522         13,719,723   
         20,748,729   

Automotive Retail–2.27%

      

CarMax, Inc. (b)

      163,762         7,235,005   

Communications Equipment–3.13%

  

   

Plantronics, Inc.

      223,115         10,002,246   

Construction & Engineering–5.80%

      

Orion Marine Group, Inc. (b)(c)

      2,967,817         10,713,819   

Quanta Services, Inc. (b)

      416,722         7,792,702   
         18,506,521   

Consumer Finance–5.35%

      

Encore Capital Group, Inc. (b)

      744,632         17,066,966   

Education Services–3.06%

      

Capella Education Co.

      222,285         9,760,534   

Health Care Distributors–2.07%

      

Patterson Cos. Inc.

      155,922         6,620,448   

Health Care Equipment–4.32%

      

Zimmer Biomet Holdings, Inc.

      139,130         13,810,044   

Home Entertainment Software–1.41%

  

   

Activision Blizzard, Inc.

      129,282         4,501,599   

Industrial Conglomerates–2.81%

      

DCC PLC (United Kingdom)

      115,914         8,980,799   

Integrated Oil & Gas–3.02%

      

Cenovus Energy Inc. (Canada)

      781,807         9,632,715   

IT Consulting & Other Services–3.86%

  

   

Cognizant Technology Solutions Corp. -Class A (b)

      194,619         12,321,329   
     Shares     Value  

Life & Health Insurance–3.21%

    

Unum Group

     357,374      $ 10,235,191   

Managed Health Care–3.19%

    

UnitedHealth Group Inc.

     88,556        10,198,109   

Multi-Line Insurance–2.00%

    

Vienna Insurance Group AG Wiener Versicherung Gruppe (Austria)

     258,042        6,377,131   

Oil & Gas Equipment & Services–0.82%

  

  

Newalta Corp. (Canada)

     1,294,156        2,605,218   

Oil & Gas Exploration & Production–3.28%

  

  

Devon Energy Corp.

     241,342        6,733,442   

Ultra Petroleum Corp. (b)

     1,653,175        3,736,175   
        10,469,617   

Real Estate Operating Companies–5.77%

  

  

Brookfield Property Partners L.P.

     883,377        18,427,244   

Research & Consulting Services–3.18%

  

  

FTI Consulting, Inc. (b)

     299,260        10,141,921   

Semiconductor Equipment–2.34%

  

  

Ultratech, Inc. (b)

     370,318        7,469,314   

Technology Distributors–2.11%

    

CDW Corp.

     175,525        6,748,936   

Trading Companies & Distributors–5.46%

  

  

Grafton Group PLC (United Kingdom) (d)

     800,726        8,057,719   

Titan Machinery, Inc. (b)(c)

     1,105,638        9,386,867   
              17,444,586   

Total Common Stocks & Other Equity Interests
(Cost $314,691,806)

   

     284,790,068   

Money Market Funds–10.47%

    

Liquid Assets Portfolio –Institutional Class, 0.38% (e)

     16,712,458        16,712,458   

Premier Portfolio –Institutional
Class, 0.34% (e)

     16,712,459        16,712,459   

Total Money Market Funds
(Cost $33,424,917)

             33,424,917   

TOTAL INVESTMENTS–99.67%
(Cost $348,116,723)

   

     318,214,985   

OTHER ASSETS LESS LIABILITIES–0.33%

  

     1,062,206   

NET ASSETS–100.00%

           $   319,277,191   

Investment Abbreviations:

 

ADR

       —American Depositary Receipt
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Endeavor Fund

Notes to Schedule of Investments:

 

(a) Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.
(b) Non-income producing security.
(c) Affiliated company during the period. The Investment Company Act of 1940 defines an “affiliated person” as an issuance in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the Investment Company Act of 1940) of that issuer. The aggregate value of these securities as of January 31, 2016 was $20,100,686, which represented 6.30% of the Fund’s Net Assets. See Note 3.
(d) Each unit represents one ordinary share, seventeen Class A shares and one Class C share.
(e) 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 January 31, 2016.

 

See accompanying notes which are an integral part of this schedule.

Invesco Endeavor Fund

    

 

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

 

Invesco Endeavor Fund

A. Security Valuations – (continued)

 

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign

 

Invesco Endeavor Fund

E. Forward Foreign Currency Contracts – (continued)

 

currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

NOTE 2 — 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 January 31, 2016. 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  

Equity Securities

    $     294,799,336       $     23,415,649       $             —       $     318,214,985   

NOTE 3 — Investments in Other Affiliates

The Investment Company Act of 1940, as amended (the “1940 Act”), defines an “affiliated person” as an issuance in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the 1940 Act) of that issuer. The following is a summary of the investments in other affiliates for the three months ended January 31, 2016.

 

     Value
10/31/15		     Purchases
at Cost		     Proceeds
from Sales		     Change in
Unrealized
Appreciation
(Depreciation)		     Realized
Gain
(Loss)		    

Value

01/31/16

     Interest/
Dividend
Income		  

Orion Marine Group, Inc.

   $ 10,999,464      $ 604,141      $ —      $ (889,786 )    $ —      $ 10,713,819      $ —   

Titan Machinery, Inc.

     12,224,154        1,001,624        —        (3,838,911 )      —        9,386,867        —   

Total

   $     23,223,618      $     1,605,765      $ —      $     (4,728,697 )    $ —      $     20,100,686      $ —   

 

Invesco Endeavor Fund

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $31,056,025 and $44,064,104, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 63,985,947   

Aggregate unrealized (depreciation) of investment securities

          (94,130,795)   

Net unrealized appreciation (depreciation) of investment securities

    $ (30,144,848)   

Cost of investments for tax purposes is $348,359,833.

   

 

Invesco Endeavor Fund

 

 

 

Invesco Global Health Care Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

  

 

 

 

 

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invesco.com/us

   GHC-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments(a)

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–98.29%

  

Biotechnology–28.56%

      

AbbVie Inc.

      863,687       $ 47,416,416   

ACADIA Pharmaceuticals Inc. (b)

      322,242         6,667,187   

Alder Biopharmaceuticals, Inc. (b)

      378,389         9,149,446   

Alexion Pharmaceuticals, Inc. (b)

      147,641         21,545,251   

AMAG Pharmaceuticals, Inc. (b)

      206,470         4,730,228   

Amgen Inc.

      289,502         44,215,640   

Atara Biotherapeutics Inc. (b)

      73,921         1,337,970   

Biogen Inc. (b)

      259,318         70,809,373   

BioMarin Pharmaceutical Inc. (b)

      347,028         25,687,013   

Bluebird Bio, Inc. (b)

      149,755         6,193,867   

Celgene Corp. (b)

      450,131         45,157,142   

DBV Technologies S.A. -ADR (France) (b)

      525,061         13,646,335   

Evolutionary Genomics, Inc. (b)(c)

      9,944         19,888   

Flexion Therapeutics, Inc. (b)

      270,244         4,183,377   

Gilead Sciences, Inc.

      275,056         22,829,648   

Heron Therapeutics, Inc. (b)

      604,076         12,679,555   

Incyte Corp. (b)

      324,884         22,923,815   

Medivation Inc. (b)

      453,814         14,839,718   

Neurocrine Biosciences, Inc. (b)

      179,752         7,648,448   

Prothena Corp. PLC (Ireland) (b)

      174,016         6,777,923   

REGENXBIO Inc. (b)

      201,684         2,803,408   

Sarepta Therapeutics, Inc. (b)

      236,989         2,815,429   

Spark Therapeutics, Inc. (b)

      234,287         6,599,865   

Synergy Pharmaceuticals, Inc. (b)

      1,432,859         5,373,221   

United Therapeutics Corp. (b)

      71,093         8,757,236   

Vanda Pharmaceuticals Inc. (b)

      217,399         1,854,413   

Vertex Pharmaceuticals Inc. (b)

      368,457         33,437,473   
                450,099,285   

Drug Retail–0.62%

      

Raia Drogasil S.A. (Brazil)

      945,978         9,811,754   

Health Care Distributors–2.07%

      

Cardinal Health, Inc.

      226,456         18,426,725   

McKesson Corp.

      88,248         14,206,163   
                32,632,888   

Health Care Equipment–4.28%

      

Olympus Corp. (Japan)

      717,200         27,944,296   

ResMed Inc.

      294,631         16,705,578   

Wright Medical Group N.V. (b)

      1,140,738         22,757,723   
                67,407,597   

Health Care Facilities–4.02%

      

Brookdale Senior Living Inc. (b)

      723,058         11,771,384   

HCA Holdings, Inc. (b)

      412,007         28,667,447   

Tenet Healthcare Corp. (b)

      147,173         3,991,332   
      Shares      Value  

Health Care Facilities–(continued)

  

Universal Health Services, Inc. -Class B

      167,720       $   18,891,981   
                63,322,144   

Health Care Services–2.45%

      

Air Methods Corp. (b)

      309,568         12,054,578   

Express Scripts Holding Co. (b)

      364,270         26,180,085   

InnovaCare Inc. (b)(d)

      805,748         322,299   
                38,556,962   

Life Sciences Tools & Services–4.62%

  

Agilent Technologies, Inc.

      292,823         11,024,786   

Thermo Fisher Scientific, Inc.

      468,298         61,843,434   
                72,868,220   

Managed Health Care–4.47%

      

Aetna Inc.

      319,666         32,554,785   

Qualicorp S.A. (Brazil)

      674,900         2,276,556   

UnitedHealth Group Inc.

      308,879         35,570,506   
                70,401,847   

Pharmaceuticals–47.20%

      

Agile Therapeutics, Inc. (b)

      453,601         2,766,966   

Akorn, Inc. (b)

      343,364         8,924,030   

Allergan PLC (b)

      215,313         61,241,477   

AstraZeneca PLC -ADR (United Kingdom)

      865,164         27,875,584   

Bayer AG (Germany)

      212,721         23,863,502   

Bristol-Myers Squibb Co.

      755,180         46,941,989   

Cempra, Inc. (b)

      281,479         4,849,883   

Dermira, Inc. (b)

      368,109         10,307,052   

Eli Lilly and Co.

      477,760         37,790,816   

Endo International PLC (b)

      461,956         25,624,699   

GlaxoSmithKline PLC –ADR (United Kingdom)

      483,354         19,957,687   

Hikma Pharmaceuticals PLC (Jordan)

      401,579         11,593,549   

Jazz Pharmaceuticals PLC (b)

      172,512         22,209,195   

Johnson & Johnson

      267,322         27,919,110   

Lipocine Inc. (b)

      722,936         6,549,800   

Locus Pharmaceuticals, Inc. (Acquired 11/21/2000-05/09/2007;
Cost $6,852,940) (b)(d)(e)

      258,824         0   

Medicines Co. (The) (b)

      254,716         8,802,985   

Merck & Co., Inc.

      1,355,587         68,687,593   

Mylan N.V. (b)

      447,005         23,552,694   

Nippon Shinyaku Co., Ltd. (Japan)

      568,000         19,771,396   

Novartis AG -ADR (Switzerland)

      496,245         38,692,223   

Pfizer Inc.

      912,864         27,833,223   

Roche Holding AG (Switzerland)

      277,079         72,085,096   

Sanofi -ADR (France)

      921,663         38,378,047   

Shire PLC -ADR (Ireland)

      369,410         62,171,703   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Global Health Care Fund

     Shares     Value  

Pharmaceuticals–(continued)

    

Supernus Pharmaceuticals Inc. (b)

     795,389      $ 9,019,711   

Teva Pharmaceutical Industries Ltd. -ADR (Israel)

     510,192        31,366,604   

Zogenix, Inc. (b)

     547,363        5,189,001   
        743,965,615   

Total Common Stocks & Other Equity Interests
(Cost $1,254,263,176)

   

     1,549,066,312   

Preferred Stock–0.00%

    

Health Care Equipment–0.00%

  

  

Intact Medical Corp. -Series C, Pfd.
(Acquired 03/26/2001;
Cost $2,000,001) (d)(e)

     2,439,026        0   
     Shares     Value  

Money Market Funds–2.19%

  

Liquid Assets Portfolio –Institutional Class, 0.38% (f)

     17,256,199      $ 17,256,199   

Premier Portfolio –Institutional Class, 0.34% (f)

     17,256,199        17,256,199   

Total Money Market Funds
(Cost $34,512,398)

   

     34,512,398   

TOTAL INVESTMENTS–100.48%
(Cost $1,290,775,575)

   

     1,583,578,710   

OTHER ASSETS LESS LIABILITIES–(0.48)%

  

     (7,509,480 ) 

NET ASSETS–100.00%

  

   $  1,576,069,230   
 

 

Investment Abbreviations:

 

ADR

    —American Depositary Receipt

Pfd.

    —Preferred

Notes to Schedule of Investments:

 

(a)  Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.
(b)  Non-income producing security.
(c)  Affiliated company during the period. The Investment Company Act of 1940 defines an “affiliated person” as an issuance in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the Investment Company Act of 1940) of that issuer. The value of this security as of January 31, 2016 represented less than 1% of the Fund’s Net Assets. See Note 3.
(d)  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 January 31, 2016 was $322,299, which represented less than 1% of the Fund’s Net Assets.
(e)  Security is considered venture capital. See Note 1F.
(f)  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 January 31, 2016.

 

See accompanying notes which are an integral part of this schedule.

Invesco Global Health Care Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

 

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

 

Invesco Global Health Care Fund

A. Security Valuations – (continued)

 

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign

 

Invesco Global Health Care Fund

E. Forward Foreign Currency Contracts – (continued)

 

currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

F. Other Risks - The Fund’s performance is vulnerable to factors affecting the health care industry, including government regulation, obsolescence caused by scientific advances and technological innovations.

The Fund has invested in non-publicly traded companies, some of which are in the startup or development stages. These investments are inherently risky, as the market for the technologies or products these companies are developing are typically in the early stages and may never materialize. The Fund could lose its entire investment in these companies. These investments are valued at fair value as determined in good faith in accordance with procedures approved by the Board of Trustees. Investments in privately held venture capital securities are illiquid.

NOTE 2 — 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 January 31, 2016. 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  

Equity Securities

    $   1,427,978,684       $   155,257,839       $   342,187       $   1,583,578,710   

 

Invesco Global Health Care Fund

NOTE 3 — Investments in Other Affiliates

The Investment Company Act of 1940, as amended (the “1940 Act”), defines an “affiliated person” as an issuance in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the 1940 Act) of that issuer. The following is a summary of the investments in other affiliates for the three months ended January 31, 2016.

 

    

Value

10/31/15

     Purchases
at Cost		     Proceeds
from Sales		     Change in
Unrealized
Appreciation
(Depreciation)		     Realized
Gain		    

Value

01/31/16

     Dividend
Income		  

Evolutionary Genomics, Inc.

   $     29,060      $ —      $ —      $ (9,172 )    $ —      $     19,888      $ —   

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $68,805,396 and $137,959,505, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 413,425,666   

Aggregate unrealized (depreciation) of investment securities

      (120,626,933)   

Net unrealized appreciation of investment securities

    $    292,798,733   

Cost of investments for tax purposes is $1,290,779,977.

   

 

Invesco Global Health Care Fund

 

 

Invesco Global Infrastructure Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

  LOGO    
  invesco.com/us   GBLI-QTR-1       01/16   Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–97.70%

  

Australia–5.57%

      

APA Group

      20,843       $ 126,154   

AusNet Services

      35,746         37,321   

Macquarie Atlas Roads Group

      12,518         38,065   

Transurban Group

      27,153         208,034   
                409,574   

Canada–11.00%

      

Enbridge Inc.

      13,840         480,747   

TransCanada Corp.

      9,455         328,362   
                809,109   

China–2.20%

      

Beijing Capital International Airport Co.
Ltd. -Class H

      66,000         60,016   

Beijing Enterprises Holdings Ltd.

      3,000         15,041   

Beijing Enterprises Water Group Ltd.

      44,000         21,947   

China Resources Gas Group Ltd.

      11,335         28,316   

Zhejiang Expressway Co., Ltd. -Class H

      42,000         36,370   
                161,690   

France–4.29%

      

Eiffage S.A.

      1,239         85,487   

Eutelsat Communications S.A.

      2,204         71,597   

Groupe Eurotunnel SE - REGS (a)

      7,919         91,423   

Vinci S.A.

      987         66,937   
                315,444   

Hong Kong–1.69%

      

Hong Kong & China Gas Co. Ltd.

      71,200         124,394   

Italy–7.43%

      

Atlantia S.p.A.

      11,719         306,195   

Snam S.p.A.

      42,900         240,384   
                546,579   

Japan–1.86%

      

Japan Airport Terminal Co., Ltd.

      1,800         71,982   

West Japan Railway Co.

      1,000         64,762   
                136,744   

Mexico–0.59%

      

Grupo Aeroportuario del Sureste S.A.B. de
C.V. - ADR

      315         43,060   

Netherlands–0.39%

      

Koninklijke Vopak NV

      656         28,537   

New Zealand–0.57%

      

Auckland International Airport Ltd.

      11,559         41,780   

Spain–3.50%

      

Aena S.A. (a)(b)

      1,086         121,128   

See accompanying notes which are an integral part of this schedule.

      Shares      Value  

Spain–(continued)

      

Ferrovial S.A.

      6,187       $ 136,327   
         257,455   

United Kingdom–11.06%

      

National Grid PLC

      43,499         613,115   

Pennon Group PLC

      3,518         44,530   

Severn Trent PLC

      2,176         68,167   

United Utilities Group PLC

      6,414         87,763   
         813,575   

United States–47.55%

      

American Tower Corp.

      4,850         457,549   

American Water Works Co., Inc.

      2,181         141,569   

Atmos Energy Corp.

      2,712         187,725   

California Water Service Group

      5,987         150,214   

Cheniere Energy, Inc. (b)

      1,936         58,177   

Columbia Pipeline Group, Inc.

      2,028         37,619   

Consolidated Edison, Inc.

      931         64,602   

Crown Castle International Corp.

      4,435         382,297   

Eversource Energy

      5,332         286,861   

InfraREIT Inc.

      7,290         140,916   

ITC Holdings Corp.

      2,351         93,805   

Kinder Morgan Inc.

      21,953         361,127   

NiSource Inc.

      4,391         92,255   

ONE Gas, Inc.

      1,103         62,386   

ONEOK, Inc.

      752         18,732   

Pattern Energy Group Inc.

      3,792         71,858   

PG&E Corp.

      5,553         304,915   

SBA Communications Corp. -Class A (b)

      860         85,381   

Sempra Energy

      2,892         274,017   

Southwest Gas Corp.

      479         28,179   

Spectra Energy Corp.

      2,211         60,692   

Williams Cos., Inc. (The)

      7,013         135,351   
         3,496,227   

Total Common Stocks & Other Equity Interests
(Cost $7,501,204)

               7,184,168   

Master Limited Partnerships–1.40%

      

United States–1.40%

      

Tesoro Logistics L.P.

      1,260         55,856   

Valero Energy Partners L.P.

      1,065         47,265   

Total Master Limited Partnerships
(Cost $109,637)

               103,121   
 

 

Invesco Global Infrastructure Fund

 

      Shares      Value  

Money Market Funds–1.31%

  

Liquid Assets Portfolio –Institutional
Class, 0.38% (c)

      48,035       $ 48,035   

Premier Portfolio –Institutional
Class, 0.34% (c)

      48,035         48,035   

Total Money Market Funds
(Cost $96,070)

               96,070   

TOTAL INVESTMENTS–100.41%
(Cost $7,706,911)

   

      7,383,359   

OTHER ASSETS LESS LIABILITIES–(0.41)%

  

      (30,334)   

NET ASSETS–100.00%

             $ 7,353,025   
 

 

Investment Abbreviations:

 

ADR    —American Depositary Receipt
REGS    —Regulation S

 

Notes to Schedule of Investments:

 

(a)  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 January 31, 2016 was $212,551, which represented 2.89% of the Fund’s Net Assets.
(b)  Non-income producing security.
(c)  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 January 31, 2016.

See accompanying notes which are an integral part of this schedule.

 

Invesco Global Infrastructure Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

 

Invesco Global Infrastructure Fund

A. Security Valuations – (continued)

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Master Limited Partnerships - The Fund invests in Master Limited Partnerships (“MLPs”). MLPs are publicly traded partnerships and limited liability companies taxed as partnerships under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). The Fund invests in MLPs engaged in, among other things, the transportation, storage, processing, refining, marketing, exploration, production and mining of minerals and natural resources. The Fund is a partner in each MLP; accordingly, the Fund is required to take into account the Fund’s allocable share of income, gains, losses, deductions, expenses, and tax credits recognized by each MLP.

MLP’s may be less liquid and subject to more abrupt or erratic price movements than conventional publicly traded securities. The Fund is non-diversified and will invest in securities of fewer issues than if it were diversified.

E. Return of Capital - Distributions received from the Fund’s investments in MLPs generally are comprised of income and return of capital. The Fund records investment income and return of capital based on estimates made at the time such distributions are received. The return of capital portion of the distribution is a reduction to investment income that results in an equivalent reduction in the cost basis of the associated investments and increases net realized gains (losses) and change in unrealized appreciation (depreciation). Such estimates are based on historical information available from each MLP and other industry sources. These estimates will subsequently be revised and may materially differ primarily based on information received from the MLPs after their tax reporting periods are concluded.
F.

Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results

 

Invesco Global Infrastructure Fund

F. Foreign Currency Translations – (continued)

 

of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

G. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

NOTE 2 — 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 January 31, 2016. 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.

 

Invesco Global Infrastructure Fund

During the three months ended January 31, 2016, there were transfers from Level 1 to Level 2 of $1,050,262, due to foreign fair value adjustments.

 

      Level 1      Level 2      Level 3      Total  

Australia

    $ —       $ 409,574       $ —       $ 409,574   

Canada

      809,109         —         —         809,109   

China

      —         161,690         —         161,690   

France

      —         315,444         —         315,444   

Hong Kong

      —         124,394         —         124,394   

Italy

      —         546,579         —         546,579   

Japan

      —         136,744         —         136,744   

Mexico

      43,060         —         —         43,060   

Netherlands

      —         28,537         —         28,537   

New Zealand

      —         41,780         —         41,780   

Spain

      —         257,455         —         257,455   

United Kingdom

      —         813,575         —         813,575   

United States

      3,695,418         —         —         3,695,418   

Total Investments

    $   4,547,587       $     2,835,772       $               —       $   7,383,359   

NOTE 3 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $2,241,159 and $1,901,662, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis

Aggregate unrealized appreciation of investment securities

    $ 334,654   

Aggregate unrealized (depreciation) of investment securities

      (858,074)   

Net unrealized appreciation (depreciation) of investment securities

    $     (523,420)   

Cost of investments for tax purposes is $7,906,779.

   

 

Invesco Global Infrastructure Fund

 

 

Invesco Global Market Neutral Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

LOGO

 

    
  invesco.com/us   GMN-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity
Interests–87.22%

   

Australia–3.27%

      

Blackmores Ltd.

      1,285       $ 175,836   

Caltex Australia Ltd.

      9,687         257,240   

Star Entertainment Group Ltd. (The)

      68,574         263,191   
                696,267   

Canada–3.37%

      

ARC Resources Ltd.

      16,500         221,790   

Barrick Gold Corp.

      7,000         69,608   

Canadian Tire Corp., Ltd. -Class A

      1,000         81,486   

Dollarama Inc.

      2,700         144,883   

Metro Inc.

      1,800         53,209   

Stantec Inc.

      1,200         29,245   

Suncor Energy, Inc.

      1,500         35,529   

Teck Resources Ltd. -Class B

      21,500         80,269   
                716,019   

China–1.38%

      

Yangzijiang Shipbuilding Holdings Ltd.

      444,700         292,998   

Denmark–3.17%

      

Pandora A/S

      2,410         321,829   

Vestas Wind Systems A/S

      5,417         353,610   
                675,439   

France–2.25%

      

Peugeot S.A. (a)

      20,554         305,523   

Technicolor S.A.

      7,992         56,820   

Valeo S.A.

      902         117,125   
                479,468   

Germany–5.28%

      

Aurubis AG

      2,106         85,649   

Continental AG

      320         66,769   

Duerr AG

      350         23,600   

Gerresheimer AG

      670         47,327   

KUKA AG

      1,237         94,768   

Nordex SE (a)

      5,592         180,518   

PATRIZIA Immobilien AG (a)

      5,747         147,287   

ProSiebenSat.1 Media SE

      7,311         363,584   

Salzgitter AG

      3,049         65,160   

Suedzucker AG

      3,302         49,848   
                1,124,510   

Israel–0.28%

      

Bezeq The Israeli Telecommunication Corp. Ltd.

      27,543         59,698   

Italy–0.39%

      

A2A S.p.A.

      35,738         42,718   

Ferrari N.V. (a)

      1,027         40,721   
                83,439   
      Shares      Value  

Japan–19.82%

      

Asahi Glass Co., Ltd.

      5,000       $ 30,531   

Brother Industries, Ltd.

      2,500         25,199   

Dai Nippon Printing Co., Ltd.

      32,000         300,392   

Daiichi Sankyo Co., Ltd.

      9,800         204,703   

Daiichikosho Co., Ltd.

      2,400         96,598   

Daito Trust Construction Co., Ltd.

      300         38,185   

DeNA Co., Ltd.

      9,700         139,989   

Denka Co. Ltd.

      54,000         238,958   

FamilyMart Co., Ltd.

      3,900         182,516   

Ibiden Co., Ltd.

      17,500         246,100   

Iida Group Holdings Co., Ltd.

      21,800         387,749   

Kaken Pharmaceutical Co., Ltd.

      1,400         92,309   

Konica Minolta Inc.

      11,000         92,413   

Marubeni Corp.

      17,400         83,766   

Medipal Holdings Corp.

      6,900         112,246   

Miraca Holdings Inc.

      2,000         82,305   

Mitsubishi Corp.

      3,200         51,234   

Mitsui & Co., Ltd.

      16,500         187,244   

Nippon Electric Glass Co., Ltd.

      14,000         72,422   

Nippon Paper Industries Co., Ltd.

      2,500         40,175   

Nippon Telegraph & Telephone Corp.

      9,400         399,881   

Nomura Real Estate Holdings, Inc.

      3,900         68,769   

Osaka Gas Co., Ltd.

      23,000         87,209   

TDK Corp.

      1,800         98,687   

Tokyo Gas Co., Ltd.

      66,000         303,441   

Toppan Printing Co., Ltd.

      26,000         226,243   

West Japan Railway Co.

      5,100         330,286   
                4,219,550   

Jordan–0.45%

      

Hikma Pharmaceuticals PLC

      3,323         95,935   

Macau–0.25%

      

MGM China Holdings Ltd.

      43,600         52,576   

Netherlands–0.86%

      

Heineken N.V.

      718         62,439   

NXP Semiconductors N.V. (a)

      1,600         119,648   
                182,087   

New Zealand–0.55%

      

SKYCITY Entertainment Group Ltd.

      29,153         88,756   

Spark New Zealand Ltd.

      13,027         28,500   
                117,256   

Norway–0.22%

      

DNB ASA

      3,810         46,214   

Singapore–0.62%

      

SATS Ltd.

      47,900         130,795   

Spain–1.43%

      

Endesa, S.A.

      15,797         304,768   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Global Market Neutral Fund

 

      Shares      Value  

Sweden–0.99%

      

Intrum Justitia AB

      3,627       $ 120,098   

Loomis AB -Class B

      3,027         90,484   
                210,582   

Switzerland–1.50%

      

Forbo Holding AG

      78         83,040   

Georg Fischer AG

      232         153,210   

Lonza Group AG

      545         83,473   
                319,723   

United Kingdom–4.71%

      

AstraZeneca PLC

      673         43,035   

Fiat Chrysler Automobiles N.V.

      10,270         72,393   

ITV PLC

      90,704         346,374   

Moneysupermarket.com Group PLC

      60,017         290,158   

Next PLC

      650         64,348   

Royal Dutch Shell PLC -Class B

      1,828         39,973   

Subsea 7 S.A. (a)

      5,792         34,851   

WH Smith PLC

      4,232         111,601   
                1,002,733   

United States–36.43%

      

AbbVie Inc.

      2,200         120,780   

Abercrombie & Fitch Co. -Class A

      2,700         70,848   

AECOM (a)

      2,000         54,880   

Amgen Inc.

      800         122,184   

AmSurg Corp. (a)

      1,200         87,828   

Annaly Capital Management Inc.

      6,200         58,900   

Apple Inc.

      3,700         360,158   

Best Buy Co., Inc.

      4,500         125,685   

Brocade Communications Systems, Inc.

      9,800         78,204   

Bunge Ltd.

      3,500         217,035   

Cabot Corp.

      5,800         233,972   

Cardinal Health, Inc.

      800         65,096   

Cepheid, Inc. (a)

      2,200         64,790   

Chesapeake Energy Corp.

      20,100         68,139   

Cisco Systems, Inc.

      5,500         130,845   

Citigroup Inc.

      6,900         293,802   

Cobalt International Energy, Inc. (a)

      26,800         101,572   

Comcast Corp. -Class A

      2,200         122,562   

Community Health Systems Inc. (a)

      2,200         47,256   

Computer Sciences Corp.

      1,200         38,484   

CSRA Inc.

      1,200         32,136   

Dean Foods Co.

      12,500         249,750   

Devon Energy Corp.

      800         22,320   

Frontier Communications Corp.

      15,800         71,890   

GameStop Corp. -Class A

      2,700         70,767   

General Dynamics Corp.

      1,200         160,524   

General Electric Co.

      6,000         174,600   

Gilead Sciences, Inc.

      3,200         265,600   

Guess?, Inc.

      2,800         51,912   

Hess Corp.

      5,000         212,500   

HollyFrontier Corp.

      600         20,982   

Huntington Ingalls Industries, Inc.

      1,000         127,880   

Intel Corp.

      9,500         294,690   

InterDigital, Inc.

      3,000         135,120   

Juniper Networks, Inc.

      7,800         184,080   

Leidos Holdings, Inc.

      6,700         309,004   
      Shares      Value  

United States–(continued)

      

LyondellBasell Industries N.V. -Class A

      800       $ 62,376   

ManpowerGroup Inc.

      300         22,905   

Marathon Petroleum Corp.

      1,200         50,148   

Murphy Oil Corp.

      1,200         23,532   

Myriad Genetics, Inc. (a)

      1,700         66,249   

NetApp, Inc.

      2,700         59,211   

NeuStar, Inc. -Class A (a)

      1,700         41,786   

Newfield Exploration Co. (a)

      2,500         72,675   

Newmont Mining Corp.

      15,100         301,396   

Noble Corp. PLC

      30,700         239,153   

NVIDIA Corp.

      6,300         184,527   

Pilgrim’s Pride Corp. (a)

      11,700         259,506   

Pitney Bowes Inc.

      3,700         72,446   

Polycom, Inc. (a)

      3,100         31,589   

Public Storage

      800         202,848   

Superior Energy Services, Inc.

      5,400         55,674   

Target Corp.

      700         50,694   

Tech Data Corp. (a)

      1,300         81,120   

Tesoro Corp.

      800         69,800   

Transocean Ltd.

      21,400         222,988   

United Therapeutics Corp. (a)

      900         110,862   

Valero Energy Corp.

      4,900         332,563   

VeriSign, Inc. (a)

      1,900         143,640   

Voya Financial, Inc.

      1,000         30,580   

Western Union Co. (The)

      6,700         119,528   
                7,754,571   

Total Common Stocks & Other Equity Interests
(Cost $19,349,335)

   

      18,564,628   

Money Market Funds–6.14%

      

Liquid Assets Portfolio –Institutional Class, 0.38% (b)

      653,981         653,981   

Premier Portfolio –Institutional Class, 0.34% (b)

      653,982         653,982   

Total Money Market Funds
(Cost $1,307,963)

   

      1,307,963   

TOTAL INVESTMENTS–93.36%
(Cost $20,657,298)

   

      19,872,591   

OTHER ASSETS LESS LIABILITIES–6.64%

  

      1,413,492   

NET ASSETS–100.00%

  

    $     21,286,083   

Notes to Schedule of Investments:

 

(a)  Non-income producing security.
(a)  The money market fund the Fund are affiliated by having the same investment adviser. The rate shown is the 7-day SEC standardized yield as of January 31, 2016.
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Global Market Neutral Fund

 

Open Total Return Swap Agreements

 

             

  Reference Entity

    Counterparty    Expiration

Date

    Floating Rate (1)    
 		 Notional
Value		   
  		    

 
 

 Unrealized

Appreciation
(Depreciation)

   

  
  

    
 
 		 Net Value of
Reference
Entities		   
  
  

Australia Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate   $ (482,068 )    $ (18,973 )    $ (501,026 ) 

Canada Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (651,080 )      (25,447 )      (668,098 ) 

Denmark Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (407,335 )      (14,068 )      (421,390 ) 

Hong Kong Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (173,463 )      (4,382 )      (177,841 ) 

Japan Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (4,081,161 )      (98,732 )      (4,170,765 ) 

New Zealand Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (67,849 )      1,007        (66,841 ) 

Norway Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (246,861 )      8,000        (238,855 ) 

Singapore Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (388,350 )      (23,112 )      (411,453 ) 

Spain Equity Securities-Short

    Morgan Stanley & Co. LLC    02/13/17    Federal Funds Floating Rate     (81,921 )      (4,118 )      (86,037 ) 

Supranational Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (2,377,732 )      (46,556 )      (2,424,204 ) 

Sweden Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (252,523 )      (8,838 )      (261,355 ) 

Switzerland Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (506,691 )      (20,212 )      (525,226 ) 

United Kingdom Equity Securities-Short

    Morgan Stanley & Co. LLC    01/23/17    Federal Funds Floating Rate     (1,003,181 )      (13,248 )      (1,016,430 ) 

United States Equity Securities-Short

    Morgan Stanley & Co. LLC    12/21/17    Federal Funds Floating Rate     (7,171,461 )      (133,390 )      (7,299,675 ) 

Total Return Swap Agreements – Equity Risk

  

     $(402,069)(2)(3)      $ (18,269,196 ) 

(1) The Fund receives or pays the total return on the short positions underlying the total return swap, and receives a specific Federal Funds Floating Rate. The total return swaps are settled in U.S. Dollars.

(2) Amount includes $(19,424) of dividends and financing fees.

(3) Swaps are collateralized by $884,408 cash held with the Counterparty.

The following table represents the individual short positions and related values of equity securities underlying the total return swaps with Morgan Stanley & Co. LLC, as of January 31, 2016.

 

      Shares     Value  

Equity Securities - Short

     

Australia

     

ALS Ltd.

      (14,295 )    $ (33,483 ) 

Crown Resorts Ltd.

      (31,375 )      (272,425 ) 

CSL Ltd.

      (718 )      (52,842 ) 

Insurance Australia Group Ltd.

      (25,393 )      (94,698 ) 

Newcrest Mining Ltd.

      (5,220 )      (47,578 ) 
               (501,026 ) 

Canada

     

AltaGas Ltd.

      (4,300 )      (100,620 ) 

Enbridge Inc.

      (3,100 )      (107,682 ) 

Gildan Activewear Inc.

      (2,600 )      (65,629 ) 

MacDonald, Dettwiler and Associates Ltd.

      (2,300 )      (142,924 ) 
      Shares     Value  

Canada–(continued)

     

Northland Power Inc.

      (3,500 )    $ (48,570 ) 

Rogers Communications, Inc. -Class B

      (2,200 )      (75,336 ) 

Tahoe Resources Inc.

      (5,100 )      (39,610 ) 

Tourmaline Oil Corp.

      (4,400 )      (87,727 ) 
               (668,098 ) 

Denmark

     

Carlsberg A/S -Class B

      (605 )      (50,762 ) 

Genmab AS

      (2,651 )      (330,565 ) 

Jyske Bank AS

      (916 )      (40,063 ) 
               (421,390 ) 

Hong Kong

     

Esprit Holdings Ltd.

      (88,700 )      (91,196 ) 

Hong Kong & China Gas Co. Ltd.

      (49,500 )      (86,645 ) 
               (177,841 ) 
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Global Market Neutral Fund

 

      Shares     Value  

Japan

     

Asics Corp.

      (8,700 )    $ (158,887 ) 

Dentsu Inc.

      (1,100 )      (57,333 ) 

Fast Retailing Co., Ltd.

      (500 )      (158,716 ) 

Hamamatsu Photonics K.K.

      (13,300 )      (325,291 ) 

Hulic Co., Ltd.

      (13,000 )      (110,172 ) 

Isetan Mitsukoshi Holdings Ltd.

      (7,500 )      (93,731 ) 

JGC Corp.

      (21,000 )      (326,973 ) 

Kagome Co., Ltd.

      (21,500 )      (367,968 ) 

Keyence Corp.

      (700 )      (323,330 ) 

Kikkoman Corp.

      (2,000 )      (65,419 ) 

Kintetsu Group Holdings Co., Ltd.

      (8,000 )      (32,644 ) 

Kyushu Electric Power Co., Inc.

      (11,100 )      (118,000 ) 

M3 Inc.

      (4,200 )      (94,640 ) 

MISUMI Group Inc.

      (14,400 )      (172,588 ) 

MonotaRO Co., Ltd.

      (4,600 )      (104,109 ) 

NGK Spark Plug Co., Ltd.

      (2,000 )      (46,256 ) 

Nintendo Co., Ltd.

      (1,600 )      (220,113 ) 

Nippon Paint Holdings Co., Ltd.

      (7,800 )      (145,737 ) 

Ono Pharmaceutical Co., Ltd.

      (1,200 )      (190,014 ) 

Shimadzu Corp.

      (5,000 )      (75,868 ) 

Shimano Inc.

      (1,300 )      (204,023 ) 

SoftBank Group Corp.

      (600 )      (26,093 ) 

Sumco Corp.

      (8,400 )      (55,369 ) 

Sumitomo Realty & Development Co., Ltd.

      (1,000 )      (27,572 ) 

Topcon Corp.

      (9,700 )      (134,686 ) 

Tsuruha Holdings Inc.

      (4,300 )      (351,985 ) 

Welcia Holdings Co., Ltd.

      (1,600 )      (85,243 ) 

Yamaha Motor Co., Ltd.

      (5,000 )      (98,005 ) 
               (4,170,765 ) 

New Zealand

     

Auckland International Airport Ltd.

      (18,597 )      (66,841 ) 

Norway

     

Schibsted ASA -Class A

      (5,829 )      (170,474 ) 

Schibsted ASA -Class B

      (2,435 )      (68,381 ) 
               (238,855 ) 

Singapore

     

City Developments Ltd.

      (30,700 )      (149,987 ) 

Sembcorp Industries Ltd.

      (148,400 )      (261,466 ) 
               (411,453 ) 

Spain

     

Banco Popular Espanol S.A.

      (32,036 )      (86,037 ) 

Supranational

     

adidas AG

      (1,258 )      (129,444 ) 

Alstom S.A.

      (8,720 )      (233,478 ) 

Altice NV -Class A

      (11,437 )      (164,047 ) 

ASML Holding N.V.

      (1,498 )      (136,677 ) 

Bayerische Motoren Werke AG

      (1,992 )      (165,435 ) 

Celesio AG

      (9,821 )      (273,650 ) 

CNH Industrial N.V.

      (8,000 )      (49,704 ) 

Galp Energia, SGPS, S.A.

      (8,754 )      (103,467 ) 

MorphoSys AG

      (6,802 )      (322,907 ) 

Numericable–SFR S.A.S.

      (6,558 )      (259,674 ) 
      Shares     Value  

Supranational–(continued)

     

Remy Cointreau S.A.

      (2,269 )    $ (162,678 ) 

SBM Offshore N.V.

      (13,691 )      (179,840 ) 

Technip S.A.

      (893 )      (41,445 ) 

ThyssenKrupp AG

      (1,555 )      (23,980 ) 

UCB S.A.

      (756 )      (64,391 ) 

United Internet AG

      (1,003 )      (51,575 ) 

Vonovia SE

      (2,037 )      (61,812 ) 
               (2,424,204 ) 

Sweden

     

Lundin Petroleum AB

      (7,585 )      (108,341 ) 

Saab AB -Class B

      (1,714 )      (51,560 ) 

Volvo AB -Class B

      (11,229 )      (101,454 ) 
               (261,355 ) 

Switzerland

     

Aryzta AG

      (2,579 )      (117,576 ) 

Barry Callebaut AG

      (49 )      (55,919 ) 

Basilea Pharmaceutica Ltd.

      (783 )      (57,406 ) 

Chocoladefabriken Lindt & Spruengli AG

      (8 )      (46,742 ) 

Panalpina Welttransport Holding AG

      (249 )      (24,102 ) 

Syngenta AG

      (609 )      (223,481 ) 
               (525,226 ) 

United Kingdom

     

Amec Foster Wheeler PLC

      (12,603 )      (74,007 ) 

BBA Aviation PLC

      (149,220 )      (346,163 ) 

BTG PLC

      (6,662 )      (55,581 ) 

Diageo PLC

      (3,142 )      (84,373 ) 

Dixons Carphone PLC

      (28,932 )      (195,291 ) 

Fresnillo PLC

      (8,996 )      (92,552 ) 

Johnson Matthey PLC

      (2,109 )      (74,079 ) 

UBM PLC

      (12,689 )      (94,384 ) 
               (1,016,430 ) 

United States

     

Alexander & Baldwin Inc.

      (3,900 )      (118,170 ) 

Alphabet Inc. -Class C

      (500 )      (371,475 ) 

Amazon.com Inc.

      (500 )      (293,500 ) 

Anixter International Inc.

      (1,200 )      (59,328 ) 

Ascena Retail Group, Inc.

      (3,400 )      (25,092 ) 

Bank of the Ozarks Inc.

      (1,100 )      (48,774 ) 

BioMarin Pharmaceutical Inc.

      (300 )      (22,206 ) 

Carpenter Technology Corp.

      (2,300 )      (63,848 ) 

Cheniere Energy Inc.

      (4,000 )      (120,200 ) 

Chevron Corp.

      (4,100 )      (354,527 ) 

Colfax Corp.

      (5,400 )      (119,556 ) 

Cooper Cos. Inc. (The)

      (500 )      (65,575 ) 

Cree Inc.

      (2,400 )      (67,272 ) 

Cypress Semiconductor Corp.

      (19,400 )      (152,484 ) 

Dollar Tree Inc.

      (3,100 )      (252,092 ) 

Dominion Rsources Inc./VA

      (3,100 )      (223,727 ) 

Duke Energy Corp.

      (700 )      (52,710 ) 

Eagle Materials Inc.

      (1,200 )      (64,248 ) 

Eversource Energy

      (2,700 )      (145,260 ) 

Exxon Mobil Corp.

      (3,300 )      (256,905 ) 

Fastenal Co.

      (6,800 )      (275,808 ) 

Financial Engines Inc.

      (2,000 )      (53,940 ) 

Finisar Corp.

      (4,000 )      (50,800 ) 
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Global Market Neutral Fund

 

      Shares     Value  

United States–(continued)

     

Five Below Inc.

      (800 )    $ (28,184 ) 

Fortune Brands Home & Security Inc.

      (7,000 )      (340,130 ) 

Genesee & Wyoming Inc. -Class A

      (1,100 )      (54,538 ) 

Golar LNG Ltd.

      (9,800 )      (182,476 ) 

Gulfport Energy Corp.

      (2,200 )      (65,010 ) 

Halliburton Co.

      (2,600 )      (82,654 ) 

Hexcel Corp.

      (2,100 )      (86,898 ) 

Howard Hughes Corp. (The)

      (2,800 )      (266,084 ) 

Intercept Pharmaceuticals Inc.

      (200 )      (21,246 ) 

Kennedy-Wilson Holdings Inc.

      (15,000 )      (304,200 ) 

Liberty Global PLC -Class A

      (1,000 )      (34,410 ) 

Lions Gate Entertainment Corp.

      (2,500 )      (65,375 ) 

National Instruments Corp.

      (7,500 )      (213,750 ) 

NetSuite Inc.

      (1,700 )      (117,929 ) 

NorthStar Realty Finance Corp.

      (26,200 )      (310,994 ) 

Panera Bread Co. -Class A

      (200 )      (38,800 ) 

Puma Bioechnology Inc.

      (900 )      (37,566 ) 

Reynolds American Inc.

      (2,100 )      (104,895 ) 

Royal Gold Inc.

      (3,300 )      (98,307 ) 

salesforce.com, inc.

      (400 )      (27,224 ) 

SBA Communications Corp. -Class A

      (1,900 )      (188,632 ) 

SemGroup Corp. -Class A

      (3,200 )      (70,848 ) 

Spirit Realty Capital, Inc.

      (8,100 )      (84,888 ) 

T-Mobile US, Inc.

      (1,000 )      (40,150 ) 

Tractor Supply Co.

      (600 )      (52,986 ) 

Trimble Navigation Ltd

      (6,200 )      (119,598 ) 

Ulta Salon Cosmetics & Fragrance, Inc.

      (200 )      (36,234 ) 

Ultimate Software Group, Inc. (The)

      (700 )      (122,941 ) 

ViaSat, Inc.

      (5,600 )      (350,000 ) 

WEC Energy Group Inc.

      (2,900 )      (160,167 ) 

Western Alliance Bancorp

      (1,700 )      (55,386 ) 

Wynn Resorts Ltd.

      (1,500 )      (101,010 ) 

Zimmer Biomet Holdings Inc.

      (1,800 )      (178,668 ) 
               (7,299,675 ) 

Total Equity Securities - Short

            $  (18,269,196 ) 
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Global Market Neutral Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

 

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

 

Invesco Global Market Neutral Fund

A. Security Valuations – (continued)

 

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

 

Invesco Global Market Neutral Fund

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

F. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, volatility, variance, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, equity, currency or credit risk. Such transactions are agreements between Counterparties. These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, volatility, variance, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index.

A total return swap is an agreement in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income generated and capital gains, if any. The unrealized appreciation (depreciation) on total return swaps includes dividends on the underlying equity securities and financing rate payable from the Counterparty. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, the Fund would receive payments based on any positive total return and would owe payments in the event of a negative total return. As the payer, the Fund would owe payments on any net positive total return, and would receive payment in the event of a negative total return.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

G. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.

 

Invesco Global Market Neutral Fund

H. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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.

During the three months ended January 31, 2016, there were transfers from Level 1 to Level 2 of $1,416,848 and from Level 2 to Level 1 of $43,035, due to foreign fair value adjustments.

      Level 1      Level 2     Level 3      Total  

Australia

    $ —       $ 696,267      $ —       $ 696,267   

Canada

      716,019         —        —         716,019   

China

      —         292,998        —         292,998   

Denmark

      —         675,439        —         675,439   

France

      —         479,468        —         479,468   

Germany

      516,002         608,508        —         1,124,510   

Israel

      —         59,698        —         59,698   

Italy

      40,721         42,718        —         83,439   

Japan

      —         4,219,550        —         4,219,550   

Jordan

      —         95,935        —         95,935   

Macau

      —         52,576        —         52,576   

Netherlands

      119,648         62,439        —         182,087   

New Zealand

      —         117,256        —         117,256   

Norway

      —         46,214        —         46,214   

Singapore

      130,795         —        —         130,795   

Spain

      —         304,768        —         304,768   

Sweden

      —         210,582        —         210,582   

Switzerland

      —         319,723        —         319,723   

United Kingdom

      43,035         959,698        —         1,002,733   

United States

      9,062,534         —        —         9,062,534   
       10,628,754         9,243,837        —         19,872,591   

Swap Agreements*

      —         (402,069 )      —         (402,069 ) 

Total Investments

    $       10,628,754       $       8,841,768      $               —       $       19,470,522   
  * Unrealized appreciation (depreciation).

 

Invesco Global Market Neutral Fund

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

     Value  

  Risk Exposure/ Derivative Type

          Assets                 Liabilities       

  Equity risk:

      

 Swap agreements

      $9,007         $(411,076)   

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

    

Location of Gain (Loss) on

    Statement of Operations    

  Swap Agreements

  Realized Gain:

  

Equity Risk

   $2,019,338

  Change in Net Unrealized Appreciation (Depreciation):

  

Equity Risk

   (191,886)

  Total

   $1,827,452

The table below summarizes the average notional value of swap agreements outstanding during the period.

 

      Swap Agreements          

  Average notional value

      $17,965,372   

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $3,753,642 and $2,087,652, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis

  

Aggregate unrealized appreciation of investment securities

    $ 1,442,131   

Aggregate unrealized (depreciation) of investment securities

                  (2,289,314)   

Net unrealized appreciation (depreciation) of investment securities

    $ (847,183)   

Cost of investments for tax purposes is $20,719,774.

   

 

Invesco Global Market Neutral Fund

 

Invesco Global Markets Strategy Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

LOGO

 

invesco.com/us    GMS-QTR-1       01/16    Invesco Advisers, Inc.
 

Consolidated Schedule of Investments

January 31, 2016

(Unaudited)

 

      Interest
Rate		        Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Securities–45.48%

              

U.S. Treasury Bills–21.78%(a)

              

U.S. Treasury Bills (b)

      0.24%           03/03/2016       $     4,000,000       $ 3,999,225   

U.S. Treasury Bills (b)

      0.47%           07/07/2016         5,800,000         5,791,145   

U.S. Treasury Bills (b)

      0.46%           07/14/2016         8,700,000         8,686,124   

U.S. Treasury Bills (b)

      0.33%           07/21/2016         8,120,000         8,104,761   

U.S. Treasury Bills

      0.43%           07/28/2016         5,410,000         5,398,896   
                                    31,980,151   

U.S. Treasury Notes–23.70%(c)

              

U.S. Treasury Floating Rate Notes

      0.06%           01/31/2016         6,410,000         6,409,935   

U.S. Treasury Floating Rate Notes

      0.08%           04/30/2016         19,075,000         19,075,686   

U.S. Treasury Floating Rate Notes

      0.09%           07/31/2016         2,910,000         2,910,138   

U.S. Treasury Floating Rate Notes

      0.58%           01/31/2018         6,410,000         6,414,617   
                                    34,810,376   

Total U.S. Treasury Securities (Cost $66,779,099)

                                   66,790,527   
             Shares      

Money Market Funds–57.41%

              

Liquid Assets Portfolio –Institutional Class, 0.38% (d)

                          30,433,109         30,433,109   

Premier Portfolio –Institutional Class, 0.34% (d)

  

                 30,433,109         30,433,109   

STIC (Global Series) PLC – U.S. Dollar Liquidity Portfolio (Ireland) –Institutional Class, 0.37% (d)

  

                 23,437,695         23,437,695   

Total Money Market Funds (Cost $84,303,913)

                                   84,303,913   

TOTAL INVESTMENTS–102.89% (Cost $151,083,012)

                                   151,094,440   

OTHER ASSETS LESS LIABILITIES–(2.89)%

                                   (4,243,388)   

NET ASSETS–100.00%

                                 $     146,851,052   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Markets Strategy Fund

      Open Futures Contracts(e)                           
Futures Contracts   

Type of

Contract

          Number of
Contracts		    Expiration
Month		          Notional
Value		     Unrealized
Appreciation
(Depreciation)		  

Brent Crude

    Short         138    May-2016         $ (5,081,160 )    $ (587,263)   

Coffee

    Short         78    March-2016           (3,403,238 )      100,894   

Corn

    Short         18    July-2016           (343,350 )      (4,354)   

Cotton No.2

    Long         6    March-2016           183,390        (4,807)   

Gas Oil

    Short         39    June-2016           (1,293,825 )      67,984   

Gasoline Reformulated Blendstock Oxygenate Blending

    Short         14    March-2016           (665,792 )      (36,734)   

Globex Reformulated Blendstock Gasoline Physical

    Short         70    March-2016           (3,328,962 )      (207,064)   

Heating Oil

    Short         115    April-2016           (5,280,156 )      1,280,469   

Natural Gas

    Short         158    December-2016           (4,332,360 )      249,570   

Silver

    Short         11    March-2016           (783,365 )      (20,339)   

Soybean

    Short         51    July-2016           (2,269,500 )      23,217   

Soybean Oil

    Short         128    July-2016           (2,406,144 )      (154,390)   

Wheat

    Short         135    July-2016           (3,310,875 )      31,026   

WTI Crude

    Short         123    July-2016           (4,795,770 )      50,561   

Subtotal–Commodity Risk

                                $ 788,770   

Australia 10 Year Bonds

    Long         83    March-2016           7,601,047        181,259   

Canada 10 Year Bonds

    Long         277    March-2016           28,244,766        687,920   

Euro Bonds

    Long         121    March-2016           21,412,792        479,927   

Japanese 10 Year Bonds

    Long         12    March-2016           14,909,677        172,139   

Long Gilt

    Long         163    March-2016           27,946,347        669,988   

U.S. Treasury 20 Year Bonds

    Long         85    March-2016           13,687,656        620,580   

Subtotal–Interest Rate Risk

                                $ 2,811,813   

Dow Jones EURO STOXX 50 Index

    Long         215    March-2016           7,052,825        (411,351)   

E-Mini S&P 500 Index

    Long         110    March-2016           10,615,550        (531,248)   

FTSE 100 Index

    Long         100    March-2016           8,559,675        62,435   

Hang Seng Index

    Long         71    February-2016           8,998,355        279,219   

Russell 2000 Index Mini

    Long         50    March-2016           5,157,000        (349,126)   

Tokyo Stock Price Index

    Long         73    March-2016           8,676,909        (886,706)   

Subtotal–Equity Risk

                                $     (1,836,777)   

Total Futures Contracts

                                $ 1,763,806   
            Open Over-The-Counter Total Return Swap Agreements  
Swap Agreements   

Type of

Contract

    Counterparty    Number of
Contracts		    Termination
Date		          Notional
Value		     Unrealized
Appreciation
(Depreciation)		  
Pay a floating rate equal to the Barclays Commodity Strategy 1452 Excess Return Index (Copper) and pay the product of (i) 0.33% of the Notional Amount multiplied by (ii) days in the period divided by 365    Long    Barclays Bank
PLC		    1,300    October-2016         $ 462,287      $ 24,691   
Pay a floating rate equal to the Barclays Capital Soymeal S2 Nearby Excess Return Index and pay the product of (i) 0.30% of the Notional Amount multiplied by (ii) days in the period divided by 365    Short    Barclays Bank
PLC		    3,590    January-2017           (3,262,889)        37,886   
Pay a floating rate equal to the CIBC Silver Index and pay the product of (i) 0.11% of the Notional Amount multiplied by (ii) days in the period divided by 365    Short    Canadian Imperial
Bank of
Commerce		    7,900    February-2016           (648,678)        (17,637)   
Pay a floating rate equal to the S&P GSCI Corn Excess Return AB44 Strategy and pay the product of (i) 0.15% of the Notional Amount multiplied by (ii) days in the period divided by 365    Short    Goldman Sachs
International		    93,000    October-2016           (2,818,791)        (131,467)   
Pay a floating rate equal to the S&P GSCI Natural Gas 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365    Short    Goldman Sachs
International		    48,000    January-2017           (172,941)        (12,910)   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Markets Strategy Fund

        Open Over-The-Counter Total Return Swap Agreements-(continued)  
Swap Agreements    Type of
Contract		    Counterparty    Number of
Contracts		    Termination
Date		         

Notional

Value

     

Unrealized
Appreciation

(Depreciation)

  
Receiving a return equal to the S&P GSCI Sugar Excess Return A141 Strategy and pay the product of (i) 0.37% of the Notional Amount multiplied by (ii) days in the period divided by 365    Long    Goldman Sachs
International		    6,020    March-2016         $ 1,287,343       $ (119,594)   
Pay a floating rate equal to the J.P. Morgan Contag Beta Gas Oil Excess Return Index and pay the product of (i) 0.23% of the Notional Amount multiplied by (ii) days in the period divided by 365    Short    JPMorgan Chase
Bank, N.A.		    21,850    October-2016               (3,376,122)         (253,397)   
Pay a floating rate equal to the S&P GSCI Gold Index Excess Return and pay the product of (i) 0.09% of the Notional Amount multiplied by (ii) days in the period divided by 365    Short    JPMorgan Chase
Bank, N.A.		    100    October-2016           (9,155)         (168)   
Receiving a return equal to the S&P GSCI Aluminum Dynamic Roll Excess Return Index and pay the product of (i) 0.38% of the Notional Amount multiplied by (ii) days in the period divided by 365    Short    Morgan Stanley
Capital Services
LLC		    10,600    October-2016           (882,873)         (20,715)   

Total Swap Agreements - Commodity Risk

                                      $ (493,311 ) 

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)  All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. See Note 1G and Note 3.

 

(c)  Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on January 31, 2016.

 

(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 January 31, 2016.

 

(e)  Futures collateralized by $420,000 cash held with Goldman Sachs & Co., the futures commission merchant.

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Markets Strategy Fund

Notes to Quarterly Consolidated Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

Invesco Global Markets Strategy Fund (the “Fund”) will seek to gain exposure to the commodity markets primarily through investments in the Invesco Cayman Commodity Fund V Ltd. (the “Subsidiary”), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands. The Subsidiary was organized by the Fund to invest in commodity-linked derivatives and other securities that may provide leveraged and non-leveraged exposure to commodities. The Fund may invest up to 25% of its total assets in the Subsidiary.

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

 

Invesco Global Markets Strategy Fund

A. Security Valuations – (continued)

 

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Consolidated Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Consolidated Statement of Operations and the Consolidated Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Consolidated Statement of Operations and the Consolidated Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Consolidated Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Structured Securities – The Fund may invest in structured securities. Structured securities are a type of derivative security whose value is determined by reference to changes in the value of underlying securities, currencies, interest rates, commodities, indices or other financial indicators (“reference instruments”). Most structured securities are fixed-income securities that have maturities of three years or less. Structured securities may be positively or negatively indexed (i.e., their principal value or interest rates may increase or decrease if the underlying reference instrument appreciates) and may have return characteristics similar to direct investments in the underlying reference instrument.

Structured securities may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference instruments. In addition to the credit risk of structured securities and the normal risks of price changes in response to changes in interest rates, the principal amount of structured notes or indexed securities may decrease as a result of changes in the value of the underlying reference instruments. Changes in the daily value of structured securities are recorded as

 

Invesco Global Markets Strategy Fund

D. Structured Securities – (continued)

 

unrealized gains (losses) in the Consolidated Statement of Operations. When the structured securities mature or are sold, the Fund recognizes a realized gain (loss) on the Consolidated Statement of Operations.

E. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Consolidated Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Consolidated Statement of Operations.

F. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Consolidated Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Consolidated Statement of Assets and Liabilities.

G. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between Counterparties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Consolidated Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Consolidated Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all

 

Invesco Global Markets Strategy Fund

G. Futures Contracts – (continued)

 

exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Consolidated Statement of Assets and Liabilities.

H. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. Such transactions are agreements between Counterparties. These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, the Fund would receive payments based on any positive total return and would owe payments in the event of a negative total return. As the payer, the Fund would owe payments on any net positive total return, and would receive payment in the event of a negative total return.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Consolidated Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Consolidated Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Consolidated Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Consolidated Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

I. Other Risks – The Fund will seek to gain exposure to commodity markets primarily through an investment in the Subsidiary and through investments in exchange traded funds and commodity-linked derivatives. The Subsidiary, unlike the Fund, may invest without limitation in commodities, commodity-linked derivatives and other securities, such as exchange traded notes, that may provide leveraged and non-leveraged exposure to commodity markets. The Fund is indirectly exposed to the risks associated with the Subsidiary’s investments.

The Fund is non-diversified and may invest in securities of fewer issuers than if it were diversified. Thus, the value of the Fund’s shares may vary more widely and the Fund may be subject to greater market and credit risk than if the Fund invested more broadly.

J. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
K. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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

 

Invesco Global Markets Strategy Fund

(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 January 31, 2016. 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  
                                     

Equity Securities

    $ 84,303,913       $ —       $ —       $ 84,303,913   

U.S. Treasury Securities

      —         66,790,527         —         66,790,527   
       84,303,913         66,790,527         —         151,094,440   

Futures Contracts*

      1,763,806         —         —         1,763,806   

Swap Agreements*

      —         (493,311)         —         (493,311)   

Total Investments

    $     86,067,719       $     66,297,216       $     —       $     152,364,935   
* Unrealized appreciation (depreciation).

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

     Value
Risk Exposure/ Derivative Type    Assets        Liabilities    

Commodity risk:

      

Futures contracts

    $1,803,721    $(1,014,951)

Swap agreements

    62,577    (555,888)

Equity risk:

      

Futures contracts

    341,654    (2,178,431)

Interest rate risk:

      

Futures contracts

    2,811,813    —  

Total

    $5,019,765    $(3,749,270)

 

Invesco Global Markets Strategy Fund

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

      Location of Gain (Loss) on Consolidated
Statement of Operations
   Futures Contracts   Swap Agreements

Realized Gain (Loss):

     

Commodity Risk

    $5,251,725   $1,264,111

Equity Risk

    (2,066,951)   —

Interest Rate Risk

    (31,088)   —

Change in Net Unrealized Appreciation (Depreciation):

     

Commodity Risk

    (413,231)   (657,151)

Equity Risk

    2,513,320   —

Interest Rate Risk

    (3,641,869)   —

Total

    $1,611,906   $606,960

The table below summarizes the average notional value of futures contracts and swap agreements outstanding during the period.

 

      Futures Contracts    Swap Agreements

Average notional value

    $210,773,960    $13,321,537

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $0 and $0, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $         13,732   

Aggregate unrealized (depreciation) of investment securities

      (2,304)   

Net unrealized appreciation of investment securities

    $ 11,428   

Cost of investments is the same for tax and financial reporting purposes.

   

 

Invesco Global Markets Strategy Fund

 

Invesco Global Targeted Returns Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

LOGO

 

invesco.com/us    GTR-QTR-1       01/16    Invesco Advisers, Inc.
 

Consolidated Schedule of Investments

January 31, 2016

(Unaudited)

Investments in Affiliated Issuers–68.25%(a)

      % of Net
Assets
01/31/16		  

Value

10/31/15

      Purchases
at Cost		     

Proceeds

from Sales

     Change in
Unrealized
Appreciation
(Depreciation)		     Realized
Gain		     Dividend
Income		      Shares
01/31/16		      Value
01/31/16		  

Domestic Equity Funds–6.02%

  

Invesco Diversified Dividend Fund-Class R6

    6.02%   $ 8,243,871       $ 3,329,242       $ —        $ (755,363 )    $ 353,874      $ 59,171         628,574       $ 10,817,750   

Fixed-Income Funds–11.56%

  

Invesco High Yield Fund-Class R6

    11.56%     16,614,108         5,422,922         —          (1,255,449 )      —          294,653         5,397,814         20,781,581   

Foreign Equity Funds–28.14%

  

Invesco Asia Pacific Growth Fund-Class Y    8.02%     11,216,454         4,297,230         —          (1,105,611 )      —          402,350         536,813         14,408,073   

Invesco European Growth Fund-Class Y

    10.01%     13,933,595         5,799,670         —          (1,742,065 )      470,650        243,892         549,517         17,991,200   

Invesco International Growth Fund-Class R6

    10.11%     14,241,160         5,191,009         —          (1,253,839 )      —          241,268         607,768         18,178,330   

Total Foreign Equity Funds

          39,391,209         15,287,909         —          (4,101,515 )      470,650        887,510                  50,577,603   

Money Market Funds–22.53%

  

Liquid Assets Portfolio-Institutional Class, 0.38% (b)    9.66%     23,475,962         27,171,354         (33,281,994 )      —          —          12,419         17,365,322         17,365,322   
Premier Portfolio-Institutional Class, 0.34% (b)    9.66%     23,475,963         27,171,353         (33,281,994 )      —          —          10,346         17,365,322         17,365,322   
STIC (Global Series) PLC-U.S. Dollar Liquidity Portfolio (Ireland)-Institutional Class, 0.37% (b)    3.21%     5,724,734         366,844         (318,959 )      —          —          2,777         5,772,619         5,772,619   

Total Money Market Funds

          52,676,659         54,709,551         (66,882,947 )      —          —          25,542                  40,503,263   

TOTAL INVESTMENTS IN AFFILIATED ISSUERS (Cost $130,436,579)

    68.25%   $ 116,925,847       $ 78,749,624       $ (66,882,947 )    $ (6,112,327 )    $ 824,524 (c)    $ 1,266,876                $ 122,680,197   

 

            Principal
Amount		         

Sovereign Debt–13.53%(d)

         

Hungary Government Bond (Hungary), Series 23, Class A, Unsec. Bonds, 6.00%, 11/24/2023

      HUF         88,330,000         373,353   

Hungary Government Bond (Hungary), Series 25, Class B, Unsec. Bonds, 5.50%, 06/24/2025

      HUF         334,420,000         1,390,483   

Mexico Government Bond (Mexico), Series M 20, Sr. Unsec. Bonds, 10.00%, 12/05/2024

      MXN         36,341,700         2,567,544   

Poland Government Bond (Poland), Series 0725, Unsec. Bonds, 3.25%, 07/25/2025

      PLN         13,333,000         3,345,398   

Poland Government Bond (Poland), Series 1023, Unsec. Bonds, 4.00%, 10/25/2023

      PLN         4,124,000         1,093,193   

South Africa Government Bond (South Africa), Series R186, Unsec. Bonds, 10.50%, 12/21/2026

      ZAR         25,217,000         1,727,842   

United Kingdom Government Bond (United Kingdom), Unsec. Bonds, 3.50%, 01/22/2044

      GBP         4,139,657         6,978,427   

United Kingdom Government Bond (United Kingdom), Unsec. Bonds, 3.50%, 01/22/2045

      GBP         3,878,934         6,840,073   

Total Sovereign Debt (Cost $25,745,676)

                        24,316,313   

U.S. Treasury Bonds–3.83%

         

3.00%, 11/15/2045 (Cost $6,546,089)

    $           6,537,000         6,871,688   

OPTIONS PURCHASED–7.02% (Cost $9,697,075)

                        12,626,317   

TOTAL INVESTMENTS–92.63% (Cost $172,425,419)

                        166,494,515   

OTHER ASSETS LESS LIABILITIES–7.37%

                        13,246,141   

NET ASSETS–100.00%

                      $ 179,740,656   

Abbreviations:

 

GBP – British Pound Sterling    MXN – Mexican Peso    Sr. – Senior    ZAR – South African Rand
HUF – Hungarian Forint    PLN – Polish Zloty    Unsec. – Unsecured   

Notes to Consolidated Schedule of Investments:

(a)  Each underlying fund and the Fund are affiliated by either having the same investment adviser or an investment adviser under common control with the Fund’s investment adviser.
(b)  The rate shown is the 7-day SEC standardized yield as of January 31, 2016.
(c)  Includes $353,874 and $470,650 of capital gains distributions from Invesco Diversified Dividend Fund and Invesco European Growth Fund, respectively.
(d)  Foreign denominated security. Principal amount is denominated in the currency indicated.

 

     

Open Over-The-Counter Index Options Purchased

 

                        
Description    Type of
Contract		    Broker/Counterparty    Expiration
Date		    Number of
Contracts		    Strike Price      Notional Value(e)      Value  

M1EF Index

    Put    Bank of America Merrill Lynch    03/18/2016    10      USD         300         USD         300,000       $ 6,752   

M1EF Index

    Put    Goldman Sachs International    03/18/2016    12      USD         320         USD         384,000         16,161   

M1EF Index

    Put    Goldman Sachs International    03/18/2016    18      USD         290         USD         522,000         8,542   

M1EF Index

    Put    Goldman Sachs International    03/18/2016    22      USD         300         USD         660,000         14,854   

M1EF Index

    Put    Goldman Sachs International    03/18/2016    34      USD         270         USD         918,000         7,961   

M1EF Index

    Put    UBS    03/18/2016    12      USD         320         USD         384,000         16,161   

M1EF Index

    Put    UBS    03/18/2016    14      USD         310         USD         434,000         13,402   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Over-The-Counter Index Options Purchased – (continued)

 

  

Description    Type of
Contract		    Broker/Counterparty    Expiration
Date		    Number of
Contracts		    Strike Price      Notional Value(e)      Value  

M1EF Index

    Put    UBS    03/18/2016    16      USD         300         USD         480,000       $ 10,803   

M1EF Index

    Put    UBS    03/18/2016    204      USD         310         USD         6,324,000         195,283   

Total Over-The-Counter Index Options Purchased

    342                                        $ 289,919   

 

Open Exchange-Traded Index Options Purchased

 

  

SPX Index

    Call    Morgan Stanley Capital Services LLC    12/16/2016    3      USD         2,400         USD         720,000       $ 412   

SPX Index

    Call    Morgan Stanley Capital Services LLC    12/16/2016    6      USD         2,600         USD         1,560,000         195   

SPX Index

    Call    UBS    12/16/2016    57      USD         2,600         USD         14,820,000         1,853   

Subtotal – Exchange-Traded Index Call Options Purchased

    66                                        $ 2,460   

DAX Index

    Put    Goldman Sachs International    02/19/2016    7      EUR         10,300         EUR         360,500         21,943   

DAX Index

    Put    Goldman Sachs International    02/19/2016    33      EUR         10,400         EUR         1,716,000         118,817   

DAX Index

    Put    Goldman Sachs International    02/19/2016    33      EUR         10,500         EUR         1,732,500         135,030   

DAX Index

    Put    Goldman Sachs International    02/19/2016    5      EUR         10,550         EUR         263,750         21,726   

DAX Index

    Put    Goldman Sachs International    02/19/2016    33      EUR         10,600         EUR         1,749,000         151,904   

FTSE MIB Index

    Put    Bank of America Merrill Lynch    03/18/2016    1      EUR         18,500         EUR         46,250         2,180   

FTSE MIB Index

    Put    Bank of America Merrill Lynch    03/18/2016    24      EUR         17,000         EUR         1,020,000         22,100   

FTSE MIB Index

    Put    Bank of America Merrill Lynch    03/18/2016    332      EUR         19,000         EUR         15,770,000         935,149   

FTSE MIB Index

    Put    UBS    03/18/2016    26      EUR         18,000         EUR         1,170,000         43,307   

SX5E Index

    Put    Goldman Sachs International    03/18/2016    6      EUR         2,750         EUR         165,000         2,334   

SX5E Index

    Put    UBS    03/18/2016    6      EUR         2,850         EUR         171,000         3,569   

SX5E Index

    Put    UBS    03/18/2016    10      EUR         2,900         EUR         290,000         7,334   

SX5E Index

    Put    UBS    03/18/2016    150      EUR         3,000         EUR         4,500,000         165,102   

SX7E Index

    Put    Bank of America Merrill Lynch    12/16/2016    236      EUR         110         EUR         1,298,000         203,258   

SX7E Index

    Put    Goldman Sachs International    12/16/2016    1,508      EUR         110         EUR         8,294,000         1,298,785   

SX7E Index

    Put    Goldman Sachs International    12/16/2016    2,514      EUR         100         EUR         12,570,000         1,457,095   

SX7E Index

    Put    UBS    12/16/2016    1,450      EUR         110         EUR         7,975,000         1,248,832   

UKX Index

    Put    Bank of America Merrill Lynch    12/16/2016    6      GBP         6,100         GBP         366,000         47,408   

UKX Index

    Put    Bank of America Merrill Lynch    12/16/2016    15      GBP         6,000         GBP         900,000         108,154   

UKX Index

    Put    Goldman Sachs International    12/16/2016    5      GBP         6,000         GBP         300,000         36,051   

UKX Index

    Put    Goldman Sachs International    12/16/2016    35      GBP         6,200         GBP         2,170,000         302,731   

UKX Index

    Put    Goldman Sachs International    12/16/2016    52      GBP         5,700         GBP         2,964,000         282,311   

UKX Index

    Put    Morgan Stanley Capital Services LLC    12/16/2016    22      GBP         6,100         GBP         1,342,000         173,830   

UKX Index

    Put    Nomura Securities International Inc.    12/16/2016    3      GBP         6,200         GBP         186,000         25,948   

UKX Index

    Put    UBS    12/16/2016    8      GBP         5,700         GBP         456,000         43,432   

Subtotal – Exchange-Traded Index Put Options Purchased

    6,520                                        $ 6,858,330   

Total Exchange-Traded Index Options Purchased

    6,586                                        $ 6,860,790   

Total Index Options Purchased - Equity Risk

    6,928                                        $ 7,150,709   

Abbreviations:

EUR – Euro

    GBP – British Pound Sterling    JPY – Japanese Yen    USD – U.S. Dollar
(e)  Notional Value is calculated by multiplying the Number of Contracts by the Strike Price by the multiplier.

 

Open Over-The-Counter Foreign Currency Options Purchased

 

  

Description    Type of
Contract		    Counterparty    Expiration Date    Strike Price      Notional Value      Value  

EUR versus USD

    Call    Deutsche Bank Securities Inc.    04/19/2016      USD         1.198         EUR         14,442,812       $ 10,709   

EUR versus USD

    Call    Goldman Sachs International    04/15/2016      USD         1.208         EUR         940,625         453   

USD versus CAD

    Call    Barclays Bank PLC    07/15/2020      CAD         1.245         USD         4,309,000         618,830   

USD versus CAD

    Call    Barclays Bank PLC    08/25/2020      CAD         1.310         USD         509,625         60,843   

USD versus CAD

    Call    Deutsche Bank Securities Inc.    07/15/2020      CAD         1.245         USD         4,309,000         618,831   

USD versus CAD

    Call    Goldman Sachs International    08/25/2020      CAD         1.282         USD         648,000         84,135   

USD versus CAD

    Call    Goldman Sachs International    08/25/2020      CAD         1.306         USD         1,020,000         123,436   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Over-The-Counter Foreign Currency Options Purchased – (continued)

 

  

Description    Type of
Contract		    Counterparty    Expiration Date    Strike Price      Notional Value      Value  

USD versus CAD

    Call    Goldman Sachs International    08/25/2020    CAD      1.309       USD      516,240       $ 61,905   

USD versus CAD

    Call    Goldman Sachs International    08/25/2020    CAD      1.337       USD      1,996,030         220,275   

USD versus CAD

    Call    Goldman Sachs International    08/25/2020    CAD      1.345       USD      1,506,703         162,470   

USD versus CAD

    Call    Goldman Sachs International    08/25/2020    CAD      1.417       USD      799,027         69,530   

Subtotal – Over-The-Counter Foreign Currency Call Options Purchased

             $      2,031,417   

EUR versus USD

    Put    Barclays Bank PLC    01/13/2020    USD      1.270       EUR      338,440       $ 56,121   

EUR versus USD

    Put    Barclays Bank PLC    01/27/2020    USD      1.222       EUR      640,440         85,889   

EUR versus USD

    Put    Barclays Bank PLC    03/12/2020    USD      1.170       EUR      132,118         13,746   

EUR versus USD

    Put    Barclays Bank PLC    04/03/2020    USD      1.172       EUR      431,984         45,626   

EUR versus USD

    Put    Barclays Bank PLC    04/22/2020    USD      1.172       EUR      351,372         37,112   

EUR versus USD

    Put    Barclays Bank PLC    05/12/2020    USD      1.225       EUR      119,640         16,311   

EUR versus USD

    Put    Barclays Bank PLC    06/03/2020    USD      1.218       EUR      509,824         67,358   

EUR versus USD

    Put    Barclays Bank PLC    06/26/2020    USD      1.220       EUR      578,405         77,105   

EUR versus USD

    Put    Barclays Bank PLC    07/10/2020    USD      1.213       EUR      477,259         61,659   

EUR versus USD

    Put    Barclays Bank PLC    07/16/2020    USD      1.188       EUR      437,856         50,337   

EUR versus USD

    Put    Barclays Bank PLC    08/25/2020    USD      1.177       EUR      754,643         82,595   

EUR versus USD

    Put    Citigroup Global Markets Inc.    08/25/2020    USD      1.194       EUR      363,370         43,032   

EUR versus USD

    Put    Citigroup Global Markets Inc.    08/25/2020    USD      1.228       EUR      353,889         48,997   

EUR versus USD

    Put    Deutsche Bank Securities Inc.    07/01/2020    USD      1.210       EUR      358,640         45,714   

EUR versus USD

    Put    Deutsche Bank Securities Inc.    08/25/2020    USD      1.205       EUR      320,544         40,040   

EUR versus USD

    Put    Goldman Sachs International    12/12/2019    USD      1.350       EUR      2,792,791         629,771   

EUR versus USD

    Put    Goldman Sachs International    01/21/2020    USD      1.253       EUR      310,284         47,846   

EUR versus USD

    Put    Goldman Sachs International    02/06/2020    USD      1.234       EUR      238,027         33,716   

EUR versus USD

    Put    Goldman Sachs International    04/15/2020    USD      1.159       EUR      618,354         61,018   

EUR versus USD

    Put    Goldman Sachs International    07/29/2020    USD      1.204       EUR      200,000         24,828   

EUR versus USD

    Put    Goldman Sachs International    08/25/2020    USD      1.171       EUR      565,767         60,133   

EUR versus USD

    Put    Goldman Sachs International    08/25/2020    USD      1.181       EUR      840,208         93,531   

EUR versus USD

    Put    Goldman Sachs International    08/25/2020    USD      1.182       EUR      940,625         105,216   

EUR versus USD

    Put    Goldman Sachs International    08/25/2020    USD      1.192       EUR      1,446,909         169,744   

EUR versus USD

    Put    Goldman Sachs International    08/25/2020    USD      1.203       EUR      1,678,227         207,717   

EUR versus USD

    Put    Goldman Sachs International    08/25/2020    USD      1.210       EUR      422,926         53,925   

GBP versus NOK

    Put    Barclays Bank PLC    06/14/2016    NOK      11.504       GBP      385,823         3,751   

GBP versus NOK

    Put    Barclays Bank PLC    06/14/2016    NOK      11.560       GBP      321,453         3,460   

GBP versus NOK

    Put    Barclays Bank PLC    06/14/2016    NOK      11.813       GBP      188,495         3,173   

GBP versus NOK

    Put    Barclays Bank PLC    06/14/2016    NOK      11.858       GBP      150,000         2,725   

GBP versus NOK

    Put    Barclays Bank PLC    06/14/2016    NOK      12.052       GBP      311,141         7,796   

GBP versus NOK

    Put    Citigroup Global Markets Inc.    06/14/2016    NOK      11.643       GBP      301,747         3,771   

GBP versus NOK

    Put    Deutsche Bank Securities Inc.    06/14/2016    NOK      11.510       GBP      238,538         2,345   

GBP versus NOK

    Put    Deutsche Bank Securities Inc.    06/14/2016    NOK      11.866       GBP      410,550         7,566   

GBP versus NOK

    Put    Goldman Sachs International    06/14/2016    NOK      11.205       GBP      4,400,000         24,531   

GBP versus NOK

    Put    Goldman Sachs International    06/14/2016    NOK      12.033       GBP      880,651         21,385   

GBP versus NOK

    Put    Goldman Sachs International    06/14/2016    NOK      12.188       GBP      320,682         9,942   

GBP versus NOK

    Put    Goldman Sachs International    06/14/2016    NOK      12.216       GBP      296,670         9,590   

GBP versus NOK

    Put    Goldman Sachs International    06/14/2016    NOK      12.324       GBP      416,498         15,802   

GBP versus NOK

    Put    UBS    06/14/2016    NOK      11.743       GBP      419,023         6,248   

USD versus CAD

    Put    Goldman Sachs International    01/23/2017    CAD      1.337       USD      15,760,202         330,916   

USD versus JPY

    Put    Barclays Bank PLC    09/09/2016    JPY      117.370       USD      20,000,000         406,149   

USD versus JPY

    Put    Citigroup Global Markets Inc.    09/09/2016    JPY      119.301       USD      743,000         19,678   

USD versus JPY

    Put    Deutsche Bank Securities Inc.    09/09/2016    JPY      118.051       USD      3,723,000         83,072   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Over-The-Counter Foreign Currency Options Purchased – (continued)

 

  

Description    Type of
Contract		    Counterparty    Expiration Date    Strike Price      Notional Value      Value  

USD versus JPY

    Put    Deutsche Bank Securities Inc.    09/09/2016    JPY      118.130       USD      5,000,000       $ 112,806   

USD versus JPY

    Put    Goldman Sachs International    09/09/2016    JPY      118.050       USD      2,066,000         46,099   

USD versus KRW

    Put    Goldman Sachs International    09/09/2016    KRW      1,156.000       USD      4,141,692         64,299   

Subtotal – Over-The-Counter Foreign Currency Put Options Purchased

             $ 3,444,191   

Total Over-The-Counter Foreign Currency Options Purchased – Currency Risk

             $ 5,475,608   

Total Options Purchases (Cost $9,697,075)

             $   12,626,317   
Abbreviations:         
CAD – Canadian Dollar    JPY – Japanese Yen    USD – U.S. Dollar   
EUR – Euro    KRW – South Korean Won      
GBP – British Pound Sterling    NOK – Norwegian Krone      

 

Open Over-The-Counter Index Options Written

 

  

Description   Type of
Contract		   Counterparty   Expiration
Date		   Number of
Contracts		   Strike Price     Premiums
Received		     Notional
Value(e)		     Value     Unrealized
Appreciation
(Depreciation)		  

DAX Index

   Put   Bank of America Merrill Lynch   02/19/2016   33     EUR        10,400      $ 37,822        EUR        1,716,000      $ 113,171      $ (75,349)   

DAX Index

   Put   Bank of America Merrill Lynch   02/19/2016   33     EUR        10,500        42,161        EUR        1,732,500        128,927        (86,766)   

DAX Index

   Put   Bank of America Merrill Lynch   02/19/2016   5     EUR        10,550        6,734        EUR        263,750        20,769        (14,035)   

DAX Index

   Put   Bank of America Merrill Lynch   02/19/2016   33     EUR        10,600        46,905        EUR        1,749,000        145,383        (98,478)   

DAX Index

   Put   Goldman Sachs International   02/19/2016   7     EUR        10,300        12,912        EUR        360,500        20,861        (7,949)   

M1EF Index

   Put   Bank of America Merrill Lynch   03/18/2016   5     USD        340        8,500        USD        170,000        12,656        (4,156)   

M1EF Index

   Put   Goldman Sachs International   03/18/2016   17     USD        300        18,819        USD        510,000        11,478        7,341   

M1EF Index

   Put   Goldman Sachs International   03/18/2016   9     USD        330        17,100        USD        297,000        16,808        292   

M1EF Index

   Put   Goldman Sachs International   03/18/2016   11     USD        340        13,475        USD        374,000        27,843        (14,368)   

M1EF Index

   Put   Goldman Sachs International   03/18/2016   6     USD        360        15,426        USD        216,000        25,291        (9,865)   

M1EF Index

   Put   UBS   03/18/2016   8     USD        340        20,600        USD        272,000        20,250        350   

M1EF Index

   Put   UBS   03/18/2016   7     USD        350        19,320        USD        245,000        23,276        (3,956)   

M1EF Index

   Put   UBS   03/18/2016   102     USD        350        318,584        USD        3,570,000        339,164        (20,580)   

M1EF Index

   Put   UBS   03/18/2016   6     USD        360        9,480        USD        216,000        25,291        (15,811)   

Total Over-The-Counter Index Options Written

   282                   $ 587,838                      $ 931,168      $ (343,330)   

Open Exchange-Traded Index Options Written(f)

 

  

Description   Type of
Contract		   Counterparty   Expiration
Date		  

Number

of
Contracts

   Strike Price     Premiums
Received		     Notional
Value(e)		     Value     Unrealized
Appreciation
(Depreciation)		  

FTSE MIB Index

   Put   Bank of America Merrill Lynch   03/18/2016   6     EUR        20,500      $ 17,370        EUR        307,500      $ 33,118      $ (15,748)   

FTSE MIB Index

   Put   Bank of America Merrill Lynch   03/18/2016   12     EUR        19,000        31,410        EUR        570,000        33,801        (2,391)   

FTSE MIB Index

   Put   Bank of America Merrill Lynch   03/18/2016   166     EUR        21,000        390,595        EUR        8,715,000        1,103,744        (713,149)   

FTSE MIB Index

   Put   UBS   03/18/2016   13     EUR        20,000        30,297        EUR        650,000        58,517        (28,220)   

SX5E Index

   Put   Goldman Sachs International   03/18/2016   3     EUR        2,950        4,025        EUR        88,500        2,698        1,327   

SX5E Index

   Put   UBS   03/18/2016   3     EUR        3,050        4,079        EUR        91,500        4,017        62   

SX5E Index

   Put   UBS   03/18/2016   5     EUR        3,100        8,342        EUR        155,000        8,092        250   

SX5E Index

   Put   UBS   03/18/2016   8     EUR        3,250        9,532        EUR        260,000        21,624        (12,092)   

SX5E Index

   Put   UBS   03/18/2016   67     EUR        3,200        90,940        EUR        2,144,000        154,242        (63,302)   

SX7E Index

   Put   Bank of America Merrill Lynch   12/16/2016   1,189     EUR        90        455,591        EUR        5,350,500        437,955        17,636   

SX7E Index

   Put   Goldman Sachs International   12/16/2016   595     EUR        90        224,770        EUR        2,677,500        219,162        5,608   

SX7E Index

   Put   UBS   12/16/2016   594     EUR        90        229,228        EUR        2,673,000        218,793        10,435   

Subtotal - Exchange-Traded Index Put Options Written

   2,661                   $ 1,496,179                      $ 2,295,763      $ (799,584)   

Total Index Options Written - Equity Risk

   2,943                   $  2,084,017                      $   3,226,931      $ (1,142,914)   
Currency Abbreviations:
EUR - Euro    USD – U.S. Dollar

 

(e)  Notional Value is calculated by multiplying the Number of Contracts by the Strike Price by the multiplier.

 

(f)  Index options written collateralized by $1,132,642 cash held with Bank of America Merrill Lynch.

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Over-The-Counter Foreign Currency Options Written

 

  

Description    Type of
Contract		    Counterparty    Expiration
Date		      Strike Price      Premiums
Received		      Notional Value      Value      Unrealized
Appreciation
(Depreciation)		  

CAD versus USD

    Call    Barclays Bank PLC      02/10/2016         CAD         1.334       $ 2,647         USD         169,875       $ 8,151       $ (5,504)   

CAD versus USD

    Call    Citigroup Global Markets Inc.      03/08/2016         CAD         1.345         26,366         USD         1,246,284         52,757         (26,391)   

CAD versus USD

    Call    Citigroup Global Markets Inc.      03/08/2016         CAD         1.359         19,924         USD         1,246,284         42,504         (22,580)   

CAD versus USD

    Call    Citigroup Global Markets Inc.      03/08/2016         CAD         1.372         14,777         USD         1,246,284         33,189         (18,412)   

CAD versus USD

    Call    Citigroup Global Markets Inc.      04/08/2016         CAD         1.397         39,417         USD         1,649,586         33,725         5,692   

CAD versus USD

    Call    Citigroup Global Markets Inc.      04/08/2016         CAD         1.411         30,559         USD         1,649,586         26,141         4,418   

CAD versus USD

    Call    Citigroup Global Markets Inc.      04/08/2016         CAD         1.426         23,721         USD         1,649,586         19,981         3,740   

CAD versus USD

    Call    Deutsche Bank Securities Inc.      02/10/2016         CAD         1.314         25,064         USD         1,144,500         71,153         (46,089)   

CAD versus USD

    Call    Deutsche Bank Securities Inc.      02/10/2016         CAD         1.328         19,216         USD         1,144,500         60,381         (41,165)   

CAD versus USD

    Call    Deutsche Bank Securities Inc.      02/10/2016         CAD         1.341         14,410         USD         1,144,500         49,735         (35,325)   

CAD versus USD

    Call    Goldman Sachs International      02/10/2016         CAD         1.331         2,789         USD         167,040         8,366         (5,577)   

CAD versus USD

    Call    Goldman Sachs International      02/10/2016         CAD         1.369         9,408         USD         665,343         16,743         (7,335)   

CAD versus USD

    Call    Goldman Sachs International      02/10/2016         CAD         1.383         6,071         USD         513,099         8,831         (2,760)   

CAD versus USD

    Call    Goldman Sachs International      02/10/2016         CAD         1.454         3,299         USD         266,342         173         3,126   

CAD versus USD

    Call    Goldman Sachs International      03/08/2016         CAD         1.369         11,124         USD         665,343         19,049         (7,925)   

CAD versus USD

    Call    Goldman Sachs International      03/08/2016         CAD         1.382         7,722         USD         513,099         11,222         (3,500)   

CAD versus USD

    Call    Goldman Sachs International      03/08/2016         CAD         1.454         4,250         USD         266,342         860         3,390   

CAD versus USD

    Call    Goldman Sachs International      04/08/2016         CAD         1.454         5,540         USD         266,342         1,835         3,705   

NOK versus GBP

    Call    Barclays Bank PLC      06/14/2016         NOK         13.236         12,651         GBP         385,823         4,930         7,721   

NOK versus GBP

    Call    Barclays Bank PLC      06/14/2016         NOK         13.300         9,619         GBP         321,453         3,730         5,889   

NOK versus GBP

    Call    Barclays Bank PLC      06/14/2016         NOK         13.590         5,679         GBP         188,495         1,416         4,263   

NOK versus GBP

    Call    Barclays Bank PLC      06/14/2016         NOK         13.643         4,059         GBP         150,000         1,042         3,017   

NOK versus GBP

    Call    Barclays Bank PLC      06/14/2016         NOK         13.866         6,368         GBP         311,141         1,555         4,813   

NOK versus GBP

    Call    Citigroup Global Markets Inc.      06/14/2016         NOK         13.396         6,417         GBP         301,747         3,031         3,386   

NOK versus GBP

    Call    Deutsche Bank Securities Inc.      06/14/2016         NOK         13.240         7,862         GBP         238,538         3,030         4,832   

NOK versus GBP

    Call    Deutsche Bank Securities Inc.      06/14/2016         NOK         13.653         10,868         GBP         410,550         2,808         8,060   

NOK versus GBP

    Call    Goldman Sachs International      06/14/2016         NOK         12.895         159,963         GBP         4,400,000         93,519         66,444   

NOK versus GBP

    Call    Goldman Sachs International      06/14/2016         NOK         13.844         11,425         GBP         880,651         4,546         6,879   

NOK versus GBP

    Call    Goldman Sachs International      06/14/2016         NOK         14.023         4,063         GBP         320,682         1,278         2,785   

NOK versus GBP

    Call    Goldman Sachs International      06/14/2016         NOK         14.055         4,896         GBP         296,670         1,130         3,766   

NOK versus GBP

    Call    Goldman Sachs International      06/14/2016         NOK         14.180         7,727         GBP         416,498         1,329         6,398   

NOK versus GBP

    Call    UBS      06/14/2016         NOK         13.511         6,145         GBP         419,023         3,541         2,604   

USD versus EUR

    Call    Barclays Bank PLC      01/13/2020         USD         1.270         33,953         EUR         338,440         19,693         14,260   

USD versus EUR

    Call    Barclays Bank PLC      01/27/2020         USD         1.222         66,630         EUR         640,440         47,209         19,421   

USD versus EUR

    Call    Barclays Bank PLC      03/12/2020         USD         1.170         13,404         EUR         132,118         12,767         637   

USD versus EUR

    Call    Barclays Bank PLC      04/03/2020         USD         1.172         44,779         EUR         431,984         42,577         2,202   

USD versus EUR

    Call    Barclays Bank PLC      04/22/2020         USD         1.172         36,888         EUR         351,372         34,631         2,257   

USD versus EUR

    Call    Barclays Bank PLC      05/12/2020         USD         1.225         12,182         EUR         119,640         9,513         2,669   

USD versus EUR

    Call    Barclays Bank PLC      06/03/2020         USD         1.218         52,930         EUR         509,824         42,543         10,387   

USD versus EUR

    Call    Barclays Bank PLC      06/26/2020         USD         1.220         57,422         EUR         578,405         48,768         8,654   

USD versus EUR

    Call    Barclays Bank PLC      07/10/2020         USD         1.213         48,840         EUR         477,259         41,901         6,939   

USD versus EUR

    Call    Barclays Bank PLC      07/16/2020         USD         1.188         42,457         EUR         437,856         42,864         (407)   

USD versus EUR

    Call    Barclays Bank PLC      08/25/2020         USD         1.177         79,273         EUR         754,643         79,350         (77)   

USD versus EUR

    Call    Citigroup Global Markets Inc.      08/25/2020         USD         1.194         36,552         EUR         363,370         35,732         820   

USD versus EUR

    Call    Citigroup Global Markets Inc.      08/25/2020         USD         1.228         36,638         EUR         353,889         30,204         6,434   

USD versus EUR

    Call    Deutsche Bank Securities Inc.      08/25/2020         USD         1.205         32,515         EUR         320,544         30,073         2,442   

USD versus EUR

    Call    Deutsche Bank Securities Inc.      07/01/2020         USD         1.210         36,515         EUR         358,640         31,652         4,863   

USD versus EUR

    Call    Goldman Sachs International      12/12/2019         USD         1.350         283,731         EUR         2,792,791         107,659         176,072   

USD versus EUR

    Call    Goldman Sachs International      01/21/2020         USD         1.253         30,213         EUR         310,284         19,701         10,512   

USD versus EUR

    Call    Goldman Sachs International      02/06/2020         USD         1.234         22,003         EUR         238,027         16,760         5,243   

USD versus EUR

    Call    Goldman Sachs International      04/15/2020         USD         1.159         63,718         EUR         618,354         64,139         (421)   

USD versus EUR

    Call    Goldman Sachs International      07/29/2020         USD         1.204         19,856         EUR         200,000         18,481         1,375   

USD versus EUR

    Call    Goldman Sachs International      08/25/2020         USD         1.171         58,508         EUR         565,767         60,949         (2,441)   

USD versus EUR

    Call    Goldman Sachs International      08/25/2020         USD         1.181         88,316         EUR         840,208         87,105         1,211   

USD versus EUR

    Call    Goldman Sachs International      08/25/2020         USD         1.182         99,575         EUR         940,625         97,121         2,454   

USD versus EUR

    Call    Goldman Sachs International      08/25/2020         USD         1.192         150,346         EUR         1,446,909         143,446         6,900   

USD versus EUR

    Call    Goldman Sachs International      08/25/2020         USD         1.203         172,876         EUR         1,678,227         158,745         14,131   

USD versus EUR

    Call    Goldman Sachs International      08/25/2020         USD         1.210         42,970         EUR         422,926         38,953         4,017   

Subtotal – Over-The-Counter Foreign Currency Call Options Written

  

    $   2,187,136                $   1,954,217       $   232,919   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Over-The-Counter Foreign Currency Options Written – (continued)

 

  

Description    Type of
Contract		   Counterparty   Expiration
Date		     Strike Price   Premiums
Received		     Notional Value     Value     Unrealized
Appreciation
(Depreciation)		  

EUR versus USD

    Put   Barclays Bank PLC     02/17/2016      USD   1.054   $ 3,817        EUR        237,166      $ 243      $ 3,574   

EUR versus USD

    Put   Citigroup Global Markets Inc.     03/18/2016      USD   1.055     12,774        EUR        1,299,106        6,310        6,464   

EUR versus USD

    Put   Citigroup Global Markets Inc.     03/18/2016      USD   1.066     16,799        EUR        1,299,106        9,943        6,856   

EUR versus USD

    Put   Citigroup Global Markets Inc.     03/18/2016      USD   1.077     21,819        EUR        1,299,106        15,114        6,705   

EUR versus USD

    Put   Deutsche Bank Securities Inc.     02/17/2016      USD   1.037     14,613        EUR        1,121,299        247        14,366   

EUR versus USD

    Put   Deutsche Bank Securities Inc.     02/17/2016      USD   1.048     18,385        EUR        1,121,299        671        17,714   

EUR versus USD

    Put   Deutsche Bank Securities Inc.     02/17/2016      USD   1.059     22,803        EUR        1,121,299        1,718        21,085   

EUR versus USD

    Put   Deutsche Bank Securities Inc.     04/15/2016      USD   1.054     10,207        EUR        1,427,550        12,383        (2,176)   

EUR versus USD

    Put   Deutsche Bank Securities Inc.     04/15/2016      USD   1.065     13,870        EUR        1,427,550        17,136        (3,266)   

EUR versus USD

    Put   Deutsche Bank Securities Inc.     04/15/2016      USD   1.076     18,482        EUR        1,427,550        23,198        (4,716)   

EUR versus USD

    Put   Goldman Sachs International     02/17/2016      USD   1.051     1,400        EUR        88,401        69        1,331   

EUR versus USD

    Put   Goldman Sachs International     02/17/2016      USD   1.063     894        EUR        293,945        641        253   

EUR versus USD

    Put   Goldman Sachs International     02/17/2016      USD   1.072     2,329        EUR        310,181        1,343        986   

EUR versus USD

    Put   Goldman Sachs International     02/17/2016      USD   1.083     5,167        EUR        524,446        4,549        618   

EUR versus USD

    Put   Goldman Sachs International     03/18/2016      USD   1.064     2,180        EUR        293,945        2,040        140   

EUR versus USD

    Put   Goldman Sachs International     03/18/2016      USD   1.073     3,794        EUR        310,181        3,134        660   

EUR versus USD

    Put   Goldman Sachs International     03/18/2016      USD   1.084     7,160        EUR        524,446        7,775        (615)   

EUR versus USD

    Put   Goldman Sachs International     04/15/2016      USD   1.065     3,025        EUR        293,945        3,449        (424)   

USD versus CAD

    Put   Barclays Bank PLC     07/15/2020      CAD   1.245     361,346        USD        4,309,000        212,996        148,350   

USD versus CAD

    Put   Barclays Bank PLC     08/25/2020      CAD   1.310     43,062        USD        509,625        36,255        6,807   

USD versus CAD

    Put   Deutsche Bank Securities Inc.     07/15/2020      CAD   1.245     369,792        USD        4,309,000        212,996        156,796   

USD versus CAD

    Put   Deutsche Bank Securities Inc.     08/25/2020      CAD   1.416     73,651        USD        779,456        87,554        (13,903)   

USD versus CAD

    Put   Goldman Sachs International     08/25/2020      CAD   1.282     55,008        USD        648,000        40,022        14,986   

USD versus CAD

    Put   Goldman Sachs International     08/25/2020      CAD   1.306     88,000        USD        1,020,000        70,972        17,028   

USD versus CAD

    Put   Goldman Sachs International     08/25/2020      CAD   1.309     42,664        USD        516,240        36,462        6,202   

USD versus CAD

    Put   Goldman Sachs International     08/25/2020      CAD   1.337     162,816        USD        1,996,030        160,787        2,029   

USD versus CAD

    Put   Goldman Sachs International     08/25/2020      CAD   1.345     125,918        USD        1,506,703        125,714        204   

USD versus CAD

    Put   Goldman Sachs International     08/25/2020      CAD   1.417     77,653        USD        799,027        89,925        (12,272)   

USD versus JPY

    Put   Citigroup Global Markets Inc.     09/09/2016      JPY   121.250     51,421        USD        1,579,722        54,236        (2,815)   

USD versus KRW

    Put   Barclays Bank PLC     09/09/2016      KRW   1,160.070     28,812        USD        736,125        12,300        16,512   

USD versus KRW

    Put   Barclays Bank PLC     09/09/2016      KRW   1,165.500     83,360        USD        2,242,063        41,209        42,151   

USD versus KRW

    Put   Barclays Bank PLC     09/09/2016      KRW   1,185.000     102,436        USD        2,661,373        67,202        35,234   

USD versus KRW

    Put   Barclays Bank PLC     09/09/2016      KRW   1,200.050     160,193        USD        3,305,000        103,973        56,220   

USD versus KRW

    Put   Barclays Bank PLC     09/09/2016      KRW   1,216.000     130,101        USD        3,325,680        129,197        904   

USD versus KRW

    Put   Barclays Bank PLC     09/09/2016      KRW   1,190.500     190,467        USD        5,536,845        151,878        38,589   

USD versus KRW

    Put   Citigroup Global Markets Inc.     09/09/2016      KRW   1,195.250     10,158        USD        205,000        6,026        4,132   

USD versus KRW

    Put   Deutsche Bank Securities Inc.     09/09/2016      KRW   1,210.260     301,432        USD        8,200,000        295,998        5,434   

USD versus KRW

    Put   Goldman Sachs International     09/09/2016      KRW   1,205.800     306,122        USD        6,222,000        211,737        94,385   

Subtotal – Over-The-Counter Foreign Currency Put Options Written

   $   2,943,930              $ 2,257,402      $ 686,528   

Total Foreign Currency Options Written - Currency Risk

       $ 5,131,066                      $   4,211,619      $   919,447   

Currency Abbreviations:

 

CAD – Canadian Dollar

    GBP – British Pound Sterling    NOK – Norwegian Krone    USD – United States Dollar
EUR – Euro    JPY – Japanese Yen    KRW – South Korean Won

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Over-The-Counter Swaptions Written

 

  
Description   Type of
Contract		   Counterparty   Exercise
Rate		   Pay/Receive
Exercise Rate		   Floating Rate Index   Expiration
Date		   Premiums
Received		     Notional Value     Value     Unrealized
Appreciation		  
5 Year Interest Rate Swap   Call   Barclays Bank PLC   1.59   Receive   3 Month USD LIBOR   02/16/2016   $ 525      USD     150,000      $ 96      $ 429   
5 Year Interest Rate Swap   Call   Goldman Sachs
International		   1.53   Receive   3 Month USD LIBOR   02/29/2016     70      USD     22,000        20        50   

Subtotal – Over-The-Counter Call Swaptions Written

       $ 595                  $ 116      $ 479   
5 Year Interest Rate Swap   Put   Barclays Bank PLC   2.27   Pay   6 Month GBP LIBOR   11/20/2020     44,172      GBP     875,680        35,887        8,285   
5 Year Interest Rate Swap   Put   Goldman Sachs
International		   2.43   Pay   6 Month GBP LIBOR   11/13/2020     87,632      GBP     1,764,921        64,624        23,008   
5 Year Interest Rate Swap   Put   Goldman Sachs
International		   2.37   Pay   6 Month GBP LIBOR   12/29/2020     154,043      GBP     3,153,446        122,619        31,424   
5 Year Interest Rate Swap   Put   Morgan Stanley
Capital Services
LLC		   2.73   Pay   6 Month GBP LIBOR   07/16/2020     76,795      GBP     1,500,000        41,709        35,086   
5 Year Interest Rate Swap   Put   Morgan Stanley
Capital Services
LLC		   2.32   Pay   6 Month GBP LIBOR   08/25/2020     119,068      GBP     2,329,187        88,800        30,268   
5 Year Interest Rate Swap   Put   Morgan Stanley
Capital Services
LLC		   2.28   Pay   6 Month GBP LIBOR   10/16/2020     884,511      GBP     17,350,000        695,991        188,520   
5 Year Interest Rate Swap   Put   Morgan Stanley
Capital Services
LLC		   2.24   Pay   6 Month GBP LIBOR   01/07/2021     65,481      GBP     1,347,895        57,407        8,074   
5 Year Interest Rate Swap   Put   Royal Bank of
Scotland Securities
Inc.		   2.75   Pay   6 Month GBP LIBOR   07/10/2020     87,817      GBP     1,700,000        46,409        41,408   

Subtotal – Over-The-Counter Put Swaptions Written

   $ 1,519,519            $ 1,153,446      $ 366,073   

Total Swaptions Written - Interest Rate Risk

           $ 1,520,114            $ 1,153,562      $ 366,552   

Total - Options Written

   $ 8,735,197            $ 8,592,112      $ 143,085   

 

Abbreviations:
GBP – British Pound Sterling
LIBOR – London Interbank Offered Rate
USD – U.S. Dollar

 

Options Written Transactions
     Call Options
      Number of
Contracts*		         Notional
Value		          

Notional

Value

          Notional Value           Notional Value   Premiums
Received

Beginning of period

    149   EUR    9,996,163     GBP       6,707,747    HKD      105,700,000      USD    16,950,500   $1,941,208

Written

    36   EUR    6,226,379     GBP       2,333,524    HKD      32,380,000      USD    17,464,047   981,189

Closed

    (143)        —            —    HKD      (98,650,000 )    USD    (13,102,612)   (683,432)

Exercised

    —        —            —           —           —   —

Expired

    (42)      —      —    HKD      (39,430,000 )    USD    (5,526,000)   (51,234)

End of period

    —   EUR    16,222,542     GBP       9,041,271    HKD      —      USD    15,785,935   2,187,731
   Put Options
      Number of
Contracts*		         Notional
Value		           Notional
Value		          Notional Value           Notional Value   Premiums
Received

Beginning of period

    1,210   EUR    49,756,823     GBP       22,879,187    JPY      2,751,000,000      USD    33,515,000   $6,521,659

Written

    3,009   EUR    50,149,142     GBP       7,141,942    JPY      1,330,750,000      USD    45,016,219   4,581,763

Closed

    (1,056)   EUR    (45,773,020)            —    JPY      (3,322,750,000 )    USD    (22,254,330)   (4,098,227)

Exercised

    —        —            —           —           —   —

Expired

    (220)   EUR    (10,208,174)      —    JPY      (759,000,000 )       —   (457,729)

End of period

    2,943   EUR    43,924,771     GBP       30,021,129    JPY      —      USD    56,276,889   6,547,466

*Does not include swaptions written and foreign currency options written.

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Futures Contracts(g)  
Futures Contracts   

Type of

Contract

    Number of
Contracts		    Expiration Month    Notional Value      Unrealized
Appreciation
(Depreciation)		  

CAA Index

    Long    1,999    March-2016      11,434,457       $ (2,803,642)   

DAX Index

    Long    27    March-2016      7,134,184         (522,518)   

E-Mini Consumer Staples Sector

    Long    213    March-2016      10,822,530         209,888   

FTSE 100 Index

    Long    72    March-2016      6,162,965         112,128   

E-Mini S&P 500 Index

    Long    20    March-2016      1,930,100         44,010   

Nikkei 225

    Long    50    March-2016      3,654,030         (197,494)   

E-Mini Consumer Discretionary Sector

    Short    147    March-2016      (10,925,040)         588,768   

MSCI AC Asia Index

    Short    372    March-2016      (11,578,091)         575,363   

Russell 2000 Index Mini

    Short    103    March-2016      (10,623,420)         883,173   

STOXX Europe 600 Index

    Short    712    March-2016      (13,085,872)         624,371   

Total - Futures Contracts – Equity Risk

                            $         (485,953)   

 

(g)  Futures contracts collateralized by $3,566,083 cash held with Bank of America Merrill Lynch, the futures commission merchant.

 

Open Centrally Cleared Credit Default Swap Agreements(h)(i)

 

  

Counterparty/

Clearinghouse

    Reference Entity    Buy/Sell
Protection		    (Pay)/Receive
Fixed Rate		   Implied
Credit
Spread(g)		   Expiration Date              Notional
Value		      Upfront
Payments Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		  
Credit Suisse First Boston/ICE    Markit iTraxx Europe
Index		    Sell    1.00%   0.92%     December-2020         EUR         1,255,000       $ 10,922       $ (5,559)   
Credit Suisse First Boston/ICE    Markit iTraxx Europe
Index		    Sell    1.00   1.25     December-2025         EUR         48,070,485         (844,207)         (359,093)   
Credit Suisse First Boston/CME    Markit CDX NA HY
Index		    Sell    5.00   5.04     December-2020         USD         277,000         (4,072)         3,352   
Credit Suisse First Boston/ICE    Markit iTraxx Europe
Index		    Buy    (1.00)   0.92     December-2020         EUR         41,312,485         (461,295)         281,394   
Credit Suisse First Boston/CME    Markit CDX NA HY
Index		    Buy    (5.00)   5.04     December-2020         USD         3,772,000         (4,627)         14,434   

Total - Credit Default Swap Agreements - Credit Risk

                              $         (1,303,279)       $         (65,472)   

 

Abbreviations:
CME - Chicago Mercantile Exchange    ICE - Intercontinental Exchange
EUR - Euro    USD – U.S. Dollar

 

(h)  Implied credit spreads represent the current level as of January 31, 2016 at which protection could be bought or sold given the terms of the existing credit default swap contract and serve as an indicator of the current status of the payment/performance risk of the credit default swap contract. An implied credit spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit spread markets generally.

 

Open Centrally Cleared Interest Rate Swap Agreements(i)

 

  
Counterparty/ Clearinghouse    Pay/Receive
Floating
Rate		    Floating Rate Index    Fixed
Rate		     Termination Date    Notional Value      Unrealized
Appreciation
(Depreciation)		  

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.240 %    November-2020    EUR      27,032,000       $         (252,859)   

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.227      November-2020    EUR      20,177,000         (175,091 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.180      November-2020    EUR      1,414,000         (8,761 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.306      December-2020    EUR      4,115,000         (52,589 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.301      December-2020    EUR      1,937,000         (24,286 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.300      December-2020    EUR      1,936,000         (24,117 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.344      December-2020    EUR      2,789,000         (40,999 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.346      December-2020    EUR      3,787,000         (56,184 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.208      January-2021    EUR      2,352,000         (16,746 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.216      January-2021    EUR      1,764,000         (13,381 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      0.208      January-2021    EUR      1,432,000         (10,165 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      1.685      November-2029    EUR      707,000         (35,218 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      1.825      July-2049    EUR      3,971,379         (359,134 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      1.880      July-2049    EUR      5,895,621         (621,054 ) 

Credit Suisse First Boston/CME

    Receive    6 Month EUR LIBOR      2.014      July-2049    EUR      547,000         (77,819 ) 

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Centrally Cleared Interest Rate Swap Agreements(i) – (continued)   
Counterparty/Clearinghouse      Pay/Receive
Floating
Rate		      Floating Rate Index      Fixed
Rate		    Termination Date      Notional Value        Unrealized
Appreciation
(Depreciation)		  

Credit Suisse First Boston/CME

      Receive      6 Month EUR LIBOR          1.819%    July-2049        EUR           270,000         $ (24,105)   

Credit Suisse First Boston/CME

      Receive      6 Month EUR LIBOR      1.800    September-2049        EUR           446,000           (36,911)   

Credit Suisse First Boston/CME

      Receive      6 Month EUR LIBOR      1.740    October-2049        EUR           401,000           (26,289)   

Credit Suisse First Boston/CME

      Receive      6 Month EUR LIBOR      1.738    October-2049        EUR           506,000           (32,635)   

Credit Suisse First Boston/CME

      Receive      6 Month EUR LIBOR      1.702    October-2049        EUR           505,000           (27,436)   

Credit Suisse First Boston/CME

      Receive      6 Month EUR LIBOR      1.834    November-2049        EUR           884,000           (79,221)   

Credit Suisse First Boston/CME

      Receive      6 Month EUR LIBOR      1.825    December-2049        EUR           2,098,000           (182,261)   

Credit Suisse First Boston/CME

      Receive      6 Month EUR LIBOR      1.812    December-2049        EUR           1,821,000           (151,686)   

Credit Suisse First Boston/CME

      Receive      6 Month EUR LIBOR      1.680    January-2050        EUR           1,176,000           (55,287)   

Credit Suisse First Boston/CME

      Receive      6 Month EUR LIBOR      1.733    January-2050        EUR           1,050,000           (64,391)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.463    May-2025        GBP           8,364,000           (265,850)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.680    June-2025        GBP           350,000           (16,451)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.807    June-2025        GBP           772,000           (42,953)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.795    July-2025        GBP           477,000           (26,026)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.761    July-2025        GBP           643,000           (33,325)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.750    July-2025        GBP           850,000           (43,373)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.710    July-2025        GBP           427,000           (20,479)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.730    July-2025        GBP           750,000           (37,053)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.550    July-2025        GBP           280,000           (10,124)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.320    August-2025        GBP           1,164,594           (22,159)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.358    September-2025        GBP           821,000           (17,396)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.300    September-2025        GBP           622,000           (10,561)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.293    October-2025        GBP           639,000           (10,267)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.280    October-2025        GBP           7,634,000           (115,488)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.283    October-2025        GBP           136,000           (2,055)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.430    November-2025        GBP           776,565           (19,495)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.411    November-2025        GBP           718,000           (17,070)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.270    November-2025        GBP           385,299           (5,291)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.264    November-2025        GBP           630,000           (8,389)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.370    December-2025        GBP           1,387,516           (27,698)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.392    December-2025        GBP           1,723,000           (36,976)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.319    January-2026        GBP           641,000           (10,523)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.240    January-2026        GBP           593,074           (6,596)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.205    January-2026        GBP           838,000           (7,276)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.031    December-2045        GBP           1,388,000           (105,420)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.042    December-2045        GBP           1,399,000           (111,759)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      1.972    December-2045        GBP           737,000           (40,325)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      1.985    December-2045        GBP           867,100           (51,591)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.045    December-2045        GBP           1,090,000           (88,693)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.100    December-2045        GBP           443,000           (44,910)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.098    December-2045        GBP           447,000           (44,913)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.116    December-2045        GBP           557,000           (59,573)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.113    December-2045        GBP           553,000           (58,555)   

Credit Suisse First Boston/CME

      Receive      6 Month GBP LIBOR      2.050    January-2046        GBP           301,000           (25,279)   

Credit Suisse First Boston/CME

      Receive      3 Month USD LIBOR      2.670    December-2045        USD           5,312,000           (419,987)   

Credit Suisse First Boston/CME

      Receive      3 Month USD LIBOR      2.657    December-2045        USD           629,000           (48,164)   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.666    September-2025        AUD           4,096,000           62,638   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.683    September-2025        AUD           8,185,000           129,225   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.666    September-2025        AUD           5,513,000           84,308   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.474    October-2025        AUD           644,000           5,958   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.445    October-2025        AUD           690,000           5,560   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.618    November-2025        AUD           1,288,000           16,870   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.590    November-2025        AUD           4,937,000           60,371   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.612    November-2025        AUD           4,936,000           63,685   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.525    December-2025        AUD           6,621,000           66,156   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.498    December-2025        AUD           4,045,000           36,545   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.196    January-2026        AUD           3,571,000           (198)   

Credit Suisse First Boston/CME

      Pay      6 Month AUD LIBOR      3.285    January-2026        AUD           4,291,000           10,886   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.831    July-2029        EUR           9,928,446           485,123   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Centrally Cleared Interest Rate Swap Agreements(i) – (continued)   
Counterparty/Clearinghouse      Pay/Receive
Floating
Rate		      Floating Rate Index      Fixed
Rate		    Termination Date      Notional Value        Unrealized
Appreciation
(Depreciation)		  

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR          1.881%    July-2029        EUR           14,738,554         $ 794,556   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.998    July-2029        EUR           1,368,000           90,599   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.805    July-2029        EUR           700,000           31,921   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.770    September-2029        EUR           1,114,000           44,087   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.721    October-2029        EUR           1,002,000           33,934   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.693    October-2029        EUR           1,264,000           37,979   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.622    October-2029        EUR           1,262,000           27,669   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.760    November-2029        EUR           2,211,000           78,586   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.632    November-2029        EUR           1,768,000           38,948   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.808    December-2029        EUR           5,244,000           206,924   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.792    December-2029        EUR           4,531,000           169,131   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.653    January-2030        EUR           2,939,000           64,299   

Credit Suisse First Boston/CME

      Pay      6 Month EUR LIBOR      1.693    January-2030        EUR           2,626,000           68,320   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.290    July-2025        SEK           45,000,000           45,092   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.260    July-2025        SEK           14,892,000           12,257   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.578    July-2025        SEK           44,676,719           114,678   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.476    July-2025        SEK           44,677,000           89,565   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.395    July-2025        SEK           16,680,000           26,024   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.305    July-2025        SEK           18,514,281           19,666   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.260    July-2025        SEK           17,000,000           13,400   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.236    September-2025        SEK           7,042,000           3,347   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.275    October-2025        SEK           10,606,000           7,053   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.265    October-2025        SEK           8,198,000           4,608   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.205    October-2025        SEK           8,526,000           1,758   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.470    November-2025        SEK           14,717,000           23,079   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.373    November-2025        SEK           13,133,000           13,479   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.534    December-2025        SEK           36,231,000           66,390   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.655    January-2026        SEK           34,380,000           83,686   

Credit Suisse First Boston/CME

      Pay      3 Month SEK LIBOR      2.313    January-2026        SEK           21,817,000           11,576   

Subtotal – Centrally Cleared Interest Rate Swap Agreements

  

                 $     (1,110,930)   

Abbreviations:

 

AUD – Australian Dollar

    EUR – Euro    LIBOR – London Interbank Offered Rate    USD – U.S. Dollar

CME – Chicago Mercantile Exchange

    GBP – British Pound Sterling    SEK – Swedish Krona   

 

(i)  Centrally cleared swap agreements collateralized by $4,376,522 cash held with Credit Suisse First Boston.

 

Open Over-The-Counter Inflation Swap Agreements   
Counterparty      Pay/Receive
Floating Rate		      Floating Rate Index      Fixed
Rate		    Termination Date      Notional Value        Unrealized
Appreciation
(Depreciation)		  

Citigroup Global Markets Inc.

      Pay      United Kingdom RPI          3.178%    May-2025        GBP           319,719         $ 21,184   

Citigroup Global Markets Inc.

      Pay      United Kingdom RPI      3.130    July-2025        GBP           550,000           27,061   

Citigroup Global Markets Inc.

      Pay      United Kingdom RPI      3.190    July-2025        GBP           854,000           50,648   

Citigroup Global Markets Inc.

      Pay      United Kingdom RPI      3.248    July-2025        GBP           954,000           65,893   

Citigroup Global Markets Inc.

      Pay      United Kingdom RPI      2.949    September-2025        GBP           1,245,000           23,101   

Deutsche Bank Securities Inc.

      Pay      United Kingdom RPI      2.932    January-2025        GBP           1,155,175           48,301   

Deutsche Bank Securities Inc.

      Pay      United Kingdom RPI      2.900    April-2025        GBP           1,817,000           44,663   

Deutsche Bank Securities Inc.

      Pay      United Kingdom RPI      2.965    April-2025        GBP           1,954,000           69,005   

Deutsche Bank Securities Inc.

      Pay      United Kingdom RPI      3.000    April-2025        GBP           1,105,000           45,432   

Deutsche Bank Securities Inc.

      Pay      United Kingdom RPI      2.926    October-2025        GBP           1,278,000           20,674   

Deutsche Bank Securities Inc.

      Pay      United Kingdom RPI      3.044    November-2025        GBP           1,261,000           33,489   

Deutsche Bank Securities Inc.

      Pay      United Kingdom RPI      3.020    January-2026        GBP           1,283,000           24,128   

Goldman Sachs International

      Pay      United Kingdom RPI      3.060    December-2025        GBP           3,450,000           89,838   

Morgan Stanley Capital Services LLC

      Pay      United Kingdom RPI      2.923    February-2025        GBP           11,857,170           436,460   

Morgan Stanley Capital Services LLC

      Pay      United Kingdom RPI      2.865    March-2025        GBP           814,000           16,145   

Morgan Stanley Capital Services LLC

      Pay      United Kingdom RPI      3.250    July-2025        GBP           1,286,000           89,327   

Morgan Stanley Capital Services LLC

      Pay      United Kingdom RPI      3.010    September-2025        GBP           1,642,000           47,023   

Morgan Stanley Capital Services LLC

      Pay      United Kingdom RPI      2.943    October-2025        GBP           272,000           5,132   

Morgan Stanley Capital Services LLC

      Pay      United Kingdom RPI      3.095    November-2025        GBP           1,393,000           48,770   

Morgan Stanley Capital Services LLC

      Pay      United Kingdom RPI      2.920    January-2026        GBP           1,676,000           4,100   

Citigroup Global Markets Inc.

      Receive      United Kingdom RPI      2.988    May-2020        GBP           319,719           (14,234)   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Over-The-Counter Inflation Swap Agreements – (continued)   
Counterparty    Pay/Receive
Floating Rate		    Floating Rate Index    Fixed
Rate		   Termination Date    Notional Value      Unrealized
Appreciation
(Depreciation)		  

Citigroup Global Markets Inc.

    Receive    United Kingdom RPI       2.880%   July-2020      GBP         550,000       $ (15,708)   

Citigroup Global Markets Inc.

    Receive    United Kingdom RPI    2.955   July-2020      GBP         854,000         (29,359)   

Citigroup Global Markets Inc.

    Receive    United Kingdom RPI    3.065   July-2020      GBP         954,000         (40,972)   

Citigroup Global Markets Inc.

    Receive    United Kingdom RPI    2.658   September-2020      GBP         1,245,000         (14,402)   

Deutsche Bank Securities Inc.

    Receive    United Kingdom RPI    2.720   January-2020      GBP         1,155,175         (43,781)   

Deutsche Bank Securities Inc.

    Receive    United Kingdom RPI    2.675   April-2020      GBP         1,817,000         (44,206)   

Deutsche Bank Securities Inc.

    Receive    United Kingdom RPI    2.740   April-2020      GBP         1,954,000         (57,287)   

Deutsche Bank Securities Inc.

    Receive    United Kingdom RPI    2.778   April-2020      GBP         1,105,000         (35,582)   

Deutsche Bank Securities Inc.

    Receive    United Kingdom RPI    2.612   October-2020      GBP         1,278,000         (12,443)   

Deutsche Bank Securities Inc.

    Receive    United Kingdom RPI    2.737   November-2020      GBP         1,261,000         (14,143)   

Deutsche Bank Securities Inc.

    Receive    United Kingdom RPI    2.745   January-2021      GBP         1,283,000         (11,730)   

Goldman Sachs International

    Receive    United Kingdom RPI    2.786   December-2020      GBP         3,450,000         (42,906)   

Morgan Stanley Capital Services LLC

    Receive    United Kingdom RPI    2.690   February-2020      GBP         11,857,170         (387,460)   

Morgan Stanley Capital Services LLC

    Receive    United Kingdom RPI    2.650   March-2020      GBP         814,000         (18,718)   

Morgan Stanley Capital Services LLC

    Receive    United Kingdom RPI    3.015   July-2020      GBP         1,286,000         (50,210)   

Morgan Stanley Capital Services LLC

    Receive    United Kingdom RPI    2.720   September-2020      GBP         1,642,000         (26,837)   

Morgan Stanley Capital Services LLC

    Receive    United Kingdom RPI    2.605   October-2020      GBP         272,000         (2,501)   

Morgan Stanley Capital Services LLC

    Receive    United Kingdom RPI    2.790   November-2020      GBP         1,393,000         (21,284)   

Morgan Stanley Capital Services LLC

    Receive    United Kingdom RPI    2.628   January-2021      GBP         1,676,000         (389)   

Subtotal – Over-The-Counter Inflation Swap Agreements

                          $ 326,222   

Total Interest Rate and Inflation Swap Agreements - Interest Rate Risk

                          $ (784,708)   

 

Abbreviations:
GBP –British Pound Sterling
RPI – Retail Price Index

 

Open Over-The-Counter Variance Swap Agreements   
Counterparty    Reference Entity    Pay/Receive
Variance		    Volatility
Strike Rate		   Expiration Date          Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Goldman Sachs International

    Hang Seng China Enterprise Index    Pay       37.00%   December-2016    HKD      133,500       $ 10,195   

Goldman Sachs International

    Hang Seng China Enterprise Index    Pay    41.05   December-2016    HKD      72,277         42,150   

Goldman Sachs International

    Hang Seng China Enterprise Index    Pay    45.00   December-2016    HKD      146,000         180,081   

HSBC New York

    Hang Seng China Enterprise Index    Pay    42.75   December-2016    HKD      54,382         40,682   

HSBC New York

    Hang Seng China Enterprise Index    Pay    43.00   December-2016    HKD      109,500         84,910   

Morgan Stanley Capital Services LLC

    Hang Seng China Enterprise Index    Pay    38.10   December-2016    HKD      58,713         13,838   

Morgan Stanley Capital Services LLC

    Hang Seng China Enterprise Index    Pay    39.25   December-2016    HKD      96,948         36,440   

Societe Generale

    Hang Seng China Enterprise Index    Pay    35.50   December-2016    HKD      92,000         18,825   

Societe Generale

    Hang Seng China Enterprise Index    Pay    35.60   December-2016    HKD      133,500         (13,637)   

Societe Generale

    Hang Seng China Enterprise Index    Pay    36.30   December-2016    HKD      138,905         32,408   

Societe Generale

    Hang Seng China Enterprise Index    Pay    37.20   December-2016    HKD      64,050         8,043   

Societe Generale

    Hang Seng China Enterprise Index    Pay    39.25   December-2016    HKD      39,942         15,013   

Societe Generale

    Hang Seng China Enterprise Index    Pay    40.00   December-2016    HKD      64,613         29,930   

Societe Generale

    Hang Seng China Enterprise Index    Pay    41.40   December-2016    HKD      54,000         46,765   

Goldman Sachs International

    Hang Seng Index    Pay    33.00   December-2016    HKD      146,000         85,718   

Morgan Stanley Capital Services LLC

    Hang Seng Index    Pay    30.60   December-2016    HKD      42,700         4,042   

Societe Generale

    Hang Seng Index    Pay    28.50   December-2016    HKD      83,000         5,968   

Societe Generale

    Hang Seng Index    Pay    32.50   December-2016    HKD      64,000         34,333   

Goldman Sachs International

    S&P 500 Index    Pay    19.90   December-2016    USD      13,845         (13,086)   

Goldman Sachs International

    S&P 500 Index    Pay    20.10   December-2016    USD      43,000         (30,584)   

Goldman Sachs International

    S&P 500 Index    Pay    21.05   December-2016    USD      5,274         (9,970)   

Goldman Sachs International

    S&P 500 Index    Pay    21.80   December-2016    USD      3,737         (2,120)   

Goldman Sachs International

    S&P 500 Index    Pay    21.90   December-2016    USD      9,173         (3,337)   

HSBC New York

    S&P 500 Index    Pay    20.25   December-2016    USD      27,630         (19,339)   

HSBC New York

    S&P 500 Index    Pay    18.75   December-2016    USD      28,000         (88,154)   

HSBC New York

    S&P 500 Index    Pay    20.15   December-2016    USD      15,400         (13,748)   

HSBC New York

    S&P 500 Index    Pay    21.50   December-2016    USD      3,956         (5,571)   

Morgan Stanley Capital Services LLC

    S&P 500 Index    Pay    21.15   December-2016    USD      4,856         (4,941)   

Morgan Stanley Capital Services LLC

    S&P 500 Index    Pay    24.58   December-2017    USD      17,827         12,989   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Over-The-Counter Variance Swap Agreements – (continued)   
Counterparty    Reference Entity    Pay/Receive
Variance		    Volatility
Strike Rate		   Expiration Date          Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Societe Generale

    S&P 500 Index    Pay       19.85%   December-2016    USD      8,910       $ (14,342)   

Societe Generale

    S&P 500 Index    Pay    20.60   December-2016    USD      13,052         (16,461)   

Societe Generale

    S&P 500 Index    Pay    21.00   December-2016    USD      5,274         (10,256)   

Societe Generale

    S&P 500 Index    Pay    21.10   December-2016    USD      9,864         (14,797)   

Societe Generale

    S&P 500 Index    Pay    21.60   December-2016    USD      5,242         (3,507)   

Societe Generale

    S&P 500 Index    Pay    21.80   December-2016    USD      28,853         3,686   

Societe Generale

    S&P 500 Index    Pay    22.30   December-2016    USD      17,168         (11,902)   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    28.85   December-2016    HKD      38,135         41,368   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    29.65   December-2016    HKD      64,185         61,307   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    30.05   December-2016    HKD      9,837         4,646   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    30.20   December-2016    HKD      167,000         74,357   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    30.45   December-2016    HKD      87,000         72,182   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    30.70   December-2016    HKD      29,869         23,634   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    30.97   December-2016    HKD      65,100         48,837   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    30.98   December-2016    HKD      72,579         54,337   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    31.70   December-2016    HKD      21,615         13,858   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    31.80   December-2016    HKD      10,533         4,551   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    32.40   December-2016    HKD      28,607         15,426   

Goldman Sachs International

    Hang Seng China Enterprise Index    Receive    35.59   December-2017    HKD      100,975         17,941   

HSBC New York

    Hang Seng China Enterprise Index    Receive    28.33   December-2016    HKD      89,000         65,683   

HSBC New York

    Hang Seng China Enterprise Index    Receive    29.00   December-2016    HKD      38,135         40,429   

HSBC New York

    Hang Seng China Enterprise Index    Receive    30.25   December-2016    HKD      134,000         60,177   

HSBC New York

    Hang Seng China Enterprise Index    Receive    30.40   December-2016    HKD      59,722         26,250   

HSBC New York

    Hang Seng China Enterprise Index    Receive    30.50   December-2016    HKD      44,512         36,587   

HSBC New York

    Hang Seng China Enterprise Index    Receive    42.60   December-2017    HKD      54,382         (35,723)   

Morgan Stanley Capital Services LLC

    Hang Seng China Enterprise Index    Receive    31.80   December-2016    HKD      42,010         15,968   

Morgan Stanley Capital Services LLC

    Hang Seng China Enterprise Index    Receive    34.80   December-2017    HKD      52,850         14,889   

Societe Generale

    Hang Seng China Enterprise Index    Receive    28.50   December-2016    HKD      10,000         7,227   

Societe Generale

    Hang Seng China Enterprise Index    Receive    29.15   December-2016    HKD      31,784         32,918   

Societe Generale

    Hang Seng China Enterprise Index    Receive    29.30   December-2016    HKD      76,488         64,486   

Societe Generale

    Hang Seng China Enterprise Index    Receive    29.50   December-2016    HKD      51,489         50,415   

Societe Generale

    Hang Seng China Enterprise Index    Receive    30.20   December-2016    HKD      28,139         11,993   

Societe Generale

    Hang Seng China Enterprise Index    Receive    31.00   December-2016    HKD      76,855         56,746   

Societe Generale

    Hang Seng China Enterprise Index    Receive    31.45   December-2016    HKD      44,521         30,192   

Societe Generale

    Hang Seng China Enterprise Index    Receive    31.65   December-2016    HKD      27,802         14,432   

Societe Generale

    Hang Seng China Enterprise Index    Receive    32.15   December-2016    HKD      15,178         5,370   

Societe Generale

    Hang Seng China Enterprise Index    Receive    32.50   December-2016    HKD      158,353         29,696   

Societe Generale

    Hang Seng China Enterprise Index    Receive    32.60   December-2016    HKD      19,573         4,685   

Societe Generale

    Hang Seng China Enterprise Index    Receive    33.10   December-2016    HKD      76,725         33,741   

Societe Generale

    Hang Seng China Enterprise Index    Receive    34.75   December-2016    HKD      43,478         9,307   

Societe Generale

    Hang Seng China Enterprise Index    Receive    35.20   December-2016    HKD      14,728         2,431   

Societe Generale

    Hang Seng China Enterprise Index    Receive    37.50   December-2016    HKD      9,959         (4,322)   

Societe Generale

    Hang Seng China Enterprise Index    Receive    35.10   December-2017    HKD      12,873         3,114   

Societe Generale

    Hang Seng China Enterprise Index    Receive    35.35   December-2017    HKD      33,179         6,935   

Goldman Sachs International

    Hang Seng Index    Receive    22.85   December-2016    HKD      20,000         14,146   

Goldman Sachs International

    Hang Seng Index    Receive    24.35   December-2016    HKD      167,000         70,698   

Goldman Sachs International

    Hang Seng Index    Receive    25.20   December-2016    HKD      34,138         10,493   

Goldman Sachs International

    Hang Seng Index    Receive    25.65   December-2016    HKD      75,120         43,140   

Goldman Sachs International

    Hang Seng Index    Receive    25.90   December-2016    HKD      17,410         6,160   

Goldman Sachs International

    Hang Seng Index    Receive    26.00   December-2016    HKD      7,022         2,522   

HSBC New York

    Hang Seng Index    Receive    22.33   December-2016    HKD      84,000         65,509   

HSBC New York

    Hang Seng Index    Receive    24.00   December-2016    HKD      133,139         64,532   

HSBC New York

    Hang Seng Index    Receive    24.15   December-2016    HKD      59,722         28,984   

Morgan Stanley Capital Services LLC

    Hang Seng Index    Receive    25.95   December-2016    HKD      47,239         15,712   

Societe Generale

    Hang Seng Index    Receive    24.00   December-2016    HKD      34,535         19,629   

Societe Generale

    Hang Seng Index    Receive    26.20   December-2016    HKD      25,485         9,892   

Societe Generale

    Hang Seng Index    Receive    26.60   December-2016    HKD      20,981         4,744   

Societe Generale

    Hang Seng Index    Receive    26.80   December-2016    HKD      81,316         11,866   

Societe Generale

    Hang Seng Index    Receive    29.00   December-2016    HKD      13,150         1,658   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Over-The-Counter Variance Swap Agreements – (continued)

 

  
Counterparty    Reference Entity    Pay/Receive
Variance		    Volatility
Strike Rate		   Expiration Date    Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Societe Generale

    Hang Seng Index    Receive       30.75%   December-2016    HKD      99,588       $ (34,239)   

Goldman Sachs International

    KOSPI 200 Index    Receive    20.80   December-2016    KRW      3,289,007         6,231   

Goldman Sachs International

    KOSPI 200 Index    Receive    21.50   December-2016    KRW      3,102,391         3,637   

Goldman Sachs International

    KOSPI 200 Index    Receive    29.00   December-2016    KRW      44,475,000         (230,862)   

HSBC New York

    KOSPI 200 Index    Receive    21.50   December-2016    KRW      7,995,332         15,445   

Morgan Stanley Capital Services LLC

    KOSPI 200 Index    Receive    22.20   December-2016    KRW      4,902,168         2,155   

Societe Generale

    KOSPI 200 Index    Receive    21.10   December-2016    KRW      1,827,696         3,302   

Societe Generale

    KOSPI 200 Index    Receive    22.70   December-2016    KRW      4,285,384         (2,106)   

Societe Generale

    KOSPI 200 Index    Receive    22.95   December-2016    KRW      3,507,377         2,430   

Societe Generale

    KOSPI 200 Index    Receive    24.75   December-2016    KRW      15,304,350         (34,895)   

Societe Generale

    KOSPI 200 Index    Receive    26.85   December-2017    KRW      21,545,172         (31,823)   

Morgan Stanley Capital Services LLC

    S&P 500 Index    Receive    24.30   December-2016    USD      17,827         (23,261)   

Morgan Stanley Capital Services LLC

    S&P 500 Index    Receive    24.50   December-2016    USD      4,128         (6,074)   

Societe Generale

    S&P 500 Index    Receive    24.00   December-2016    USD      4,128         (4,128)   

Societe Generale

    S&P 500 Index    Receive    25.30   December-2016    USD      3,500         (12,585)   

Total - Variance Swap Agreements - Equity Risk

  

    $       1,469,246   

 

Currency Abbreviations:      
HKD - Hong Kong Dollar    KRW - South Korean Won    USD - United States Dollar

 

Open Over-The-Counter Volatility Swap Agreements

 

  
Counterparty    Reference Entity    Pay/Receive
Volatility		    Volatility
Strike Rate		   Expiration Date    Notional Value      Unrealized
Appreciation
(Depreciation)		  

Societe Generale

    Hang Seng China Enterprise Index    Pay       32.75%   April-2016    HKD      31,391       $ (22,176)   

Societe Generale

    Hang Seng China Enterprise Index    Pay    33.00   April-2016    HKD      125,404         (80,273)   

Societe Generale

    Hang Seng China Enterprise Index    Pay    33.13   April-2016    HKD      125,566         (82,655)   

Societe Generale

    Hang Seng China Enterprise Index    Pay    33.40   April-2016    HKD      119,304         (73,311)   

Subtotal – Equity Risk

                           $         (258,415)   

Barclays Bank PLC

    AUD/JPY    Pay    13.75   April-2017    AUD      2,850       $ (3,726)   

Barclays Bank PLC

    AUD/JPY    Pay    13.85   April-2017    AUD      7,050         (8,729)   

Barclays Bank PLC

    AUD/JPY    Pay    14.20   April-2017    AUD      19,000         (13,254)   

Deutsche Bank Securities Inc.

    AUD/JPY    Pay    14.90   March-2017    AUD      33,728         (7,004)   

Deutsche Bank Securities Inc.

    AUD/JPY    Pay    15.275   March-2017    AUD      15,000         (625)   

Deutsche Bank Securities Inc.

    AUD/JPY    Pay    14.15   April-2017    AUD      17,500         (17,660)   

Goldman Sachs International

    AUD/JPY    Pay    15.275   March-2017    AUD      6,400         (267)   

Goldman Sachs International

    AUD/JPY    Pay    15.40   March-2017    AUD      29,772         4,288   

Goldman Sachs International

    AUD/JPY    Pay    15.55   March-2017    AUD      31,500         7,235   

Goldman Sachs International

    AUD/JPY    Pay    14.10   April-2017    AUD      14,000         (14,915)   

Royal Bank of Scotland Securities Inc.

    AUD/JPY    Pay    14.00   April-2017    AUD      22,109         (25,083)   

UBS

    AUD/JPY    Pay    13.80   April-2017    AUD      14,000         (17,818)   

Bank of America Merrill Lynch

    EUR/USD    Pay    10.30   January-2017    EUR      30,536         (3,810)   

UBS

    EUR/USD    Pay    10.25   January-2017    EUR      30,536         (5,715)   

Citigroup Global Markets Inc.

    USD/JPY    Pay    9.60   October-2016    USD      6,457         365   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    9.00   June-2016    USD      1,578         92   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    9.05   June-2016    USD      2,625         477   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    8.75   July-2016    USD      4,500         (2,002)   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    9.60   August-2016    USD      3,600         758   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    9.45   September-2016    USD      12,450         (154)   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    10.525   November-2016    USD      12,800         15,221   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    12.15   December-2016    USD      3,564         9,818   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    11.35   January-2017    USD      4,500         8,901   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    11.55   January-2017    USD      9,000         19,318   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    11.50   February-2017    USD      6,120         12,664   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    10.80   February-2017    USD      2,571         3,354   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    11.00   March-2017    USD      15,000         19,306   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    10.10   June-2017    USD      14,580         1,394   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    11.15   June-2017    USD      12,600         14,665   

Deutsche Bank Securities Inc.

    USD/JPY    Pay    9.75   July-2017    USD      15,000         (4,207)   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Open Over-The-Counter Volatility Swap Agreements – (continued)  
Counterparty    Reference Entity      Pay/Receive
Volatility		    Volatility
Strike Rate		   Expiration Date    Notional Value      Unrealized
Appreciation
(Depreciation)		  

Deutsche Bank Securities Inc.

    USD/JPY      Pay    10.075%   July-2017    USD      11,880       $ 704   

Deutsche Bank Securities Inc.

    USD/JPY      Pay    10.40   July-2017    USD      5,500         1,551   

Goldman Sachs International

    USD/JPY      Pay    9.05   June-2016    USD      36,000         3,892   

Goldman Sachs International

    USD/JPY      Pay    11.3248   January-2017    USD      13,500         26,177   

Goldman Sachs International

    USD/JPY      Pay    11.9357   March-2017    USD      6,300         14,789   

Goldman Sachs International

    USD/JPY      Pay    10.1086   April-2017    USD      14,850         5,785   

Goldman Sachs International

    USD/JPY      Pay    10.1549   April-2017    USD      8,460         3,158   

Goldman Sachs International

    USD/JPY      Pay    10.10   May-2017    USD      13,500         2,589   

Goldman Sachs International

    USD/JPY      Pay    10.34   June-2017    USD      15,000         5,541   

Royal Bank of Scotland Securities Inc.

    USD/JPY      Pay    8.90   June-2016    USD      4,000         (136)   

Royal Bank of Scotland Securities Inc.

    USD/JPY      Pay    9.20   September-2016    USD      2,585         (652)   

Royal Bank of Scotland Securities Inc.

    USD/JPY      Pay    9.75   June-2017    USD      9,000         (2,146)   

Citigroup Global Markets Inc.

    AUD/JPY      Receive    10.675   October-2016    AUD      2,984         7,387   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    10.70   June-2016    AUD      8,107         13,117   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    10.90   June-2016    AUD      2,794         3,908   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    10.30   July-2016    AUD      4,763         10,542   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    10.70   September-2016    AUD      13,339         29,687   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    11.40   November-2016    AUD      14,700         30,508   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    12.17   December-2016    AUD      13,968         17,947   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    11.90   January-2017    AUD      3,735         7,707   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    12.65   January-2017    AUD      11,360         17,428   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    12.10   February-2017    AUD      13,393         26,785   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    13.45   February-2017    AUD      7,827         7,476   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    12.95   April-2017    AUD      19,718         30,828   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    12.30   May-2017    AUD      20,863         43,830   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    12.50   June-2017    AUD      16,412         34,172   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    12.525   June-2017    AUD      18,942         41,129   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    13.50   July-2017    AUD      18,000         28,617   

Deutsche Bank Securities Inc.

    AUD/JPY      Receive    13.70   July-2017    AUD      15,933         21,817   

Goldman Sachs International

    AUD/JPY      Receive    11.00   June-2016    AUD      36,000         50,671   

Goldman Sachs International

    AUD/JPY      Receive    12.0758   January-2017    AUD      16,580         31,820   

Goldman Sachs International

    AUD/JPY      Receive    13.3976   March-2017    AUD      12,612         14,832   

Goldman Sachs International

    AUD/JPY      Receive    12.512   April-2017    AUD      10,933         20,939   

Goldman Sachs International

    AUD/JPY      Receive    12.6407   April-2017    AUD      19,468         35,698   

Goldman Sachs International

    AUD/JPY      Receive    12.73   June-2017    AUD      20,000         39,973   

Goldman Sachs International

    AUD/JPY      Receive    12.75   July-2017    AUD      20,000         41,013   

Royal Bank of Scotland Securities Inc.

    AUD/JPY      Receive    10.90   August-2016    AUD      3,881         7,704   

Royal Bank of Scotland Securities Inc.

    AUD/JPY      Receive    10.80   September-2016    AUD      2,767         5,942   

Royal Bank of Scotland Securities Inc.

    AUD/JPY      Receive    12.55   June-2017    AUD      11,719         25,502   

Bank of America Merrill Lynch

    EUR/JPY      Receive    11.25   January-2017    EUR      15,268         (2,893)   

Bank of America Merrill Lynch

    EUR/JPY      Receive    11.425   January-2017    EUR      15,268         (5,812)   

UBS

    EUR/JPY      Receive    11.15   January-2017    EUR      15,268         (1,226)   

UBS

    EUR/JPY      Receive    11.475   January-2017    EUR      15,268         (6,394)   

Barclays Bank PLC

    USD/JPY      Receive    9.70   April-2017    USD      7,000         3,147   

Barclays Bank PLC

    USD/JPY      Receive    10.30   April-2017    USD      13,000         (7,203)   

Deutsche Bank Securities Inc.

    USD/JPY      Receive    10.85   March-2017    USD      17,075         (19,951)   

Deutsche Bank Securities Inc.

    USD/JPY      Receive    10.90   March-2017    USD      7,000         (8,716)   

Deutsche Bank Securities Inc.

    USD/JPY      Receive    11.00   March-2017    USD      12,000         (15,977)   

Deutsche Bank Securities Inc.

    USD/JPY      Receive    10.15   April-2017    USD      12,500         (830)   

Goldman Sachs International

    USD/JPY      Receive    11.00   March-2017    USD      7,600         (10,119)   

Goldman Sachs International

    USD/JPY      Receive    11.20   March-2017    USD      20,925         (31,734)   

Goldman Sachs International

    USD/JPY      Receive    11.51   March-2017    USD      21,000         (38,894)   

Goldman Sachs International

    USD/JPY      Receive    10.00   April-2017    USD      10,000         1,513   

Royal Bank of Scotland Securities Inc.

    USD/JPY      Receive    9.80   April-2017    USD      18,242         6,388   

UBS

    USD/JPY      Receive    9.75   April-2017    USD      10,000         3,999   

Subtotal – Currency Risk

                           $ 566,416   

Total - Volatility Swap Agreements

               $         308,001   

 

Currency Abbreviations:         
AUD - Australian Dollar    HKD – Hong Kong Dollar    JPY - Japanese Yen    USD - United States Dollar

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

                    Open Forward Foreign Currency Contracts

 

  
          Contract to             Unrealized  
                                             Appreciation  
Settlement Date    Counterparty            Deliver              Receive      Notional Value      (Depreciation)  

02/09/16

    Deutsche Bank Securities Inc.      AUD         11,607,000         USD         8,118,241         $    8,209,531       $ (91,290)   

02/09/16

    Deutsche Bank Securities Inc.      USD         7,782,021         CLP         5,503,400,000         7,725,425         (56,596)   

02/09/16

    Goldman Sachs International      AUD         3,050,000         USD         2,203,245         2,157,239         46,006   

02/09/16

    Goldman Sachs International      USD         2,669,902         CLP         1,903,900,000         2,672,609         2,707   

02/09/16

    State Street Bank & Trust Co.      AUD         184,000         USD         132,495         130,142         2,353   

02/09/16

    State Street Bank & Trust Co.      USD         264,566         CLP         188,900,000         265,169         603   

02/16/16

    State Street Bank & Trust Co.      AUD         1,775,646         USD         1,238,430         1,255,494         (17,064)   

02/16/16

    State Street Bank & Trust Co.      EUR         10,625,069         USD         11,576,678         11,515,373         61,305   

02/16/16

    State Street Bank & Trust Co.      GBP         1,534,259         USD         2,217,161         2,186,286         30,875   

02/16/16

    State Street Bank & Trust Co.      HKD         25,942,000         USD         3,338,843         3,334,126         4,717   

02/16/16

    State Street Bank & Trust Co.      JPY         314,906,000         USD         2,675,403         2,601,936         73,467   

02/16/16

    State Street Bank & Trust Co.      KRW         303,350,000         USD         250,271         251,683         (1,412)   

02/16/16

    State Street Bank & Trust Co.      USD         250,213         AUD         357,000         252,422         2,209   

02/16/16

    State Street Bank & Trust Co.      USD         814,308         EUR         748,000         810,677         (3,631)   

02/16/16

    State Street Bank & Trust Co.      USD         1,016,437         GBP         713,000         1,016,010         (427)   

02/16/16

    State Street Bank & Trust Co.      USD         879,842         HKD         6,854,000         880,892         1,050   

02/16/16

    State Street Bank & Trust Co.      USD         409,340         JPY         48,097,000         397,405         (11,935)   

02/16/16

    State Street Bank & Trust Co.      USD         451,471         KRW         544,211,000         451,521         50   

04/07/16

    Barclays Bank PLC      USD         794,714         INR         54,330,645         791,888         (2,826)   

04/07/16

    Deutsche Bank Securities Inc.      CNY         87,002,250         USD         12,963,160         13,059,087         (95,927)   

04/07/16

    Deutsche Bank Securities Inc.      THB         1,206,756         USD         32,998         33,722         (724)   

04/07/16

    Deutsche Bank Securities Inc.      USD         12,953,724         INR         873,145,748         12,726,403         (227,321)   

04/07/16

    Goldman Sachs International      CNY         5,892,797         USD         874,847         884,512         (9,665)   

04/07/16

    Goldman Sachs International      EUR         10,902,375         USD         11,935,946         11,833,572         102,374   

04/07/16

    Goldman Sachs International      GBP         14,413,319         USD         21,335,733         20,541,494         794,239   

04/07/16

    Goldman Sachs International      KRW         439,610,719         USD         368,847         363,126         5,721   

04/07/16

    Goldman Sachs International      THB         38,445,278         USD         1,056,308         1,074,329         (18,021)   

04/07/16

    Goldman Sachs International      TWD         12,295,662         USD         369,239         368,012         1,227   

04/07/16

    State Street Bank & Trust Co.      AUD         3,450,532         USD         2,468,878         2,433,660         35,218   

04/07/16

    State Street Bank & Trust Co.      CAD         1,707,471         USD         1,222,937         1,218,916         4,021   

04/07/16

    State Street Bank & Trust Co.      CHF         3,940,348         USD         3,975,596         3,858,228         117,368   

04/07/16

    State Street Bank & Trust Co.      CNY         245,386         USD         36,448         36,833         (385)   

04/07/16

    State Street Bank & Trust Co.      EUR         1,040,938         USD         1,135,448         1,129,847         5,601   

04/07/16

    State Street Bank & Trust Co.      GBP         1,380,399         USD         1,995,057         1,967,310         27,747   

04/07/16

    State Street Bank & Trust Co.      IDR         14,486,338,785         USD         1,009,805         1,044,618         (34,813)   

04/07/16

    State Street Bank & Trust Co.      JPY         152,204,666         USD         1,285,245         1,259,546         25,699   

04/07/16

    State Street Bank & Trust Co.      KRW         66,733,152         USD         55,202         55,123         79   

04/07/16

    State Street Bank & Trust Co.      MYR         2,515,908         USD         576,101         607,037         (30,936)   

04/07/16

    State Street Bank & Trust Co.      PHP         67,101,509         USD         1,410,190         1,394,216         15,974   

04/07/16

    State Street Bank & Trust Co.      SEK         15,366,802         USD         1,829,345         1,794,462         34,883   

04/07/16

    State Street Bank & Trust Co.      SGD         1,020,682         USD         714,179         715,441         (1,262)   

04/07/16

    State Street Bank & Trust Co.      THB         1,970,150         USD         53,882         55,054         (1,172)   

04/07/16

    State Street Bank & Trust Co.      TWD         1,850,186         USD         54,987         55,377         (390)   

08/01/16

    State Street Bank & Trust Co.      GBP         1,081,946         USD         1,642,969         1,542,795         100,174   

Total Forward Foreign Currency Contracts - Currency Risk

  

    $       889,870   

 

Currency Abbreviations:      
AUD - Australian Dollar    HKD - Hong Kong Dollar    SEK - Swedish Krona
CAD - Canadian Dollar    IDR - Indonesian Rupiah    SGD - Singapore Dollar
CHF - Swiss Franc    INR - Indian Rupee    THB - Thai Baht
CLP - Chilean Peso    JPY - Japanese Yen    TWD - New Taiwan Dollar
CNY - Chinese Yuan    KRW - South Korean Won    USD - United States Dollar
EUR - Euro    MYR - Malaysian Ringgit   
GBP - British Pound Sterling    PHP - Philippine Peso   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Global Targeted Returns Fund

Notes to Quarterly Consolidated Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

 

NOTE 1 — Significant Accounting Policies

Invesco Global Targeted Returns Fund (the “Fund”) will seek to gain exposure to the commodity market primarily through investments in the Invesco Cayman Commodity Fund VII Ltd. (the “Subsidiary”), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands. The Subsidiary was organized by the Fund to invest in commodity-linked derivatives and other securities that may provide leveraged and non-leveraged exposure to commodities. The Fund may invest up to 25% of its total assets in the Subsidiary.

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

 

Invesco Global Targeted Returns Fund

A. Security Valuations – (continued)

 

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Consolidated Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Consolidated Statement of Operations and the Consolidated Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Consolidated Statement of Operations and the Consolidated Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Consolidated Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Structured Securities – The Fund may invest in structured securities. Structured securities are a type of derivative security whose value is determined by reference to changes in the value of underlying securities, currencies, interest rates, commodities, indices or other financial indicators (“reference instruments”). Most structured securities are fixed-income securities that have maturities of three years or less. Structured securities may be positively or negatively indexed (i.e., their principal value or interest rates may increase or decrease if the underlying reference instrument appreciates) and may have return characteristics similar to direct investments in the underlying reference instrument.

Structured securities may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference instruments. In addition to the credit risk of structured securities and the normal risks of price changes in response to changes in interest rates, the principal amount of structured notes or indexed securities may decrease as a result of changes in the value of the underlying reference instruments. Changes in the daily value of structured securities are recorded as unrealized gains (losses) in the Consolidated Statement of Operations. When the structured securities mature or are sold, the Fund recognizes a realized gain (loss) on the Consolidated Statement of Operations.

 

Invesco Global Targeted Returns Fund

    

 

E. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Consolidated Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Consolidated Statement of Operations.

F. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Consolidated Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Consolidated Statement of Assets and Liabilities.

G. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between Counterparties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Consolidated Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Consolidated Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Consolidated Statement of Assets and Liabilities.
H. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, volatility, variance, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, equity, currency or credit risk. Such transactions are agreements between Counterparties. A swap agreement may be negotiated bilaterally and traded over-the-counter (“OTC”) between two parties (“uncleared/OTC”) or, in some instances, must be transacted through a

 

Invesco Global Targeted Returns Fund

H. Swap Agreements – (continued)

 

future commission merchant (“FCM”) and cleared through a clearinghouse that serves as a central Counterparty (“centrally cleared swap”). These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, volatility, variance, index and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index.

Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index, such as the Consumer Price Index, over the term of the swap, and the other party pays a compounded fixed rate.

In a centrally cleared swap, the Fund’s ultimate Counterparty is a central clearinghouse. The Fund will initially enter into centrally cleared swaps through an executing broker. When a fund enters into a centrally cleared swap, it must deliver to the central Counterparty (via the FCM) an amount referred to as “initial margin.” Initial margin requirements are determined by the central Counterparty, but an FCM may require additional initial margin above the amount required by the central Counterparty. Initial margin deposits required upon entering into centrally cleared swaps are satisfied by cash or securities as collateral at the FCM. Securities deposited as initial margin are designated on the Consolidated Schedule of Investments and cash deposited is recorded on the Consolidated Statement of Assets and Liabilities. During the term of a cleared swap agreement, a “variation margin” amount may be required to be paid by the Fund or may be received by the Fund, based on the daily change in price of the underlying reference instrument subject to the swap agreement and is recorded as a receivable or payable for variation margin in the Consolidated Statement of Assets and Liabilities until the centrally cleared swap is terminated, at which time a realized gain or loss is recorded.

A CDS is an agreement between Counterparties to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the “par value”, of the referenced obligation to the Fund. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer “par value” or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its Counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Fund’s maximum risk of loss from Counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the Counterparty and by the designation of collateral by the Counterparty to cover the Fund’s exposure to the Counterparty.

Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing CDS contract and serve as an indicator of the current status of the payment/performance risk of the CDS. An implied spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets.

A volatility swap involves an exchange between the Fund and a Counterparty of periodic payments based on the measured volatility of an underlying security, currency, commodity, interest rate, index or other reference asset over a specified time frame. Depending on the structure of the swap, either the Fund’s or the Counterparty’s payment obligation will typically be based on the realized volatility of the reference asset as measured by changes in its price or level over a specified time period, while the other

 

Invesco Global Targeted Returns Fund

H. Swap Agreements – (continued)

 

party’s payment obligation will be based on a specified rate representing expected volatility for the reference asset at the time the swap is executed, or the measured volatility of a different reference asset over a specified time period. The Fund will typically make or lose money on a volatility swap depending on the magnitude of the reference asset’s volatility, or size of the movements in its price, over a specified time period, rather than general increases or decreases in the price of the reference asset. Volatility swaps are often used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of other investments held by the Fund. Variance swaps are similar to volatility swaps, except payments are based on the difference between the implied and measured volatility mathematically squared.

An interest rate swap is an agreement between Counterparties pursuant to which the parties exchange a floating rate payment for a fixed rate payment based on a specified notional amount.

Changes in the value of centrally cleared and OTC swap agreements are recognized as unrealized gains (losses) in the Consolidated Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Consolidated Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Consolidated Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Consolidated Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of the Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate, the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

Notional amounts of each individual credit default swap agreement outstanding as of January 31, 2016 for which the Fund is the seller of protection are disclosed in the open swap agreements table. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.

I. Call Options Written and Purchased – The Fund may write covered call options and/or buy call options. A covered call option gives the purchaser of such option the right to buy, and the writer the obligation to sell, the underlying security or foreign currency at the stated exercise price during the option period. Options written by the Fund normally will have expiration dates between three and nine months from the date written. The exercise price of a call option may be below, equal to, or above the current market value of the underlying security at the time the option is written.

Additionally, the Fund may enter into an option on a swap agreement, also called a “swaption”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based premium. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the Counterparties.

When the Fund writes a covered call option, an amount equal to the premium received by the Fund is recorded as an asset and an equivalent liability in the Consolidated Statement of Assets and Liabilities. The amount of the liability is subsequently “marked-to-market” to reflect the current market value of the option written. If a written covered call option expires on the stipulated expiration date, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or a loss if the closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a written covered call option is exercised, the Fund realizes a gain or a loss from the sale of the underlying security and the proceeds of the sale are increased by the premium originally received. Realized and unrealized gains and losses on these contracts are included in the Consolidated Statement of Operations. A risk in writing a covered call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised.

When the Fund buys a call option, an amount equal to the premium paid by the Fund is recorded as an investment on the Consolidated Statement of Assets and Liabilities. The amount of the investment is subsequently “marked-to-market” to reflect the current value of the option purchased. Realized and unrealized gains and losses on these contracts are included in the Consolidated Statement of Operations. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased.

 

Invesco Global Targeted Returns Fund

    

 

J. Put Options Purchased and Written – The Fund may purchase and write put options including options on securities indexes, or foreign currency and/or futures contracts. By purchasing a put option, the Fund obtains the right (but not the obligation) to sell the option’s underlying instrument at a fixed strike price. In return for this right, the Fund pays an option premium. The option’s underlying instrument may be a security, securities index, or a futures contract.

Additionally, the Fund may enter into an option on a swap agreement, also called a “swaption”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based premium. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the Counterparties.

Put options may be used by the Fund to hedge securities it owns by locking in a minimum price at which the Fund can sell. If security prices fall, the put option could be exercised to offset all or a portion of the Fund’s resulting losses. At the same time, because the maximum the Fund has at risk is the cost of the option, purchasing put options does not eliminate the potential for the Fund to profit from an increase in the value of the underlying portfolio securities. The Fund may write put options to earn additional income in the form of option premiums if it expects the price of the underlying instrument to remain stable or rise during the option period so that the option will not be exercised. The risk in this strategy is that the price of the underlying securities may decline by an amount greater than the premium received. Put options written are reported as a liability in the Statement of Assets and Liabilities. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations as Net realized gain from Investment securities. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased.

K. Other Risks – The Fund will seek to gain exposure to commodity markets primarily through an investment in the Subsidiary and through investments in exchange traded funds and commodity-linked derivatives. The Subsidiary, unlike the Fund, may invest without limitation in commodities, commodity-linked derivatives and other securities, such as exchange traded notes, that may provide leveraged and non-leveraged exposure to commodity markets. The Fund is indirectly exposed to the risks associated with the Subsidiary’s investments.

The Fund is non-diversified and may invest in securities of fewer issuers than if it were diversified. Thus, the value of the Fund’s shares may vary more widely and the Fund may be subject to greater market and credit risk than if the Fund invested more broadly.

L. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
M. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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.

 

Invesco Global Targeted Returns Fund

    

 

     Level 1     Level 2     Level 3      Total  
                                   

Equity Securities

    $ 122,680,197      $ —      $ —       $ 122,680,197   

U.S. Treasury Securities

      —        6,871,688        —         6,871,688   

Foreign Sovereign Debt Securities

      —        24,316,313        —         24,316,313   

Options Purchased

      6,860,790        5,765,527        —         12,626,317   
       129,540,987        36,953,528        —         166,494,515   

Forward Foreign Currency Contracts*

      —        889,870        —         889,870   

Futures Contracts*

      (485,953 )      —        —         (485,953)   

Options Written*

      (2,295,763 )      (6,296,349 )      —         (8,592,112)   

Swap Agreements*

      —        927,067        —         927,067   

Total Investments

    $     126,759,271      $     32,474,116      $     —       $     159,233,387   
* Forward foreign currency contracts, futures contracts and swap agreements are valued at unrealized appreciation (depreciation). Options written are shown at value.

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

Risk Exposure/ Derivative Type (a)    Value
   Assets        Liabilities    

Credit risk:

      

Swap agreements

    $ 299,180    $ (364,652)

Currency risk:

      

Forward foreign currency contracts

    1,495,667    (605,797)

Options purchased (b)

    5,475,608    —  

Options written

    —      (4,211,619)

Swap agreements

    844,068    (277,652)

Equity risk:

      

Futures contracts

    3,037,701    (3,523,654)

Options purchased (b)

    7,150,709    —  

Options written

    —      (3,226,931)

Swap agreements

    2,165,016    (954,185)

Interest rate risk:

      

Options written

    —      (1,153,562)

Swap agreements

    4,460,310    (5,245,018)

Total

    $24,928,259    $(19,563,070)
(a)  Includes cumulative appreciation (depreciation) of swap agreements, forward foreign currency contracts, and futures contracts. Options written are shown at value.

 

(b)  Options purchased at value as reported in the Consolidated Schedule of Investments.

 

Invesco Global Targeted Returns Fund

    

 

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

      Location of Gain (Loss) on Statement of Operations
  

Forward

Foreign
Currency
Contracts

    Futures
Contracts		    Options
Purchased(a)		   Options
Written		   Swap  
Agreements  

Realized Gain (Loss):

                       

Credit Risk

    $—      $—      $—     $—     $(103,383)

Currency Risk

    1,138,410    —      19,729   (182,539)   —  

Equity Risk

    —      183,374    1,655,431   405,757   367,472

Interest Rate Risk

    —      —      (42,461)   14,477   (824,723)

Change in Net Unrealized

Appreciation (Depreciation):

                       

Credit Risk

    —      —      —     —     (65,158)

Currency Risk

    887,629    —      756,671   1,143,687   (23,019)

Equity Risk

    —      362,138    2,612,248   (1,797,581)   177,410

Interest Rate Risk

    —      —      44,869   398,883   (856,070)

Total

    $2,026,039    $545,512    $5,046,487   $(17,316)   $(1,327,471)
(a)  Options purchased are included in the net realized gain (loss) from investment securities and the change in net unrealized appreciation (depreciation) of investment securities.

The table below summarizes the average notional value of forward foreign currency contracts, futures contracts, options purchased, options written and swap agreements outstanding during the period.

 

     

Forward

Foreign
Currency
Contracts

    Futures
Contracts		    Index
Options
Purchased		    Index
Options
Written		    Foreign
Currency
Options		    Swaptions    Swap
Agreements
Average notional value    $109,653,033    $77,276,536    $106,249,509    $50,044,100    $200,055,736    $43,597,720    $453,054,060
Average contracts    —    —    5,583    1,649    —    —    —

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $44,084,274 and $3,025,329, respectively. During the same period, purchases of U.S. Treasury obligations were $6,546,109. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $         4,194,216   

Aggregate unrealized (depreciation) of investment securities

      (10,269,131)   

Net unrealized appreciation (depreciation) of investment securities

    $ (6,074,915)   

Cost of investments for tax purposes is $172,569,430.

   

 

Invesco Global Targeted Returns Fund

 

 

Invesco Greater China Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

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Schedule of Investments(a)

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–100.52%(b)

  

Apparel Retail–1.78%

      

Pou Sheng International (Holdings) Ltd. (Hong Kong)(c)

      6,303,000       $ 1,111,098   

Auto Parts & Equipment–4.37%

      

Minth Group Ltd.

      1,492,000           2,722,820   

Automobile Manufacturers–0.63%

      

Jiangling Motors Corp., Ltd.-Class B

      130,000         394,573   

Electrical Components & Equipment–1.95%

  

Zhuzhou CSR Times Electric Co.,
Ltd.-Class H

      236,000         1,218,218   

Electronic Components–5.64%

      

Chin-Poon Industrial Co., Ltd. (Taiwan)

      932,000         1,474,580   

Largan Precision Co., Ltd. (Taiwan)

      28,000         2,039,063   
                3,513,643   

Electronic Manufacturing Services–3.40%

  

FIH Mobile Ltd.

      5,924,000         2,117,138   

Food Retail–3.86%

      

President Chain Store Corp. (Taiwan)

      363,000         2,406,139   

Footwear–6.31%

      

Stella International Holdings Ltd.

      761,500         1,834,674   

Yue Yuen Industrial (Holdings) Ltd.
(Hong Kong)

      610,500         2,098,801   
                3,933,475   

Gas Utilities–1.87%

      

Towngas China Co. Ltd. (Hong Kong)

      2,416,000         1,163,808   

Health Care Equipment–0.74%

      

MicroPort Scientific Corp. (c)

      988,000         464,729   

Home Furnishings–3.02%

      

Man Wah Holdings Ltd. (Hong Kong)

      1,743,600         1,880,774   

Hotels, Resorts & Cruise Lines–1.74%

  

Shanghai Jinjiang International Hotels Development Co., Ltd.-Class B

      356,891         1,083,878   

Hypermarkets & Super Centers–3.38%

  

Sun Art Retail Group Ltd. (Hong Kong)

      3,752,000         2,109,570   

Industrial Conglomerates–3.18%

      

Beijing Enterprises Holdings Ltd.

      395,500         1,982,958   

Integrated Oil & Gas–3.11%

      

China Petroleum & Chemical Corp. -Class H

      3,446,000         1,937,189   
      Shares      Value  

Internet Retail–4.42%

      

E-commerce China Dangdang, Inc.
-Class A, -ADR (c)

      121,640       $ 822,286   

Vipshop Holdings Ltd.-ADR (c)

      150,416         1,931,342   
                2,753,628   

Internet Software & Services–11.45%

  

Tencent Holdings Ltd.

      238,000         4,496,199   

Weibo Corp.-ADR (c)

      173,677         2,643,364   
                7,139,563   

Life & Health Insurance–9.28%

      

AIA Group Ltd. (Hong Kong)

      522,400         2,923,241   

Ping An Insurance (Group) Co. of China Ltd.-Class H

      627,500         2,864,303   
                5,787,544   

Packaged Foods & Meats–4.56%

      

Tingyi (Cayman Islands) Holding Corp.

      1,388,000         1,591,370   

Uni-President China Holdings Ltd.

      1,940,000         1,254,429   
                2,845,799   

Personal Products–3.23%

      

Hengan International Group Co. Ltd.

      224,500         2,011,138   

Property & Casualty Insurance–2.29%

  

PICC Property and Casualty Co. Ltd.
-Class H

      830,080         1,427,079   

Restaurants–2.36%

      

Ajisen China Holdings Ltd. (Hong Kong)

      3,673,000         1,472,778   

Semiconductors–7.04%

      

Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan)

      1,028,000         4,387,888   

Specialty Stores–1.86%

      

Chow Tai Fook Jewellery Group Ltd. (Hong Kong)

      2,003,400         1,162,046   

Wireless Telecommunication Services–9.05%

  

China Mobile Ltd.

      517,500         5,643,497   

Total Common Stocks & Other Equity Interests
(Cost $73,801,977)

   

      62,670,970   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Greater China Fund

 

      Shares      Value  

Money Market Funds–0.13%

      

Liquid Assets Portfolio –Institutional
Class, 0.38% (d)

      41,344       $ 41,344   

Premier Portfolio –Institutional
Class, 0.34% (d)

      41,344         41,344   

Total Money Market Funds
(Cost $82,688)

               82,688   

TOTAL INVESTMENTS–100.65%
(Cost $73,884,665)

               62,753,658   

OTHER ASSETS LESS LIABILITIES–(0.65)%

   

      (406,035 ) 

NET ASSETS–100.00%

             $   62,347,623   
 

 

Investment Abbreviations:

 

ADR

    —American Depositary Receipt

Notes to Schedule of Investments:

 

(a)  Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.
(b)  Country of issuer and/or credit risk exposure listed in Common Stocks & Other Equity Interests has been determined to be China unless otherwise noted.
(c)  Non-income producing security.
(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
January 31, 2016.

 

See accompanying notes which are an integral part of this schedule.

Invesco Greater China Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

 

Invesco Greater China Fund

A. Security Valuations – (continued)

 

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign

 

Invesco Greater China Fund

E. Forward Foreign Currency Contracts – (continued)

 

currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

F. Other Risks - Investing in a single-country mutual fund involves greater risk than investing in a more diversified fund due to lack of exposure to other countries. The political and economic conditions and changes in regulatory, tax or economic policy in a single country could significantly affect the market in that country and in surrounding or related countries.

Investing in developing countries can add additional risk, such as high rates of inflation or sharply devalued currencies against the U.S. dollar.

Transaction costs are often higher and there may be delays in settlement procedures.

Certain securities issued by companies in China may be less liquid, harder to sell or more volatile than U.S. securities.

NOTE 2 — 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 January 31, 2016. 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.

During the three months ended January 31, 2016, there were transfers from Level 1 to Level 2 of $1,162,046 and from Level 2 to Level 1 of $6,759,128, due to foreign fair value adjustments.

 

Invesco Greater China Fund

      Level 1      Level 2      Level 3      Total  

Consumer Discretionary

    $ 10,131,905       $ 6,383,165       $ —       $ 16,515,070   

Consumer Staples

      —         9,372,646         —         9,372,646   

Energy

      —         1,937,189         —         1,937,189   

Financials

      —         7,214,623         —         7,214,623   

Health Care

      464,729         —         —         464,729   

Industrials

      —         3,201,176         —         3,201,176   

Information Technology

      2,643,364         14,514,868         —         17,158,232   

Telecommunication Services

      —         5,643,497         —         5,643,497   

Utilities

      —         1,163,808         —         1,163,808   

Money Market Funds

      82,688         —         —         82,688   

Total Investments

    $   13,322,686       $   49,430,972       $             —       $   62,753,658   

NOTE 3 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $7,315,880 and $8,721,123, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 1,864,944   

Aggregate unrealized (depreciation) of investment securities

      (13,020,961 ) 

Net unrealized appreciation (depreciation) of investment securities

    $   (11,156,017 ) 

Cost of investments for tax purposes is $73,909,675.

   

 

Invesco Greater China Fund

 

 

 

Invesco International Total Return Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

  

 

 

 

 

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invesco.com/us

   ITR-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

            Principal
Amount		      Value  

Non-U.S. Dollar Denominated Bonds & Notes–71.36%(a)

  

Australia–4.48%

         

Australia Government Bond, Sr. Unsec. Bonds, 3.75%,
04/21/2037(b)

    AUD      3,000,000       $   2,302,609   

Austria–0.87%

         

OMV AG, Jr. Unsec. Sub. Euro Bonds, 6.75% (c)

    EUR      400,000         446,853   

Belgium–0.59%

         

Anheuser-Busch InBev SA/NV, Sr. Unsec. Gtd. Medium-Term Euro Notes, 4.00%, 09/24/2025

    GBP      200,000         301,323   

Canada–4.34%

         

Province of Ontario Canada, Unsec. Bonds, 3.45%, 06/02/2045

    CAD      3,000,000         2,230,774   

Cyprus–0.65%

         

Cyprus Government International Bond, REGS, Unsec. Medium-Term Euro Notes, 3.88%, 05/06/2022(b)

    EUR      300,000         336,250   

Denmark–0.48%

         

Danske Bank A/S, Jr. Unsec. Sub. Medium-Term Euro Notes, 5.68% (c)

    GBP      170,000         244,573   

France–1.30%

         

Electricite de France S.A., Jr. Unsec. Sub. Medium-Term Euro Notes, 4.13% (c)

    EUR      200,000         199,461   

Orange S.A., Jr. Unsec. Sub. Euro Notes, 5.88% (c)

    GBP      200,000         279,769   

TOTAL S.A., REGS, Jr. Sub. Unsec. Medium-Term Euro Notes, 2.63% (b) (c)

    EUR      200,000         189,510   
                     668,740   

Germany–3.27%

         

EnBW Energie Baden-Wuerttemberg AG, Jr. Unsec. Sub. Medium-Term Euro Notes,
7.38%, 04/02/2072

    EUR      120,000         136,070   

HeidelbergCement Finance Luxembourg S.A., Sr. Unsec. Gtd. Medium-Term Euro Notes,
3.25%, 10/21/2021

    EUR      100,000         113,332   

Kreditanstalt fur Wiederaufbau, Sr. Unsec. Gtd. Global Notes,
2.05%, 02/16/2026

    JPY      100,000,000         996,402   

RWE AG, Jr. Unsec. Sub. Euro Notes, 7.00% (c)

    GBP      200,000         269,957   
            Principal
Amount		      Value  

Germany–(continued)

         

Volkswagen International Finance N.V., REGS, Jr. Unsec. Sub. Gtd. Euro Bonds, 3.88% (b) (c)

    EUR      160,000       $ 167,668   
                       1,683,429   

Ireland–4.79%

         

Ireland Government Bond, Unsec. Euro Bonds, 2.00%, 02/18/2045

    EUR      1,000,000         1,104,597   

5.40%, 03/13/2025

    EUR      900,000         1,362,293   
                     2,466,890   

Italy–13.76%

         

Italy Buoni Poliennali Del Tesoro, Unsec. Euro Bonds, 2.00%, 12/01/2025

    EUR      6,200,000         7,079,207   

Japan–5.47%

         

Government of Japan Forty Year Bond, Series 7, Sr. Unsec. Bonds, 1.70%, 03/20/2054

    JPY      40,000,000         379,715   

Series 8, Sr. Unsec. Bonds, 1.40%, 03/20/2055

    JPY      280,000,000         2,434,472   
                     2,814,187   

Mexico–2.79%

         

Mexican Bonos, Series M, Sr. Unsec. Bonds, 7.75%, 11/13/2042

    MXN      23,500,000         1,433,317   

Netherlands–2.46%

         

Achmea B.V., Series 1, Jr. Unsec. Sub. Medium-Term Euro Notes, 6.00% (c)

    EUR      500,000         548,778   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, Unsec. Sub. Euro Bonds, 3.88%, 07/25/2023

    EUR      600,000         717,730   
                     1,266,508   

Norway–2.58%

         

DNB Bank ASA, Unsec. Sub. Medium-Term Euro Notes, 4.75%, 03/08/2022

    EUR      250,000         281,063   

Norway Government Bond, Series 476, Unsec. Bonds, 3.00%, 03/14/2024(b)

    NOK      8,000,000         1,047,140   
                     1,328,203   

Poland–6.50%

         

Poland Government International Bond, Series 12, Sr. Unsec. Bonds, 1.05%, 11/08/2017

    JPY      400,000,000         3,346,681   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco International Total Return Fund

            Principal
Amount		      Value  

South Korea–2.17%

         

Korea Treasury Bond, Series 2403, Sr. Unsec. Bonds, 3.50%, 03/10/2024

    KRW      1,200,000,000       $   1,117,482   

Spain–1.60%

         

Spain Government Bond, REGS, Sr. Unsec. Euro Bonds, 2.15%, 10/31/2025(b)

    EUR      720,000         823,307   

Supranational–2.61%

         

Asian Development Bank, Series 339-00-1, Sr. Unsec. Medium-Term Global Notes, 2.35%, 06/21/2027

    JPY      130,000,000         1,340,772   

United Arab Emirates–0.51%

         

IPIC GMTN Ltd., REGS, Sr. Unsec. Gtd. Medium-Term Euro Notes, 5.88%, 03/14/2021(b)

    EUR      200,000         262,824   

United Kingdom–8.50%

         

AA Bond Co. Ltd., REGS, Sec. Second Lien Euro Notes, 5.50%, 07/31/2022(b)

    GBP      200,000         266,540   

Abbey National Treasury Services PLC, Sr. Sec. Gtd. Mortgage-Backed Medium-Term Euro Notes, 5.25%, 02/16/2029

    GBP      200,000         369,664   

Boparan Finance PLC, REGS, Sr. Sec. Gtd. First Lien Euro Notes, 5.50%, 07/15/2021(b)

    GBP      200,000         253,641   

Cabot Financial Luxembourg S.A., REGS, Sr. Sec. Gtd. First Lien Euro Notes,
10.38%, 10/1/2019(b)

    GBP      100,000         152,470   

Direct Line Insurance Group PLC, Unsec. Sub. Gtd. Euro Notes, 9.25%, 04/27/2042

    GBP      150,000         259,645   

Moto Finance PLC, REGS, Sec. Gtd. Second Lien Euro Notes, 6.38%, 09/1/2020(b)

    GBP      200,000         289,452   

Moy Park Bondco PLC, REGS, Sr. Unsec. Gtd. Euro Notes, 6.25%, 05/29/2021(b)

    GBP      100,000         140,447   

Nationwide Building Society, Jr. Unsec. Sub. Euro Bonds,
6.00%(c)

    GBP      200,000         289,991   

NGG Finance PLC, Unsec. Sub. Gtd. Euro Notes, 5.63%, 06/18/2073

    GBP      250,000         357,573   

Odeon & UCI Finco PLC, REGS, Sr. Sec. Gtd. First Lien Medium-Term Euro Notes, 9.00%, 08/1/2018(b)

    GBP      100,000         147,714   

Scottish Widows PLC, Unsec. Sub. Euro Notes, 5.50%, 06/16/2023

    GBP      150,000         219,915   

United Kingdom Gilt, Unsec. Bonds, 2.00%, 09/07/2025

    GBP      1,100,000         1,627,823   
                     4,374,875   
          Principal
Amount		     Value  

United States–1.64%

      

Bank of America Corp., Series 8, Sr. Unsec. Bonds, 2.31%, 06/26/2017

   JPY     100,000,000      $ 845,780   

Total Non-U.S. Dollar Denominated Bonds & Notes (Cost $39,256,261)

   

       36,714,584   

U.S. Dollar Denominated Bonds and Notes–18.78%

  

Angola–0.32%

      

Angolan Government International Bond, Sr. Unsec. Euro Bonds, 9.50%, 11/12/2025(b)

       $ 200,000        167,500   

Australia–0.32%

      

FMG Resources (August 2006) Pty. Ltd., REGS, Sr. Unsec. Gtd. Euro Notes, 8.25%, 11/1/2019(b)

         200,000        163,000   

Belgium–0.39%

      

Solvay Finance America LLC, Sr. Unsec. Gtd. Notes, 4.45%, 12/3/2025(b)

         200,000        200,000   

Brazil–0.72%

      

Minerva Luxembourg S.A., REGS, Sr. Unsec. Gtd. Euro Notes, 7.75%, 01/31/2023(b)

         300,000        281,250   

Odebrecht Finance Ltd., REGS, Sr. Unsec. Gtd. Euro Notes, 5.25%, 06/27/2029(b)

         200,000        91,000   
                  372,250   

Canada–0.44%

      

Air Canada Pass Through Trust, Series 2015-1, Class B, Sec. Second Lien Pass Through Ctfs., 3.88%, 03/15/2023(b)

         237,000        225,564   

China–0.38%

      

Alibaba Group Holding Ltd., Sr. Unsec. Gtd. Global Notes, 4.50%, 11/28/2034

         200,000        196,418   

Colombia–0.52%

      

Ecopetrol S.A., Sr. Unsec. Global Notes, 5.38%, 06/26/2026

         300,000        241,125   

Pacific Exploration &
Production Corp., REGS,
Sr. Unsec. Gtd. Euro
Notes, 5.63%, 01/19/2025(b)

     200,000        25,732   
                  266,857   

Dominican Republic–0.59%

  

  

Dominican Republic International Bond, Sr. Unsec. Bonds, 5.50%, 01/27/2025(b)

         322,000        304,290   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco International Total Return Fund

      Principal
Amount		      Value  

Gabon–0.30%

      

Gabon Government International Bond, Sr. Unsec. Bonds, 6.95%, 06/16/2025(b)

    $   200,000       $   154,000   

Ghana–0.37%

      

Ghana Government International Bond, Unsec. Gtd. Bonds, 10.75%, 10/14/2030(b)

      200,000         189,816   

Jamaica–0.34%

      

Digicel Group Ltd., REGS, Sr. Unsec. Gtd. Euro Notes, 6.75%, 03/01/2023(b)

      200,000         173,000   

Mexico–0.74%

      

Grupo Televisa S.A.B., Sr. Unsec. Global Notes, 6.13%, 01/31/2046

      200,000         197,009   

PLA Administradora Industrial, S. de R.L. de C.V., Sr. Unsec. Notes, 5.25%, 11/10/2022(b)

      200,000         184,437   
                381,446   

Netherlands–0.67%

      

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, Sr. Unsec. Gtd. Global Notes, 4.63%, 10/30/2020

      350,000         347,375   

Peru–0.93%

      

Lima Metro Line 2 Finance Ltd., Sr. Sec. First Lien Bonds, 5.88%, 07/5/2034(b)

      500,000         477,500   

Singapore–0.63%

      

BOC Aviation Pte. Ltd., Sr. Unsec. Notes, 3.00%, 03/30/2020(b)

      323,000         323,647   

Switzerland–1.36%

      

Credit Suisse Group AG, Jr. Unsec. Sub. Notes, 6.25% (b)(c)

      500,000         491,250   

UBS AG, Unsec. Sub. Medium-Term Euro Notes, 7.25%, 02/22/2022

      200,000         208,007   
                699,257   

United Kingdom–0.86%

      

HSBC Holdings PLC Jr. Unsec. Sub. Global Bonds, 5.63%(c)

      250,000         245,292   

6.38%(c)

      202,000         195,435   
                440,727   

United States–8.90%

      

AbbVie Inc., Sr. Unsec. Global Notes, 3.60%, 05/14/2025

      195,000         195,003   

Ally Financial Inc., Unsec. Sub. Global Notes, 5.75%, 11/20/2025

      143,000         143,357   

Avaya Inc., Sr. Sec. Gtd. First Lien Notes, 9.00%, 04/1/2019(b)

      300,000         202,500   
      Principal
Amount		      Value  

United States–(continued)

      

Berry Plastics Corp., Sec. Gtd. Second Lien Notes, 5.50%, 05/15/2022

    $   200,000       $   199,750   

6.00%, 10/15/2022(b)

      301,000         308,901   

Cantor Fitzgerald, L.P., Unsec. Notes, 6.50%, 06/17/2022(b)

      246,000         257,246   

Cimarex Energy Co., Sr. Unsec. Gtd. Notes, 4.38%, 06/1/2024

      100,000         87,183   

Concho Resources Inc., Sr. Unsec. Gtd. Global Notes, 5.50%, 04/1/2023

      100,000         90,250   

Denbury Resources Inc., Sr. Unsec. Gtd. Sub. Notes, 5.50%, 05/1/2022

      200,000         70,500   

EarthLink Holdings Corp., Sr. Unsec. Gtd. Global Notes, 8.88%, 05/15/2019

      149,000         150,117   

EPR Properties, Sr. Unsec. Gtd. Global Notes, 4.50%, 04/1/2025

      196,000         193,107   

FedEx Corp., Sr. Unsec. Gtd. Notes, 4.75%, 11/15/2045

      294,000         292,526   

First Data Corp., Sr. Unsec. Gtd. Notes, 7.00%, 12/1/2023(b)

      300,000         302,625   

Ford Motor Credit Co. LLC, Sr. Unsec. Global Notes, 4.13%, 08/4/2025

      387,000         384,289   

Frontier Communications Corp., Sr. Unsec. Notes, 11.00%, 09/15/2025(b)

      300,000         290,250   

JPMorgan Chase & Co., Series Z, Jr. Unsec. Sub. Global Notes, 5.30% (c)

      300,000         299,250   

Lockheed Martin Corp., Sr. Unsec. Global Notes, 4.70%, 05/15/2046

      137,000         145,716   

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Sr. Sec. Gtd. First Lien Mortgage Notes, 8.13%, 11/15/2021 (Acquired 08/21/2015; Cost $192,500)(b)

      200,000         160,000   

RSP Permian, Inc., Sr. Unsec. Gtd. Global Notes, 6.63%, 10/1/2022

      200,000         179,000   

Valeant Pharmaceuticals International, Inc., Sr. Unsec. Gtd. Notes, 6.13%, 04/15/2025(b)

      200,000         180,750   

Wells Fargo & Co., Series U, Jr. Unsec. Sub. Global Notes, 5.88% (c)

      300,000         317,250   

Whiting Petroleum Corp., Sr. Unsec. Gtd. Notes, 5.75%, 03/15/2021

      200,000         128,000   
                4,577,570   

Total U.S. Dollar Denominated Bonds and Notes (Cost $10,295,902)

   

      9,660,217   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco International Total Return Fund

      Principal
Amount		      Value  

Collateralized Mortgage Obligations–5.27%

  

United States–5.27%

      

Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-2, Class A1, Floating Rate Pass Through Ctfs., 3.09%, 03/25/2035(d)

    $   173,800       $ 174,191   

BLCP Hotel Trust, Series 2014-CLRN, Class C, Floating Rate Pass Through Ctfs., 2.38%, 08/15/2029(b)(d)

      450,000         438,194   

COMM Mortgage Trust, Series 2013-LC6, Class B, Pass Through Ctfs., 3.74%, 01/10/2046

      300,000         304,122   

GMACM Mortgage Loan Trust, Series 2006-AR1, Class 1A1, Floating Rate Pass Through Ctfs., 3.13%, 04/19/2036(d)

      244,072         221,519   

JP Morgan Mortgage Trust, Series 2007-A1, Class 2A2, Floating Rate Pass Through Ctfs., 2.71%, 07/25/2035(d)

      264,150         258,968   

Series 2007-A4, Class 3A1, Floating Rate Pass Through Ctfs., 4.70%, 06/25/2037(d)

      257,329         232,142   

Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 3A, Floating Rate Pass Through Ctfs., 2.33%, 11/25/2035(d)

      162,709         157,816   

WaMu Mortgage Pass-Through Trust, Series 2005-AR12, Class 1A8, Floating Rate Pass Through Ctfs., 2.43%, 10/25/2035(d)

      242,599         231,006   

Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR14, Class A1, Floating Rate Pass Through Ctfs., 2.74%, 08/25/2035(d)

      144,895         143,251   

WFRBS Commercial Mortgage Trust, Series 2013-C16, Class A5, Pass Through Ctfs., 4.42%, 09/15/2046

      500,000         551,660   

Total Collateralized Mortgage Obligations (Cost $2,694,390)

               2,712,869   
     Shares         

Money Market Funds–2.50%

      

Liquid Assets Portfolio –Institutional Class, 0.38% (e)

      643,565         643,565   

Premier Portfolio –Institutional Class, 0.34% (e)

      643,565         643,565   

Total Money Market Funds (Cost $1,287,130)

               1,287,130   

TOTAL INVESTMENTS–97.91% (Cost $53,533,683)

               50,374,800   

OTHER ASSETS LESS LIABILITIES–2.09%

               1,076,815   

NET ASSETS–100.00%

             $   51,451,615   

Investment Abbreviations:

 

AUD

    —Australian Dollar

CAD

    —Canadian Dollar

Ctfs.

    —Certificates

EUR

    —Euro

GBP

    —British Pound Sterling

Gtd.

    —Guaranteed

JPY

    —Japanese Yen

Jr.

    —Junior

KRW

    —South Korean Won

MXN

    —Mexican Peso

NOK

    —Norwegian Krona

REGS

    —Regulation S

Sec.

    —Secured

Sr.

    —Senior

Sub.

    —Subordinated

Unsec.

    —Unsecured

Notes to Schedule of Investments:

 

(a)  Foreign denominated security. Principal amount is denominated in the currency indicated.
(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 January 31, 2016 was $11,972,023, which represented 23.27% of the Fund’s Net Assets.
(c)  Perpetual bond with no specified maturity date.
(d)  Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on January 31, 2016.
(e)  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 January 31, 2016.
 

 

See accompanying notes which are an integral part of this schedule.

Invesco International Total Return Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

 

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

 

Invesco International Total Return Fund

A. Security Valuations – (continued)

 

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed

 

Invesco International Total Return Fund

E. Forward Foreign Currency Contracts – (continued)

 

upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

F. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties (“Counterparties”) to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities.
G. Call Options Written and Purchased – The Fund may write call options and/or buy call options. A covered call option gives the purchaser of such option the right to buy, and the writer the obligation to sell, the underlying security or foreign currency at the stated exercise price during the option period. An uncovered call option exists without the ownership of the underlying security. Options written by the Fund normally will have expiration dates between three and nine months from the date written. The exercise price of a call option may be below, equal to, or above the current market value of the underlying security at the time the option is written.

Additionally, the Fund may enter into an option on a swap agreement, also called a “swaption”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based premium. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the Counterparties.

When the Fund writes a covered call option, an amount equal to the premium received by the Fund is recorded as an asset and an equivalent liability in the Statement of Assets and Liabilities. The amount of the liability is subsequently “marked-to-market” to reflect the current market value of the option written. If a written covered call option expires on the stipulated expiration date, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or a loss if the closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a written covered call option is exercised, the Fund realizes a gain or a loss from the sale of the underlying security and the proceeds of the sale are increased by the premium originally received. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations. A risk in writing a covered call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing an uncovered call option is that the Fund may incur significant losses if the value of the written security exceeds the exercise price of the option.

When the Fund buys a call option, an amount equal to the premium paid by the Fund is recorded as an investment on the Statement of Assets and Liabilities. The amount of the investment is subsequently “marked-to-market” to reflect the current value of the option purchased. Realized and unrealized gains and losses on these contracts are included in the Statement of

 

Invesco International Total Return Fund

G. Call Options Written and Purchased – (continued)

 

Operations. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased.

H. Put Options Purchased and Written – The Fund may purchase and write put options including options on securities indexes, or foreign currency and/or futures contracts. By purchasing a put option, the Fund obtains the right (but not the obligation) to sell the option’s underlying instrument at a fixed strike price. In return for this right, the Fund pays an option premium. The option’s underlying instrument may be a security, securities index, or a futures contract. Put options may be used by the Fund to hedge securities it owns by locking in a minimum price at which the Fund can sell. If security prices fall, the put option could be exercised to offset all or a portion of the Fund’s resulting losses. At the same time, because the maximum the Fund has at risk is the cost of the option, purchasing put options does not eliminate the potential for the Fund to profit from an increase in the value of the underlying portfolio securities. The Fund may write put options to earn additional income in the form of option premiums if it expects the price of the underlying instrument to remain stable or rise during the option period so that the option will not be exercised. The risk in this strategy is that the price of the underlying securities may decline by an amount greater than the premium received. Put options written are reported as a liability in the Statement of Assets and Liabilities. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations as Net realized gain from Investment Securities. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased.
I. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. Such transactions are agreements between two parties (“Counterparties”). These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index.

A CDS is an agreement between Counterparties to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the “par value”, of the referenced obligation to the Fund. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer “par value” or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its Counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Fund’s maximum risk of loss from Counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the Counterparty and by the designation of collateral by the Counterparty to cover the Fund’s exposure to the Counterparty.

Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing CDS contract and serve as an indicator of the current status of the payment/performance risk of the CDS. An implied spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of

 

Invesco International Total Return Fund

I. Swap Agreements – (continued)

 

default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets.

An interest rate swap is an agreement between Counterparties pursuant to which the parties exchange a floating rate payment for a fixed rate payment based on a specified notional amount.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

Notional amounts of each individual credit default swap agreement outstanding as of January 31, 2016 for which the Fund is the seller of protection are disclosed in the open swap agreements table. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.

J. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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.

 

Invesco International Total Return Fund

 

     Level 1      Level 2     Level 3      Total  
                                    

Equity Securities

    $ 1,287,130       $ —      $ —       $ 1,287,130   

Collateralized Mortgage Obligations

      —         2,712,869        —         2,712,869   

Corporate Debt Securities

      —         19,087,528        —         19,087,528   

Foreign Sovereign Debt Securities

      —         27,287,273        —         27,287,273   
       1,287,130         49,087,670        —         50,374,800   

Forward Foreign Currency Contracts*

      —         (81,587 )      —         (81,587 ) 

Futures Contracts*

      17,966         —        —         17,966   

Swap Agreements*

      —         (190,836 )      —         (190,836 ) 

Total Investments

    $     1,305,096       $     48,815,247      $     —       $     50,120,343   
* Unrealized appreciation (depreciation).

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

Risk Exposure/ Derivative Type    Value  
   Assets              Liabilities      

Currency risk:

      

Forward foreign currency contracts

    $ 183,154       $ (264,741 ) 

Interest rate risk:

      

Futures contracts (a)

      17,966         —     

Swap agreements (b)

      —           (190,836 ) 

Total

    $   201,120       $ (455,577 ) 
(a) Includes cumulative appreciation of futures contracts.
(b) Includes cumulative appreciation (depreciation) of centrally cleared swap agreements.

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

      Location of Gain (Loss) on Statement of Operations  
   Forward Foreign
Currency Contracts		     Futures
Contracts		     Options
Purchased(a)		      Options
Written		     Swap  
Agreements  		  

Realized Gain (Loss):

            

Currency Risk

    $ 45,401      $ —        $ 12,665       $ 7,783      $ —     

Interest Rate Risk

      —          168,814        —           —          (27,417 ) 

Change in Net Unrealized

Appreciation (Depreciation):

                                          

Currency Risk

      (49,651 )      —          4,849         (9,698 )      —     

Interest Rate Risk

      —          (1,960 )      —           —          (190,836 ) 

Total

    $ (4,250 )    $ 166,854      $ 17,514       $ (1,915 )    $ (218,253 ) 
(a) Options purchased are included in the net realized gain (loss) from investment securities and the change in net unrealized appreciation (depreciation) of investment securities.

 

Invesco International Total Return Fund

 

The table below summarizes the average notional value of forward foreign currency contracts, futures contracts and swap agreements, outstanding during the period.

 

      Forward Foreign
Currency Contracts		                      Futures
Contracts		      Swap Agreements     

  Average notional value

    $ 54,213,148                     $ 5,460,958       $ 9,666,667    

 

Open Forward Foreign Currency Contracts  
                                     Unrealized  
Settlement         Contract to    Notional      Appreciation  
Date    Counterparty    Deliver    Receive    Value      (Depreciation)  

04/28/2016

    Goldman Sachs International    USD    6,653,438    JPY    787,179,058    $         6,517,294       $ (136,144 ) 

04/29/2016

    Citigroup Global Markets Inc.    CAD    1,346,584    USD    949,455      961,340         (11,885 ) 

04/29/2016

    Citigroup Global Markets Inc.    GBP    83,819    USD    119,627      119,465         162   

04/29/2016

    Citigroup Global Markets Inc.    NOK    8,410,018    USD    961,837      967,898         (6,061 ) 

04/29/2016

    Deutsche Bank Securities Inc.    USD    466,347    SEK    3,976,872      464,738         (1,609 ) 

04/29/2016

    Goldman Sachs International    AUD    1,449,000    USD    1,008,410      1,021,022         (12,612 ) 

04/29/2016

    Goldman Sachs International    CHF    1,430,000    USD    1,410,946      1,401,563         9,383   

04/29/2016

    Goldman Sachs International    GBP    200,000    USD    285,155      285,055         100   

04/29/2016

    Goldman Sachs International    MXN    639,113    USD    34,283      35,035         (752 ) 

04/29/2016

    Goldman Sachs International    MYR    5,800,000    USD    1,353,812      1,397,729         (43,917 ) 

04/29/2016

    Goldman Sachs International    SGD    2,767,435    USD    1,934,842      1,938,851         (4,009 ) 

04/29/2016

    Goldman Sachs International    THB    30,000,000    USD    830,991      837,371         (6,380 ) 

04/29/2016

    Goldman Sachs International    USD    211,430    CAD    300,000      214,173         2,743   

04/29/2016

    Goldman Sachs International    USD    8,559,973    EUR    7,873,569      8,551,387         (8,586 ) 

04/29/2016

    Goldman Sachs International    USD    1,019,516    INR    70,000,000      1,017,103         (2,413 ) 

04/29/2016

    Goldman Sachs International    USD    607,491    MYR    2,600,000      626,568         19,077   

04/29/2016

    Goldman Sachs International    USD    1,047,223    SGD    1,500,000      1,050,892         3,669   

04/29/2016

    Goldman Sachs International    ZAR    5,000,000    USD    298,113      309,272         (11,159 ) 

04/29/2016

    JPMorgan Chase Bank, N.A.    KRW    1,800,000,000    USD    1,502,128      1,486,059         16,069   

04/29/2016

    JPMorgan Chase Bank, N.A.    TWD    35,000,000    USD    1,050,925      1,048,316         2,609   

05/02/2016

    Goldman Sachs International    JPY    24,495,600    CAD    300,000      207,032         11,342   

05/02/2016

    Goldman Sachs International    JPY    60,000,000    USD    507,852      496,826         11,026   

06/13/2016

    Deutsche Bank Securities Inc.    CNY    8,691,310    USD    1,338,003      1,292,074         45,929   

06/13/2016

    Deutsche Bank Securities Inc.    USD    340,000    CNY    2,157,810      320,786         (19,214 ) 

10/24/2016

    Goldman Sachs International    CNY    6,472,250    USD    990,510      948,008         42,502   

11/21/2016

    Goldman Sachs International    CNY    3,500,000    USD    529,728      511,185         18,543   

Total Forward Foreign Currency Contracts—Currency Risk

                       $ (81,587 ) 

Currency Abbreviations:

 

AUD      —   Australian Dollar   INR   —   Indian Rupee   SEK   —   Swedish Krona
CAD      —   Canadian Dollar   JPY   —   Japanese yen   SGD   —   Singapore Dollar
CHF      —   Swiss Franc   KRW   —   South Korean Won   THB   —   Thailand Bat
CNY      —   Chinese Yuan   MXN   —   Mexican Peso   TWD   —   Taiwan New Dollar
EUR      —   Euro   MYR   —   Malaysian Ringgit   USD   —   U.S. Dollar
GBP      —   British Pound Sterling   NOK   —   Norwegian Krone   ZAR   —   South African Rand

 

Invesco International Total Return Fund

 

Open Futures Contracts—Interest Rate Risk (a)  
     Type of    Number of    Expiration    Notional      Unrealized  
Futures Contracts    Contract    Contracts    Month    Value      Appreciation  

Long Gilt

    Long    16    March-2016      $    2,743,200         $    17,966   
(a)  Futures contracts collateralized by $78,547 cash held with Bank of America Merrill Lynch, the futures commission merchant.

 

Options Written Transactions      
      Call Options       
      Notional Value       

Premiums

Received

       

Beginning of period

    $ 2,500,000         $     16,223       

Closed

      (1,500,000 )         (10,979 )     

Expired

      (1,000,000 )         (5,244 )     

End of period

    $ —           $     —         

 

Open Centrally Cleared Interest Rate Swap Agreements–Interest Rate Risk

Counterparty/

Clearinghouse

    Pay/Receive
Floating Rate		    Floating Rate Index   

Fixed

Rate

    Termination
Date		          Notional Value     

Unrealized
Appreciation

(Depreciation)

Credit Suisse Securities

(USA) LLC/CME

    Receive    3 Month USD LIBOR    1.65%    11/19/2020           $  11,000,000       $  (190,836)

    Abbreviations:

 

    CME – Chicago Mercantile Exchange

    USD – U.S. Dollar
    LIBOR – London Interbank Offered Rate   

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $21,499,536 and $20,220,164, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $         835,552   

Aggregate unrealized (depreciation) of investment securities

      (4,142,433)   

Net unrealized appreciation (depreciation) of investment securities

    $ (3,306,881)   

Cost of investments for tax purposes is $53,681,681.

   

 

Invesco International Total Return Fund

 

 

Invesco Long/Short Equity Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

LOGO

 

    
  invesco.com/us   LSE-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments (a)

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity
Interests–80.87%

      

Aerospace & Defense–3.11%

      

Huntington Ingalls Industries, Inc.

      2,850       $     364,458   

L-3 Communications Holdings, Inc.

      2,050         239,522   

Spirit AeroSystems Holdings Inc. -Class A (b)

      3,550         150,520   
                754,500   

Agricultural & Farm Machinery–1.56%

      

AGCO Corp.

      7,750         377,967   

Agricultural Products–2.66%

      

Bunge Ltd.

      3,600         223,236   

Ingredion Inc.

      4,200         423,024   
                646,260   

Air Freight & Logistics–0.02%

      

Expeditors International of Washington, Inc.

      100         4,512   

Airlines–0.48%

      

Alaska Air Group, Inc.

      1,650         116,160   

Apparel, Accessories & Luxury
Goods–0.88%

      

PVH Corp.

      2,900         212,802   

Application Software–0.18%

      

Nuance Communications, Inc. (b)

      2,500         44,075   

Auto Parts & Equipment–0.02%

      

Lear Corp.

      50         5,192   

Biotechnology–2.67%

      

Ionis Pharmaceuticals, Inc. (b)

      8,400         327,012   

United Therapeutics Corp. (b)

      2,600         320,268   
                647,280   

Coal & Consumable Fuels–1.30%

      

Cameco Corp. (Canada)

      26,000         315,640   

Communications Equipment–2.11%

      

F5 Networks, Inc. (b)

      2,250         211,005   

Juniper Networks, Inc.

      12,750         300,900   
                511,905   

Computer & Electronics Retail–2.28%

      

Best Buy Co., Inc.

      10,750         300,247   

GameStop Corp. -Class A

      9,700         254,237   
                554,484   

Construction & Engineering–4.52%

      

Fluor Corp.

      8,350         374,831   
      Shares      Value  

Construction & Engineering–(continued)

  

Jacobs Engineering Group, Inc. (b)

      8,800       $ 345,224   

Quanta Services, Inc. (b)

      20,150         376,805   
                    1,096,860   

Construction Machinery & Heavy
Trucks–1.21%

      

Allison Transmission Holdings, Inc.

      12,350         293,807   

Consumer Finance–1.98%

      

Navient Corp.

      26,600         254,296   

Santander Consumer USA Holdings Inc. (b)

      21,700         226,765   
                481,061   

Data Processing & Outsourced
Services–3.45%

      

Total System Services, Inc.

      6,850         275,096   

Western Union Co. (The)

      20,500         365,720   

Xerox Corp.

      20,170         196,657   
                837,473   

Electric Utilities–1.11%

      

Entergy Corp.

      3,820         269,616   

Electronic Manufacturing Services–1.42%

  

   

Flextronics International Ltd. (b)

      32,900         344,792   

Fertilizers & Agricultural Chemicals–0.11%

  

   

Mosaic Co. (The)

      1,100         26,510   

Gas Utilities–1.31%

      

National Fuel Gas Co.

      6,550         296,912   

UGI Corp.

      600         20,400   
                317,312   

Gold–1.11%

      

Newmont Mining Corp.

      13,550         270,458   

Health Care Equipment–1.49%

      

Hologic, Inc. (b)

      10,650         361,461   

Health Care Facilities–1.35%

      

Community Health Systems Inc. (b)

      1,850         39,738   

Universal Health Services, Inc. -Class B

      2,550         287,232   
                326,970   

Health Care REIT’s–0.12%

      

Care Capital Properties, Inc.

      1,000         29,940   

Home Furnishings–1.15%

      

Leggett & Platt, Inc.

      6,750         280,193   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Long/Short Equity Fund

      Shares      Value  

Independent Power Producers &
Energy Traders–3.39%

      

Calpine Corp. (b)

      26,300       $ 402,653   

NRG Energy, Inc.

      38,100         405,384   

Talen Energy Corp. (b)

      2,200         15,730   
                823,767   

Integrated Oil & Gas–0.23%

      

Cenovus Energy Inc. (Canada)

      4,600         56,534   

Internet Software & Services–2.10%

      

IAC/InterActiveCorp

      1,950         101,283   

VeriSign, Inc. (b)

      5,400         408,240   
                509,523   

IT Consulting & Other Services–2.12%

  

CGI Group Inc. -Class A (Canada)(b)

      1,250         53,625   

Leidos Holdings, Inc.

      8,400         387,408   

Teradata Corp. (b)

      3,000         73,020   
                    514,053   

Leisure Products–1.30%

      

Hasbro, Inc.

      4,250         315,690   

Life & Health Insurance–0.34%

      

Unum Group

      2,900         83,056   

Mortgage REIT’s–1.78%

      

American Capital Agency Corp.

      8,100         138,267   

Annaly Capital Management Inc.

      30,900         293,550   
                431,817   

Office REIT’s–0.80%

      

Alexandria Real Estate Equities, Inc.

      2,450         193,991   

Oil & Gas Drilling–3.12%

      

Ensco PLC -Class A

      12,050         117,849   

Noble Corp. PLC

      33,450         260,575   

Transocean Ltd.

      36,350         378,767   
                757,191   

Oil & Gas Equipment & Services–2.10%

  

Oceaneering International, Inc.

      8,700         294,495   

Superior Energy Services, Inc.

      20,850         214,963   
                509,458   

Oil & Gas Exploration & Production–1.33%

  

Denbury Resources Inc.

      40,600         63,336   

Newfield Exploration Co. (b)

      8,950         260,176   
                323,512   
      Shares      Value  

Oil & Gas Refining & Marketing–3.04%

  

HollyFrontier Corp.

      10,500       $ 367,185   

Tesoro Corp.

      4,250         370,812   
                737,997   

Packaged Foods & Meats–1.31%

      

Pilgrim’s Pride Corp. (b)

      14,350         318,283   

Pipelines & Midstream Diversified–1.03%

  

Plains GP Holdings, L.P. -Class A

      31,400         251,200   

Regional Banks–1.20%

      

CIT Group, Inc.

      9,950         292,033   

Reinsurance–2.23%

      

Everest Re Group, Ltd.

      1,850         331,039   

Reinsurance Group of America, Inc.

      2,500         210,575   
                541,614   

Residential REIT’s–1.02%

      

UDR, Inc.

      6,950         247,351   

Restaurants–1.77%

      

Darden Restaurants, Inc.

      6,800         428,808   

Retail REIT’s–1.80%

      

Regency Centers Corp.

      5,450         394,525   

Urban Edge Properties

      1,725         41,918   
                436,443   

Security & Alarm Services–1.51%

      

ADT Corp. (The)

      12,400         366,792   

Semiconductors–3.36%

      

First Solar, Inc. (b)

      5,600             384,496   

NVIDIA Corp.

      14,750         432,027   
                816,523   

Soft Drinks–1.06%

      

Dr Pepper Snapple Group, Inc.

      2,750         258,060   

Specialized REIT’s–0.11%

      

Four Corners Property Trust, Inc.

      1,650         27,885   

Specialty Properties–1.98%

      

Extra Space Storage Inc.

      5,300         480,657   

Systems Software–0.66%

      

CA, Inc.

      5,550         159,452   

Technology Hardware, Storage &
Peripherals–1.35%

      

NetApp, Inc.

      14,900         326,757   

Tires & Rubber–1.23%

      

Goodyear Tire & Rubber Co. (The)

      10,550         299,726   

Total Common Stocks & Other Equity
   Interests
   (Cost $21,749,168)

               19,635,403   
 

 

 

See accompanying notes which are an integral part of this schedule.

Invesco Long/Short Equity Fund

      Shares      Value  

Money Market Funds–19.99%

      

Liquid Assets Portfolio –Institutional
Class, 0.38% (c)

      2,427,412       $ 2,427,412   

Premier Portfolio –Institutional
Class, 0.34% (c)

      2,427,413         2,427,413   

Total Money Market Funds
(Cost $4,854,825)

               4,854,825   

TOTAL INVESTMENTS–100.86%
(Cost $26,603,993)

               24,490,228   

OTHER ASSETS LESS LIABILITIES–(0.86)%

  

      (208,566)   

NET ASSETS–100.00%

             $     24,281,662   

Investment Abbreviations:

REIT             —Real Estate Investment Trust

Notes to Schedule of Investments:

 

(a) Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.

 

(b) Non-income producing security.

 

(c) 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 January 31, 2016.

    

 

 

Open Total Return Swap Agreements

Reference Entity    Counterparty    Expiration
Date		    Floating Rate Index(1)    Notional
Amount		    Unrealized
Appreciation
(Depreciation)		   

Net Value of

Reference
Entities

     

  Equity Securities - Long

    Morgan Stanley & Co. LLC    12/21/2017    Federal Funds floating rate    $23,460,752    $545,673(2)    $23,989,764    

  Equity Securities - Short

    Morgan Stanley & Co. LLC    12/21/2017    Federal Funds floating rate    (24,151,162)    (564,663)(3)    (24,708,964)    

                    Total Return Swap Agreements – Equity Risk

    $(18,990)         
  (1) The Fund receives or pays the total return on the long and short positions underlying the total return swap and pays or receives a specific Federal Funds floating rate.
  (2) Amount includes $16,661 of dividends receivable and fees.
  (3) Amount includes $(6,861) of dividends payable and fees.

 

See accompanying notes which are an integral part of this schedule.

Invesco Long/Short Equity Fund

The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Morgan Stanley & Co. LLC as of January 31, 2016.

 

      Shares      Value  

Equity Securities - Long

      

Aerospace & Defense

      

Boeing Co. (The)

      3,050       $ 366,396   

L-3 Communications Holdings, Inc.

      800         93,472   

Spirit AeroSystems, Inc.

      4,900         207,760   
                667,628   

Agricultural & Farm Machinery

      

AGCO Corp.

      350         17,069   

Agricultural Products

      

Bunge Ltd.

      2,050         127,120   

Air Freight & Logistics

      

Expeditors International of Washington, Inc.

      7,300         329,376   

Airlines

      

Alaska Air Group Inc.

      3,450         242,880   

Delta Air Lines, Inc.

      8,000         354,320   
                597,200   

Apparel, Accessories & Luxury Goods

      

PVH Corp.

      1,050         77,049   

Application Software

      

Citrix Systems, Inc.

      5,400         380,484   

Nuance Communications, Inc.

      18,800         331,444   
                711,928   

Auto Parts & Equipment

      

Lear Corp.

      3,200         332,256   

Biotechnology

      

Biogen Inc.

      1,260         344,055   

Gilead Sciences, Inc.

      4,000         332,000   

Incyte Corp.

      1,100         77,616   

Regeneron Pharmaceuticals, Inc.

      820         344,474   

United Therapeutics Corp.

      250         30,795   
                1,128,940   

Broadcasting

      

TEGNA Inc.

      1,350         32,414   

Building Products

      

Masco Corp.

      13,900         366,821   

Cable & Satellite

      

Comcast Corp.

      6,600         367,686   

Coal & Consumable Fuels

      

Cameco Corp. (Canada)

      1,600         19,424   

Commodity Chemicals

      

LyondellBasell Industries N.V. -Class A

      4,650         362,561   
      Shares      Value  

Communications Equipment

      

Cisco Systems, Inc.

      15,300       $ 363,987   

F5 Networks, Inc.

      1,400         131,292   

Juniper Networks, Inc.

      750         17,700   

Motorola Solutions, Inc.

      5,500         367,235   

Palo Alto Networks, Inc.

      2,450         366,251   

Qualcomm Inc.

      7,650         346,851   
                1,593,316   

Computer & Electronics Retail

      

Best Buy Co., Inc.

      2,350         65,635   

Consumer Finance

      

Santander Consumer USA Holdings Inc.

      1,800         18,810   

Data Processing & Outsourced Services

      

Total System Services, Inc.

      2,250         90,360   

Western Union Co. (The)

      750         13,380   

Xerox Corp.

      18,580         181,155   
                284,895   

Diversified Banks

      

Citigroup Inc.

      6,850         291,673   

JPMorgan Chase & Co.

      4,750         282,625   
                574,298   

Electric Utilities

      

Edison International

      5,500         339,900   

Entergy Corp.

      480         33,878   

Exelon Corp.

      12,650         374,060   
                747,838   

Environmental & Facilities Services

      

Waste Management, Inc.

      6,500         344,175   

Fertilizers & Agricultural Chemicals

      

Mosaic Co. (The)

      9,350         225,335   

General Merchandise Stores

      

Target Corp.

      5,250         380,205   

Gold

      

Barrick Gold Corp. (Canada)

      48,400         479,644   

Goldcorp Inc. (Canada)

      30,950         350,973   

Newmont Mining Corp.

      6,650         132,734   
                963,351   

Health Care Distributors

      

AmerisourceBergen Corp.

      3,950         353,762   

Health Care Facilities

      

Community Health Systems, Inc.

      5,900         126,732   

HCA Holdings, Inc.

      4,650         323,547   

Universal Health Services, Inc.

      100         11,264   
                461,543   
 

 

 

See accompanying notes which are an integral part of this schedule.

Invesco Long/Short Equity Fund

      Shares      Value  

Home Furnishings

      

Leggett & Platt, Inc.

      1,150       $ 47,737   

Home Improvement Retail

      

Lowe’s Cos., Inc.

      750         53,745   

Homebuilding

      

D.R. Horton, Inc.

      4,800         132,048   

Integrated Oil & Gas

      

Cenovus Energy Inc. (Canada)

      18,350         225,521   

Suncor Energy, Inc. (Canada)

      16,100         379,155   
                604,676   

Integrated Telecommunication Services

      

CenturyLink Inc.

      1,500         38,130   

Internet Retail

      

Priceline Group Inc. (The)

      340         362,090   

Internet Software & Services

      

IAC/InterActiveCorp

      5,000         259,700   

IT Consulting & Other Services

      

International Business Machines Corp.

      2,650         330,694   

Teradata Corp.

      12,600         306,684   
                637,378   

Leisure Products

      

Hasbro, Inc.

      200         14,856   

Life & Health Insurance

      

Prudential Financial, Inc.

      5,200         364,416   

Sun Life Financial, Inc. (Canada)

      10,300         293,550   
                    657,966   

Mortgage REIT’s

      

Annaly Capital Management, Inc.

      7,300         69,350   

Multi-Line Insurance

      

Hartford Financial Services Group, Inc. (The)

      7,250         291,305   

Multi-Utilities

      

PG&E Corp.

      6,700         367,897   

Public Service Enterprise Group Inc.

      7,750         320,075   
                687,972   

Oil & Gas Drilling

      

Ensco PLC

      6,300         61,614   

Oil & Gas Exploration & Production

      

Canadian Natural Resources Ltd. (Canada)

      13,900         295,514   

Oil & Gas Refining & Marketing

      

HollyFrontier Corp.

      350         12,239   

Phillips 66

      2,700         216,405   

Valero Energy Corp.

      6,650         451,336   
                679,980   
      Shares      Value  

Packaged Foods & Meats

      

Campbell Soup Co.

      6,800       $ 383,588   

ConAgra Foods, Inc.

      8,950         372,678   

General Mills, Inc.

      6,500         367,315   

J.M. Smucker Co. (The)

      2,950         378,544   

Pilgrim’s Pride Corp.

      4,300         95,374   

Tyson Foods, Inc. -Class A

      6,850         365,516   
                1,963,015   

Pharmaceuticals

      

Merck & Co., Inc.

      6,650         336,956   

Zoetis, Inc.

      6,900         297,045   
                634,001   

Property & Casualty Insurance

      

Travelers Cos., Inc. (The)

      3,450         369,288   

Regional Banks

      

SunTrust Banks, Inc.

      8,650         316,417   

Residential REIT’s

      

Equity Residential

      4,500         346,905   

Retail REIT’s

      

Brixmor Property Group Inc.

      9,350         248,897   

General Growth Properties, Inc.

      13,300         372,932   

Kimco Realty Corp.

      13,350         362,987   
                984,816   

Semiconductors

      

Intel Corp.

      12,000         372,240   

Maxim Integrated Products, Inc.

      11,150         372,410   

Texas Instruments Inc.

      7,050         373,157   

Xilinx, Inc.

      7,400         371,998   
                1,489,805   

Soft Drinks

      

Coca-Cola Enterprises, Inc.

      7,850         364,397   

Dr Pepper Snapple Group, Inc.

      2,400         225,216   
                589,613   

Specialized REIT’s

      

Public Storage

      1,550         393,018   

Technology Hardware, Storage & Peripherals

      

Apple Inc.

      3,850         374,759   

NetApp, Inc.

      1,900         41,667   

Seagate Technology PLC

      13,300         386,365   
                802,791   

Tires & Rubber

      

Goodyear Tire & Rubber Co. (The)

      1,950         55,399   

Total Equity Securities - Long

             $     23,989,764   
 

 

 

See accompanying notes which are an integral part of this schedule.

Invesco Long/Short Equity Fund

      Shares      Value  

Equity Securities - Short

      

Alternative Carriers

      

Level 3 Communications, Inc.

      (6,950)       $ (339,230)   

Apparel, Accessories & Luxury Goods

      

Fossil Group, Inc.

      (6,750)         (220,050)   

Gildan Activewear Inc. (Canada)

      (14,200)         (357,840)   

Hanesbrands, Inc.

      (4,750)         (145,207)   

Lululemon Athletica Inc.

      (6,050)         (375,524)   

Under Armour, Inc. -Class A

      (5,200)         (444,236)   
                (1,542,857)   

Application Software

      

Workday, Inc. -Class A

      (4,000)         (252,040)   

Asset Management & Custody Banks

  

Legg Mason, Inc.

      (3,150)         (96,453)   

Auto Parts & Equipment

      

BorgWarner, Inc.

      (8,500)         (249,560)   

Automobile Manufacturers

      

Tesla Motors, Inc.

      (1,250)         (239,000)   

Automotive Retail

      

CarMax, Inc.

      (8,000)         (353,440)   

Biotechnology

      

Alnylam Pharmaceuticals Inc.

      (3,350)         (230,949)   

Celgene Corp.

      (3,450)         (346,104)   

Puma Biotechnology, Inc.

      (4,200)         (175,308)   
                    (752,361)   

Building Products

      

Fortune Brands Home & Security Inc.

      (4,350)         (211,366)   

Casinos & Gaming

      

Wynn Resorts Ltd.

      (5,300)         (356,902)   

Coal & Consumable Fuels

      

CONSOL Energy Inc.

      (28,200)         (223,908)   

Commodity Chemicals

      

Methanex Corp. (Canada)

      (12,550)         (332,826)   

Construction Materials

      

Martin Marietta Materials, Inc.

      (2,300)         (288,834)   

Consumer Electronics

      

Garmin Ltd.

      (8,150)         (286,717)   

Harman International Industries, Inc.

      (250)         (18,597)   
                (305,314)   

Data Processing & Outsourced Services

      

Visa Inc. -Class A

      (5,000)         (372,450)   

Diversified Metals & Mining

      

Freeport-McMoRan Inc.

      (59,150)         (272,090)   
      Shares      Value  

Diversified REIT’s

      

VEREIT, Inc.

      (47,900)       $ (369,309)   

Electrical Components & Equipment

      

Sensata Technologies Holding N.V.

      (7,250)         (266,075)   

Fertilizers & Agricultural Chemicals

      

CF Industries Holdings, Inc.

      (11,850)         (355,500)   

FMC Corp.

      (10,250)         (366,130)   
                (721,630)   

Food Retail

      

Whole Foods Market, Inc.

      (12,400)         (363,444)   

Gold

      

Franco-Nevada Corp. (Canada)

      (6,700)         (295,537)   

Health Care Equipment

      

IDEXX Laboratories, Inc.

      (5,250)         (368,235)   

Zimmer Biomet Holdings, Inc.

      (3,500)         (347,410)   
                (715,645)   

Health Care Facilities

      

Brookdale Senior Living Inc.

      (15,550)         (253,154)   

Tenet Healthcare Corp.

      (13,350)         (362,052)   
                (615,206)   

Health Care REIT’s

      

Ventas, Inc.

      (6,600)             (365,112)   

Health Care Supplies

      

Cooper Cos., Inc. (The)

      (2,750)         (360,662)   

Health Care Technology

      

Cerner Corp.

      (5,500)         (319,055)   

Homebuilding

      

Lennar Corp. -Class A

      (7,100)         (299,265)   

PulteGroup Inc.

      (22,200)         (372,072)   
                (671,337)   

Industrial Machinery

      

Colfax Corp.

      (8,300)         (183,762)   

Integrated Oil & Gas

      

Chevron Corp.

      (4,250)         (367,497)   

Exxon Mobil Corp.

      (4,700)         (365,895)   
                (733,392)   

Internet Retail

      

Amazon.com, Inc.

      (600)         (352,200)   

Internet Software & Services

      

Alphabet Inc. –Class A

      (460)         (350,221)   

Alphabet Inc. –Class C

      (45)         (33,433)   

Twitter, Inc.

      (15,500)         (260,400)   
                (644,054)   
 

 

 

See accompanying notes which are an integral part of this schedule.

Invesco Long/Short Equity Fund

      Shares      Value  

Investment Banking & Brokerage

      

Charles Schwab Corp. (The)

      (11,550)       $ (294,872)   

Leisure Products

      

Polaris Industries Inc.

      (5,050)         (372,892)   

Life Sciences Tools & Services

      

Illumina, Inc.

      (2,200)         (347,490)   

Oil & Gas Drilling

      

Diamond Offshore Drilling, Inc.

      (11,400)         (211,926)   

Oil & Gas Exploration & Production

  

Antero Resources Corp.

      (13,800)         (374,946)   

Cabot Oil & Gas Corp.

      (18,300)         (379,725)   

Continental Resources, Inc.

      (18,250)         (385,257)   

Encana Corp. (Canada)

      (94,250)         (411,872)   

EQT Corp.

      (5,950)         (367,353)   

Noble Energy, Inc.

      (9,700)         (313,989)   

Pioneer Natural Resources Co.

      (3,100)         (384,245)   

Range Resources Corp.

      (10,100)         (298,556)   

Southwestern Energy Co.

      (40,500)         (360,045)   

Whiting Petroleum Corp.

      (28,600)         (210,210)   
                    (3,486,198)   

Oil & Gas Storage & Transportation

  

Cheniere Energy, Inc.

      (12,250)         (368,113)   

Enbridge Inc. (Canada)

      (6,450)         (223,170)   

Pembina Pipeline Corp. (Canada)

      (12,700)         (288,798)   
                (880,081)   

Paper Packaging

      

Packaging Corp. of America

      (3,950)         (200,779)   

Pharmaceuticals

      

Mallinckrodt PLC

      (5,700)         (331,113)   

Railroads

      

Kansas City Southern

      (5,300)         (375,664)   

Real Estate Development

      

Howard Hughes Corp.

      (3,750)         (356,362)   

Restaurants

      

Chipotle Mexican Grill, Inc.

      (800)         (362,376)   

Semiconductor Equipment

      

SunEdison, Inc.

      (38,750)         (121,288)   

Semiconductors

      

Micron Technology, Inc.

      (34,350)         (378,881)   

Qorvo, Inc.

      (9,650)         (382,140)   
                (761,021)   

Silver

      

Silver Wheaton Corp. (Canada)

      (25,000)         (294,000)   

Specialty Chemicals

      

Albemarle Corp.

      (7,000)         (368,480)   
      Shares      Value  

Specialty Stores

      

Signet Jewelers Ltd.

      (2,500)       $ (290,000)   

Tractor Supply Co.

      (4,200)         (370,902)   
                (660,902)   

Steel

      

Allegheny Technologies, Inc.

      (12,500)         (117,250)   

United States Steel Corp.

      (16,900)         (118,300)   
                (235,550)   

Systems Software

      

FireEye, Inc.

      (17,100)         (240,939)   

NetSuite Inc.

      (4,150)         (287,886)   

Tableau Software, Inc.

      (4,850)         (389,164)   
                (917,989)   

Technology Hardware, Storage & Peripherals

      

3D Systems Corp.

      (12,250)         (98,122)   

Trucking

      

Ryder System, Inc.

      (6,900)         (366,873)   

Wireless Telecommunication Services

      

SBA Communications Corp. -Class A

      (2,850)         (282,948)   

Sprint Corp.

      (71,850)         (216,987)   
                (499,935)   

Total Equity Securities - Short

             $     (24,708,964)   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Long/Short Equity Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

 

Invesco Long/Short Equity Fund

A. Security Valuations – (continued)

 

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, volatility, variance, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, equity, currency or credit risk. Such transactions are agreements between two parties (“Counterparties”). These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, volatility, variance, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index.

A total return swap is an agreement in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income generated and capital gains, if any. The unrealized appreciation (depreciation) on total return swaps includes dividends on the underlying equity securities and financing rate payable from the Counterparty. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, the Fund would receive payments based on any positive total return and would owe payments in the event of a negative total return. As the payer, the

 

Invesco Long/Short Equity Fund

D. Swap Agreements – (continued)

 

Fund would owe payments on any net positive total return, and would receive payment in the event of a negative total return.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

E. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
F. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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  

Equity Securities

    $     24,490,228       $ —       $             —       $     24,490,228   

Swap Agreements*

      —         (18,990)         —         (18,990)   

Total Investments

    $ 24,490,228       $     (18,990)       $ —       $ 24,471,238   

* Unrealized appreciation (depreciation).

 

Invesco Long/Short Equity Fund

NOTE 3 — Derivative Investments

 

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

  Risk Exposure/ Derivative Type   Value
  Assets   Liabilities

 Equity risk:

    

  Swap agreements

   $545,673   $(564,663)

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

     Location of Gain (Loss) on
Statement of Operations
  Swap Agreements

  Realized Gain:

  

  Equity Risk

  

$1,710,417

  Change in Net Unrealized Appreciation (Depreciation):

  

  Equity Risk

  

(285,112)

  Total

  

$1,425,305

The table below summarizes the average notional value of swap agreements outstanding during the period.

 

     Swap Agreements

  Average notional value

   $47,982,236

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $5,430,413 and $2,461,598, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 1,267,679   

Aggregate unrealized (depreciation) of investment securities

      (3,659,180)   

Net unrealized appreciation (depreciation) of investment securities

    $         (2,391,501)   

Cost of investments for tax purposes is $26,881,729.

   

 

Invesco Long/Short Equity Fund

 

 

Invesco Low Volatility Emerging Markets Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

  LOGO    
  invesco.com/us   LVEM-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–96.74%

  

Brazil–9.05%

      

Banco do Brasil S.A.

      1,300       $ 4,502   

BRF S.A.

      2,700         32,562   

CESP - Companhia Energética de São Paulo -Class B -Preference Shares

      4,500         14,842   

Companhia de Transmissao de Energia Eletrica Paulista -Preference Shares

      2,000         22,840   

Companhia Energetica de Minas Gerais -ADR

      5,400         7,992   

Fibria Celulose S.A. -ADR

      3,300         36,465   

JBS S.A.

      9,500         25,655   

Lojas Renner S.A.

      6,500         28,833   

Multiplus S.A.

      2,000         15,853   

Porto Seguro S.A.

      1,800         11,779   

Smiles S.A.

      4,100         29,198   

Telefonica Brasil S.A. -ADR

      1,800         15,696   

Transmissora Alianca de Energia Eletrica S.A. (a)

      3,900         16,959   

WEG S.A.

      1,820         7,036   
         270,212   

Chile–4.19%

      

Aguas Andinas S.A. -Class A

      19,842         9,982   

Banco de Chile

      240,682         24,927   

Compania Cervecerias Unidas S.A. -ADR

      800         17,272   

Empresa Nacional de Electricidad S.A.

      19,048         24,867   

Enersis Américas S.A.

      165,930         39,640   

Enersis Américas S.A. -ADR

      700         8,253   
         124,941   

China–5.79%

      

China Vanke Co., Ltd. -Class H

      17,700         39,889   

Chongqing Rural Commercial Bank Co., Ltd. -Class H

      71,000         36,355   

Guangdong Electric Power Development Co., Ltd. -Class B

      18,500         11,053   

Huadian Power International Corp. Ltd. -Class H

      42,000         24,919   

Shanghai Bailian Group Co. Ltd.-Class B

      9,416         15,115   

Shenzhen Expressway Co. Ltd.-Class H

      22,000         17,601   

Zhejiang Expressway Co., Ltd. -Class H

      32,000         27,710   
         172,642   

Colombia–0.50%

      

Bancolombia S.A. -ADR

      500         14,750   

India–6.39%

      

Bharat Electronics Ltd.

      1,606         29,386   

Britannia Industries Ltd.

      1,043         41,578   

Hindustan Petroleum Corp. Ltd.

      3,716         44,918   

Mphasis Ltd.

      1,502         10,166   

NHPC Ltd.

      25,290         7,846   

Rural Electrification Corp. Ltd.

      13,747         39,360   

Sun TV Network Ltd.

      3,101         17,509   
         190,763   
      Shares      Value  

Indonesia–3.70%

  

PT Astra Agro Lestari Tbk

      10,300       $ 12,859   

PT Indofood Sukses Makmur Tbk

      61,100         27,821   

PT Telekomunikasi Indonesia Persero Tbk

      228,700         56,084   

PT United Tractors Tbk

      10,700         13,687   
         110,451   

Malaysia–3.70%

      

British American Tobacco Malaysia Berhad

      1,300         18,146   

DiGi.Com Berhad

      6,600         7,772   

MISC Berhad

      19,700         41,651   

Tenaga Nasional Berhad

      13,100         42,951   
         110,520   

Mexico–9.02%

      

Alpek S.A.B. de C.V.

      5,500         7,100   

Arca Continental S.A.B. de C.V.

      7,600         45,683   

Arca Continental, S.A.B. de C.V. -Rts. (b)

      407         0   

Gentera S.A.B. de C.V.

      12,300         22,080   

Gruma, S.A.B. de C.V. - Class B

      3,100         46,756   

Grupo Aeroportuario del Pacifico S.A.B. de C.V. -ADR

      500         42,020   

Grupo Mexico S.A.B. de C.V. -Series B

      15,900         30,858   

Industrias Bachoco, S.A.B. de C.V. -Series B

      2,200         7,943   

Industrias Peñoles, S.A.B. de C.V.

      1,435         13,694   

Nemak, S.A.B. de C.V. (c)

      10,300         13,103   

Wal-Mart de México, S.A.B. de C.V. -Class V

      15,900         39,936   
         269,173   

Poland–2.41%

      

KGHM Polska Miedz S.A.

      1,441         20,606   

Powszechna Kasa Oszczednosci Bank Polski S.A. (b)

      3,286         19,910   

Powszechny Zaklad Ubezpieczen S.A.

      3,960         31,471   
         71,987   

Russia–6.83%

      

Gazprom PAO -ADR

      11,537         41,733   

Inter RAO UES PJSC (b)

      1,137,097         20,191   

MMC Norilsk Nickel PJSC -ADR

      3,011         35,061   

Mobile TeleSystems PJSC -ADR

      3,100         21,700   

Moscow Exchange MICEX-RTS OAO

      33,713         42,883   

Tatneft PAO -ADR

      1,596         42,246   
         203,814   

South Africa–11.59%

      

AVI Ltd.

      5,110         25,609   

FirstRand Ltd.

      8,713         24,664   

Imperial Holdings Ltd.

      2,437         18,888   

Liberty Holdings Ltd.

      1,476         10,408   

Mondi Ltd.

      2,241         37,227   

Nedbank Group Ltd.

      2,831         33,544   

Netcare Ltd.

      15,802         33,710   

RMB Holdings Ltd.

      5,694         20,297   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Low Volatility Emerging Markets Fund

      Shares      Value  

South Africa–(continued)

      

Sappi Ltd. (b)

      8,166       $ 37,058   

Sibanye Gold Ltd.

      14,441         31,997   

SPAR Group Ltd. (The)

      1,840         21,326   

Truworths International Ltd.

      8,204         51,174   
                345,902   

South Korea–16.39%

      

Coway Co., Ltd. (b)

      621         50,493   

GS Retail Co. Ltd.

      1,001         55,114   

Hanwha Corp. (b)

      1,326         40,928   

Hyosung Corp. (b)

      420         38,398   

Hyundai Development Co. (b)

      770         29,297   

Hyundai Marine & Fire Insurance Co., Ltd.

      1,365         37,009   

Kangwon Land Inc. (b)

      1,275         43,973   

Kia Motors Corp.

      925         35,332   

Korean Air Lines Co., Ltd. (b)

      922         19,188   

KT&G Corp.

      436         37,694   

LG Display Co., Ltd.

      1,025         18,676   

LS Corp.

      561         17,704   

Samsung Electronics Co., Ltd.

      39         37,640   

SK Hynix Inc.

      1,193         27,585   
                489,031   

Taiwan–10.86%

      

AU Optronics Corp.

      162,000         42,180   

Chunghwa Telecom Co., Ltd.

      8,000         24,751   

Fubon Financial Holding Co., Ltd.

      28,000         31,032   

Highwealth Construction Corp.

      20,800         19,292   

Hon Hai Precision Industry Co., Ltd.

      14,000         32,842   

Innolux Corp.

      145,000         41,496   

Pegatron Corp.

      18,000         41,124   

Pou Chen Corp.

      31,000         38,863   

Taiwan Cement Corp.

      44,000         35,446   

Wan Hai Lines Ltd.

      32,000         17,063   
                324,089   

Thailand–0.76%

      

Intouch Holdings PCL -Class F

      700         1,158   

PTT Global Chemical PCL

      14,200         21,507   
                22,665   

Turkey–3.43%

      

TAV Havalimanlari Holding A.S.

      6,002         35,643   

Turkiye Is Bankasi -Class C

      21,724         34,049   

Ulker Biskuvi Sanayi A.S.

      5,125         32,778   
                102,470   

United Arab Emirates–2.13%

      

Air Arabia PSJC

      48,728         15,550   

Aldar Properties PJSC

      64,426         39,278   

Emaar Properties PJSC

      6,417         8,668   
                63,496   

Total Common Stocks & Other Equity Interests
(Cost $3,623,072)

   

      2,886,906   
      Shares      Value  

Money Market Funds–0.22%

      

Liquid Assets Portfolio –Institutional Class, 0.38% (d)

      3,345       $ 3,345   

Premier Portfolio –Institutional Class, 0.34% (d)

      3,344         3,344   

Total Money Market Funds
(Cost $6,689)

               6,689   

TOTAL INVESTMENTS–96.96%
(Cost $3,629,761)

               2,893,595   

OTHER ASSETS LESS LIABILITIES–3.04%

               90,750   

NET ASSETS–100.00%

             $ 2,984,345   

Investment Abbreviations:

 

ADR —American Depositary Receipt
Rts. —Rights

Notes to Schedule of Investments:

 

(a)  Each unit represents two preferred shares and one common share.
(b)  Non-income producing security.
(c)  Security purchased or received in 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 value of this security at January 31, 2016 represented less than 1% of the Fund’s Net Assets.
(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 January 31, 2016.
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Low Volatility Emerging Markets Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

 

Invesco Low Volatility Emerging Markets Fund

A. Security Valuations – (continued)

 

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash

 

Invesco Low Volatility Emerging Markets Fund

E. Forward Foreign Currency Contracts – (continued)

 

payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

F. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between Counterparties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities.
G. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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.

 

Invesco Low Volatility Emerging Markets Fund

During the three months ended January 31, 2016, there were transfers from Level 1 to Level 2 of $410,537 and from Level 2 to Level 1 of $121,998, due to foreign fair value adjustments.

        Level 1        Level 2        Level 3        Total  

Brazil

      $ 270,212         $ —         $ —         $ 270,212   

Chile

        124,941           —           —           124,941   

China

        —           172,642           —           172,642   

Colombia

        14,750           —           —           14,750   

India

        —           190,763           —           190,763   

Indonesia

        —           110,451           —           110,451   

Malaysia

        102,748           7,772           —           110,520   

Mexico

        269,173           —           —           269,173   

Poland

        —           71,987           —           71,987   

Russia

        21,700           182,114           —           203,814   

South Africa

        73,075           272,827           —           345,902   

South Korea

        50,493           438,538           —           489,031   

Taiwan

        —           324,089           —           324,089   

Thailand

        1,158           21,507           —           22,665   

Turkey

        —           102,470           —           102,470   

United Arab Emirates

        —           63,496           —           63,496   

United States

        6,689           —           —           6,689   
         934,939           1,958,656           —           2,893,595   

Futures Contracts*

        (1,177 )         —           —           (1,177 ) 

Total Investments

      $     933,762         $     1,958,656         $             —         $     2,892,418   
  * Unrealized appreciation (depreciation).

NOTE 3 — Derivative Investments

 

Open Futures Contracts at period-end(a)  
Futures Contracts    Type of
Contract		    Number of
Contracts		    Expiration
Month		    Notional
Value		   

Unrealized
Appreciation

(Depreciation)

  

MSCI Emerging Markets Mini Index

    Long    1    March-2016    $37,390    $ (1,177 ) 
  (a)  Futures contracts collateralized by $3,010 cash held with Merrill Lynch, the futures commission merchant.

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $466,640 and $235,079, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis  

Aggregate unrealized appreciation of investment securities

    $   100,991   

Aggregate unrealized (depreciation) of investment securities

      (866,152 ) 

Net unrealized appreciation (depreciation) of investment securities

    $ (765,161 ) 

Cost of investments for tax purposes is $3,658,756.

   

 

Invesco Low Volatility Emerging Markets Fund

 

 

Invesco Macro International Equity Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

LOGO

 

    
  invesco.com/us   MIE-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–91.26%

  

Australia–9.06%

  

Adelaide Brighton Ltd.

      2,051       $ 6,924   

AGL Energy Ltd.

      523         6,934   

ALS Ltd.

      2,268         5,360   

Alumina Ltd.

      7,579         5,683   

Amcor Ltd.

      686         6,506   

AMP Ltd.

      1,499         5,749   

Ansell Ltd.

      422         6,018   

APA Group

      1,042         6,307   

Aristocrat Leisure Ltd.

      902         6,601   

Asciano Ltd.

      1,099         6,983   

ASX Ltd.

      216         6,540   

Aurizon Holdings Ltd.

      1,641         4,311   

AusNet Services

      6,068         6,335   

Australia and New Zealand Banking Group Ltd.

      325         5,628   

Bank of Queensland Ltd.

      655         6,123   

Bendigo and Adelaide Bank Ltd.

      793         6,127   

BHP Billiton Ltd.

      491         5,390   

BHP Billiton PLC

      2,277         22,173   

BlueScope Steel Ltd.

      2,167         7,303   

Boral Ltd.

      1,574         6,299   

Brambles Ltd.

      813         6,517   

Caltex Australia Ltd.

      256         6,798   

carsales.com Ltd.

      842         7,138   

Challenger Ltd.

      1,011         5,746   

Charter Hall Group

      1,982         6,289   

CIMIC Group Ltd.

      360         6,262   

Coca-Cola Amatil Ltd.

      979         5,868   

Cochlear Ltd.

      94         6,286   

Commonwealth Bank of Australia

      110         6,190   

Computershare Ltd.

      757         5,663   

Crown Resorts Ltd.

      788         6,908   

CSL Ltd.

      90         6,700   

CSR Ltd.

      3,030         5,532   

DEXUS Property Group

      1,150         6,044   

Domino’s Pizza Enterprises Ltd.

      177         7,562   

Downer EDI Ltd.

      2,478         5,520   

DUET Group

      3,760         6,175   

DuluxGroup Ltd.

      1,408         6,496   

Fairfax Media Ltd.

      9,722         6,143   

Flight Centre Travel Group Ltd.

      252         7,036   

Fortescue Metals Group Ltd.

      4,756         5,902   

Goodman Group

      1,508         6,551   

GPT Group (The)

      1,900         6,622   

Harvey Norman Holdings Ltd.

      2,211         7,011   

Healthscope Ltd.

      3,436         5,409   

Iluka Resources Ltd.

      1,634         6,444   

Incitec Pivot Ltd.

      2,352         5,209   

Insurance Australia Group Ltd.

      1,557         5,864   

Investa Office Fund

      2,394         6,653   

IOOF Holdings Ltd.

      919         5,395   
      Shares      Value  

Australia–(continued)

      

JB Hi-Fi Ltd.

      482       $ 8,041   

Lendlease Group

      692         6,425   

Macquarie Group Ltd.

      107         5,526   

Magellan Financial Group Ltd.

      362         5,901   

Mirvac Group

      4,756         6,432   

National Australia Bank Ltd.

      292         5,782   

Newcrest Mining Ltd. (a)

      757         6,985   

Nufarm Ltd.

      1,076         5,302   

Oil Search Ltd.

      1,107         5,202   

Orica Ltd.

      571         5,815   

Origin Energy Ltd.

      1,623         4,808   

Orora Ltd.

      4,111         6,430   

OZ Minerals Ltd.

      2,211         6,014   

Perpetual Ltd.

      191         5,644   

Primary Health Care Ltd.

      2,611         4,612   

Qantas Airways Ltd.

      2,492         6,888   

QBE Insurance Group Ltd.

      717         5,577   

Ramsay Health Care Ltd.

      136         5,871   

REA Group Ltd.

      171         6,447   

Recall Holdings Ltd.

      1,358         6,411   

Santos Ltd.

      2,080         4,795   

Scentre Group

      2,156         6,686   

SEEK Ltd.

      635         6,559   

Shopping Centres Australasia Property Group

      4,170         6,335   

Sonic Healthcare Ltd.

      454         5,945   

South32 Ltd. (a)

      7,617         5,326   

Spark Infrastructure Group

      4,582         6,443   

Spotless Group Holdings Ltd.

      5,074         3,762   

Star Entertainment Group Ltd. (The)

      1,841         7,066   

Stockland

      2,183         6,405   

Suncorp Group Ltd.

      656         5,442   

Sydney Airport

      1,401         6,563   

Tabcorp Holdings Ltd.

      1,884         6,184   

Tatts Group Ltd.

      2,056         6,135   

Telstra Corp. Ltd.

      1,601         6,430   

TPG Telecom Ltd.

      828         5,946   

Transurban Group

      885         6,780   

Treasury Wine Estates Ltd.

      1,104         7,151   

Vicinity Centres

      3,302         6,858   

Washington H. Soul Pattinson & Co. Ltd.

      575         6,840   

Wesfarmers Ltd.

      234         7,052   

Westfield Corp.

      961         6,854   

Westpac Banking Corp.

      272         6,004   

Woodside Petroleum Ltd.

      301         6,061   

Woolworths Ltd.

      360         6,261   

WorleyParsons Ltd.

      1,370         3,348   
                606,571   

Austria–0.16%

      

Erste Group Bank AG (a)

      192         5,605   

Voestalpine AG

      187         4,977   
                10,582   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro International Equity Fund

      Shares      Value  

Belgium–0.51%

  

Ageas

      135       $ 5,478   

Anheuser-Busch InBev SA/NV

      48         6,044   

Delhaize Group

      62         6,517   

KBC Groep N.V.

      94         5,389   

Solvay S.A.

      60         4,969   

UCB S.A.

      67         5,740   
                34,137   

Brazil–0.55%

  

Ambev S.A.

      1,400         6,532   

BRF S.A.

      300         3,618   

Cielo S.A.

      500         4,235   

Klabin S.A. (b)

      1,000         5,251   

Transmissora Alianca de Energia Eletrica S.A. (c)

      1,200         5,218   

Ultrapar Participacoes S.A.

      400         5,939   

WEG S.A.

      1,500         5,799   
                36,592   

Chile–1.09%

      

AES Gener S.A.

      17,603         7,743   

Banco de Chile

      117,917         12,213   

Banco Santander Chile

      175,135         7,590   

Cencosud S.A.

      2,586         5,295   

Empresa Nacional de Electricidad S.A.

      7,235         9,445   

Empresas CMPC S.A.

      3,059         6,964   

Empresas COPEC S.A.

      1,011         8,737   

Enersis Américas S.A.

      30,806         7,359   

S.A.C.I. Falabella

      1,124         7,424   
                72,770   

China–1.18%

      

AAC Technologies Holdings Inc.

      1,000         6,397   

Agricultural Bank of China Ltd. -Class H

      17,000         6,079   

China CITIC Bank Corp. Ltd. -Class H (a)

      8,000         4,635   

China Construction Bank Corp. -Class H

      8,000         4,929   

China Traditional Chinese Medicine Co. Ltd. (a)

      10,000         5,531   

CITIC Ltd.

      3,000         4,269   

FIH Mobile Ltd.

      14,000         5,003   

Global Logistic Properties Ltd.

      4,500         5,402   

Hengan International Group Co. Ltd.

      500         4,479   

HengTen Networks Group Ltd. (a)

      88,000         4,674   

Industrial & Commercial Bank of China Ltd.
-Class H

      9,000         4,720   

Shenzhou International Group Holdings Ltd.

      1,000         5,371   

Tsingtao Brewery Co. Ltd. -Class H

      2,000         7,153   

Want Want China Holdings Ltd.

      7,000         4,615   

Yangzijiang Shipbuilding Holdings Ltd.

      8,400         5,535   
                78,792   

Colombia–0.20%

      

Bancolombia S.A. -Preference Shares

      935         6,825   
      Shares      Value  

Colombia–(continued)

      

Grupo de Inversiones Suramericana S.A.

      616       $ 6,713   
                13,538   

Czech Republic–0.19%

      

CEZ A.S.

      364         6,041   

Komercni Banka A.S.

      33         6,945   
                12,986   

Denmark–0.86%

      

A.P. Moeller - Maersk A/S -Class B

      6         7,709   

Carlsberg A/S -Class B

      96         8,083   

Coloplast A/S -Class B

      102         8,406   

Danske Bank A/S

      298         8,013   

Novo Nordisk A/S -Class B

      146         8,153   

Pandora A/S

      67         8,947   

Vestas Wind Systems A/S

      125         8,160   
                57,471   

Egypt–0.07%

      

Commercial International Bank Egypt S.A.E.

      1,226         4,925   

Finland–0.52%

      

Fortum Oyj

      377         5,923   

Kone Oyj -Class B

      141         6,194   

Nokia Oyj

      813         5,832   

Sampo Oyj -Class A

      125         6,036   

UPM-Kymmene Oyj

      320         5,207   

Wartsila OYJ Abp

      132         5,932   
                35,124   

France–4.02%

  

Accor S.A.

      130         4,995   

Air Liquide S.A.

      50         5,176   

Airbus Group SE

      86         5,409   

Alcatel-Lucent S.A. (a)

      1,493         5,904   

Alstom S.A. (a)

      195         5,221   

Arkema S.A.

      84         5,255   

AXA S.A.

      219         5,424   

BNP Paribas S.A.

      99         4,705   

Bouygues S.A.

      160         6,264   

Bureau Veritas S.A.

      280         5,339   

Cap Gemini S.A.

      64         5,846   

Carrefour S.A.

      194         5,529   

Christian Dior SE

      32         5,420   

Cie Generale des Etablissements Michelin

      63         5,794   

Compagnie de Saint-Gobain

      135         5,602   

Credit Agricole S.A.

      498         4,977   

Danone

      88         6,069   

Dassault Systemes S.A.

      74         5,736   

Edenred

      312         5,914   

Electricite de France S.A.

      397         5,221   

Engie SA

      343         5,512   

Essilor International S.A.

      50         6,213   

Hermes International

      17         5,788   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro International Equity Fund

      Shares      Value  

France–(continued)

      

Kering

      34       $ 5,759   

L’Oreal S.A.

      36         6,214   

Legrand S.A.

      108         5,951   

LVMH Moet Hennessy Louis Vuitton S.E.

      36         5,804   

Numericable–SFR

      139         5,523   

Orange S.A.

      358         6,413   

Pernod Ricard S.A.

      53         6,220   

Peugeot S.A. (a)

      344         5,113   

Publicis Groupe S.A.

      89         5,387   

Renault S.A.

      60         5,084   

Safran S.A.

      81         5,286   

Sanofi

      70         5,878   

Schneider Electric S.E.

      96         5,155   

SCOR S.E.

      152         5,306   

Societe Generale S.A.

      130         4,974   

Sodexo S.A.

      59         5,839   

Suez Environnement Co.

      311         5,770   

Technip S.A.

      115         5,394   

TOTAL S.A.

      127         5,651   

Unibail-Rodamco S.E.

      24         6,068   

Valeo S.A.

      40         5,194   

Veolia Environnement S.A.

      253         6,100   

Vinci S.A.

      95         6,443   

Vivendi S.A.

      282         6,136   

Zodiac Aerospace

      226         4,738   
                268,713   

Germany–2.97%

  

   

adidas AG

      61         6,277   

Allianz S.E.

      34         5,488   

BASF S.E.

      78         5,163   

Bayer AG

      46         5,160   

Bayerische Motoren Werke AG

      56         4,651   

Beiersdorf AG

      66         6,094   

Brenntag AG

      109         5,342   

Commerzbank AG (a)

      559         4,530   

Continental AG

      25         5,216   

Daimler AG

      70         4,873   

Deutsche Bank AG

      238         4,210   

Deutsche Boerse AG

      69         5,866   

Deutsche Lufthansa AG (a)

      399         5,830   

Deutsche Post AG

      219         5,298   

Deutsche Telekom AG

      349         6,055   

E.ON S.E.

      632         6,453   

Fresenius Medical Care AG & Co. KGaA

      73         6,459   

Fresenius S.E. & Co. KGaA

      86         5,691   

GEA Group AG

      148         6,231   

HeidelbergCement AG

      77         5,651   

Henkel AG & Co. KGaA -Preference Shares

      53         5,625   

Infineon Technologies AG

      397         5,281   

K+S AG

      208         4,374   

Linde AG

      40         5,399   

Merck KGaA

      63         5,476   

Metro AG

      193         5,457   

Muenchener Rueckversicherungs-Gesellschaft AG

      30         5,748   
      Shares      Value  

Germany–(continued)

      

Porsche Automobil Holding S.E. -Preference Shares

      114       $ 5,161   

ProSiebenSat.1 Media SE

      113         5,620   

RWE AG

      475         6,623   

SAP S.E.

      77         6,105   

Siemens AG

      61         5,840   

Symrise AG

      89         5,743   

ThyssenKrupp AG

      296         4,565   

Volkswagen AG -Preference Shares

      44         5,107   

Vonovia SE

      198         6,019   
                198,681   

Hong Kong–4.82%

      

AIA Group Ltd.

      1,000         5,596   

ASM Pacific Technology Ltd.

      800         5,797   

Bank of East Asia, Ltd. (The)

      1,800         5,300   

Brightoil Petroleum (Holdings) Ltd.

      16,000         4,730   

Cathay Pacific Airways Ltd.

      4,000         6,315   

Cheung Kong Infrastructure Holdings Ltd.

      1,000         9,411   

Cheung Kong Property Holdings Ltd.

      1,000         5,426   

China Innovative Finance Group Ltd. (a)

      54,000         5,439   

Chinese Estates Holdings Ltd.

      2,500         5,693   

CK Hutchison Holdings Ltd.

      500         6,217   

CLP Holdings Ltd.

      1,000         8,389   

Dairy Farm International Holdings Ltd.

      1,100         6,787   

Esprit Holdings Ltd.

      5,800         5,988   

First Pacific Co. Ltd.

      10,000         6,876   

Galaxy Entertainment Group Ltd.

      2,000         6,301   

Global Brands Group Holding Ltd. (a)

      32,000         4,884   

Haitong International Securities Group Ltd.

      10,000         5,005   

Hang Lung Group Ltd.

      2,000         5,535   

Hang Lung Properties Ltd.

      3,000         5,526   

Hang Seng Bank Ltd.

      400         6,658   

Henderson Land Development Co. Ltd.

      1,310         7,118   

HK Electric Investments and HK Electric Investments Ltd. (d)

      8,000         6,251   

Hong Kong & China Gas Co. Ltd.

      3,730         6,517   

Hong Kong Exchanges & Clearing Ltd.

      200         4,433   

Hongkong Land Holdings Ltd.

      900         5,636   

Hopewell Holdings Ltd.

      2,000         6,066   

Hysan Development Co. Ltd.

      2,000         7,738   

Jardine Matheson Holdings Ltd.

      100         5,250   

Jardine Strategic Holdings Ltd.

      200         5,471   

Kerry Properties Ltd.

      2,500         5,731   

Kingston Financial Group Ltd. (a)

      16,000         4,909   

Li & Fung Ltd.

      10,000         5,786   

Link REIT

      1,000         5,724   

MTR Corp. Ltd.

      1,500         6,815   

New World Development Co. Ltd.

      6,000         4,845   

Noble Group Ltd.

      22,000         4,765   

NWS Holdings Ltd.

      5,000         7,424   

PCCW Ltd.

      11,000         6,550   

Power Assets Holdings Ltd.

      500         4,573   

Sands China Ltd.

      2,000         7,017   

Shangri-La Asia Ltd.

      6,000         5,590   

Sino Land Co. Ltd.

      4,000         5,113   

SJM Holdings Ltd.

      9,000         5,867   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro International Equity Fund

      Shares      Value  

Hong Kong–(continued)

  

   

Sun Hung Kai Properties Ltd.

      1,000       $ 10,874   

Swire Pacific Ltd. -Class A

      500         4,846   

Swire Properties Ltd.

      2,200         5,701   

Techtronic Industries Co. Ltd.

      1,500         5,678   

Television Broadcasts Ltd.

      1,600         5,593   

Value Partners Group Ltd.

      5,000         4,557   

VTech Holdings Ltd.

      600         6,043   

WH Group Ltd. (a)(d)

      12,500         7,146   

Wharf Holdings Ltd. (The)

      1,000         4,660   

Wheelock and Co. Ltd.

      1,000         3,819   

Yue Yuen Industrial (Holdings) Ltd.

      2,000         6,876   
                322,855   

Hungary–0.18%

      

MOL Hungarian Oil and Gas PLC

      126         6,127   

Richter Gedeon Nyrt

      316         6,166   
                12,293   

India–0.27%

      

HDFC Bank Ltd. -ADR

      103         6,214   

Infosys Ltd. -ADR

      342         6,125   

Wipro Ltd. -ADR

      478         5,602   
                17,941   

Indonesia–0.31%

      

Golden Agri-Resources Ltd.

      25,800         6,814   

PT Bank Central Asia Tbk

      6,600         6,331   

PT Telekomunikasi Indonesia Persero Tbk

      30,500         7,479   
                20,624   

Ireland–0.89%

      

CRH PLC

      210         5,603   

Experian PLC

      1,486         25,375   

Kerry Group PLC -Class A

      74         6,037   

Shire PLC

      398         22,325   
                59,340   

Italy–0.97%

      

Assicurazioni Generali S.p.A.

      332         4,982   

Atlantia S.p.A.

      225         5,879   

Enel S.p.A.

      1,373         5,618   

Eni S.p.A.

      365         5,311   

Ferrari N.V. (a)

      42         1,665   

Intesa Sanpaolo S.p.A.

      1,718         4,897   

Luxottica Group S.p.A.

      90         5,571   

Prada S.p.A.

      1,700         5,047   

Snam S.p.A.

      1,129         6,326   

Telecom Italia S.p.A. (a)

      4,739         5,264   

Terna - Rete Elettrica Nazionale S.p.A.

      1,179         6,310   

UniCredit S.p.A.

      1,031         4,010   

Unione di Banche Italiane S.p.A.

      903         4,233   
                65,113   

Japan–17.77%

      

Aeon Co., Ltd.

      300         4,011   

Aisin Seiki Co., Ltd.

      100         4,238   

Alps Electric Co., Ltd.

      200         3,950   
      Shares      Value  

Japan–(continued)

      

AMADA Holdings Co., Ltd.

      600       $ 5,660   

ANA Holdings Inc.

      2,000         5,880   

Aozora Bank, Ltd.

      1,000         3,355   

Asahi Glass Co., Ltd.

      1,000         6,106   

Asahi Group Holdings, Ltd.

      200         6,427   

Asahi Kasei Corp.

      1,000         6,472   

ASICS Corp.

      200         3,710   

Astellas Pharma Inc.

      500         6,932   

Bandai Namco Holdings Inc.

      200         4,546   

Bank of Kyoto, Ltd. (The)

      1,000         7,730   

Bank of Yokohama, Ltd. (The)

      1,000         5,323   

Bridgestone Corp.

      100         3,635   

Brother Industries, Ltd.

      400         4,032   

Canon Inc.

      200         5,589   

Casio Computer Co., Ltd.

      200         3,877   

Chiba Bank, Ltd. (The)

      1,000         6,177   

Chubu Electric Power Co., Inc.

      500         6,405   

Chugai Pharmaceutical Co., Ltd.

      100         3,060   

Chugoku Bank, Ltd. (The)

      400         4,756   

Chugoku Electric Power Co., Inc. (The)

      500         6,668   

Credit Saison Co., Ltd.

      300         5,622   

Dai Nippon Printing Co., Ltd.

      1,000         9,387   

Dai-ichi Life Insurance Co. Ltd. (The)

      300         4,143   

Daicel Corp.

      500         7,340   

Daihatsu Motor Co., Ltd.

      400         6,238   

Daiichi Sankyo Co., Ltd.

      200         4,178   

Daikin Industries, Ltd.

      100         6,755   

Daiwa House Industry Co., Ltd.

      200         5,653   

Daiwa Securities Group Inc.

      1,000         6,322   

Denso Corp.

      100         4,340   

Dentsu Inc.

      100         5,300   

Don Quijote Holdings Co., Ltd.

      100         3,392   

East Japan Railway Co.

      100         9,210   

Eisai Co., Ltd.

      100         6,037   

Electric Power Development Co., Ltd.

      200         6,747   

Fuji Heavy Industries Ltd.

      100         4,087   

FUJIFILM Holdings Corp.

      100         3,860   

Fujitsu Ltd.

      1,000         4,171   

Fukuoka Financial Group, Inc.

      1,000         4,230   

Gunma Bank, Ltd. (The)

      1,000         5,552   

Hachijuni Bank, Ltd. (The)

      1,000         5,570   

Hamamatsu Photonics K.K.

      200         4,971   

Hankyu Hanshin Holdings, Inc.

      1,000         6,233   

Hino Motors, Ltd.

      400         4,531   

Hiroshima Bank, Ltd. (The)

      1,000         4,990   

Hisamitsu Pharmaceutical Co., Inc.

      100         4,512   

Hitachi, Ltd.

      1,000         4,936   

Hokuhoku Financial Group, Inc.

      3,000         5,551   

Hokuriku Electric Power Co.

      500         7,066   

Honda Motor Co., Ltd.

      200         5,421   

Hoya Corp.

      100         3,863   

Hulic Co., Ltd.

      700         6,020   

IHI Corp.

      2,000         4,306   

INPEX Corp.

      600         5,310   

Isetan Mitsukoshi Holdings Ltd.

      400         5,082   

Isuzu Motors Ltd.

      600         6,111   

ITOCHU Corp.

      400         4,729   

Iyo Bank, Ltd. (The)

      600         5,072   

J. Front Retailing Co., Ltd.

      300         4,134   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro International Equity Fund

      Shares      Value  

Japan–(continued)

      

Japan Airlines Co. Ltd.

      100       $ 3,743   

Japan Airport Terminal Co., Ltd.

      100         3,999   

Japan Exchange Group Inc.

      300         4,255   

Japan Real Estate Investment Corp.

      1         5,297   

Japan Retail Fund Investment Corp.

      3         6,332   

Japan Tobacco, Inc.

      100         3,907   

JFE Holdings, Inc.

      300         4,057   

Joyo Bank, Ltd. (The)

      1,000         4,051   

JSR Corp.

      300         4,353   

JTEKT Corp.

      300         4,832   

JX Holdings, Inc.

      1,300         4,953   

Kajima Corp.

      1,000         5,664   

Kansai Electric Power Co., Inc. (The) (a)

      600         6,523   

Kansai Paint Co., Ltd.

      300         4,185   

Kao Corp.

      100         5,366   

Kawasaki Heavy Industries, Ltd.

      1,000         3,085   

KDDI Corp.

      200         5,056   

Keikyu Corp.

      1,000         8,281   

Keio Corp.

      1,000         8,925   

Kintetsu Group Holdings Co., Ltd.

      1,000         4,116   

Kirin Holdings Co., Ltd.

      400         5,703   

Kobe Steel, Ltd.

      4,000         3,878   

Koito Manufacturing Co., Ltd.

      100         4,632   

Komatsu Ltd.

      300         4,455   

Konica Minolta Inc.

      600         5,041   

Kubota Corp.

      300         4,428   

Kuraray Co., Ltd.

      400         4,826   

Kyocera Corp.

      100         4,020   

Kyowa Hakko Kirin Co., Ltd.

      300         4,346   

Kyushu Electric Power Co., Inc. (a)

      600         6,446   

Lawson, Inc.

      100         7,905   

LIXIL Group Corp.

      200         4,213   

Mabuchi Motor Co., Ltd.

      100         5,406   

Makita Corp.

      100         5,628   

Marubeni Corp.

      1,000         4,814   

Mazda Motor Corp.

      200         3,633   

Medipal Holdings Corp.

      300         4,880   

MEIJI Holdings Co., Ltd.

      100         8,386   

Minebea Co., Ltd.

      1,000         7,783   

Mitsubishi Chemical Holdings Corp.

      900         5,010   

Mitsubishi Corp.

      300         4,803   

Mitsubishi Heavy Industries, Ltd.

      1,000         3,943   

Mitsubishi Materials Corp.

      1,000         3,082   

Mitsubishi Motors Corp.

      700         5,647   

Mitsubishi Tanabe Pharma Corp.

      300         4,928   

Mitsubishi UFJ Financial Group, Inc.

      900         4,638   

Mitsui & Co., Ltd.

      400         4,539   

Mitsui Chemicals, Inc.

      1,000         4,361   

Mitsui O.S.K. Lines, Ltd.

      2,000         3,959   

Mizuho Financial Group, Inc.

      2,900         5,007   

MS&AD Insurance Group Holdings, Inc.

      200         5,426   

Nagoya Railroad Co., Ltd.

      1,000         4,569   

NEC Corp.

      2,000         5,279   

NGK Spark Plug Co., Ltd.

      200         4,750   

Nidec Corp.

      100         6,815   

Nikon Corp.

      400         5,896   

Nippon Building Fund Inc.

      1         5,166   

Nippon Express Co., Ltd.

      1,000         4,681   
      Shares      Value  

Japan–(continued)

      

Nippon Paint Holdings Co., Ltd.

      200       $ 3,814   

Nippon Steel & Sumitomo Metal Corp.

      300         5,364   

Nippon Telegraph & Telephone Corp.

      100         4,254   

Nippon Television Holdings, Inc.

      300         5,577   

Nippon Yusen Kabushiki Kaisha

      2,000         4,316   

Nissan Motor Co., Ltd.

      600         5,951   

Nisshin Seifun Group Inc.

      300         4,850   

Nissin Foods Holdings Co., Ltd.

      100         5,105   

Nitori Holdings Co., Ltd.

      100         8,105   

Nitto Denko Corp.

      100         5,749   

NOK Corp.

      200         4,143   

Nomura Holdings, Inc.

      1,000         5,465   

Nomura Research Institute, Ltd.

      100         3,631   

NSK Ltd.

      400         4,137   

NTT Data Corp.

      100         4,821   

NTT DOCOMO, Inc.

      300         6,692   

Obayashi Corp.

      700         6,314   

Odakyu Electric Railway Co., Ltd.

      1,000         10,626   

Oji Holdings Corp.

      1,000         4,063   

Olympus Corp.

      100         3,896   

OMRON Corp.

      100         2,615   

Oriental Land Co., Ltd.

      100         6,380   

ORIX Corp.

      500         7,096   

Osaka Gas Co., Ltd.

      1,000         3,792   

Otsuka Holdings Co., Ltd.

      100         3,364   

Panasonic Corp.

      600         5,617   

Rakuten Inc.

      400         4,121   

Recruit Holdings Co., Ltd.

      200         6,334   

Resona Holdings, Inc.

      1,100         5,047   

Ricoh Co., Ltd.

      600         5,789   

Rinnai Corp.

      100         9,210   

Rohm Co. Ltd.

      100         4,551   

Santen Pharmaceutical Co., Ltd.

      300         4,781   

SECOM Co., Ltd.

      100         6,975   

Sega Sammy Holdings Inc.

      600         5,648   

Seibu Holdings Inc.

      300         6,014   

Seiko Epson Corp.

      300         4,064   

Sekisui Chemical Co., Ltd.

      400         4,904   

Sekisui House, Ltd.

      300         4,715   

Seven & i Holdings Co., Ltd.

      100         4,447   

Shikoku Electric Power Co. Inc.

      500         7,253   

Shimizu Corp.

      1,000         7,804   

Shin-Etsu Chemical Co., Ltd.

      100         5,108   

Shinsei Bank, Ltd.

      3,000         4,673   

Shionogi & Co., Ltd.

      100         4,355   

Shiseido Co., Ltd.

      200         3,764   

Shizuoka Bank, Ltd. (The)

      1,000         8,706   

SoftBank Group Corp.

      100         4,425   

Sompo Japan Nipponkoa Holdings Inc.

      200         5,928   

Sony Corp.

      200         4,785   

Sony Financial Holdings Inc.

      300         4,958   

Stanley Electric Co., Ltd.

      200         4,386   

Sumitomo Chemical Co., Ltd.

      1,000         5,066   

Sumitomo Corp.

      600         5,984   

Sumitomo Electric Industries, Ltd.

      500         6,586   

Sumitomo Heavy Industries, Ltd.

      1,000         3,951   

Sumitomo Mitsui Financial Group, Inc.

      100         3,358   

Sumitomo Mitsui Trust Holdings, Inc.

      1,000         3,194   

Suntory Beverage & Food Ltd.

      100         4,633   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro International Equity Fund

      Shares      Value  

Japan–(continued)

      

Suruga Bank Ltd.

      300       $ 5,434   

Suzuken Co., Ltd./Aichi Japan

      100         3,469   

Suzuki Motor Corp.

      200         6,139   

Sysmex Corp.

      100         6,433   

T&D Holdings, Inc.

      400         4,578   

Taiheiyo Cement Corp.

      2,000         5,763   

Taisei Corp.

      1,000         6,260   

Taisho Pharmaceutical Holdings Co. Ltd.

      100         6,737   

Takashimaya Co., Ltd.

      1,000         8,570   

Takeda Pharmaceutical Co. Ltd.

      100         4,836   

TDK Corp.

      100         5,483   

Teijin Ltd.

      1,000         3,657   

Terumo Corp.

      200         6,364   

THK Co., Ltd.

      300         4,786   

Tobu Railway Co., Ltd.

      1,000         4,879   

Toho Co., Ltd.

      200         5,223   

Toho Gas Co., Ltd.

      1,000         6,560   

Tohoku Electric Power Co., Inc.

      400         4,995   

Tokio Marine Holdings, Inc.

      100         3,578   

Tokyo Electric Power Co. Inc. (a)

      900         4,515   

Tokyo Electron Ltd.

      100         6,288   

Tokyo Gas Co., Ltd.

      1,000         4,598   

Tokyo Tatemono Co., Ltd.

      400         4,303   

Tokyu Corp.

      1,000         7,781   

Tokyu Fudosan Holdings, Corp.

      900         5,893   

TonenGeneral Sekiyu K.K.

      1,000         8,177   

Toppan Printing Co., Ltd.

      1,000         8,702   

Toray Industries, Inc.

      1,000         8,549   

Toshiba Corp. (a)

      2,000         3,350   

TOTO Ltd.

      200         6,504   

Toyo Suisan Kaisha, Ltd.

      100         3,459   

Toyota Industries Corp.

      100         5,008   

Toyota Motor Corp.

      100         6,039   

Toyota Tsusho Corp.

      200         4,594   

Trend Micro Inc.

      100         4,197   

Unicharm Corp.

      300         5,891   

United Urban Investment Corp.

      5         6,843   

USS Co., Ltd.

      300         4,599   

West Japan Railway Co.

      100         6,476   

Yahoo Japan Corp.

      1,300         4,980   

Yakult Honsha Co., Ltd.

      100         4,595   

Yamada Denki Co., Ltd.

      1,200         5,808   

Yamaha Motor Co., Ltd.

      200         3,998   

Yamato Holdings Co., Ltd.

      300         6,583   

Yaskawa Electric Corp.

      400         4,472   

Yokogawa Electric Corp.

      400         4,492   
                1,189,105   

Luxembourg–0.14%

      

ArcelorMittal S.A.

      1,142         4,409   

Tenaris S.A.

      470         4,881   
                9,290   

Macau–0.17%

      

MGM China Holdings Ltd.

      4,800         5,788   

Wynn Macau, Ltd.

      5,200         5,648   
                11,436   
      Shares      Value  

Malaysia–2.67%

      

AMMB Holdings Berhad

      6,400       $ 6,743   

Axiata Group Berhad

      5,600         7,592   

British American Tobacco Malaysia Berhad

      588         8,207   

DiGi.Com Berhad

      6,600         7,772   

Gamuda Berhad

      5,800         6,390   

Genting Malaysia Berhad

      5,500         5,953   

Hap Seng Consolidated Berhad

      3,800         6,604   

Hartalega Holdings Berhad

      4,800         6,257   

Hong Leong Bank Berhad

      3,800         12,055   

IHH Healthcare Berhad

      5,600         8,875   

IJM Corp. Berhad

      9,300         7,735   

IOI Corp. Berhad

      6,600         7,767   

Kuala Lumpur Kepong Berhad

      1,300         7,509   

Malayan Banking Berhad

      4,200         8,699   

Maxis Berhad

      5,100         7,050   

MISC Berhad

      3,200         6,766   

Petronas Dagangan Berhad

      1,000         6,145   

Petronas Gas Berhad

      1,500         8,274   

Public Bank Berhad

      2,800         12,449   

Sime Darby Berhad

      3,500         6,848   

Telekom Malaysia Berhad

      5,600         8,814   

Tenaga Nasional Berhad

      2,300         7,541   

UMW Holdings Berhad

      3,800         6,422   
                178,467   

Mexico–1.66%

      

America Movil S.A.B. de C.V. -Series L

      9,100         6,436   

Arca Continental S.A.B. de C.V.

      1,200         7,213   

Arca Continental, S.A.B. de C.V. -Rts. (a)

      64         0   

Coca-Cola Femsa, S.A.B. de C.V. -Series L

      1,000         7,043   

Fibra Uno Administracion S.A. de C.V.

      3,400         6,816   

Fomento Economico Mexicano, S.A.B. de C.V. -Series BD (e)

      800         7,591   

Grupo Aeroportuario del Pacífico, S.A.B. de C.V. -Class B

      700         5,899   

Grupo Aeroportuario del Sureste, S.A.B. de C.V. -Class B

      430         5,888   

Grupo Bimbo, S.A.B. de C.V. -Series A (a)

      2,400         6,706   

Grupo Financiero Banorte S.A.B. de C.V.
-Class O

      1,200         6,256   

Grupo Financiero Inbursa, S.A.B. de C.V.
-Class O

      3,000         4,844   

Grupo Financiero Santander Mexico, S.A.B. de C.V. -Class B

      3,200         4,943   

Grupo Lala, S.A.B. de C.V.

      2,600         6,165   

Grupo Mexico S.A.B. de C.V. -Series B

      2,900         5,628   

Grupo Televisa S.A.B. -Series CPO (f)

      1,100         5,829   

Infraestructura Enérgetica Nova, S.A.B. de C.V.

      1,500         5,893   

Kimberly-Clark de Mexico, S.A.B. de C.V.
-Class A

      2,500         5,970   

Promotora y Operadora de Infraestructura, S.A.B. de C.V.

      500         5,750   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro International Equity Fund

      Shares      Value  

Mexico–(continued)

      

Wal-Mart de México, S.A.B. de C.V. -Class V

      2,400       $ 6,028   
                110,898   

Netherlands–1.14%

      

Aegon N.V.

      1,028         5,836   

Akzo Nobel N.V.

      87         5,585   

ASML Holding N.V.

      64         5,881   

Gemalto N.V.

      97         5,850   

Heineken Holding N.V.

      77         5,928   

Heineken N.V.

      69         6,000   

ING Groep N.V.

      439         5,068   

Koninklijke Ahold N.V.

      285         6,469   

Koninklijke DSM N.V.

      118         5,750   

Koninklijke KPN N.V.

      1,543         5,982   

Koninklijke Philips N.V.

      238         6,332   

Randstad Holding N.V.

      99         5,412   

Wolters Kluwer N.V.

      175         5,958   
                76,051   

New Zealand–0.95%

      

Auckland International Airport Ltd.

      1,825         6,597   

Contact Energy Ltd.

      1,962         5,861   

Fisher & Paykel Healthcare Corp. Ltd.

      1,140         6,414   

Fletcher Building Ltd.

      1,333         5,971   

Kiwi Property Group Ltd.

      6,995         6,216   

Ryman Healthcare Ltd.

      1,185         6,188   

SKY Network Television Ltd.

      2,214         6,569   

SKYCITY Entertainment Group Ltd.

      2,229         6,786   

Spark New Zealand Ltd.

      2,976         6,511   

Z Energy Ltd.

      1,471         6,426   
                63,539   

Norway–0.57%

      

DNB ASA

      605         7,339   

Orkla ASA

      1,009         8,176   

Statoil ASA

      577         8,014   

Telenor ASA

      482         7,843   

Yara International ASA

      181         6,888   
                38,260   

Philippines–1.10%

      

Ayala Corp.

      450         6,421   

Ayala Land, Inc.

      7,300         4,823   

Bank of the Philippine Islands

      4,170         7,656   

BDO Unibank, Inc.

      3,090         6,620   

Globe Telecom, Inc.

      135         5,288   

GT Capital Holdings, Inc.

      210         5,699   

Jollibee Foods Corp.

      1,520         6,554   

Manila Electric Co.

      1,050         6,830   

Metropolitan Bank & Trust Co.

      3,710         5,528   

Philippine Long Distance Telephone Co.

      135         6,309   

Robinsons Land Corp.

      9,800         5,132   

SM Investments Corp.

      380         6,626   
                73,486   

Poland–0.26%

      

Bank Pekao S.A.

      176         5,922   
      Shares      Value  

Poland–(continued)

      

Powszechna Kasa Oszczednosci Bank
Polski S.A. (a)

      869       $ 5,265   

Powszechny Zaklad Ubezpieczen S.A.

      822         6,532   
                17,719   

Portugal–0.09%

      

Energias de Portugal, S.A.

      1,721         6,017   

Qatar–0.29%

      

Commercial Bank of Qatar Q.S.C. (The)

      538         5,913   

Qatar Gas Transport Co. Ltd.

      1,139         6,545   

Qatar National Bank

      149         6,708   
                19,166   

Singapore–2.51%

      

Ascendas REIT

      3,800         6,180   

CapitaLand Commercial Trust Ltd.

      6,600         6,054   

CapitaLand Ltd.

      2,800         6,098   

CapitaLand Mall Trust

      4,900         6,838   

City Developments Ltd.

      1,300         6,397   

ComfortDelGro Corp. Ltd.

      2,900         5,804   

DBS Group Holdings Ltd.

      500         4,980   

Genting Singapore PLC

      11,700         5,856   

Great Eastern Holdings Ltd.

      400         5,630   

Jardine Cycle & Carriage Ltd.

      300         7,947   

Keppel Corp. Ltd.

      1,400         4,982   

Keppel REIT

      9,600         6,050   

Oversea-Chinese Banking Corp. Ltd.

      1,000         5,606   

SATS Ltd.

      2,400         6,553   

Sembcorp Industries Ltd.

      2,900         5,160   

Sembcorp Marine Ltd.

      4,400         4,845   

Singapore Airlines Ltd.

      900         7,009   

Singapore Exchange Ltd.

      1,200         6,015   

Singapore Post Ltd.

      5,200         4,889   

Singapore Press Holdings Ltd.

      2,300         5,742   

Singapore Technologies Engineering Ltd.

      3,100         6,298   

Singapore Telecommunications Ltd.

      2,400         5,968   

StarHub Ltd.

      2,500         5,964   

Suntec REIT

      5,900         6,599   

United Overseas Bank Ltd.

      500         6,397   

UOL Group Ltd.

      1,500         5,943   

Venture Corp. Ltd.

      1,100         6,035   

Wilmar International Ltd.

      3,100         6,285   
                168,124   

South Africa–1.82%

      

Aspen Pharmacare Holdings Ltd.

      270         4,583   

Barclays Africa Group Ltd.

      544         4,947   

Bidvest Group Ltd. (The)

      311         7,183   

FirstRand Ltd.

      1,868         5,288   

Growthpoint Properties Ltd.

      4,467         6,409   

Investec Ltd.

      776         5,077   

Liberty Holdings Ltd.

      720         5,077   

Life Healthcare Group Holdings Ltd.

      2,321         5,149   

MMI Holdings Ltd.

      3,702         5,304   

Mondi Ltd.

      287         4,768   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro International Equity Fund

      Shares      Value  

South Africa–(continued)

      

Nedbank Group Ltd.

      426       $ 5,047   

Netcare Ltd.

      2,310         4,928   

Pick n Pay Stores Ltd.

      1,322         4,914   

Rand Merchant Investment Holdings Ltd.

      2,147         5,355   

Redefine Properties Ltd.

      9,673         5,786   

Remgro Ltd.

      337         5,371   

Resilient REIT Ltd.

      733         5,489   

RMB Holdings Ltd.

      1,327         4,730   

SPAR Group Ltd. (The)

      516         5,981   

Standard Bank Group Ltd.

      674         4,783   

Tiger Brands Ltd.

      247         4,578   

Vodacom Group Ltd.

      662         6,066   

Woolworths Holdings Ltd.

      835         4,931   
         121,744   

South Korea–1.02%

      

DGB Financial Group Inc.

      687         5,139   

GS Holdings Corp.

      146         6,199   

Hana Financial Group Inc.

      287         5,172   

HITEJINRO Co., Ltd. (a)

      290         7,225   

Hyundai Marine & Fire Insurance Co., Ltd.

      189         5,124   

KB Financial Group Inc.

      197         5,060   

Korea Zinc Co., Ltd. (a)

      13         4,760   

KT Corp.

      363         8,274   

Lotte Confectionery Co., Ltd. (a)

      3         6,076   

Samsung Electronics Co., Ltd.

      5         4,826   

Shinhan Financial Group Co., Ltd.

      156         5,008   

SK Telecom Co., Ltd.

      30         5,255   
         68,118   

Spain–1.44%

      

Abertis Infraestructuras S.A.

      399         5,971   

Aena S.A. (a)(d)

      54         6,023   

Amadeus IT Holding S.A. -Class A

      145         5,953   

Banco Bilbao Vizcaya Argentaria, S.A.

      750         4,852   

Banco de Sabadell S.A.

      3,181         5,760   

Banco Popular Espanol S.A.

      1,522         4,107   

Banco Santander S.A.

      1,042         4,500   

Bankia S.A.

      4,563         4,536   

CaixaBank S.A.

      1,477         4,495   

Enagas S.A.

      199         5,799   

Ferrovial S.A.

      255         5,619   

Gas Natural SDG, S.A.

      279         5,494   

Grifols S.A.

      292         6,121   

Iberdrola S.A.

      838         5,904   

Industria de Diseno Textil, S.A.

      166         5,447   

Red Electrica Corp. S.A.

      69         5,574   

Repsol S.A.

      458         4,770   

Telefónica, S.A.

      499         5,299   
         96,224   

Sweden–1.81%

      

Assa Abloy AB -Class B

      387         8,191   

Atlas Copco AB -Class A

      310         6,655   

Hennes & Mauritz AB -Class B

      222         7,261   

Hexagon AB -Class B

      227         7,533   
      Shares      Value  

Sweden–(continued)

      

Investor AB -Class B

      216       $ 7,210   

Nordea Bank AB

      737         7,397   

Sandvik AB

      858         7,199   

Skandinaviska Enskilda Banken AB -Class A

      782         7,540   

Skanska AB -Class B

      415         7,986   

SKF AB -Class B

      453         6,932   

Svenska Cellulosa AB -Class B

      298         8,826   

Svenska Handelsbanken AB -Class A

      612         7,690   

Swedbank AB -Class A

      374         7,874   

Telefonaktiebolaget LM Ericsson -Class B

      880         7,760   

TeliaSonera AB

      1,698         8,000   

Volvo AB -Class B

      807         7,363   
         121,417   

Switzerland–3.27%

      

ABB Ltd.

      456         7,897   

Actelion Ltd.

      60         7,936   

Adecco S.A

      120         7,407   

Cie Financiere Richemont S.A.

      110         7,147   

Credit Suisse Group AG

      376         6,638   

Geberit AG

      25         8,861   

Givaudan S.A.

      5         9,343   

Glencore PLC

      20,547         26,586   

Julius Baer Group Ltd.

      169         7,172   

Kuehne + Nagel International AG

      61         8,086   

LafargeHolcim Ltd.

      158         6,705   

Nestle S.A.

      110         8,102   

Novartis AG

      97         7,524   

Roche Holding AG

      31         8,065   

Schindler Holding AG -Participation Ctfs.

      50         7,689   

SGS S.A.

      4         7,772   

Sika AG

      2         7,161   

Swatch Group AG (The)

      22         7,533   

Swiss Re AG

      84         7,802   

Swisscom AG

      17         8,454   

Syngenta AG

      22         8,099   

UBS Group AG

      408         6,736   

Wolseley PLC

      462         22,859   

Zurich Insurance Group AG

      32         7,088   
         218,662   

Taiwan–4.21%

      

Asia Cement Corp.

      9,140         7,196   

Cathay Financial Holding Co., Ltd.

      4,250         4,661   

Chailease Holding Co. Ltd.

      3,120         4,996   

Chang Hwa Commercial Bank, Ltd.

      16,645         8,342   

Cheng Shin Rubber Industry Co., Ltd.

      4,000         6,196   

Chicony Electronics Co., Ltd.

      3,000         6,265   

China Development Financial Holding Corp.

      21,000         5,045   

China Steel Corp.

      14,240         7,636   

Chunghwa Telecom Co., Ltd.

      5,000         15,469   

CTBC Financial Holding Co. Ltd.

      12,287         5,788   

CTCI Corp.

      5,000         5,569   

E.Sun Financial Holding Co. Ltd.

      11,303         5,876   

Far Eastern Department Stores Ltd.

      10,000         5,043   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro International Equity Fund

      Shares      Value  

Taiwan–(continued)

      

Far Eastern New Century Corp.

      8,323       $ 5,969   

Far EasTone Telecommunications Co., Ltd.

      4,000         8,261   

First Financial Holding Co., Ltd.

      25,819         11,800   

Formosa Chemicals & Fibre Corp.

      3,000         6,482   

Formosa Petrochemical Corp.

      2,000         4,966   

Formosa Plastics Corp.

      3,000         7,000   

Fubon Financial Holding Co., Ltd.

      4,000         4,433   

Hon Hai Precision Industry Co., Ltd.

      2,478         5,813   

Hua Nan Financial Holdings Co., Ltd.

      21,178         9,460   

Lite-On Technology Corp.

      6,030         6,427   

Mega Financial Holding Co., Ltd.

      11,000         7,039   

Nan Ya Plastics Corp.

      3,000         5,260   

President Chain Store Corp.

      1,000         6,629   

Quanta Computer Inc.

      4,000         6,387   

Richtek Technology Corp.

      1,000         5,773   

Shin Kong Financial Holding Co., Ltd.

      35,338         6,803   

Simplo Technology Co., Ltd.

      2,000         6,078   

SinoPac Financial Holdings Co., Ltd.

      24,501         6,594   

Standard Foods Corp.

      2,000         4,789   

Synnex Technology International Corp.

      7,000         6,597   

Taishin Financial Holding Co., Ltd.

      19,086         6,214   

Taiwan Cement Corp.

      7,000         5,639   

Taiwan Cooperative Financial Holding Co. Ltd.

      26,025         10,836   

Taiwan Mobile Co., Ltd.

      3,000         9,020   

Taiwan Semiconductor Manufacturing Co. Ltd.

      1,000         4,268   

Uni-President Enterprises Corp.

      4,409         7,394   

United Microelectronics Corp.

      16,000         6,243   

WPG Holdings Ltd.

      7,000         6,817   

Yuanta Financial Holding Co., Ltd.

      14,726         4,593   
         281,666   

Thailand–1.68%

      

Advanced Info Service PCL

      1,100         5,266   

Airports of Thailand PCL

      600         6,362   

Bangkok Bank PCL

      2,000         8,619   

Bangkok Dusit Medical Services PCL

      12,100         7,481   

BTS Group Holdings PCL

      35,300         8,071   

Central Pattana PCL

      4,700         5,934   

CP ALL PCL

      5,700         6,473   

Home Product Center PCL

      32,200         6,187   

Intouch Holdings PCL

      700         1,116   

Intouch Holdings PCL -Class F

      3,600         5,954   

Kasikornbank PCL

      1,400         6,694   

Krung Thai Bank PCL

      13,800         6,790   

Land and Houses PCL

      22,900         5,676   

Siam Cement PCL (The)

      550         6,638   

Siam Commercial Bank PCL (The)

      1,700         6,058   

Thai Beverage PCL

      26,900         12,840   

TMB Bank PCL

      81,500         5,943   
         112,102   

Turkey–0.83%

      

Arcelik A.S.

      1,070         5,588   

BIM Birlesik Magazalar A.S.

      343         5,807   

 

      Shares      Value  

Turkey–(continued)

      

Coca-Cola Içecek A.S.

      412       $ 4,577   

Enka Insaat ve Sanayi A.S.

      3,763         5,616   

Haci Omer Sabanci Holding A.S.

      1,969         5,709   

Koc Holding A.S.

      1,512         6,071   

Petkim PetroKimya Holding A.S. (a)

      6,002         7,080   

TAV Havalimanlari Holding A.S.

      748         4,442   

Tupras-Turkiye Petrol Rafinerileri A.S. (a)

      220         5,596   

Turk Telekomunikasyon A.S.

      2,762         5,060   
         55,546   

United Kingdom–16.96%

      

Anglo American PLC

      3,371         13,478   

ARM Holdings PLC

      1,607         23,071   

Associated British Foods PLC

      515         23,247   

AstraZeneca PLC

      408         26,089   

Aviva PLC

      3,534         24,407   

BAE Systems PLC

      3,527         26,032   

Barclays PLC

      7,812         20,865   

BG Group PLC

      1,750         26,530   

BP PLC

      4,986         27,016   

British American Tobacco PLC

      474         26,353   

BT Group PLC

      3,742         26,029   

Burberry Group PLC

      1,492         25,406   

Centrica PLC

      8,484         24,912   

CNH Industrial N.V.

      813         5,092   

Compass Group PLC

      1,545         26,634   

Diageo PLC

      948         25,522   

Fiat Chrysler Automobiles N.V.

      426         3,003   

GlaxoSmithKline PLC

      1,360         28,018   

HSBC Holdings PLC

      3,427         24,171   

Imperial Tobacco Group PLC

      505         27,362   

ITV PLC

      6,695         25,566   

Kingfisher PLC

      5,075         23,752   

Land Securities Group PLC

      1,487         23,332   

Legal & General Group PLC

      6,710         23,446   

Lloyds Banking Group PLC

      24,566         23,044   

Marks & Spencer Group PLC

      3,607         21,906   

National Grid PLC

      1,990         28,049   

Next PLC

      226         22,373   

Old Mutual PLC

      9,004         22,025   

Pearson PLC

      2,152         24,401   

Prudential PLC

      1,191         23,412   

Reckitt Benckiser Group PLC

      289         25,788   

RELX N.V.

      353         5,907   

RELX PLC

      1,516         26,704   

Rio Tinto Ltd.

      198         5,557   

Rio Tinto PLC

      862         21,202   

Rolls-Royce Holdings PLC

      3,017         24,084   

Royal Bank of Scotland Group PLC (a)

      5,904         21,402   

Royal Dutch Shell PLC -Class A

      1,131         24,751   

SABMiller PLC

      444         26,462   

Sky PLC

      1,610         24,954   

Smith & Nephew PLC

      1,611         26,837   

SSE PLC

      1,244         25,849   

Standard Chartered PLC

      3,418         23,160   

Standard Life PLC

      4,500         23,490   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro International Equity Fund

      Shares      Value  

United Kingdom–(continued)

      

Tesco PLC (a)

      11,030       $ 27,322   

Unilever N.V.

      139         6,199   

Unilever PLC

      642         28,257   

Vodafone Group PLC

      8,321         26,619   

WPP PLC

      1,193         25,966   
                1,135,053   

United States–0.08%

      

Samsonite International S.A.

      2,100         5,411   

Total Common Stocks & Other Equity Interests
(Cost $7,031,636)

   

        6,106,549   
      Shares      Value  

Money Market Funds–6.00%

      

Liquid Assets Portfolio –Institutional
Class, 0.38% (g)

      200,922       $ 200,922   

Premier Portfolio –Institutional
Class, 0.34% (g)

      200,922         200,922   

Total Money Market Funds
(Cost $401,844)

               401,844   

TOTAL INVESTMENTS–97.26%
(Cost $7,433,480)

               6,508,393   

OTHER ASSETS LESS LIABILITIES–2.74%

               183,306   

NET ASSETS–100.00%

             $   6,691,699   
 

Investment Abbreviations:

 

ADR — American Depositary Receipt
CPO — Certificates of Ordinary Participation
Ctfs. — Certificates
REIT — Real Estate Investment Trust
Rts. — Rights

Notes to Schedule of Investments:

 

(a)  Non-income producing security.
(b)  Each unit represents one common share and four preferred shares.
(c)  Each unit represents two preferred shares and one common share.
(d)  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 January 31, 2016 was $19,420, which represented less than 1% of the Fund’s Net Assets.
(e)  Each unit represents one Series B share, two Series D-B shares and two Series D-L shares.
(f)  Each CPO represents twenty-five Series A shares, twenty-two Series B shares, thirty-five Series D shares and thirty-five Series L shares.
(g)  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 January 31, 2016.

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro International Equity Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

 

Invesco Macro International Equity Fund

A. Security Valuations – (continued)

 

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash

 

Invesco Macro International Equity Fund

E. Forward Foreign Currency Contracts – (continued)

 

payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

F. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between Counterparties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities.
G. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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.

 

Invesco Macro International Equity Fund

During the three months ended January 31, 2016, there were transfers from Level 1 to Level 2 of $999,033 and from Level 2 to Level 1 of $147,249, due to foreign fair value adjustments.

      Level 1      Level 2      Level 3      Total  

Australia

    $ 6,840       $ 599,731       $             —       $ 606,571   

Austria

      —         10,582         —         10,582   

Belgium

      —         34,137         —         34,137   

Brazil

      36,592         —         —         36,592   

Chile

      72,770         —         —         72,770   

China

      —        78,792         —         78,792   

Colombia

      13,538         —        —         13,538   

Czech Republic

      6,041         6,945         —         12,986   

Denmark

      —        57,471         —         57,471   

Egypt

      4,925         —        —         4,925   

Finland

      —        35,124         —         35,124   

France

      11,125         257,588         —         268,713   

Germany

      94,448         104,233         —         198,681   

Hong Kong

      37,733         285,122         —         322,855   

Hungary

      —        12,293         —         12,293   

India

      17,941         —        —         17,941   

Indonesia

      —        20,624         —         20,624   

Ireland

      6,037         53,303         —         59,340   

Italy

      6,712         58,401         —         65,113   

Japan

      —         1,189,105         —         1,189,105   

Luxembourg

      —         9,290         —         9,290   

Macau

      —         11,436         —         11,436   

Malaysia

      51,335         127,132         —         178,467   

Mexico

      110,898         —        —         110,898   

Netherlands

      —         76,051         —         76,051   

New Zealand

      —         63,539         —         63,539   

Norway

      —         38,260         —         38,260   

Philippines

      12,788         60,698         —         73,486   

Poland

      —         17,719         —         17,719   

Portugal

      —         6,017         —         6,017   

Qatar

      6,708         12,458         —         19,166   

Singapore

      12,183         155,941         —         168,124   

South Africa

      17,272         104,472         —         121,744   

South Korea

      —         68,118         —         68,118   

Spain

      —         96,224         —         96,224   

Sweden

      —         121,417         —         121,417   

Switzerland

      —         218,662         —         218,662   

Taiwan

      —         281,666         —         281,666   

Thailand

      37,001         75,101         —         112,102   

Turkey

      —        55,546         —         55,546   

United Kingdom

      77,957         1,057,096         —         1,135,053   

United States

      407,255         —        —         407,255   
       1,048,099         5,460,294         —         6,508,393   

Futures Contracts*

      (45,091 )       —         —         (45,091 ) 

Total Investments

    $     1,003,008       $     5,460,294       $ —       $     6,463,302   
* Unrealized appreciation (depreciation).

 

Invesco Macro International Equity Fund

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

    Value
Risk Exposure/ Derivative Type   Assets   Liabilities

Equity risk:

    

Futures contracts (a)

   $9,247   $(54,338)

 

(a) Includes cumulative appreciation (depreciation) of futures contracts.

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

     Location of Gain (Loss) on Statement
of Operations
  Futures Contracts

Realized Gain (Loss):

  

Equity Risk

  

$(119,280)

Change in Net Unrealized Appreciation (Depreciation):

  

Equity Risk

  

    (80,411)

Total

  

$(199,691)

The table below summarizes the average notional value of futures contracts outstanding during the period.

 

     Futures Contracts

Average notional value

       $1,824,354

 

Open Futures Contracts(a)  
Futures Contracts    Type of
Contract		    Number of
Contracts		    Expiration
Month		    Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Dow Jones EURO STOXX 50 Index

    Long    5    March-2016    $ 164,019       $ (9,547 ) 

FTSE 100 Index

    Long    4    March-2016      342,387         1,786   

Hang Seng Index

    Long    2    February-2016      253,475         7,461   

Mini MSCI Emerging Markets Index

    Long    18    March-2016      673,020         (20,302 ) 

Tokyo Stock Price Index

    Long    2    March-2016      237,723         (24,489 ) 

Total Futures Contracts—Equity Risk

                  $ (45,091 ) 

 

(a)  Futures contracts collateralized by $124,000 cash held with Goldman Sachs & Co., the futures commission merchant.

 

Invesco Macro International Equity Fund

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $509,574 and $647,870, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 295,641   

Aggregate unrealized (depreciation) of investment securities

      (1,273,576 ) 

Net unrealized appreciation (depreciation) of investment securities

    $ (977,935 ) 

Cost of investments for tax purposes is $7,486,328.

   

 

Invesco Macro International Equity Fund

 

 

 

Invesco Macro Long/Short Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

  

 

 

 

 

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invesco.com/us

   MLS-QTR-1       01/16   Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–79.65%

  

Australia–5.63%

      

Adelaide Brighton Ltd.

      2,541       $ 8,578   

AGL Energy Ltd.

      644         8,539   

ALS Ltd.

      2,790         6,593   

Alumina Ltd.

      9,094         6,820   

Amcor Ltd.

      805         7,635   

AMP Ltd.

      1,875         7,191   

Ansell Ltd.

      506         7,215   

APA Group

      1,343         8,129   

Aristocrat Leisure Ltd.

      1,110         8,124   

Asciano Ltd.

      1,351         8,584   

ASX Ltd.

      266         8,053   

Aurizon Holdings Ltd.

      2,020         5,307   

AusNet Services

      7,465         7,794   

Australia and New Zealand Banking Group Ltd.

      422         7,308   

Bank of Queensland Ltd.

      805         7,526   

Bendigo and Adelaide Bank Ltd.

      975         7,533   

BHP Billiton Ltd.

      604         6,631   

BHP Billiton PLC

      2,802           27,285   

BlueScope Steel Ltd.

      2,679         9,028   

Boral Ltd.

      1,936         7,748   

Brambles Ltd.

      1,062         8,513   

Caltex Australia Ltd.

      315         8,365   

carsales.com Ltd.

      1,036         8,782   

Challenger Ltd.

      1,244         7,070   

Charter Hall Group

      2,525         8,012   

CIMIC Group Ltd.

      444         7,723   

Coca-Cola Amatil Ltd.

      1,204         7,217   

Cochlear Ltd.

      116         7,757   

Commonwealth Bank of Australia

      135         7,596   

Computershare Ltd.

      931         6,964   

Crown Resorts Ltd.

      970         8,503   

CSL Ltd.

      110         8,189   

CSR Ltd.

      3,576         6,528   

DEXUS Property Group

      1,415         7,437   

Domino’s Pizza Enterprises Ltd.

      218         9,314   

Downer EDI Ltd.

      2,925         6,516   

DUET Group

      4,626         7,597   

DuluxGroup Ltd.

      1,732         7,991   

Fairfax Media Ltd.

      11,961         7,557   

Flight Centre Travel Group Ltd.

      309         8,627   

Fortescue Metals Group Ltd.

      6,085         7,551   

Goodman Group

      1,772         7,698   

GPT Group (The)

      2,338         8,149   

Harvey Norman Holdings Ltd.

      2,844         9,018   

Healthscope Ltd.

      4,223         6,648   

Iluka Resources Ltd.

      2,007         7,915   

Incitec Pivot Ltd.

      2,894         6,410   

Insurance Australia Group Ltd.

      1,916         7,216   

Investa Office Fund

      2,979         8,278   

IOOF Holdings Ltd.

      1,131         6,640   
      Shares      Value  

Australia–(continued)

      

JB Hi-Fi Ltd.

      622       $ 10,377   

Lendlease Group

      850         7,892   

Macquarie Group Ltd.

      132         6,817   

Magellan Financial Group Ltd.

      445         7,254   

Mirvac Group

      5,851         7,913   

National Australia Bank Ltd.

      380         7,524   

Newcrest Mining Ltd. (a)

      931         8,591   

Nufarm Ltd.

      1,322         6,514   

Oil Search Ltd.

      1,362         6,400   

Orica Ltd.

      747         7,608   

Origin Energy Ltd.

      1,997         5,916   

Orora Ltd.

      5,052         7,902   

OZ Minerals Ltd.

      2,720         7,399   

Perpetual Ltd.

      235         6,944   

Primary Health Care Ltd.

      3,207         5,665   

Qantas Airways Ltd.

      2,951         8,156   

QBE Insurance Group Ltd.

      841         6,541   

Ramsay Health Care Ltd.

      167         7,210   

REA Group Ltd.

      211         7,955   

Recall Holdings Ltd.

      1,592         7,516   

Santos Ltd.

      2,559         5,900   

Scentre Group

      2,653         8,228   

SEEK Ltd.

      781         8,067   

Shopping Centres Australasia Property Group

      5,130         7,793   

Sonic Healthcare Ltd.

      532         6,966   

South32 Ltd. (a)

      9,372         6,553   

Spark Infrastructure Group

      5,638         7,928   

Spotless Group Holdings Ltd.

      5,650         4,189   

Star Entertainment Group Ltd. (The)

      2,388         9,165   

Stockland

      2,686         7,880   

Suncorp Group Ltd.

      861         7,143   

Sydney Airport

      1,724         8,076   

Tabcorp Holdings Ltd.

      2,318         7,608   

Tatts Group Ltd.

      2,529         7,546   

Telstra Corp. Ltd.

      1,878         7,542   

TPG Telecom Ltd.

      1,019         7,318   

Transurban Group

      1,142         8,750   

Treasury Wine Estates Ltd.

      1,358         8,796   

Vicinity Centres

      3,902         8,104   

Washington H. Soul Pattinson & Co. Ltd.

      706         8,398   

Wesfarmers Ltd.

      287         8,649   

Westfield Corp.

      1,181         8,423   

Westpac Banking Corp.

      351         7,748   

Woodside Petroleum Ltd.

      370         7,451   

Woolworths Ltd.

      422         7,340   

WorleyParsons Ltd.

      1,819         4,445   
           747,502   

Austria–0.10%

      

Erste Group Bank AG (a)

      237         6,919   

Voestalpine AG

      231         6,147   
         13,066   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

Belgium–0.31%

      

Ageas

      166       $ 6,736   

Anheuser-Busch InBev SA/NV

      58         7,304   

Delhaize Group

      78         8,199   

KBC Groep N.V.

      114         6,536   

Solvay S.A.

      73         6,045   

UCB S.A.

      82         7,025   
         41,845   

Brazil–0.34%

      

Ambev S.A.

      1,700         7,932   

BRF S.A.

      400         4,824   

Cielo S.A.

      700         5,929   

Klabin S.A. (b)

      1,200         6,301   

Transmissora Alianca de Energia Eletrica S.A. (c)

      1,600         6,957   

Ultrapar Participacoes S.A.

      400         5,939   

WEG S.A.

      1,760         6,804   
         44,686   

Chile–0.67%

      

AES Gener S.A.

      21,664         9,529   

Banco de Chile

      139,986         14,498   

Banco Santander Chile

      212,917         9,228   

Cencosud S.A.

      3,094         6,335   

Empresa Nacional de Electricidad S.A.

      8,654         11,298   

Empresas CMPC S.A.

      3,764         8,569   

Empresas COPEC S.A.

      1,266         10,941   

Enersis Américas S.A.

      37,914         9,058   

S.A.C.I. Falabella

      1,383         9,134   
         88,590   

China–0.77%

      

AAC Technologies Holdings Inc.

      1,284         8,214   

Agricultural Bank of China Ltd. -Class H

      20,000         7,152   

China CITIC Bank Corp. Ltd. -Class H (a)

      10,000         5,794   

China Construction Bank Corp. -Class H

      10,000         6,161   

China Traditional Chinese Medicine Co. Ltd. (a)

      12,000         6,638   

CITIC Ltd.

      4,000         5,692   

FIH Mobile Ltd.

      19,000         6,790   

Global Logistic Properties Ltd.

      5,300         6,362   

Hengan International Group Co. Ltd.

      817         7,319   

HengTen Networks Group Ltd. (a)

      108,000         5,736   

Industrial & Commercial Bank of China Ltd. -Class H

      11,000         5,769   

Shenzhou International Group Holdings Ltd.

      2,000         10,741   

Tsingtao Brewery Co. Ltd. -Class H

      2,000         7,153   

Want Want China Holdings Ltd.

      9,000         5,933   

Yangzijiang Shipbuilding Holdings Ltd.

      10,300         6,786   
         102,240   

Colombia–0.13%

      

Bancolombia S.A. -Preference Shares

      1,151         8,402   
      Shares      Value  

Colombia–(continued)

      

Grupo de Inversiones Suramericana S.A.

      758       $ 8,261   
           16,663   

Czech Republic–0.12%

      

CEZ A.S.

      448         7,435   

Komercni Banka A.S.

      40         8,418   
         15,853   

Denmark–0.53%

      

A.P. Moeller - Maersk A/S -Class B

      7         8,993   

Carlsberg A/S -Class B

      118         9,935   

Coloplast A/S -Class B

      126         10,384   

Danske Bank A/S

      367         9,869   

Novo Nordisk A/S -Class B

      188         10,499   

Pandora A/S

      82         10,950   

Vestas Wind Systems A/S

      154         10,053   
         70,683   

Egypt–0.04%

      

Commercial International Bank Egypt S.A.E.

      1,468         5,895   

Finland–0.32%

      

Fortum Oyj

      447         7,022   

Kone Oyj -Class B

      183         8,039   

Nokia Oyj

      1,001         7,180   

Sampo Oyj -Class A

      140         6,761   

UPM-Kymmene Oyj

      394         6,411   

Wartsila OYJ Abp

      162         7,280   
         42,693   

France–2.47%

      

Accor S.A.

      153         5,878   

Air Liquide S.A.

      58         6,004   

Airbus Group SE

      106         6,667   

Alcatel-Lucent S.A. (a)

      1,838         7,268   

Alstom S.A. (a)

      232         6,212   

Arkema S.A.

      103         6,444   

AXA S.A.

      270         6,687   

BNP Paribas S.A.

      126         5,989   

Bouygues S.A.

      184         7,203   

Bureau Veritas S.A.

      321         6,120   

Cap Gemini S.A.

      84         7,673   

Carrefour S.A.

      226         6,441   

Christian Dior SE

      40         6,774   

Cie Generale des Etablissements Michelin

      76         6,990   

Compagnie de Saint-Gobain

      155         6,432   

Credit Agricole S.A.

      613         6,126   

Danone

      108         7,449   

Dassault Systemes S.A.

      91         7,053   

Edenred

      370         7,014   

Electricite de France S.A.

      488         6,418   

Engie SA

      438         7,039   

Essilor International S.A.

      62         7,704   

Hermes International

      22         7,491   

Kering

      42         7,114   

L’Oreal S.A.

      44         7,595   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

France–(continued)

      

Legrand S.A.

      127       $ 6,998   

LVMH Moet Hennessy Louis Vuitton S.E.

      42         6,771   

Numericable–SFR

      171         6,795   

Orange S.A.

      450         8,061   

Pernod Ricard S.A.

      65         7,628   

Peugeot S.A. (a)

      428         6,362   

Publicis Groupe S.A.

      103         6,234   

Renault S.A.

      73         6,185   

Safran S.A.

      105         6,852   

Sanofi

      86         7,222   

Schneider Electric S.E.

      117         6,282   

SCOR S.E.

      187         6,528   

Societe Generale S.A.

      145         5,548   

Sodexo S.A.

      73         7,224   

Suez Environnement Co.

      391         7,254   

Technip S.A.

      137         6,426   

TOTAL S.A.

      151         6,719   

Unibail-Rodamco S.E.

      30         7,585   

Valeo S.A.

      49         6,363   

Veolia Environnement S.A.

      333         8,029   

Vinci S.A.

      113         7,664   

Vivendi S.A.

      347         7,551   

Zodiac Aerospace

      278         5,829   
         327,895   

Germany–1.82%

      

adidas AG

      75         7,717   

Allianz S.E.

      42         6,779   

BASF S.E.

      92         6,090   

Bayer AG

      55         6,170   

Bayerische Motoren Werke AG

      69         5,730   

Beiersdorf AG

      81         7,479   

Brenntag AG

      132         6,469   

Commerzbank AG (a)

      665         5,389   

Continental AG

      30         6,260   

Daimler AG

      91         6,335   

Deutsche Bank AG

      293         5,183   

Deutsche Boerse AG

      82         6,971   

Deutsche Lufthansa AG (a)

      491         7,175   

Deutsche Post AG

      255         6,169   

Deutsche Telekom AG

      413         7,165   

E.ON S.E.

      778         7,944   

Fresenius Medical Care AG & Co. KGaA

      91         8,051   

Fresenius S.E. & Co. KGaA

      102         6,750   

GEA Group AG

      189         7,958   

HeidelbergCement AG

      95         6,972   

Henkel AG & Co. KGaA -Preference Shares

      65         6,899   

Infineon Technologies AG

      488         6,492   

K+S AG

      256         5,383   

Linde AG

      44         5,939   

Merck KGaA

      79         6,866   

Metro AG

      237         6,701   

Muenchener Rueckversicherungs-Gesellschaft AG

      37         7,089   

Porsche Automobil Holding S.E. -Preference Shares

      140         6,338   
      Shares      Value  

Germany–(continued)

      

ProSiebenSat.1 Media SE

      145       $ 7,211   

RWE AG

      584         8,143   

SAP S.E.

      95         7,533   

Siemens AG

      75         7,180   

Symrise AG

      110         7,098   

ThyssenKrupp AG

      352         5,428   

Volkswagen AG -Preference Shares

      54         6,268   

Vonovia SE

      217         6,597   
           241,921   

Hong Kong–2.97%

      

AIA Group Ltd.

      1,200         6,715   

ASM Pacific Technology Ltd.

      1,000         7,246   

Bank of East Asia, Ltd. (The)

      2,200         6,478   

Brightoil Petroleum (Holdings) Ltd.

      19,000         5,617   

Cathay Pacific Airways Ltd.

      5,000         7,894   

Cheung Kong Infrastructure Holdings Ltd.

      1,000         9,411   

Cheung Kong Property Holdings Ltd.

      1,000         5,426   

China Innovative Finance Group Ltd. (a)

      60,000         6,043   

Chinese Estates Holdings Ltd.

      3,000         6,832   

CK Hutchison Holdings Ltd.

      500         6,217   

CLP Holdings Ltd.

      1,000         8,389   

Dairy Farm International Holdings Ltd.

      1,400         8,638   

Esprit Holdings Ltd.

      7,800         8,053   

First Pacific Co. Ltd.

      12,000         8,251   

Galaxy Entertainment Group Ltd.

      3,000         9,452   

Global Brands Group Holding Ltd. (a)

      40,000         6,105   

Haitong International Securities Group Ltd.

      12,000         6,005   

Hang Lung Group Ltd.

      2,000         5,535   

Hang Lung Properties Ltd.

      3,000         5,525   

Hang Seng Bank Ltd.

      400         6,658   

Henderson Land Development Co. Ltd.

      1,310         7,118   

HK Electric Investments and HK Electric Investments Ltd. (d)

      10,000         7,814   

Hong Kong & China Gas Co. Ltd.

      3,840         6,709   

Hong Kong Exchanges & Clearing Ltd.

      300         6,650   

Hongkong Land Holdings Ltd.

      1,100         6,888   

Hopewell Holdings Ltd.

      2,500         7,582   

Hysan Development Co. Ltd.

      2,000         7,738   

Jardine Matheson Holdings Ltd.

      200         10,500   

Jardine Strategic Holdings Ltd.

      300         8,206   

Kerry Properties Ltd.

      3,000         6,877   

Kingston Financial Group Ltd. (a)

      20,000         6,137   

Li & Fung Ltd.

      12,000         6,944   

Link REIT

      1,500         8,586   

MTR Corp. Ltd.

      1,500         6,815   

New World Development Co. Ltd.

      8,000         6,459   

Noble Group Ltd.

      27,100         5,869   

NWS Holdings Ltd.

      6,000         8,909   

PCCW Ltd.

      14,000         8,336   

Power Assets Holdings Ltd.

      1,000         9,146   

Sands China Ltd.

      2,400         8,420   

Shangri-La Asia Ltd.

      8,000         7,454   

Sino Land Co. Ltd.

      6,000         7,670   

SJM Holdings Ltd.

      11,000         7,171   

Sun Hung Kai Properties Ltd.

      1,000         10,874   

Swire Pacific Ltd. -Class A

      500         4,846   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

Hong Kong–(continued)

      

Swire Properties Ltd.

      2,600       $ 6,737   

Techtronic Industries Co. Ltd.

      2,000         7,571   

Television Broadcasts Ltd.

      2,000         6,991   

Value Partners Group Ltd.

      6,000         5,469   

VTech Holdings Ltd.

      700         7,051   

WH Group Ltd. (a)(d)

      15,500         8,861   

Wharf Holdings Ltd. (The)

      1,000         4,660   

Wheelock and Co. Ltd.

      2,000         7,639   

Yue Yuen Industrial (Holdings) Ltd.

      2,500         8,595   
           393,782   

Hungary–0.12%

      

MOL Hungarian Oil and Gas PLC

      162         7,877   

Richter Gedeon Nyrt

      388         7,571   
         15,448   

India–0.17%

      

HDFC Bank Ltd. -ADR

      134         8,084   

Infosys Ltd. -ADR

      409         7,325   

Wipro Ltd. -ADR

      570         6,681   
         22,090   

Indonesia–0.19%

      

Golden Agri-Resources Ltd.

      31,800         8,398   

PT Bank Central Asia Tbk

      8,200         7,866   

PT Telekomunikasi Indonesia Persero Tbk

      37,500         9,196   
         25,460   

Ireland–0.55%

      

CRH PLC

      257         6,858   

Experian PLC

      1,829         31,233   

Kerry Group PLC -Class A

      96         7,831   

Shire PLC

      490         27,485   
         73,407   

Italy–0.59%

      

Assicurazioni Generali S.p.A.

      411         6,167   

Atlantia S.p.A.

      267         6,976   

Enel S.p.A.

      1,607         6,576   

Eni S.p.A.

      444         6,461   

Ferrari N.V. (a)

      49         1,943   

Intesa Sanpaolo S.p.A.

      2,065         5,886   

Luxottica Group S.p.A.

      100         6,190   

Prada S.p.A.

      2,100         6,235   

Snam S.p.A.

      1,458         8,170   

Telecom Italia S.p.A. (a)

      5,731         6,366   

Terna - Rete Elettrica Nazionale S.p.A.

      1,451         7,765   

UniCredit S.p.A.

      1,269         4,935   

Unione di Banche Italiane S.p.A.

      1,111         5,208   
         78,878   

Japan–11.17%

      

Aeon Co., Ltd.

      400         5,348   

Aisin Seiki Co., Ltd.

      200         8,475   

Alps Electric Co., Ltd.

      200         3,950   

AMADA Holdings Co., Ltd.

      700         6,603   

ANA Holdings Inc.

      2,000         5,880   

Aozora Bank, Ltd.

      2,000         6,710   
      Shares      Value  

Japan–(continued)

      

Asahi Glass Co., Ltd.

      1,000       $     6,106   

Asahi Group Holdings, Ltd.

      200         6,427   

Asahi Kasei Corp.

      1,000         6,472   

ASICS Corp.

      300         5,565   

Astellas Pharma Inc.

      600         8,319   

Bandai Namco Holdings Inc.

      300         6,819   

Bank of Kyoto, Ltd. (The)

      1,000         7,730   

Bank of Yokohama, Ltd. (The)

      1,000         5,323   

Bridgestone Corp.

      200         7,271   

Brother Industries, Ltd.

      500         5,040   

Canon Inc.

      200         5,589   

Casio Computer Co., Ltd.

      300         5,815   

Chiba Bank, Ltd. (The)

      1,000         6,177   

Chubu Electric Power Co., Inc.

      600         7,686   

Chugai Pharmaceutical Co., Ltd.

      200         6,119   

Chugoku Bank, Ltd. (The)

      600         7,134   

Chugoku Electric Power Co., Inc. (The)

      600         8,001   

Credit Saison Co., Ltd.

      300         5,622   

Dai Nippon Printing Co., Ltd.

      1,000         9,387   

Dai-ichi Life Insurance Co. Ltd. (The)

      400         5,524   

Daicel Corp.

      400         5,872   

Daihatsu Motor Co., Ltd.

      600         9,357   

Daiichi Sankyo Co., Ltd.

      300         6,266   

Daikin Industries, Ltd.

      100         6,755   

Daito Trust Construction Co., Ltd.

      100           12,728   

Daiwa House Industry Co., Ltd.

      200         5,653   

Daiwa Securities Group Inc.

      1,000         6,322   

Denso Corp.

      100         4,340   

Dentsu Inc.

      100         5,300   

Don Quijote Holdings Co., Ltd.

      200         6,784   

East Japan Railway Co.

      100         9,210   

Eisai Co., Ltd.

      100         6,037   

Electric Power Development Co., Ltd.

      200         6,747   

Fuji Heavy Industries Ltd.

      200         8,173   

FUJIFILM Holdings Corp.

      200         7,721   

Fujitsu Ltd.

      1,000         4,171   

Fukuoka Financial Group, Inc.

      1,000         4,230   

Gunma Bank, Ltd. (The)

      1,000         5,552   

Hachijuni Bank, Ltd. (The)

      1,000         5,570   

Hamamatsu Photonics K.K.

      200         4,971   

Hankyu Hanshin Holdings, Inc.

      1,000         6,233   

Hino Motors, Ltd.

      500         5,663   

Hirose Electric Co., Ltd.

      100         11,347   

Hiroshima Bank, Ltd. (The)

      1,000         4,990   

Hisamitsu Pharmaceutical Co., Inc.

      200         9,023   

Hitachi, Ltd.

      1,000         4,936   

Hokuhoku Financial Group, Inc.

      3,000         5,551   

Hokuriku Electric Power Co.

      400         5,653   

Honda Motor Co., Ltd.

      200         5,421   

Hoya Corp.

      200         7,726   

Hulic Co., Ltd.

      800         6,880   

IHI Corp.

      2,000         4,306   

INPEX Corp.

      700         6,195   

Isetan Mitsukoshi Holdings Ltd.

      400         5,082   

Isuzu Motors Ltd.

      700         7,129   

ITOCHU Corp.

      600         7,094   

Iyo Bank, Ltd. (The)

      700         5,918   

J. Front Retailing Co., Ltd.

      400         5,512   

Japan Airlines Co. Ltd.

      200         7,485   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

Japan–(continued)

      

Japan Airport Terminal Co., Ltd.

      100       $     3,999   

Japan Exchange Group Inc.

      400         5,674   

Japan Real Estate Investment Corp.

      1         5,297   

Japan Retail Fund Investment Corp.

      3         6,332   

Japan Tobacco, Inc.

      200         7,814   

JFE Holdings, Inc.

      400         5,409   

Joyo Bank, Ltd. (The)

      1,000         4,051   

JSR Corp.

      400         5,805   

JTEKT Corp.

      400         6,442   

JX Holdings, Inc.

      1,600         6,095   

Kajima Corp.

      1,000         5,665   

Kansai Electric Power Co., Inc. (The) (a)

      700         7,610   

Kansai Paint Co., Ltd.

      400         5,580   

Kao Corp.

      100         5,366   

Kawasaki Heavy Industries, Ltd.

      2,000         6,170   

KDDI Corp.

      300         7,585   

Keikyu Corp.

      1,000         8,281   

Keio Corp.

      1,000         8,925   

Keisei Electric Railway Co., Ltd.

      1,000           13,302   

Kintetsu Group Holdings Co., Ltd.

      2,000         8,232   

Kirin Holdings Co., Ltd.

      400         5,703   

Kobe Steel, Ltd.

      5,000         4,848   

Koito Manufacturing Co., Ltd.

      200         9,264   

Komatsu Ltd.

      400         5,941   

Konica Minolta Inc.

      700         5,881   

Kubota Corp.

      400         5,903   

Kuraray Co., Ltd.

      600         7,239   

Kyocera Corp.

      100         4,020   

Kyowa Hakko Kirin Co., Ltd.

      400         5,795   

Kyushu Electric Power Co., Inc. (a)

      700         7,520   

Lawson, Inc.

      100         7,905   

LIXIL Group Corp.

      300         6,320   

Mabuchi Motor Co., Ltd.

      100         5,406   

Makita Corp.

      100         5,628   

Marubeni Corp.

      1,200         5,777   

Mazda Motor Corp.

      300         5,450   

Medipal Holdings Corp.

      400         6,507   

MEIJI Holdings Co., Ltd.

      100         8,386   

Minebea Co., Ltd.

      1,000         7,783   

Mitsubishi Chemical Holdings Corp.

      1,100         6,123   

Mitsubishi Corp.

      400         6,404   

Mitsubishi Electric Corp.

      1,000         9,267   

Mitsubishi Heavy Industries, Ltd.

      1,000         3,943   

Mitsubishi Materials Corp.

      2,000         6,163   

Mitsubishi Motors Corp.

      800         6,454   

Mitsubishi Tanabe Pharma Corp.

      400         6,570   

Mitsubishi UFJ Financial Group, Inc.

      1,100         5,669   

Mitsui & Co., Ltd.

      600         6,809   

Mitsui Chemicals, Inc.

      1,000         4,361   

Mitsui O.S.K. Lines, Ltd.

      3,000         5,938   

Mizuho Financial Group, Inc.

      3,400         5,870   

MS&AD Insurance Group Holdings, Inc.

      200         5,426   

Nagoya Railroad Co., Ltd.

      2,000         9,138   

NEC Corp.

      2,000         5,279   

NGK Spark Plug Co., Ltd.

      200         4,750   

Nidec Corp.

      100         6,815   

Nikon Corp.

      600         8,844   

Nippon Building Fund Inc.

      1         5,166   
      Shares      Value  

Japan–(continued)

      

Nippon Express Co., Ltd.

      1,000       $     4,681   

Nippon Paint Holdings Co., Ltd.

      300         5,721   

Nippon Steel & Sumitomo Metal Corp.

      300         5,364   

Nippon Telegraph & Telephone Corp.

      200         8,508   

Nippon Television Holdings, Inc.

      300         5,577   

Nippon Yusen Kabushiki Kaisha

      3,000         6,475   

Nissan Motor Co., Ltd.

      700         6,943   

Nisshin Seifun Group Inc.

      400         6,467   

Nissin Foods Holdings Co., Ltd.

      100         5,105   

Nitori Holdings Co., Ltd.

      100         8,105   

Nitto Denko Corp.

      100         5,749   

NOK Corp.

      200         4,143   

Nomura Holdings, Inc.

      1,100         6,012   

Nomura Research Institute, Ltd.

      200         7,262   

NSK Ltd.

      500         5,171   

NTT Data Corp.

      100         4,821   

NTT DOCOMO, Inc.

      300         6,692   

Obayashi Corp.

      800         7,215   

Odakyu Electric Railway Co., Ltd.

      1,000         10,626   

Oji Holdings Corp.

      1,000         4,063   

Olympus Corp.

      200         7,793   

OMRON Corp.

      200         5,230   

Oriental Land Co., Ltd.

      100         6,380   

ORIX Corp.

      400         5,677   

Osaka Gas Co., Ltd.

      2,000         7,583   

Otsuka Holdings Co., Ltd.

      200         6,729   

Panasonic Corp.

      700         6,553   

Rakuten Inc.

      500         5,151   

Recruit Holdings Co., Ltd.

      200         6,334   

Resona Holdings, Inc.

      1,400         6,423   

Ricoh Co., Ltd.

      700         6,754   

Rinnai Corp.

      100         9,210   

Rohm Co. Ltd.

      100         4,551   

Santen Pharmaceutical Co., Ltd.

      400         6,375   

SECOM Co., Ltd.

      100         6,975   

Sega Sammy Holdings Inc.

      700         6,589   

Seibu Holdings Inc.

      300         6,014   

Seiko Epson Corp.

      400         5,418   

Sekisui Chemical Co., Ltd.

      600         7,357   

Sekisui House, Ltd.

      400         6,287   

Seven & i Holdings Co., Ltd.

      100         4,447   

Shikoku Electric Power Co. Inc.

      400         5,802   

Shimizu Corp.

      1,000         7,804   

Shin-Etsu Chemical Co., Ltd.

      100         5,108   

Shinsei Bank, Ltd.

      3,000         4,673   

Shionogi & Co., Ltd.

      100         4,355   

Shiseido Co., Ltd.

      300         5,646   

Shizuoka Bank, Ltd. (The)

      1,000         8,706   

SoftBank Group Corp.

      100         4,425   

Sompo Japan Nipponkoa Holdings Inc.

      200         5,928   

Sony Corp.

      300         7,178   

Sony Financial Holdings Inc.

      300         4,958   

Stanley Electric Co., Ltd.

      300         6,580   

Sumitomo Chemical Co., Ltd.

      1,000         5,066   

Sumitomo Corp.

      700         6,982   

Sumitomo Electric Industries, Ltd.

      600         7,903   

Sumitomo Heavy Industries, Ltd.

      1,000         3,951   

Sumitomo Metal Mining Co., Ltd.

      1,000         10,653   

Sumitomo Mitsui Financial Group, Inc.

      200         6,717   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

Japan–(continued)

      

Sumitomo Mitsui Trust Holdings, Inc.

      2,000       $     6,389   

Suntory Beverage & Food Ltd.

      200         9,266   

Suruga Bank Ltd.

      300         5,434   

Suzuken Co., Ltd./Aichi Japan

      200         6,937   

Suzuki Motor Corp.

      200         6,139   

Sysmex Corp.

      100         6,433   

T&D Holdings, Inc.

      400         4,578   

Taiheiyo Cement Corp.

      2,000         5,763   

Taisei Corp.

      1,000         6,260   

Taisho Pharmaceutical Holdings Co. Ltd.

      100         6,737   

Takashimaya Co., Ltd.

      1,000         8,570   

Takeda Pharmaceutical Co. Ltd.

      100         4,836   

TDK Corp.

      100         5,483   

Teijin Ltd.

      2,000         7,313   

Terumo Corp.

      200         6,364   

THK Co., Ltd.

      300         4,786   

Tobu Railway Co., Ltd.

      1,000         4,879   

Toho Co., Ltd.

      200         5,223   

Toho Gas Co., Ltd.

      1,000         6,560   

Tohoku Electric Power Co., Inc.

      600         7,492   

Tokio Marine Holdings, Inc.

      200         7,157   

Tokyo Electric Power Co. Inc. (a)

      1,000         5,017   

Tokyo Electron Ltd.

      100         6,288   

Tokyo Gas Co., Ltd.

      1,000         4,598   

Tokyo Tatemono Co., Ltd.

      500         5,379   

Tokyu Corp.

      1,000         7,781   

Tokyu Fudosan Holdings, Corp.

      1,000         6,548   

TonenGeneral Sekiyu K.K.

      1,000         8,177   

Toppan Printing Co., Ltd.

      1,000         8,702   

Toray Industries, Inc.

      1,000         8,549   

Toshiba Corp. (a)

      3,000         5,024   

TOTO Ltd.

      200         6,504   

Toyo Suisan Kaisha, Ltd.

      200         6,917   

Toyota Industries Corp.

      100         5,008   

Toyota Motor Corp.

      100         6,039   

Toyota Tsusho Corp.

      300         6,892   

Trend Micro Inc.

      100         4,197   

Unicharm Corp.

      300         5,891   

United Urban Investment Corp.

      6         8,212   

USS Co., Ltd.

      400         6,132   

West Japan Railway Co.

      100         6,476   

Yahoo Japan Corp.

      1,600         6,129   

Yakult Honsha Co., Ltd.

      100         4,595   

Yamada Denki Co., Ltd.

      1,500         7,260   

Yamaguchi Financial Group, Inc.

      1,000         10,809   

Yamaha Motor Co., Ltd.

      300         5,996   

Yamato Holdings Co., Ltd.

      300         6,583   

Yaskawa Electric Corp.

      600         6,708   

Yokogawa Electric Corp.

      600         6,737   
         1,483,606   

Luxembourg–0.09%

      

ArcelorMittal S.A.

      1,405         5,425   

Tenaris S.A.

      604         6,272   
         11,697   

Macau–0.11%

      

MGM China Holdings Ltd.

      6,000         7,235   
      Shares      Value  

Macau–(continued)

      

Wynn Macau, Ltd.

      6,287       $     6,829   
         14,064   

Malaysia–1.65%

      

AMMB Holdings Berhad

      7,923         8,347   

Axiata Group Berhad

      6,868         9,311   

British American Tobacco Malaysia Berhad

      712         9,938   

DiGi.Com Berhad

      8,200         9,656   

Gamuda Berhad

      7,100         7,822   

Genting Malaysia Berhad

      6,700         7,252   

Hap Seng Consolidated Berhad

      4,600         7,994   

Hartalega Holdings Berhad

      5,900         7,691   

Hong Leong Bank Berhad

      4,700         14,910   

IHH Healthcare Berhad

      6,921         10,968   

IJM Corp. Berhad

      11,458         9,530   

IOI Corp. Berhad

      8,200         9,650   

Kuala Lumpur Kepong Berhad

      1,700         9,820   

Malayan Banking Berhad

      5,219         10,810   

Maxis Berhad

      6,181         8,545   

MISC Berhad

      3,724         7,874   

Petronas Dagangan Berhad

      1,300         7,989   

Petronas Gas Berhad

      1,800         9,929   

Public Bank Berhad

      3,485         15,495   

Sime Darby Berhad

      4,305         8,422   

Telekom Malaysia Berhad

      6,691         10,531   

Tenaga Nasional Berhad

      2,822         9,252   

UMW Holdings Berhad

      4,607         7,786   
         219,522   

Mexico–1.04%

      

America Movil S.A.B. de C.V. -Series L

      11,140         7,879   

Arca Continental, S.A.B. de C.V.

      1,532         9,209   

Arca Continental, S.A.B. de C.V. -Rts. (a)

      82         0   

Coca-Cola Femsa, S.A.B. de C.V. -Series L

      1,200         8,452   

Fibra Uno Administracion S.A. de C.V.

      4,200         8,420   

Fomento Economico Mexicano, S.A.B. de C.V. -Series BD (e)

      900         8,540   

Grupo Aeroportuario del Pacífico, S.A.B. de C.V. -Class B

      800         6,741   

Grupo Aeroportuario del Sureste, S.A.B. de C.V. -Class B

      530         7,257   

Grupo Bimbo, S.A.B. de C.V. -Series A (a)

      2,900         8,103   

Grupo Financiero Banorte S.A.B. de C.V. -Class O

      1,500         7,820   

Grupo Financiero Inbursa, S.A.B. de C.V. -Class O

      3,900         6,297   

Grupo Financiero Santander Mexico, S.A.B. de C.V. -Class B

      4,000         6,179   

Grupo Lala, S.A.B. de C.V.

      3,100         7,350   

Grupo Mexico S.A.B. de C.V. -Series B

      3,600         6,987   

Grupo Televisa S.A.B. -Series CPO (f)

      1,500         7,948   

Infraestructura Enérgetica Nova, S.A.B. de C.V.

      1,900         7,464   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

Mexico–(continued)

      

Kimberly-Clark de Mexico, S.A.B. de C.V. -Class A

      3,000       $     7,164   

Promotora y Operadora de Infraestructura, S.A.B. de C.V.

      700         8,050   

Telesites, S.A.B. de C.V. (a)

      462         280   

Wal-Mart de México, S.A.B. de C.V. -Series V

      2,924         7,344   
         137,484   

Netherlands–0.69%

      

Aegon N.V.

      1,221         6,932   

Akzo Nobel N.V.

      109         6,997   

ASML Holding N.V.

      78         7,168   

Gemalto N.V.

      106         6,393   

Heineken Holding N.V.

      94         7,236   

Heineken N.V.

      85         7,392   

ING Groep N.V.

      540         6,234   

Koninklijke Ahold N.V.

      351         7,967   

Koninklijke DSM N.V.

      142         6,920   

Koninklijke KPN N.V.

      1,833         7,107   

Koninklijke Philips N.V.

      265         7,050   

Randstad Holding N.V.

      116         6,341   

Wolters Kluwer N.V.

      232         7,898   
         91,635   

New Zealand–0.59%

      

Auckland International Airport Ltd.

      2,246         8,118   

Contact Energy Ltd.

      2,411         7,202   

Fisher & Paykel Healthcare Corp. Ltd.

      1,402         7,888   

Fletcher Building Ltd.

      1,640         7,346   

Kiwi Property Group Ltd.

      8,606         7,648   

Ryman Healthcare Ltd.

      1,457         7,609   

SKY Network Television Ltd.

      2,718         8,064   

SKYCITY Entertainment Group Ltd.

      2,742         8,348   

Spark New Zealand Ltd.

      3,662         8,012   

Z Energy Ltd.

      1,806         7,890   
         78,125   

Norway–0.35%

      

DNB ASA

      739         8,964   

Orkla ASA

      1,241         10,056   

Statoil ASA

      705         9,792   

Telenor ASA

      594         9,665   

Yara International ASA

      223         8,487   
         46,964   

Philippines–0.69%

      

Ayala Corp.

      590         8,419   

Ayala Land, Inc.

      8,800         5,814   

Bank of the Philippine Islands

      5,220         9,583   

BDO Unibank, Inc.

      3,770         8,076   

Globe Telecom, Inc.

      170         6,660   

GT Capital Holdings, Inc.

      255         6,920   

Jollibee Foods Corp.

      1,890         8,149   

Manila Electric Co.

      1,300         8,457   

Metropolitan Bank & Trust Co.

      4,720         7,033   

Philippine Long Distance Telephone Co.

      160         7,477   

Robinsons Land Corp.

      12,000         6,284   
      Shares      Value  

Philippines–(continued)

      

SM Investments Corp.

      500       $     8,718   
         91,590   

Poland–0.16%

      

Bank Pekao S.A.

      217         7,301   

Powszechna Kasa Oszczednosci Bank Polski
S.A. (a)

      1,069         6,477   

Powszechny Zaklad Ubezpieczen S.A.

      1,012         8,043   
         21,821   

Portugal–0.06%

      

Energias de Portugal, S.A.

      2,092         7,313   

Qatar–0.18%

      

Commercial Bank of Qatar Q.S.C. (The)

      662         7,275   

Qatar Gas Transport Co. Ltd.

      1,402         8,056   

Qatar National Bank

      184         8,284   
         23,615   

Singapore–1.59%

      

Ascendas REIT

      4,900         7,969   

Avago Technologies Ltd.

      45         6,017   

CapitaLand Commercial Trust Ltd.

      8,600         7,889   

CapitaLand Ltd.

      3,400         7,404   

CapitaLand Mall Trust

      5,900         8,234   

City Developments Ltd.

      1,600         7,873   

ComfortDelGro Corp. Ltd.

      3,800         7,605   

DBS Group Holdings Ltd.

      700         6,972   

Genting Singapore PLC

      15,400         7,708   

Great Eastern Holdings Ltd.

      500         7,037   

Jardine Cycle & Carriage Ltd.

      300         7,947   

Keppel Corp. Ltd.

      1,600         5,694   

Keppel REIT

      11,500         7,248   

Oversea-Chinese Banking Corp. Ltd.

      1,200         6,727   

SATS Ltd.

      2,900         7,919   

Sembcorp Industries Ltd.

      3,600         6,406   

Sembcorp Marine Ltd.

      5,400         5,946   

Singapore Airlines Ltd.

      1,100         8,566   

Singapore Exchange Ltd.

      1,400         7,018   

Singapore Post Ltd.

      6,400         6,017   

Singapore Press Holdings Ltd.

      2,800         6,990   

Singapore Technologies Engineering Ltd.

      3,600         7,314   

Singapore Telecommunications Ltd.

      3,100         7,708   

StarHub Ltd.

      3,200         7,633   

Suntec REIT

      6,900         7,717   

United Overseas Bank Ltd.

      600         7,676   

UOL Group Ltd.

      1,900         7,527   

Venture Corp. Ltd.

      1,300         7,133   

Wilmar International Ltd.

      3,800         7,705   
         211,599   

South Africa–1.11%

      

Aspen Pharmacare Holdings Ltd.

      332         5,636   

Barclays Africa Group Ltd.

      669         6,084   

Bidvest Group Ltd. (The)

      383         8,846   

FirstRand Ltd.

      2,299         6,508   

Growthpoint Properties Ltd.

      4,966         7,125   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

South Africa–(continued)

      

Investec Ltd.

      935       $     6,117   

Liberty Holdings Ltd.

      862         6,078   

Life Healthcare Group Holdings Ltd.

      2,857         6,338   

MMI Holdings Ltd.

      4,556         6,527   

Mondi Ltd.

      353         5,864   

Nedbank Group Ltd.

      462         5,474   

Netcare Ltd.

      2,843         6,065   

Pick n Pay Stores Ltd.

      1,562         5,806   

Rand Merchant Investment Holdings Ltd.

      2,320         5,787   

Redefine Properties Ltd.

      11,905         7,121   

Remgro Ltd.

      417         6,646   

Resilient REIT Ltd.

      903         6,762   

RMB Holdings Ltd.

      1,633         5,821   

SPAR Group Ltd. (The)

      635         7,360   

Standard Bank Group Ltd.

      829         5,884   

Tiger Brands Ltd.

      317         5,875   

Vodacom Group Ltd.

      863         7,907   

Woolworths Holdings Ltd.

      911         5,380   
         147,011   

South Korea–0.62%

      

DGB Financial Group Inc.

      846         6,329   

GS Holdings Corp.

      180         7,642   

Hana Financial Group Inc.

      353         6,362   

HITEJINRO Co., Ltd. (a)

      357         8,895   

Hyundai Marine & Fire Insurance Co., Ltd.

      233         6,317   

KB Financial Group Inc.

      213         5,471   

Korea Zinc Co., Ltd. (a)

      17         6,224   

KT Corp.

      446         10,166   

Lotte Confectionery Co., Ltd. (a)

      3         6,076   

Samsung Electronics Co., Ltd.

      6         5,791   

Shinhan Financial Group Co., Ltd.

      192         6,163   

SK Telecom Co., Ltd.

      37         6,481   
         81,917   

Spain–0.88%

      

Abertis Infraestructuras S.A.

      491         7,348   

Aena S.A. (a)(d)

      64         7,138   

Amadeus IT Holding S.A. -Class A

      170         6,981   

Banco Bilbao Vizcaya Argentaria, S.A.

      815         5,272   

Banco de Sabadell S.A.

      3,780         6,845   

Banco Popular Espanol S.A.

      1,809         4,881   

Banco Santander S.A.

      1,238         5,347   

Bankia S.A.

      5,616         5,582   

CaixaBank S.A.

      1,755         5,341   

Enagas S.A.

      253         7,373   

Ferrovial S.A.

      303         6,676   

Gas Natural SDG, S.A.

      369         7,266   

Grifols S.A.

      356         7,462   

Iberdrola S.A.

      1,041         7,335   

Industria de Diseno Textil, S.A.

      205         6,726   

Red Electrica Corp. S.A.

      88         7,109   

Repsol S.A.

      544         5,666   

Telefónica, S.A.

      615         6,531   
         116,879   
      Shares      Value  

Sweden–1.11%

      

Assa Abloy AB -Class B

      476       $     10,074   

Atlas Copco AB -Class A

      382         8,200   

Hennes & Mauritz AB -Class B

      275         8,995   

Hexagon AB -Class B

      279         9,259   

Investor AB -Class B

      266         8,879   

Nordea Bank AB

      892         8,952   

Sandvik AB

      1,056         8,861   

Skandinaviska Enskilda Banken AB -Class A

      905         8,727   

Skanska AB -Class B

      532         10,237   

SKF AB -Class B

      553         8,463   

Svenska Cellulosa AB -Class B

      364         10,781   

Svenska Handelsbanken AB -Class A

      698         8,770   

Swedbank AB -Class A

      442         9,306   

Telefonaktiebolaget LM Ericsson -Class B

      1,075         9,479   

TeliaSonera AB

      2,090         9,847   

Volvo AB -Class B

      986         8,996   
         147,826   

Switzerland–2.08%

      

ABB Ltd.

      556         9,628   

Actelion Ltd.

      76         10,053   

Adecco S.A

      148         9,136   

Cie Financiere Richemont S.A.

      142         9,225   

Credit Suisse Group AG

      463         8,173   

Geberit AG

      30         10,634   

Givaudan S.A.

      6         11,212   

Glencore PLC

      25,288         32,720   

Julius Baer Group Ltd.

      208         8,827   

Kuehne + Nagel International AG

      78         10,339   

LafargeHolcim Ltd.

      181         7,681   

Nestle S.A.

      134         9,870   

Novartis AG

      120         9,308   

Roche Holding AG

      37         9,626   

Schindler Holding AG -Participation Ctfs.

      61         9,381   

SGS S.A.

      5         9,715   

Sika AG

      3         10,741   

Swatch Group AG (The)

      28         9,588   

Swiss Re AG

      104         9,659   

Swisscom AG

      20         9,946   

Syngenta AG

      28         10,308   

TE Connectivity Ltd.

      107         6,116   

UBS Group AG

      483         7,975   

Wolseley PLC

      569         28,153   

Zurich Insurance Group AG

      37         8,196   
         276,210   

Taiwan–2.57%

      

Asia Cement Corp.

      11,450         9,015   

Cathay Financial Holding Co., Ltd.

      5,758         6,315   

Chailease Holding Co. Ltd.

      4,120         6,597   

Chang Hwa Commercial Bank, Ltd.

      20,765         10,407   

Cheng Shin Rubber Industry Co., Ltd.

      5,000         7,745   

Chicony Electronics Co., Ltd.

      3,000         6,265   

China Development Financial Holding Corp.

      24,224         5,820   

China Steel Corp.

      18,409         9,872   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

Taiwan–(continued)

      

Chunghwa Telecom Co., Ltd.

      6,551       $     20,268   

CTBC Financial Holding Co. Ltd.

      15,264         7,191   

CTCI Corp.

      6,000         6,683   

E.Sun Financial Holding Co. Ltd.

      14,389         7,481   

Far Eastern Department Stores Ltd.

      13,000         6,556   

Far Eastern New Century Corp.

      9,691         6,950   

Far EasTone Telecommunications Co., Ltd.

      4,267         8,812   

First Financial Holding Co., Ltd.

      30,198         13,801   

Formosa Chemicals & Fibre Corp.

      3,267         7,059   

Formosa Petrochemical Corp.

      3,000         7,449   

Formosa Plastics Corp.

      3,734         8,713   

Fubon Financial Holding Co., Ltd.

      4,000         4,433   

Hon Hai Precision Industry Co., Ltd.

      2,930         6,872   

Hua Nan Financial Holdings Co., Ltd.

      26,178         11,694   

Lite-On Technology Corp.

      7,030         7,493   

Makalot Industrial Co., Ltd.

      1         7   

Mega Financial Holding Co., Ltd.

      12,000         7,679   

Nan Ya Plastics Corp.

      4,384         7,686   

President Chain Store Corp.

      1,000         6,628   

Quanta Computer Inc.

      5,000         7,983   

Richtek Technology Corp.

      1,000         5,773   

Shin Kong Financial Holding Co., Ltd.

      44,412         8,549   

Simplo Technology Co., Ltd.

      2,000         6,078   

SinoPac Financial Holdings Co., Ltd.

      29,450         7,926   

Standard Foods Corp.

      3,000         7,183   

Synnex Technology International Corp.

      8,000         7,539   

Taishin Financial Holding Co., Ltd.

      23,970         7,804   

Taiwan Cement Corp.

      7,668         6,177   

Taiwan Cooperative Financial Holding Co. Ltd.

      31,796         13,239   

Taiwan Mobile Co., Ltd.

      3,217         9,672   

Taiwan Semiconductor Manufacturing Co. Ltd.

      1,750         7,470   

Uni-President Enterprises Corp.

      5,106         8,563   

United Microelectronics Corp.

      19,000         7,413   

WPG Holdings Ltd.

      8,068         7,857   

Yuanta Financial Holding Co., Ltd.

      18,752         5,849   
         340,566   

Thailand–1.04%

      

Advanced Info Service PCL

      1,500         7,181   

Airports of Thailand PCL

      800         8,482   

Bangkok Bank PCL

      2,400         10,343   

Bangkok Dusit Medical Services PCL

      14,500         8,965   

BTS Group Holdings PCL

      43,400         9,923   

Central Pattana PCL

      6,100         7,701   

CP ALL PCL

      7,100         8,063   

Home Product Center PCL

      39,233         7,539   

Intouch Holdings PCL

      1,300         2,073   

Intouch Holdings PCL -Class F

      3,600         5,953   

Kasikornbank PCL

      1,600         7,651   

Krung Thai Bank PCL

      16,900         8,315   

Land and Houses PCL

      28,200         6,989   

Siam Cement PCL (The)

      700         8,448   

Siam Commercial Bank PCL (The)

      2,200         7,840   

Thai Beverage PCL

      33,100         15,800   
      Shares      Value  

Thailand–(continued)

      

TMB Bank PCL

      97,500       $ 7,110   
           138,376   

Turkey–0.52%

      

Arcelik A.S.

      1,317         6,878   

BIM Birlesik Magazalar A.S.

      422         7,144   

Coca-Cola Içecek A.S.

      506         5,621   

Enka Insaat ve Sanayi A.S.

      4,502         6,720   

Haci Omer Sabanci Holding A.S.

      2,356         6,831   

Koc Holding A.S.

      1,861         7,472   

Petkim PetroKimya Holding A.S. (a)

      7,902         9,322   

TAV Havalimanlari Holding A.S.

      921         5,470   

Tupras-Turkiye Petrol Rafinerileri A.S. (a)

      271         6,893   

Turk Telekomunikasyon A.S.

      3,305         6,055   
         68,406   

United Kingdom–10.55%

      

Anglo American PLC

      4,149         16,588   

ARM Holdings PLC

      1,978         28,398   

Associated British Foods PLC

      633         28,574   

AstraZeneca PLC

      497         31,780   

Aviva PLC

      4,349         30,036   

BAE Systems PLC

      4,341         32,040   

Barclays PLC

      9,614         25,678   

BG Group PLC

      2,154         32,654   

BP PLC

      6,137         33,253   

British American Tobacco PLC

      584         32,469   

BT Group PLC

      4,605         32,032   

Burberry Group PLC

      1,836         31,264   

Centrica PLC

      10,442         30,661   

CNH Industrial N.V.

      966         6,051   

Compass Group PLC

      1,901         32,771   

Delphi Automotive PLC

      75         4,871   

Diageo PLC

      1,167         31,418   

Fiat Chrysler Automobiles N.V.

      493         3,475   

GlaxoSmithKline PLC

      1,656         34,116   

HSBC Holdings PLC

      4,218         29,750   

Imperial Tobacco Group PLC

      622         33,701   

ITV PLC

      8,239         31,462   

Kingfisher PLC

      6,177         28,910   

Land Securities Group PLC

      1,830         28,714   

Legal & General Group PLC

      8,258         28,855   

Lloyds Banking Group PLC

      30,234         28,361   

Marks & Spencer Group PLC

      4,439         26,959   

National Grid PLC

      2,450         34,533   

Next PLC

      278         27,521   

Old Mutual PLC

      11,081         27,106   

Pearson PLC

      2,648         30,025   

Prudential PLC

      1,466         28,817   

Reckitt Benckiser Group PLC

      356         31,767   

RELX N.V.

      462         7,731   

RELX PLC

      1,866         32,869   

Rio Tinto Ltd.

      244         6,847   

Rio Tinto PLC

      1,061         26,097   

Rolls-Royce Holdings PLC

      3,713         29,640   

Royal Bank of Scotland Group PLC (a)

      7,266         26,339   

Royal Dutch Shell PLC -Class A

      1,392         30,463   

SABMiller PLC

      547         32,600   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

United Kingdom–(continued)

      

Sky PLC

      1,981       $     30,704   

Smith & Nephew PLC

      1,983         33,034   

SSE PLC

      1,498         31,126   

Standard Chartered PLC

      4,206         28,499   

Standard Life PLC

      5,538         28,908   

Tesco PLC (a)

      13,575         33,626   

Unilever N.V.

      177         7,894   

Unilever PLC

      790         34,770   

Vodafone Group PLC

      10,241         32,761   

WPP PLC

      1,469         31,974   
         1,400,492   

United States–22.96%

      

3M Co.

      42         6,342   

Abbott Laboratories

      135         5,110   

AbbVie Inc.

      116         6,368   

ABM Industries Inc.

      520         15,616   

Acadia Realty Trust

      482         16,436   

Accenture PLC -Class A

      62         6,543   

Adobe Systems Inc. (a)

      71         6,328   

Aetna Inc.

      63         6,416   

Aflac, Inc.

      111         6,434   

Agree Realty Corp.

      508         18,755   

Air Products and Chemicals, Inc.

      45         5,702   

Alexion Pharmaceuticals, Inc. (a)

      36         5,253   

Allergan PLC (a)

      20         5,689   

ALLETE, Inc.

      282         14,918   

Allstate Corp. (The)

      110         6,666   

Alphabet Inc. -Class A (a)

      9         6,852   

Altria Group, Inc.

      119         7,272   

Amazon.com, Inc. (a)

      10         5,870   

American Airlines Group Inc.

      146         5,693   

American Assets Trust Inc.

      362         13,535   

American Electric Power Co., Inc.

      116         7,073   

American Express Co.

      93         4,975   

American International Group, Inc.

      102         5,761   

American States Water Co.

      298         13,529   

American Tower Corp.

      69         6,509   

Ameriprise Financial, Inc.

      58         5,258   

Ameris Bancorp

      369         10,675   

AMERISAFE, Inc.

      223         11,375   

AmerisourceBergen Corp.

      59         5,284   

Amgen Inc.

      41         6,262   

Anadarko Petroleum Corp.

      116         4,534   

Analog Devices, Inc.

      116         6,248   

Analogic Corp.

      125         9,259   

Anthem, Inc.

      50         6,524   

Aon PLC

      68         5,972   

Apache Corp.

      147         6,253   

Apple Inc.

      55         5,354   

Applied Materials, Inc.

      347         6,125   

Archer-Daniels-Midland Co.

      184         6,504   

Astoria Financial Corp.

      813         12,301   

AT&T Inc.

      189         6,815   

Automatic Data Processing, Inc.

      77         6,398   

AutoZone, Inc. (a)

      9         6,907   

Avista Corp.

      431         15,960   

Baker Hughes Inc.

      126         5,482   
      Shares      Value  

United States–(continued)

      

Bank Mutual Corp.

      1,605       $     12,647   

Bank of America Corp.

      384         5,430   

Bank of New York Mellon Corp. (The)

      163         5,904   

Barnes Group Inc.

      290         9,428   

Baxter International Inc.

      175         6,405   

BB&T Corp.

      163         5,324   

Becton, Dickinson and Co.

      44         6,396   

Benchmark Electronics, Inc. (a)

      620         13,020   

Berkshire Hathaway Inc. -Class B (a)

      46         5,969   

Biogen Inc. (a)

      21         5,734   

BlackRock, Inc.

      18         5,657   

Boeing Co. (The)

      46         5,526   

Boston Properties, Inc.

      57         6,624   

Boston Scientific Corp. (a)

      370         6,486   

Bristol-Myers Squibb Co.

      101         6,278   

Broadcom Corp. -Class A

      123         6,724   

Brookline Bancorp, Inc.

      1,111         12,399   

Cabot Microelectronics Corp. (a)

      294         11,948   

CACI International Inc. -Class A (a)

      137         11,381   

Capital One Financial Corp.

      84         5,512   

Capstead Mortgage Corp.

      1,972         18,418   

Cardinal Financial Corp.

      546         10,412   

Cardinal Health, Inc.

      75         6,103   

Carnival Corp.

      123         5,920   

Caterpillar Inc.

      94         5,851   

CBS Corp. -Class B

      132         6,270   

Cedar Realty Trust Inc.

      1,817         12,828   

Celgene Corp. (a)

      53         5,317   

CenturyLink Inc.

      239         6,075   

Charles Schwab Corp. (The)

      202         5,157   

Cheniere Energy, Inc. (a)

      141         4,237   

Chesapeake Lodging Trust

      416         10,450   

Chevron Corp.

      74         6,399   

Chubb Ltd.

      87         9,871   

Cigna Corp.

      42         5,611   

Cisco Systems, Inc.

      223         5,305   

Citigroup Inc.

      121         5,152   

City Holding Co.

      268         11,915   

CME Group Inc. -Class A

      69         6,200   

Coca-Cola Co. (The)

      164         7,039   

Cognizant Technology Solutions Corp. -Class A (a)

      101         6,394   

Colgate-Palmolive Co.

      95         6,415   

Columbia Banking System, Inc.

      349         10,341   

Comcast Corp. -Class A

      106         5,905   

Community Bank System, Inc.

      330         12,421   

ConocoPhillips

      133         5,198   

Consolidated Edison, Inc.

      105         7,286   

CoreSite Realty Corp.

      248         15,907   

Corning Inc.

      363         6,755   

Costco Wholesale Corp.

      43         6,498   

Crown Castle International Corp.

      74         6,379   

CSG Systems International, Inc.

      361         12,613   

CSX Corp.

      233         5,364   

Cubic Corp.

      271         10,829   

Cummins Inc.

      71         6,382   

Curtiss-Wright Corp.

      198         13,662   

CVB Financial Corp.

      674         10,319   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

United States–(continued)

      

CVS Health Corp.

      69       $     6,665   

Danaher Corp.

      70         6,065   

Deere & Co.

      79         6,084   

Delta Air Lines, Inc.

      138         6,112   

Deltic Timber Corp.

      229         12,577   

Devon Energy Corp.

      155         4,324   

DiamondRock Hospitality Co.

      1,022         8,483   

Dime Community Bancshares, Inc.

      824         14,165   

DineEquity, Inc.

      174         14,776   

Discover Financial Services

      122         5,586   

Dollar General Corp.

      85         6,380   

Dominion Resources, Inc.

      93         6,712   

Dow Chemical Co. (The)

      124         5,208   

Duke Energy Corp.

      99         7,455   

E. I. du Pont de Nemours and Co.

      98         5,170   

EastGroup Properties, Inc.

      267         14,255   

Eaton Corp. PLC (a)

      114         5,758   

eBay Inc. (a)

      227         5,325   

Ecolab Inc.

      55         5,933   

Edison International

      113         6,983   

Education Realty Trust, Inc.

      327         12,779   

El Paso Electric Co.

      356         14,571   

Electronics for Imaging, Inc. (a)

      256         10,593   

Eli Lilly and Co.

      78         6,170   

EMC Corp.

      242         5,994   

EMCOR Group, Inc.

      269         12,293   

Emerson Electric Co.

      137         6,299   

EOG Resources, Inc.

      81         5,753   

EPR Properties

      266         15,947   

Equity Residential

      89         6,861   

ESCO Technologies Inc.

      385         13,256   

Exelon Corp.

      247         7,304   

Exponent, Inc.

      237         12,160   

Express Scripts Holding Co. (a)

      73         5,247   

Exxon Mobil Corp.

      86         6,695   

F.N.B. Corp.

      887         10,688   

Facebook Inc. -Class A (a)

      62         6,957   

FedEx Corp.

      39         5,182   

First Midwest Bancorp, Inc.

      657         11,452   

Ford Motor Co.

      425         5,074   

Forrester Research, Inc.

      392         12,532   

Forward Air Corp.

      261         11,265   

Franklin Resources, Inc.

      160         5,546   

Franklin Street Properties Corp.

      1,501         14,650   

Freeport-McMoRan Inc.

      453         2,084   

G & K Services, Inc. -Class A

      203         13,069   

General Dynamics Corp.

      43         5,752   

General Electric Co.

      217         6,315   

General Mills, Inc.

      106         5,990   

General Motors Co.

      182         5,394   

Geo Group Inc. (The)

      379         11,211   

Getty Realty Corp.

      1,103         19,713   

Gilead Sciences, Inc.

      61         5,063   

Goldman Sachs Group, Inc. (The)

      33         5,331   

Government Properties Income Trust

      971         13,332   

H.B. Fuller Co.

      345         12,841   

Halliburton Co.

      170         5,404   
      Shares      Value  

United States–(continued)

      

HCA Holdings, Inc. (a)

      98       $     6,819   

HCP, Inc.

      175         6,289   

Healthcare Realty Trust, Inc.

      545         15,827   

Healthcare Services Group, Inc.

      385         13,617   

Hershey Co. (The)

      67         5,903   

Hess Corp.

      111         4,718   

Hilton Worldwide Holdings Inc.

      287         5,111   

Home Depot, Inc. (The)

      49         6,162   

Honeywell International Inc.

      61         6,295   

Horace Mann Educators Corp.

      387         11,889   

HP Inc.

      484         4,700   

Humana Inc.

      35         5,698   

Illinois Tool Works Inc.

      70         6,305   

Illumina, Inc. (a)

      37         5,844   

Independent Bank Corp.

      251         11,473   

Infinity Property & Casualty Corp.

      173         13,734   

Ingersoll-Rand PLC

      118         6,073   

Inland Real Estate Corp.

      1,684         18,036   

Intel Corp.

      189         5,863   

Intercontinental Exchange, Inc.

      27         7,123   

International Business Machines Corp.

      44         5,491   

International Paper Co.

      150         5,132   

Intuit Inc.

      67         6,399   

Intuitive Surgical, Inc. (a)

      12         6,490   

J & J Snack Foods Corp.

      105         11,338   

Johnson & Johnson

      64         6,684   

Johnson Controls, Inc.

      158         5,667   

JPMorgan Chase & Co.

      97         5,772   

Kaiser Aluminum Corp.

      205         15,937   

Kaman Corp.

      413         16,454   

Kellogg Co.

      90         6,610   

Kimberly-Clark Corp.

      54         6,935   

Kinder Morgan Inc.

      393         6,465   

Kite Realty Group Trust

      566         14,999   

Korn/Ferry International (a)

      333         10,260   

Kroger Co. (The)

      163         6,326   

La-Z-Boy Inc.

      449         9,627   

Laclede Group, Inc. (The)

      318         20,333   

Las Vegas Sands Corp.

      132         5,953   

Lexington Realty Trust

      1,621         11,882   

LinkedIn Corp. -Class A (a)

      27         5,344   

Lockheed Martin Corp.

      32         6,752   

Lowe’s Cos., Inc.

      92         6,593   

LTC Properties, Inc.

      358         15,942   

LyondellBasell Industries N.V. -Class A

      69         5,380   

Macy’s, Inc.

      150         6,062   

ManTech International Corp. -Class A

      405         11,676   

Marathon Oil Corp.

      410         3,989   

Marathon Petroleum Corp.

      126         5,266   

Marsh & McLennan Cos., Inc.

      120         6,400   

MasterCard, Inc. -Class A

      66         5,876   

Matthews International Corp. -Class A

      249         12,428   

McDonald’s Corp.

      57         7,055   

McGraw Hill Financial, Inc.

      67         5,696   

McKesson Corp.

      33         5,312   

Mead Johnson Nutrition Co.

      83         6,017   

Medical Properties Trust Inc.

      1,145         12,595   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

United States–(continued)

      

Medtronic PLC

      85       $ 6,453   

Merck & Co., Inc.

      114         5,776   

MetLife, Inc.

      131         5,849   

Micron Technology, Inc. (a)

      372         4,103   

Microsoft Corp.

      118         6,501   

MKS Instruments, Inc.

      351         12,439   

Mondelez International, Inc. -Class A

      147         6,336   

Monro Muffler Brake, Inc.

      185         12,164   

Monsanto Co.

      65         5,889   

Moog Inc. -Class A (a)

      209         9,683   

Morgan Stanley

      171         4,425   

MTS Systems Corp.

      183         9,772   

Mueller Industries, Inc.

      429         10,918   

Mylan N.V. (a)

      130         6,850   

National Oilwell Varco Inc.

      181         5,890   

National Presto Industries, Inc.

      142         11,231   

Navigators Group, Inc. (The) (a)

      184         16,120   

NBT Bancorp Inc.

      437         11,318   

Neenah Paper, Inc.

      189         11,423   

Netflix Inc. (a)

      50         4,592   

New Jersey Resources Corp.

      420             14,792   

NextEra Energy, Inc.

      65         7,261   

NIKE, Inc. -Class B

      100         6,201   

Noble Energy, Inc.

      204         6,603   

Norfolk Southern Corp.

      72         5,076   

Northern Trust Corp.

      85         5,277   

Northfield Bancorp, Inc.

      1,263         19,551   

Northrop Grumman Corp.

      37         6,847   

Northwest Bancshares, Inc.

      1,249         15,700   

Northwest Natural Gas Co.

      313         16,260   

NorthWestern Corp.

      278         15,524   

Nucor Corp.

      142         5,548   

O’Reilly Automotive, Inc. (a)

      26         6,783   

Occidental Petroleum Corp.

      89         6,126   

Old National Bancorp

      815         10,041   

Omnicom Group Inc.

      92         6,748   

Oracle Corp.

      172         6,245   

Oritani Financial Corp.

      896         14,981   

OSI Systems, Inc. (a)

      164         8,990   

P. H. Glatfelter Co.

      685         10,111   

PACCAR Inc.

      133         6,526   

Parkway Properties, Inc.

      891         12,002   

PepsiCo, Inc.

      69         6,852   

Perrigo Co. PLC

      45         6,506   

PetMed Express, Inc. (a)

      729         13,137   

Pfizer Inc.

      202         6,159   

PG&E Corp.

      129         7,083   

Philip Morris International Inc.

      76         6,841   

Phillips 66

      73         5,851   

Pioneer Natural Resources Co.

      45         5,578   

PNC Financial Services Group, Inc. (The)

      69         5,979   

Pool Corp.

      166         14,027   

PPG Industries, Inc.

      67         6,373   

PPL Corp.

      196         6,872   

Praxair, Inc.

      62         6,200   

Precision Castparts Corp.

      27         6,344   

Priceline Group Inc. (The) (a)

      5         5,325   

ProAssurance Corp.

      348         17,442   
      Shares      Value  

United States–(continued)

      

Procter & Gamble Co. (The)

      91       $ 7,434   

Progress Software Corp. (a)

      493              12,764   

Prologis, Inc.

      168         6,631   

Provident Financial Services, Inc.

      688         13,512   

Prudential Financial, Inc.

      78         5,466   

PS Business Parks, Inc.

      186         16,104   

Public Service Enterprise Group Inc.

      155         6,402   

Public Storage

      31         7,860   

QUALCOMM, Inc.

      115         5,214   

Raytheon Co.

      53         6,797   

Regeneron Pharmaceuticals, Inc. (a)

      12         5,041   

Retail Opportunity Investments Corp.

      863         15,957   

Reynolds American Inc.

      150         7,493   

RLI Corp.

      203         12,038   

RMR Group Inc. (The) -Class A (a)

      10         209   

Sabra Health Care REIT, Inc.

      584         10,722   

Safety Insurance Group, Inc.

      239         13,484   

salesforce.com, inc. (a)

      80         5,445   

Samsonite International S.A.

      2,788         7,184   

Saul Centers, Inc.

      251         12,768   

Schlumberger Ltd.

      78         5,637   

Schweitzer-Mauduit International, Inc.

      292         12,264   

Selective Insurance Group, Inc.

      386         12,086   

Sempra Energy

      68         6,443   

Sherwin-Williams Co. (The)

      26         6,647   

Simon Property Group, Inc.

      34         6,334   

Simpson Manufacturing Co., Inc.

      368         12,008   

South Jersey Industries, Inc.

      611         15,189   

Southern Co. (The)

      143         6,996   

Southwest Airlines Co.

      134         5,041   

Southwest Gas Corp.

      260         15,296   

Spectra Energy Corp.

      280         7,686   

St. Jude Medical, Inc.

      106         5,603   

Starbucks Corp.

      115         6,989   

State Street Corp.

      82         4,570   

Sterling Bancorp

      778         12,222   

Stewart Information Services Corp.

      314         11,134   

Stryker Corp.

      63         6,246   

SunTrust Banks, Inc.

      158         5,780   

Superior Industries International, Inc.

      605         11,138   

Synchrony Financial (a)

      206         5,855   

Sysco Corp.

      158         6,290   

T. Rowe Price Group Inc.

      82         5,818   

Talmer Bancorp, Inc. -Class A

      779         12,511   

Target Corp.

      84         6,083   

Tennant Co.

      212         11,471   

Tetra Tech, Inc.

      444         11,762   

Texas Instruments Inc.

      112         5,928   

Thermo Fisher Scientific, Inc.

      48         6,339   

Time Warner Cable Inc.

      33         6,006   

Time Warner Inc.

      89         6,269   

TJX Cos., Inc. (The)

      85         6,055   

Tompkins Financial Corp.

      209         11,708   

Travelers Cos., Inc. (The)

      61         6,529   

TrustCo Bank Corp NY

      1,891         10,401   

Twenty-First Century Fox, Inc. -Class A

      236         6,365   

Twitter, Inc. (a)

      264         4,435   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

      Shares      Value  

United States–(continued)

      

Tyco International PLC

      195       $ 6,706   

U.S. Bancorp

      154         6,169   

UniFirst Corp.

      127         13,373   

Union Pacific Corp.

      74         5,328   

United Bankshares, Inc.

      294         9,873   

United Community Banks, Inc.

      566         10,222   

United Parcel Service, Inc. -Class B

      64         5,965   

United Technologies Corp.

      69         6,051   

UnitedHealth Group Inc.

      54         6,219   

Universal Health Realty Income Trust

      266         13,521   

Urstadt Biddle Properties Inc. -Class A

      776         15,753   

Valero Energy Corp.

      93         6,312   

Ventas, Inc.

      117         6,472   

Verizon Communications Inc.

      136         6,796   

Vertex Pharmaceuticals Inc. (a)

      47         4,265   

VF Corp.

      103         6,448   

Viacom Inc. -Class B

      139         6,344   

Visa Inc. -Class A

      87         6,481   

Vornado Realty Trust

      74         6,546   

Wal-Mart Stores, Inc.

      111         7,366   

Walgreens Boots Alliance, Inc.

      73         5,820   

Walt Disney Co. (The)

      60         5,749   

Waste Management, Inc.

      125         6,619   

WD-40 Co.

      138         14,255   

Wells Fargo & Co.

      116         5,827   

Welltower Inc.

      96         5,973   

Westamerica Bancorp.

      269         11,747   

Western Digital Corp.

      102         4,894   

Weyerhaeuser Co.

      229         5,865   

Williams Cos., Inc. (The)

      210         4,053   

Wintrust Financial Corp.

      251         10,565   

Xcel Energy, Inc.

      192         7,338   

Yahoo! Inc. (a)

      198         5,843   

Yum! Brands, Inc.

      87         6,296   

Zimmer Biomet Holdings, Inc.

      62         6,154   

Zoetis Inc.

      131         5,640   
         3,048,525   

Total Common Stocks & Other Equity Interests
(Cost $11,554,951)

   

      10,573,840   
      Shares      Value  

Money Market Funds–14.74%

      

Liquid Assets Portfolio –Institutional Class, 0.38% (g)

      978,654       $ 978,654   

Premier Portfolio –Institutional Class, 0.34% (g)

      978,653         978,653   

Total Money Market Funds
(Cost $1,957,307)

   

      1,957,307   

TOTAL INVESTMENTS–94.39%
(Cost $13,512,258)

   

      12,531,147   

OTHER ASSETS LESS LIABILITIES–5.61%

  

      745,339   

NET ASSETS–100.00%

  

    $   13,276,486   

Investment Abbreviations:

 

ADR       —American Depositary Receipt
CPO       —Certificates of Ordinary Participation
Ctfs.       —Certificates
REIT       —Real Estate Investment Trust
Rts.       —Rights

Notes to Schedule of Investments:

 

(a)  Non-income producing security.
(b)  Each unit represents one common share and four preferred shares.
(c)  Each unit represents two preferred shares and one common share.
(d)  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 January 31, 2016 was $23,813, which represented less than 1% of the Fund’s Net Assets.
(e)  Each unit represents one Series B share, two Series D-B shares and two Series D-L shares.
(f)  Each CPO represents twenty-five Series A shares, twenty-two Series B shares, thirty-five Series D shares and thirty-five Series L shares.
(g)  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 January 31, 2016.
 

 

 

See accompanying notes which are an integral part of this schedule.

Invesco Macro Long/Short Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy. A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

Invesco Macro Long/Short Fund

A. Security Valuations – (continued)

 

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

E.

Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

 

Invesco Macro Long/Short Fund

E. Forward Foreign Currency Contracts – (continued)

 

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

F. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between Counterparties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities.
G. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. Such transactions are agreements between Counterparties. These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, the Fund would receive payments based on any positive total return and would owe payments in the event of a negative total return. As the payer, the Fund would owe payments on any net positive total return, and would receive payment in the event of a negative total return.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement

 

Invesco Macro Long/Short Fund

G. Swap Agreements – (continued)

 

of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

H. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
I. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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.

During the three months ended January 31, 2016, there were transfers from Level 1 to Level 2 of $1,228,474 and from Level 2 to Level 1 of $185,315, due to foreign fair value adjustments.

 

Invesco Macro Long/Short Fund

      Level 1      Level 2      Level 3      Total  

Australia

    $ 8,398       $ 739,104       $             —       $ 747,502   

Austria

      —         13,066         —         13,066   

Belgium

      —         41,845         —         41,845   

Brazil

      44,686         —         —         44,686   

Chile

      88,590         —         —         88,590   

China

      —         102,240         —         102,240   

Colombia

      16,663         —         —         16,663   

Czech Republic

      7,435         8,418         —         15,853   

Denmark

      —         70,683         —         70,683   

Egypt

      5,895         —         —         5,895   

Finland

      —         42,693         —         42,693   

France

      13,480         314,415         —         327,895   

Germany

      114,682         127,239         —         241,921   

Hong Kong

      50,630         343,152         —         393,782   

Hungary

      —         15,448         —         15,448   

India

      22,090         —         —         22,090   

Indonesia

      —         25,460         —         25,460   

Ireland

      7,831         65,576         —         73,407   

Italy

      8,178         70,700         —         78,878   

Japan

      —         1,483,606         —         1,483,606   

Luxembourg

      —         11,697         —         11,697   

Macau

      —         14,064         —         14,064   

Malaysia

      62,131         157,391         —         219,522   

Mexico

      137,484         —         —         137,484   

Netherlands

      —         91,635         —         91,635   

New Zealand

      —         78,125         —         78,125   

Norway

      —         46,964         —         46,964   

Philippines

      15,867         75,723         —         91,590   

Poland

      —         21,821         —         21,821   

Portugal

      —         7,313         —         7,313   

Qatar

      8,284         15,331         —         23,615   

Singapore

      20,973         190,626         —         211,599   

South Africa

      20,324         126,687         —         147,011   

South Korea

      —         81,917         —         81,917   

Spain

      —         116,879         —         116,879   

Sweden

      —         147,826         —         147,826   

Switzerland

      6,116         270,094         —         276,210   

Taiwan

      —         340,566         —         340,566   

Thailand

      44,645         93,731         —         138,376   

Turkey

      —         68,406         —         68,406   

United Kingdom

      100,515         1,299,977         —         1,400,492   

United States

      5,005,832         —         —         5,005,832   
       5,810,729         6,720,418         —         12,531,147   

Forward Foreign Currency Contracts*

      —         58,573         —         58,573   

Futures Contracts*

      143,105         —         —         143,105   

Swap Agreements*

      —         3,729         —         3,729   

Total Investments

    $     5,953,834       $     6,782,720       $ —       $     12,736,554   
* Unrealized appreciation (depreciation).

 

Invesco Macro Long/Short Fund

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

     Value
Risk Exposure/ Derivative Type    Assets    Liabilities

Currency risk:

      $   107,111        $   (48,538 ) 

Forward foreign currency contracts

                      

Equity risk:

        317,817          (174,712 )

Futures contracts (a)

                      

Swap contracts

        3,729          —    

Total

      $   428,657        $   (223,250 ) 

 

(a)  Includes cumulative appreciation (depreciation) of futures contracts.

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

      Location of Gain (Loss) on
Statement of Operations		  
   Futures Contracts     Forward Foreign
Currency Contracts		      Swap
Agreements		  

Realized Gain (Loss):

                          

Currency risk

            $     —              $ 78,465         $ —   

Equity risk

      (141,552 )      —         6,234   

Change in Net Unrealized Appreciation:

                          

Currency risk

      —        91,767         —   

Equity risk

      222,496        —         6,522   

Total

            $   80,944              $   170,232         $   12,756   

The table below summarizes the average notional value of forward foreign currency contracts, futures contracts and swap agreements outstanding during the period.

 

      Forward Foreign
Currency Contracts		      Futures
Contracts		      Swap
Agreements		  

Average notional value

      $  5,937,335       $   10,652,248       $   169,931   

 

Invesco Macro Long/Short Fund

Open Forward Foreign Currency Contracts  
                 Notional     

Unrealized

Appreciation

  

Settlement

Date

         Contract to        
  

Counterparty

    Deliver      Receive      Value      (Depreciation)  

02/19/16

    Canadian Imperial Bank of Commerce    AUD      1,100,000       USD      778,090       $ 777,662       $ 428   

02/19/16

    Canadian Imperial Bank of Commerce    CHF      220,000       USD      217,185         214,938         2,247   

02/19/16

    Canadian Imperial Bank of Commerce    EUR      1,090,000       USD      1,165,056         1,181,414         (16,358)   

02/19/16

    Canadian Imperial Bank of Commerce    GBP      1,080,000       USD      1,643,270         1,538,982         104,288   

02/19/16

    Canadian Imperial Bank of Commerce    JPY      197,000,000       USD      1,600,265         1,627,813         (27,548)   

02/19/16

    Canadian Imperial Bank of Commerce    NOK      450,000       USD      51,971         51,823         148   

02/19/16

    Canadian Imperial Bank of Commerce    NZD      140,000       USD      89,901         90,553         (652)   

02/19/16

    Canadian Imperial Bank of Commerce    SEK      1,380,000       USD      159,130         160,875         (1,745)   

02/19/16

    Canadian Imperial Bank of Commerce    SGD      390,000       USD      273,346         273,654         (308)   

02/19/16

    Canadian Imperial Bank of Commerce    USD      21,521       AUD      30,000         21,209         (312)   

02/19/16

    Canadian Imperial Bank of Commerce    USD      21,747       EUR      20,000         21,677         (70)   

02/19/16

    Canadian Imperial Bank of Commerce    USD      57,060       JPY      6,800,000         56,188         (872)   

02/19/16

    Canadian Imperial Bank of Commerce    USD      13,454       NZD      20,000         12,936         (518)   

02/19/16

    Canadian Imperial Bank of Commerce    USD      14,189       SGD      20,000         14,034         (155)   

  Total Forward Foreign Currency Contracts—Currency Risk

  

    $       58,573   

Currency Abbreviations:

 

AUD   —    Australian Dollar   JPY   —    Japanese Yen   SEK   —    Swedish Krona
CHF   —    Swiss Franc   NOK   —    Norwegian Krone   SGD   —    Singapore Dollar
EUR   —    Euro   NZD   —    New Zealand Dollar   USD   —    U.S. Dollar
GBP   —    British Pound Sterling              

 

Open Futures Contracts(a)  
Futures Contracts    Type of
Contract		   

Number of

Contracts

   

Expiration

Month

   

Notional

Value

    

Unrealized

Appreciation

(Depreciation)

  

Dow Jones EURO STOXX 50 Index

    Long    15    March-2016    $     492,058      $ (29,648)   

Dow Jones EURO STOXX 50 Index

    Short    21    March-2016      (688,881 )            47,273   

E-Mini S&P 500 Index

    Long    6    March-2016      579,030        (27,317)   

E-Mini S&P 500 Index

    Short    9    March-2016      (868,545 )      50,252   

FTSE 100 Index

    Long    10    March-2016      855,967        1,941   

FTSE 100 Index

    Short    10    March-2016      (855,967 )      (500)   

Hang Seng Index

    Long    6    February-2016      760,424        24,292   

Hang Seng Index

    Short    2    February-2016      (253,475 )      (9,421)   

Mini MSCI Emerging Markets Asia Index

    Long    32    March-2016      1,196,480        (35,955)   

Mini MSCI Emerging Markets Asia Index

    Short    23    March-2016      (859,970 )      26,633   

MSCI Singapore Index

    Short    5    February-2016      (103,503 )      (2,315)   

Russell 2000 Mini Index

    Short    9    March-2016      (928,260 )      77,089   

SPI 200 Index

    Short    6    March-2016      (527,022 )      1,243   

Tokyo Stock Price Index

    Long    6    March-2016      713,171        (69,556)   

Tokyo Stock Price Index

    Short    7    March-2016      (832,032 )      89,094   

Total Futures Contracts – Equity Risk

                 $ 143,105   

 

(a)  Futures collateralized by $735,000 cash held with Goldman, Sachs International., the futures commission merchant.

 

Invesco Macro Long/Short Fund

Open Over-The-Counter Total Return Swap Agreements – Equity Risk  
Swap Agreements   Type of
Contract		   Counterparty   Number
of
Contracts		   Termination
Date		   Notional
Value		     Unrealized
Appreciation		  

Pay a return equal to Swiss Market Index

Futures multiplied by the Notional Value

   Short   Goldman Sachs
International		   2   March-2016   $   (160,062)      $ 3,729   

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $1,453,801 and $1,410,907, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis  

Aggregate unrealized appreciation of investment securities

    $ 635,719   

Aggregate unrealized (depreciation) of investment securities

      (1,651,091)   

Net unrealized appreciation (depreciation) of investment securities

    $   (1,015,372)   

Cost of investments for tax purposes is $13,546,519.

   

 

Invesco Macro Long/Short Fund

 

 

  Invesco MLP Fund
 

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

  LOGO    
 

 

invesco.com/us

  

 

MLP-QTR-1    01/16

  

 

Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

      Units      Value  

Master Limited Partnerships–97.07%

  

Gathering & Processing MLP–10.96%

  

   

Antero Midstream Partners L.P.

      3,665       $ 72,787   

DCP Midstream Partners, L.P.

      974         18,282   

EnLink Midstream Partners, L.P.

      1,345         16,127   

EQT Midstream Partners L.P.

      2,961         201,555   

Rice Midstream Partners L.P.

      6,869         74,116   

Western Gas Partners L.P.

      2,629         85,942   
                468,809   

Marine–0.47%

  

   

GasLog Partners L.P. (Monaco)

      1,417         20,263   

Natural Gas Pipelines & Storage–5.95%

  

Boardwalk Pipeline Partners, L.P.

      5,839         63,703   

Columbia Pipeline Partners L.P.

      4,189         64,092   

Spectra Energy Partners, L.P.

      1,414         59,261   

Tallgrass Energy Partners L.P.

      1,948         67,225   
                254,281   

Pipelines & Midstream Diversified–41.06%

  

Enbridge Energy Partners, L.P.

      4,102         74,902   

Energy Transfer Equity, L.P.

      3,438         29,842   

Energy Transfer Partners, L.P.

      13,715         407,884   

Enterprise Products Partners L.P.

      35,377         845,864   

ONEOK Partners, L.P.

      3,234         88,418   

Plains All American Pipeline, L.P.

      8,335         175,952   

Williams Partners L.P.

      6,032         132,825   
                1,755,687   

Refined Products Pipelines & Terminals–37.24%

  

Buckeye Partners, L.P.

      3,118         181,592   

Genesis Energy, L.P.

      3,614         102,710   

Magellan Midstream Partners, L.P.

      6,764         434,452   

MPLX L.P.

      6,330         194,774   

NGL Energy Partners L.P.

      5,016         60,443   

Phillips 66 Partners L.P.

      348         19,725   

Rose Rock Midstream L.P.

      1,228         13,483   

Sunoco L.P.

      1,276         43,397   

Sunoco Logistics Partners L.P.

      7,989         177,915   

Tesoro Logistics L.P.

      3,097         137,290   

Valero Energy Partners L.P.

      2,434         108,021   

VTTI Energy Partners L.P.
(United Kingdom)

      5,309         84,678   

Western Refining Logistics, L.P.

      1,393         33,697   
                1,592,177   

Refinery Logistics–1.39%

  

   

Shell Midstream Partners, L.P.

      1,677         59,634   

Total Master Limited Partnerships
(Cost $5,554,922)

               4,150,851   
      Shares      Value  

Common Stocks–1.06%

  

   

General Partner (C-Corp.)–1.06%

  

   

Kinder Morgan Inc.
(Cost $42,411)

      2,757       $ 45,353   

Money Market Funds–4.35%

  

   

Liquid Assets Portfolio –Institutional Class, 0.38% (a)

      92,896         92,896   

Premier Portfolio –Institutional Class, 0.34% (a)

      92,896         92,896   

Total Money Market Funds
(Cost $185,792)

               185,792   

TOTAL INVESTMENTS–102.48%
(Cost $5,783,125)

               4,381,996   

OTHER ASSETS LESS LIABILITIES–(2.48)%

               (106,079 ) 

NET ASSETS–100.00%

             $ 4,275,917   

Notes to Schedule of Investments:

 

(a)  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 January 31, 2016.
 

 

See accompanying notes which are an integral part of this schedule.

Invesco MLP Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

Invesco MLP Fund

A. Security Valuations – (continued)

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Master Limited Partnerships - The Fund primarily invests in Master Limited Partnerships (“MLPs”). MLPs are publicly traded partnerships and limited liability companies taxed as partnerships under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). The Fund principally invests in MLPs that derive their revenue primarily from businesses involved in the gathering, transporting, processing, treating, storing, refining, distributing, mining or marketing of natural gas, natural gas liquids, crude oil, refined products or coal (“energy infrastructure MLPs”). The Fund is a partner in each MLP; accordingly, the Fund is required to take into account the Fund’s allocable share of income, gains, losses, deductions, expenses, and tax credits recognized by each MLP.

The Fund is non-diversified and will concentrate its investments in the energy sector. Energy infrastructure MLPs are subject to a variety of industry specific risk factors that may adversely affect their business or operations, including a decrease in production or reduced volumes of natural gas or other energy commodities available for transporting, processing, storing or distributing; changes in energy commodity prices; a sustained reduced demand for crude oil, natural gas and refined petroleum products; depletion of natural gas reserves or other commodities if not replaced; natural disasters, extreme weather and environmental hazards; rising interest rates, how facilities are constructed, maintained and operated, environmental and safety controls, and the prices they may charge for products and services. In addition, taxes, government regulation, international politics, price, and supply fluctuations, volatile interest rates and energy conservation may cause difficulties for energy infrastructure MLPs.

MLPs may be less liquid and subject to more abrupt or erratic price movements than conventional publicly traded securities.

E. Return of Capital - Distributions received from the Fund’s investments in MLPs generally are comprised of income and return of capital. The Fund records investment income and return of capital based on estimates made at the time such distributions are received. The return of capital portion of the distribution is a reduction to investment income that results in an equivalent reduction in the cost basis of the associated investments and increases net realized gains (losses) and change in unrealized

Invesco MLP Fund

E. Return of Capital – (continued)

appreciation (depreciation). Such estimates are based on historical information available from each MLP and other industry sources. These estimates will subsequently be revised and may materially differ primarily based on information received from the MLPs after their tax reporting periods are concluded.

F. Federal Income Taxes – The Fund does not intend to qualify as a regulated investment company pursuant to Subchapter M of the Internal Revenue Code. The Fund is treated as a regular corporation, or “C” corporation, for U.S. federal income tax purposes and generally is subject to U.S. federal income tax on its taxable income at the graduated rates applicable to corporations. In addition, as a regular corporation, the Fund may be subject to state and local taxes in jurisdictions in which the MLPs operate. The estimate state tax rate is based on a periodic analysis of the Fund’s holdings. The Fund may also be subject to a federal alternative minimum tax on its alternative minimum taxable income to the extent that the alternative minimum tax exceeds the Fund’s regular federal income tax liability.

Taxes include current and deferred taxes. Current taxes reflect the estimated tax liability of the Fund as of a measurement date based on taxable income. Deferred taxes reflect estimates of (i) taxes on net unrealized gains (losses), which are attributable to the difference between fair market value and tax basis, (ii) the net tax effects of temporary differences between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for tax purposes, and (iii) the net tax benefit of accumulated net operating losses, capital loss carryforwards and other tax attributes.

The Fund’s deferred tax asset (“DTA”) and/or liability balances are estimated using estimates of effective tax rates expected to apply to taxable income in the years such balances are realized. A DTA will be recognized for temporary book/tax differences, net of unrealized losses, and carryforwards (net operating losses, capital loss carryforward, or tax credits). To the extent the Fund has a DTA, the Fund will assess whether a valuation allowance is required to offset the value of a portion, or all, of the DTA. Prior year ordinary income or capital gains (carrybacks), unrealized net gains, future reversals of existing taxable timing differences, forecast of future profitability (based on historical evidence), potential tax planning strategies, unsettled circumstances, and other evidence will be used in determining the valuation allowance. The valuation allowance is reviewed periodically and the Fund may modify its estimates or assumptions regarding the net deferred tax asset or liability balances and any applicable valuation allowance.

The Fund recognizes interest and penalties associated with underpayment of federal and state income taxes, if any, in tax expense. The Fund recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed the Fund’s uncertain tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months.

The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally, the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period.

NOTE 2 — 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.

Invesco MLP Fund

As of January 31, 2016, all of the securities in this Fund were valued based on Level 1 inputs (see the Schedule of Investments for security categories). 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.

NOTE 3 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $1,401,181 and $796,332, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 14,703   

Aggregate unrealized (depreciation) of investment securities

      (1,805,054 ) 

Net unrealized appreciation (depreciation) of investment securities

    $ (1,790,351 ) 

Cost of investments for tax purposes is $6,172,347.

   

Invesco MLP Fund

 

 

Invesco Pacific Growth Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

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  invesco.com/us   MS-PGRO-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–93.69%

  

Australia–8.56%

      

APA Group

      317,310       $ 1,920,539   

Sydney Airport

      186,216         872,330   

Telstra Corp. Ltd.

      337,327         1,354,781   

Westpac Banking Corp.

      110,461         2,438,169   
                6,585,819   

China–12.85%

      

Beijing Capital International Airport Co. Ltd.
-Class H

      1,574,000         1,431,293   

Beijing Enterprises Water Group Ltd.

      1,220,000         608,524   

China Animal Healthcare Ltd. (a)

      349,000         116,617   

China Mobile Ltd.

      140,500         1,532,196   

CNOOC Ltd.

      862,000         870,594   

Guangdong Investment Ltd.

      1,202,000         1,539,463   

Tencent Holdings Ltd.

      200,900         3,795,320   
                9,894,007   

Hong Kong–3.53%

      

AIA Group Ltd.

      485,400         2,716,197   

Henderson Land Development Co. Ltd.

      100         543   
                2,716,740   

India–6.21%

      

Bajaj Finance Ltd.

      16,848         1,478,284   

Britannia Industries Ltd.

      33,795         1,347,207   

Maruti Suzuki India Ltd.

      32,224         1,952,797   
                4,778,288   

Indonesia–1.75%

      

PT Unilever Indonesia Tbk

      502,300         1,346,841   

Japan–42.19%

      

AIDA ENGINEERING, LTD.

      137,100         1,256,784   

Astellas Pharma Inc.

      90,600         1,256,109   

Daicel Corp.

      78,000         1,145,068   

Daikin Industries, Ltd.

      19,900         1,344,277   

Daiwa House Industry Co., Ltd.

      59,300         1,676,025   

FUKUSHIMA INDUSTRIES CORP.

      67,100         1,463,810   

Gulliver International Co., Ltd. (b)

      65,300         711,466   

Hitachi High-Technologies Corp.

      36,900         1,047,902   

K’s Holdings Corp. (b)

      40,500         1,378,283   

Konoike Transport Co., Ltd.

      102,500         1,279,243   

Maeda Road Construction Co., Ltd.

      71,000         1,121,042   

Mitsubishi Corp.

      54,700         875,774   

Mitsubishi UFJ Financial Group, Inc.

      83,700         431,349   

Nidec Corp.

      18,800         1,281,214   

Nifco Inc.

      28,900         1,401,596   

OMRON Corp.

      43,200         1,129,646   

Otsuka Corp.

      33,300         1,656,681   

Relo Holdings, Inc.

      9,400         1,124,933   

Resorttrust, Inc.

      45,800         1,153,724   

SCSK Corp.

      37,300         1,633,949   
      Shares      Value  

Japan–(continued)

      

Sekisui Chemical Co., Ltd.

      126,800       $ 1,554,677   

Seria Co., Ltd.

      14,900         720,840   

Seven & i Holdings Co., Ltd.

      29,600         1,316,252   

Shimamura Co., Ltd.

      11,500         1,282,498   

Temp Holdings Co. Ltd.

      67,500         998,563   

Tsubakimoto Chain Co.

      179,000         1,279,294   

Yamaha Motor Co., Ltd.

      47,500         949,442   
                32,470,441   

Philippines–0.97%

      

Ayala Corp.

      52,350         746,995   

Singapore–1.61%

      

Raffles Medical Group Ltd.

      212,800         608,428   

SATS Ltd.

      231,400         631,858   
                1,240,286   

South Korea–10.86%

      

AMOREPACIFIC GROUP (a)

      13,299         1,671,492   

Green Cross Corp.

      6,067         1,093,131   

Nongshim Co., Ltd.

      5,942         2,313,567   

Ottogi Corp. (a)

      1,079         1,272,349   

Yuhan Corp. (a)

      7,188         2,010,083   
                8,360,622   

Taiwan–2.65%

      

Taiwan Semiconductor Manufacturing Co. Ltd.

      477,143         2,036,625   

Thailand–2.51%

      

Bumrungrad Hospital PCL

      313,200         1,929,625   

Total Common Stocks & Other Equity Interests
(Cost $67,596,124)

   

      72,106,289   

Money Market Funds–2.88%

  

   

Liquid Assets Portfolio –Institutional
Class, 0.38% (c)

      1,108,346         1,108,346   

Premier Portfolio –Institutional
Class, 0.34% (c)

      1,108,345         1,108,345   

Total Money Market Funds
(Cost $2,216,691)

               2,216,691   

TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities
on loan)–96.57% (Cost $69,812,815)

    

      74,322,980   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Pacific Growth Fund

      Shares     Value  

Investments Purchased with Cash Collateral from Securities on Loan

   

Money Market Funds–2.04%

  

  

Liquid Assets Portfolio –Institutional
Class, 0.38%(c)(d)
(Cost $1,571,750)

      1,571,750      $ 1,571,750   

TOTAL INVESTMENTS–98.61%
(Cost $71,384,565)

              75,894,730   

OTHER ASSETS LESS LIABILITIES–1.39%

              1,070,732   

NET ASSETS–100.00%

            $ 76,965,462   

    

 

Notes to Schedule of Investments:

 

(a)  Non-income producing security.
(b)  All or a portion of this security was out on loan at January 31, 2016.
(c)  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
January 31, 2016.
(d)  The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1D.

 

See accompanying notes which are an integral part of this schedule.

Invesco Pacific Growth Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

 

Invesco Pacific Growth Fund

A. Security Valuations – (continued)

 

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Securities Lending – The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. The Fund bears the risk of loss with respect to the investment of collateral. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. When loaning securities, the Fund retains certain benefits of owning the securities, including the economic equivalent of dividends or interest generated by the security. Lending securities entails a risk of loss to the Fund if, and to the extent that, the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower failed to return the securities. The securities loaned are subject to termination at the option of the borrower or the Fund. Upon termination, the borrower will return to the Fund the securities loaned and the Fund will return the collateral. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral and the securities may lose value during the delay which could result in potential losses to the Fund. Some of these losses may be indemnified by the lending agent. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, are included in Dividends from affiliated money market funds on the Statement of Operations. The aggregate value of securities out on loan, if any, is shown as a footnote on the Statement of Assets and Liabilities.

 

Invesco Pacific Growth Fund

 

E. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

F. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

NOTE 2 — 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.

 

Invesco Pacific Growth Fund

The following is a summary of the tiered valuation input levels, as of January 31, 2016. 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.

During the three months ended January 31, 2016, there were transfers from Level 1 to Level 2 of $6,585,819 and from Level 2 to Level 1 of $3,201,974, due to foreign fair value adjustments.

 

      Level 1      Level 2      Level 3      Total  

Australia

    $ —       $ 6,585,819       $ —       $ 6,585,819   

China

      —         9,777,390         116,617         9,894,007   

Hong Kong

      —         2,716,740         —         2,716,740   

India

      —         4,778,288         —         4,778,288   

Indonesia

      —         1,346,841         —         1,346,841   

Japan

      —         32,470,441         —         32,470,441   

Philippines

      —         746,995         —         746,995   

Singapore

      631,858         608,428         —         1,240,286   

South Korea

      1,272,349         7,088,273         —         8,360,622   

Taiwan

      —         2,036,625         —         2,036,625   

Thailand

      1,929,625         —         —         1,929,625   

United States

      3,788,441         —         —         3,788,441   

Total Investments

    $     7,622,273       $     68,155,840       $     116,617       $     75,894,730   

NOTE 3 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $7,629,671 and $7,761,135, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis  

Aggregate unrealized appreciation of investment securities

    $ 7,781,836   

Aggregate unrealized (depreciation) of investment securities

      (3,403,929)   

Net unrealized appreciation of investment securities

    $     4,377,907   

Cost of investments for tax purposes is $71,516,823.

   

 

Invesco Pacific Growth Fund

 

 

Invesco Premium Income Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

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  invesco.com/us   PIN-QTR-1       01/16   Invesco Advisers, Inc.

Schedule of Investments(a)

January 31, 2016

(Unaudited)

 

      Principal
Amount		      Value  

U.S. Dollar Denominated Bonds and Notes–40.54%

  

Advertising–0.05%

      

Lamar Media Corp., Sr. Unsec. Gtd. Sub. Global Notes, 5.00%, 05/01/2023

    $ 80,000       $ 80,200   

Aerospace & Defense–0.81%

  

Bombardier Inc. (Canada),
Sr. Unsec. Notes, 7.50%, 03/15/2025(b)

      236,000         162,840   

7.75%, 03/15/2020(b)

      136,000         108,120   

Huntington Ingalls Industries Inc., Sr. Unsec. Gtd. Notes, 5.00%, 11/15/2025(b)

      29,000         29,943   

KLX Inc., Sr. Unsec. Gtd. Notes, 5.88%, 12/01/2022(b)

      190,000         180,500   

Moog Inc., Sr. Unsec. Gtd. Notes, 5.25%, 12/01/2022(b)

      130,000         132,275   

Orbital ATK Inc., Sr. Unsec. Gtd. Notes, 5.50%, 10/01/2023(b)

      135,000         137,362   

TransDigm Inc., Sr. Unsec. Gtd.
Sub. Notes, 6.50%, 05/15/2025(b)

      438,000         424,860   
                1,175,900   

Agricultural & Farm Machinery–0.08%

  

Titan International Inc., Sr. Sec.
Gtd. First Lien Global Notes, 6.88%, 10/01/2020

      159,000         116,865   

Agricultural Products–0.10%

  

US Foods, Inc., Sr. Unsec. Gtd.
Global Notes, 8.50%, 06/30/2019

      152,000         152,190   

Airlines–0.19%

  

Air Canada (Canada), Sr. Unsec.
Gtd. Notes, 7.75%, 04/15/2021(b)

      270,000         271,350   

Alternative Carriers–0.62%

  

EarthLink Holdings Corp., Sr. Sec.
Gtd. First Lien Global Notes, 7.38%, 06/01/2020

      255,000         256,275   

Level 3 Communications, Inc.,
Sr. Unsec. Global Notes, 5.75%, 12/01/2022

      510,000         527,850   

Level 3 Financing, Inc.,
Sr. Unsec. Gtd. Global Notes, 5.13%, 05/01/2023

      60,000         60,000   

5.38%, 05/01/2025

      60,000         60,000   
                904,125   

Apparel Retail–0.12%

  

Hot Topic, Inc., Sr. Sec. Gtd. First
Lien Notes, 9.25%, 06/15/2021(b)

      202,000         182,053   
      Principal
Amount		      Value  

Apparel, Accessories & Luxury Goods–0.04%

  

William Carter Co. (The), Sr. Unsec. Gtd. Global Notes, 5.25%, 08/15/2021

    $ 59,000       $ 61,213   

Asset Management & Custody Banks–0.39%

  

DJO Finco Inc./DJO Finance LLC/DJO Finance Corp., Sec. Second Lien Notes, 8.13%, 06/15/2021(b)

      160,000         136,000   

First Data Corp., Sr. Sec. Gtd. First
Lien Notes, 5.00%, 01/15/2024(b)

      90,000         90,675   

Sr. Unsec. Gtd. Notes, 7.00%, 12/01/2023(b)

      345,000         348,019   
                574,694   

Auto Parts & Equipment–0.27%

  

CTP Transportation Products LLC/CTP Finance Inc., Sr. Sec. Notes, 8.25%, 12/15/2019(b)

      224,000         227,360   

Dana Holding Corp., Sr. Unsec. Notes, 5.38%, 09/15/2021

      67,000         64,823   

5.50%, 12/15/2024

      104,000         94,120   
                386,303   

Automotive Retail–0.05%

  

CST Brands, Inc., Sr. Unsec. Gtd.
Global Notes, 5.00%, 05/01/2023

      67,000         67,251   

Broadcasting–0.67%

  

Clear Channel Worldwide Holdings, Inc., Series B, Sr. Unsec. Gtd. Global Notes, 6.50%, 11/15/2022

      134,000         123,950   

Grupo Televisa S.A.B. (Mexico), Sr. Unsec. Global Notes, 4.63%, 01/30/2026

      200,000         199,576   

Netflix, Inc., Sr. Unsec. Global Notes, 5.75%, 03/01/2024

      188,000         194,110   

Sinclair Television Group Inc., Sr. Unsec. Gtd. Notes, 5.63%, 08/01/2024(b)

      180,000         176,400   

TEGNA, Inc., Sr. Unsec. Gtd. Global Notes, 6.38%, 10/15/2023

      169,000         179,562   

Tribune Media Co., Sr. Unsec. Gtd. Notes, 5.88%, 07/15/2022(b)

      110,000         109,725   
                983,323   

Building Products–1.49%

  

Allegion PLC, Sr. Unsec. Gtd. Notes, 5.88%, 09/15/2023

      172,000         178,880   

BMC Stock Holdings, Inc., Sr. Sec. Gtd.
First Lien Notes, 9.00%, 09/15/2018(b)

      400,000         417,000   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

      Principal
Amount		      Value  

Building Products–(continued)

  

Builders FirstSource, Inc., Sr. Sec. First
Lien Notes, 7.63%, 06/01/2021(b)

    $ 425,000       $ 446,250   

Sr. Unsec. Gtd. Notes,

10.75%, 08/15/2023(b)

      98,000         92,365   

Building Materials Corp. of America,
Sr. Unsec. Notes, 5.38%, 11/15/2024(b)

      246,000         243,540   

6.00%, 10/15/2025(b)

      109,000         111,861   

Gibraltar Industries Inc., Sr. Unsec. Gtd.
Sub. Global Notes, 6.25%, 02/01/2021

      310,000         311,550   

Hardwoods Acquisition, Inc., Sr. Sec. Gtd.
First Lien Notes, 7.50%, 08/01/2021(b)

      45,000         34,200   

NCI Building Systems, Inc.,

Sr. Unsec. Gtd. Notes,

8.25%, 01/15/2023(b)

      30,000         31,275   

Norbord Inc. (Canada), Sr. Sec. First
Lien Notes, 5.38%, 12/01/2020(b)

      103,000         103,773   

Sr. Sec. Gtd. First Lien Notes,

6.25%, 04/15/2023(b)

      205,000         198,850   
                2,169,544   

Cable & Satellite–1.97%

  

Altice Luxembourg S.A. (Luxembourg),
Sr. Unsec. Gtd. Notes,

7.75%, 05/15/2022(b)

      350,000         325,062   

REGS, Sr. Unsec. Gtd. Euro Notes,

7.75%, 05/15/2022(b)

      200,000         187,500   

CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec. Gtd. Global Notes,

5.25%, 09/30/2022

      50,000         50,750   

Sr. Unsec. Gtd. Notes,

5.13%, 05/01/2023(b)

      364,000         364,000   

5.38%, 05/01/2025(b)

      215,000         213,925   

CSC Holdings LLC, Sr. Unsec.
Global Notes, 6.75%, 11/15/2021

      75,000         74,438   

DISH DBS Corp., Sr. Unsec. Gtd.
Global Notes, 5.88%, 11/15/2024

      537,000         480,615   

Intelsat Jackson Holdings S.A. (Luxembourg),

Sr. Unsec. Gtd. Global Bonds,

5.50%, 08/01/2023

      220,000         176,000   

Neptune Finco Corp., Sr. Sec. First
Lien Notes, 6.63%, 10/15/2025(b)

      200,000         207,250   

Numericable-SFR SA (France), Sr. Sec. Gtd. First Lien Bonds, 6.00%, 05/15/2022(b)

      400,000         396,500   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany), REGS, Sr. Sec. Gtd. First Lien Euro Bonds, 5.00%, 01/15/2025(b)

      200,000         200,250   

VTR Finance B.V. (Chile), Sr. Sec. First Lien Notes, 6.88%, 01/15/2024(b)

      200,000         186,875   
                2,863,165   

Casinos & Gaming–0.49%

  

Boyd Gaming Corp., Sr. Unsec. Gtd.
Global Notes, 6.88%, 05/15/2023

      358,000         365,160   
      Principal
Amount		      Value  

Casinos & Gaming–(continued)

  

Churchill Downs Inc., Sr. Unsec. Gtd. Notes, 5.38%, 12/15/2021(b)

    $ 82,000       $ 83,025   

MGM Resorts International,
Sr. Unsec. Gtd. Global Notes, 6.63%, 12/15/2021

      45,000         46,575   

Sr. Unsec. Gtd. Notes,

6.00%, 03/15/2023

      115,000         115,000   

7.75%, 03/15/2022

      53,000         56,578   

Mohegan Tribal Gaming Authority,
Sr. Unsec. Gtd. Notes, 9.75%, 09/01/2021(b)

      43,000         42,301   
                708,639   

Commercial Printing–0.25%

  

Multi-Color Corp., Sr. Unsec. Gtd. Notes, 6.13%, 12/01/2022(b)

      364,000         363,090   

Communications Equipment–0.11%

  

Hughes Satellite Systems Corp.,
Sr. Unsec. Gtd. Global Notes, 7.63%, 06/15/2021

      142,000         153,360   

Computer & Electronics Retail–0.11%

  

Rent-A-Center, Inc., Sr. Unsec. Gtd. Global Notes, 4.75%, 05/01/2021

      220,000         158,950   

Construction & Engineering–0.38%

  

AECOM, Sr. Unsec. Gtd. Global Notes, 5.75%, 10/15/2022

      359,000         364,856   

Odebrecht Finance Ltd. (Brazil), REGS,
Sr. Unsec. Gtd. Euro Notes,

5.25%, 06/27/2029(b)

      400,000         182,000   
                546,856   

Construction Machinery & Heavy Trucks–0.89%

  

Allied Specialty Vehicles, Inc.,
Sr. Sec. Notes, 8.50%, 11/01/2019(b)

      392,000         395,920   

Commercial Vehicle Group Inc.,
Sec. Gtd. Second Lien Global Notes, 7.88%, 04/15/2019

      230,000         192,050   

Meritor Inc., Sr. Unsec. Gtd. Notes, 6.25%, 02/15/2024

      13,000         10,498   

6.75%, 06/15/2021

      160,000         139,200   

Navistar International Corp.,
Sr. Unsec. Gtd. Notes, 8.25%, 11/01/2021

      149,000         93,497   

Sr. Unsec. Sub. Conv. Bonds,

4.75%, 04/15/2019

      95,000         40,019   

Oshkosh Corp., Sr. Unsec. Gtd.
Global Notes, 5.38%, 03/01/2022

      239,000         241,987   

5.38%, 03/01/2025

      180,000         179,100   
                1,292,271   

Construction Materials–0.14%

  

CPG Merger Sub LLC, Sr. Unsec. Gtd. Notes, 8.00%, 10/01/2021(b)

      31,000         29,993   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

      Principal
Amount		      Value  

Construction Materials–(continued)

  

Unifrax I LLC/Unifrax Holding Co., Sr. Unsec. Gtd. Notes, 7.50%, 02/15/2019 (Acquired 01/31/2013-07/28/2014; Cost $219,950)(b)

    $ 217,000       $ 176,855   
                206,848   

Consumer Finance–0.28%

      

Ally Financial Inc., Sr. Unsec. Global Notes, 5.13%, 09/30/2024

      286,000         290,648   

Unsec. Sub. Global Notes,

5.75%, 11/20/2025

      44,000         44,110   

Credit Acceptance Corp., Sr. Unsec. Gtd. Notes, 7.38%, 03/15/2023(b)

      78,000         76,050   
                410,808   

Distillers & Vintners–0.04%

      

Constellation Brands Inc., Sr. Unsec. Gtd. Notes, 4.75%, 11/15/2024

      55,000         57,475   

Diversified Banks–1.39%

      

Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander (Mexico), Unsec. Sub. Notes,
5.95%, 01/30/2024(b)

      300,000         305,137   

BBVA Bancomer S.A. (Mexico), Unsec. Sub. Notes, 6.75%, 09/30/2022(b)

      150,000         161,726   

Global Bank Corp. (Panama), Sr. Unsec. Notes, 5.13%, 10/30/2019(b)

      200,000         198,800   

Royal Bank of Scotland Group PLC (The) (United Kingdom), Unsec. Sub. Global Bonds, 6.13%, 12/15/2022

      145,000         157,238   

Woori Bank (South Korea), REGS, Jr. Unsec. Sub. Medium-Term Euro Notes, 5.00%, 06/10/2045(b)

      1,200,000         1,207,476   
                2,030,377   

Diversified Chemicals–0.62%

      

Chemours Co. (The), Sr. Unsec. Notes, 6.63%, 05/15/2023(b)

      105,000         65,362   

OCP S.A. (Morocco), Sr. Unsec. Notes, 4.50%, 10/22/2025(b)

      476,000         432,565   

REGS,

Sr. Unsec. Euro Notes,

4.50%, 10/22/2025(b)

      450,000         407,052   
                904,979   

Diversified Metals & Mining–0.38%

  

   

Compass Minerals International, Inc., Sr. Unsec. Gtd. Notes,
4.88%, 07/15/2024(b)

      74,000         67,895   

HudBay Minerals, Inc. (Canada), Sr. Unsec. Gtd. Global Notes, 9.50%, 10/01/2020

      49,000         30,625   

Lundin Mining Corp. (Canada), Sr. Sec. Gtd. First Lien Notes, 7.88%, 11/01/2022(b)

      101,000         82,062   
      Principal
Amount		      Value  

Diversified Metals & Mining–(continued)

  

MMC Norilsk Nickel OJSC via MMC Finance Ltd. (Russia), Sr. Unsec. Notes, 6.63%, 10/14/2022(b)

    $ 369,000       $   376,380   
                556,962   

Electric Utilities–0.62%

  

Hrvatska elektroprivreda d.d. (Croatia), Sr. Unsec. Notes, 5.88%, 10/23/2022(b)

      385,000         393,181   

Majapahit Holding B.V. (Indonesia), Sr. Unsec. Gtd. Notes, 7.75%, 01/20/2020(b)

      100,000         112,204   

PT Perusahaan Listrik Negara (Indonesia), REGS, Sr. Unsec. Euro Notes, 5.50%, 11/22/2021(b)

      200,000         203,750   

Star Energy Geothermal Wayang Windu Ltd. (Indonesia), REGS, Sr. Sec. Gtd. First Lien Euro Notes, 6.13%, 03/27/2020(b)

      200,000         194,000   
                903,135   

Electrical Components & Equipment–0.32%

  

EnerSys, Sr. Unsec. Gtd. Notes, 5.00%, 04/30/2023(b)

      329,000         326,121   

Sensata Technologies B.V., Sr. Unsec. Gtd. Notes, 4.88%, 10/15/2023(b)

      99,000         96,030   

5.00%, 10/01/2025(b)

      44,000         42,240   
                464,391   

Environmental & Facilities Services–0.19%

  

ADS Waste Holdings, Inc., Sr. Unsec. Gtd. Global Notes, 8.25%, 10/01/2020

      298,000         277,140   

Fertilizers & Agricultural Chemicals–0.41%

  

Israel Chemicals Ltd. (Israel), Sr. Unsec. Euro Bonds, 4.50%, 12/02/2024(b)

      600,000         590,219   

Gas Utilities–0.26%

  

Suburban Propane Partners, L.P./Suburban Energy Finance Corp., Sr. Unsec. Global Notes, 7.38%, 08/01/2021

      44,000         43,010   

Transportadora de Gas Internacional S.A. E.S.P. (Colombia), REGS, Sr. Unsec. Euro Notes, 5.70%, 03/20/2022(b)

      350,000         341,250   
                384,260   

General Merchandise Stores–0.11%

  

Dollar Tree, Inc., Sr. Unsec. Gtd. Notes, 5.75%, 03/01/2023(b)

      152,000         161,120   

Health Care Facilities–1.80%

  

Acadia Healthcare Co., Inc., Sr. Unsec. Gtd. Global Notes, 5.63%, 02/15/2023

      326,000         304,810   

Amsurg Corp., Sr. Unsec. Gtd. Global Notes, 5.63%, 07/15/2022

      290,000         291,450   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

      Principal
Amount		      Value  

Health Care Facilities–(continued)

      

Community Health Systems, Inc., Sr. Unsec. Gtd. Global Notes, 6.88%, 02/01/2022

    $ 262,470       $ 238,848   

HCA, Inc., Sr. Sec. Gtd. First Lien Global Notes, 5.88%, 03/15/2022

      199,000         213,863   

Sr. Sec. Gtd. First Lien Notes,

5.25%, 04/15/2025

      340,000         349,775   

Sr. Unsec. Gtd. Global Notes,

7.50%, 02/15/2022

      141,000         157,567   

Sr. Unsec. Gtd. Notes,

5.38%, 02/01/2025

      120,000         121,950   

5.88%, 02/15/2026

      80,000         81,800   

HealthSouth Corp., Sr. Unsec. Gtd. Notes, 5.75%, 09/15/2025(b)

      88,000         85,580   

Surgical Care Affiliates, Inc., Sr. Unsec. Gtd. Notes, 6.00%, 04/01/2023(b)

      310,000         301,475   

Tenet Healthcare Corp., Sr. Unsec. Global Notes, 6.75%, 02/01/2020

      25,000         24,250   

6.75%, 06/15/2023

      69,000         64,515   

8.13%, 04/01/2022

      378,000         381,780   
                2,617,663   

Health Care Services–0.30%

      

MEDNAX, Inc., Sr. Unsec. Gtd. Notes, 5.25%, 12/01/2023(b)

      191,000         195,775   

MPH Acquisition Holdings LLC, Sr. Unsec. Gtd. Notes, 6.63%, 04/01/2022(b)

      235,000         237,056   
                432,831   

Home Improvement Retail–0.31%

      

Hillman Group Inc. (The), Sr. Unsec. Notes, 6.38%, 07/15/2022(b)

      525,000         447,562   

Homebuilding–1.18%

      

Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unsec. Notes, 6.88%, 02/15/2021(b)

      408,000         347,310   

AV Homes, Inc., Sr. Unsec. Gtd. Global Notes, 8.50%, 07/01/2019

      60,000         59,475   

Beazer Homes USA Inc., Sr. Unsec. Gtd. Global Notes, 7.50%, 09/15/2021

      394,000         317,170   

CalAtlantic Group Inc., Sr. Unsec. Gtd. Notes, 5.38%, 10/01/2022

      281,000         284,512   

K. Hovnanian Enterprises Inc., Sr. Sec. Gtd. First Lien Notes, 7.25%, 10/15/2020(b)

      61,000         49,334   

Sr. Unsec. Gtd. Notes,

7.00%, 01/15/2019(b)

      109,000         70,441   

8.00%, 11/01/2019(b)

      375,000         225,469   

KB Home, Sr. Unsec. Gtd. Notes, 7.00%, 12/15/2021

      118,000         111,363   

7.50%, 09/15/2022

      23,000         21,735   
      Principal
Amount		      Value  

Homebuilding–(continued)

      

Meritage Homes Corp., Sr. Unsec. Gtd. Global Notes, 6.00%, 06/01/2025

    $ 85,000       $ 83,406   

7.15%, 04/15/2020

      65,000         67,925   

Taylor Morrison Communities Inc./ Monarch Communities Inc., Sr. Unsec. Gtd. Notes,
5.88%, 04/15/2023(b)

      80,000         75,000   
                1,713,140   

Household Products–0.43%

      

Reynolds Group Issuer Inc./LLC
(New Zealand), Sr. Unsec. Gtd. Global Notes, 8.25%, 02/15/2021

      400,000         372,500   

Sr. Unsec. Gtd. Global Notes,

9.88%, 08/15/2019

      100,000         97,875   

Springs Industries, Inc., Sr. Sec. Global Notes, 6.25%, 06/01/2021

      164,000         163,590   
                633,965   

Independent Power Producers & Energy Traders–0.32%

  

AES Gener S.A. (Chile), Sr. Unsec. Notes, 5.00%, 07/14/2025(b)

      400,000         382,500   

Calpine Corp., Sr. Sec. Gtd. First Lien Notes, 5.88%, 01/15/2024(b)

      15,000         15,375   

Sr. Unsec. Global Notes,

5.50%, 02/01/2024

      74,000         65,305   
                463,180   

Industrial Machinery–0.16%

      

Optimas OE Solutions Holding, LLC/Optimas OE Solutions, Inc., Sr. Sec. Notes, 8.63%, 06/01/2021(b)

      159,000         129,585   

Waterjet Holdings, Inc., Sr. Sec. Gtd. Notes, 7.63%, 02/01/2020(b)

      103,000         102,356   
                231,941   

Industrial REIT’s–0.19%

      

PLA Administradora Industrial, S. de R.L. de C.V. (Mexico), Sr. Unsec. Notes, 5.25%, 11/10/2022(b)

      298,000         274,812   

Integrated Oil & Gas–1.68%

      

Petrobras Global Finance B.V. (Brazil), Sr. Unsec. Gtd. Global Notes,
4.38%, 05/20/2023

      300,000         198,000   

Petroleos Mexicanos (Mexico), Sr. Unsec. Gtd. Global Notes,
6.50%, 06/02/2041

      159,000         135,884   

Sr. Unsec. Gtd. Notes,

4.50%, 01/23/2026(b)

      160,000         138,061   

6.88%, 08/04/2026(b)

      800,000         811,230   

PTT PCL (Thailand), REGS, Sr. Unsec. Euro Notes, 3.38%, 10/25/2022(b)

      500,000         504,229   

4.50%, 10/25/2042(b)

      500,000         469,978   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

      Principal
Amount		      Value  

Integrated Oil & Gas–(continued)

  

   

YPF S.A. (Argentina), REGS, Sr. Unsec. Euro Notes, 8.75%, 04/04/2024(b)

    $ 200,000       $ 192,540   
                2,449,922   

Integrated Telecommunication Services–0.79%

  

   

Frontier Communications Corp., Sr. Unsec. Notes, 8.88%, 09/15/2020(b)

     88,000         88,660   

11.00%, 09/15/2025(b)

      68,000         65,790   

GCI, Inc., Sr. Unsec. Global Notes,
6.88%, 04/15/2025

      85,000         84,363   

T-Mobile USA, Inc., Sr. Unsec. Gtd. Global Bonds, 6.50%, 01/15/2026

      80,000         80,200   

6.84%, 04/28/2023

      223,000         229,690   

Sr. Unsec. Gtd. Global Notes,

6.38%, 03/01/2025

      349,000         351,617   

6.63%, 04/01/2023

      60,000         61,650   

Telecom Italia S.p.A. (Italy), Sr. Unsec. Notes, 5.30%, 05/30/2024(b)

      200,000         196,500   
                1,158,470   

Internet Software & Services–0.69%

  

   

Tencent Holdings Ltd. (China), REGS, Sr. Unsec. Medium-Term Euro Notes, 3.80%, 02/11/2025(b)

      1,000,000         1,003,140   

Leisure Products–0.28%

      

Party City Holdings Inc., Sr. Unsec. Gtd. Notes, 6.13%, 08/15/2023(b)

      44,000         42,900   

Vista Outdoor Inc., Sr. Unsec. Gtd. Notes, 5.88%, 10/01/2023(b)

      350,000         358,750   
                401,650   

Life Sciences Tools & Services–0.03%

  

   

Quintiles Transnational Corp., Sr. Unsec. Gtd. Notes, 4.88%, 05/15/2023(b)

      38,000         38,665   

Marine–0.25%

      

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Sr. Sec. Gtd. First Lien Mortgage Notes,
8.13%, 11/15/2021 (Acquired 10/29/2013-07/16/2015;
Cost $453,005)(b)

      455,000         364,000   

Marine Ports & Services–0.23%

      

PT Pelabuhan Indonesia II (Indonesia), Sr. Unsec. Notes, 4.25%, 05/05/2025(b)

      380,000         335,825   

Metal & Glass Containers–0.44%

      

Ball Corp., Sr. Unsec. Gtd. Global Notes, 4.38%, 12/15/2020

      122,000         126,880   

Berry Plastics Corp., Sec. Gtd. Second Lien Notes, 5.50%, 05/15/2022

      137,000         136,829   

6.00%, 10/15/2022(b)

      142,000         145,727   

Coveris Holding Corp., Sr. Unsec. Gtd. Notes, 10.00%, 06/01/2018(b)

      73,000         68,438   

Coveris Holdings S.A. (Luxembourg), Sr. Unsec. Gtd. Notes, 7.88%, 11/01/2019(b)

      200,000         158,000   
                635,874   
      Principal
Amount		      Value  

Movies & Entertainment–0.24%

  

   

AMC Entertainment Inc., Sr. Unsec. Gtd. Sub. Global Notes, 5.75%, 06/15/2025

    $ 37,000       $ 37,648   

5.88%, 02/15/2022

      55,000         56,650   

Mediacom Broadband LLC/Corp., Sr. Unsec. Gtd. Global Notes,
5.50%, 04/15/2021

      270,000         261,900   
                356,198   

Oil & Gas Equipment & Services–0.03%

  

   

Odebrecht Oil & Gas Finance Ltd. (Brazil), REGS, Sr. Unsec. Gtd. Euro Notes, 7.00%(b)(c)

      250,000         47,500   

Oil & Gas Exploration & Production–1.35%

  

   

Antero Resources Corp., Sr. Unsec. Gtd. Global Notes, 6.00%, 12/01/2020

      222,000         194,250   

Chaparral Energy, Inc., Sr. Unsec. Gtd. Global Notes, 9.88%, 10/01/2020

      193,000         35,705   

Chesapeake Energy Corp., Sec. Gtd. Second Lien Notes, 8.00%, 12/15/2022(b)

      249,000         107,693   

Cimarex Energy Co., Sr. Unsec. Gtd. Notes, 4.38%, 06/01/2024

      37,000         32,258   

Concho Resources Inc., Sr. Unsec. Gtd. Global Notes, 5.50%, 10/01/2022

      241,000         218,707   

5.50%, 04/01/2023

      36,000         32,490   

Denbury Resources Inc., Sr. Unsec. Gtd. Sub. Notes, 5.50%, 05/01/2022

      50,000         17,625   

Diamondback Energy, Inc., Sr. Unsec. Gtd. Global Notes, 7.63%, 10/01/2021

      249,000         249,622   

Gazprom OAO Via Gaz Capital S.A. (Russia), REGS, Sr. Unsec. Medium-Term Euro Notes, 8.63%, 04/28/2034(b)

      200,000         224,250   

Newfield Exploration Co., Sr. Unsec. Global Notes, 5.63%, 07/01/2024

      146,000         121,910   

Pertamina Persero PT (Indonesia), REGS, Sr. Unsec. Medium-Term Euro Notes, 4.30%, 05/20/2023(b)

      200,000         181,296   

QEP Resources Inc., Sr. Unsec. Global Notes, 5.25%, 05/01/2023

      156,000         105,300   

Range Resources Corp., Sr. Unsec. Gtd. Sub. Global Notes, 5.00%, 03/15/2023

      92,000         72,220   

RSP Permian, Inc., Sr. Unsec. Gtd. Global Notes, 6.63%, 10/01/2022

      275,000         246,125   

Whiting Petroleum Corp., Sr. Unsec. Gtd. Notes, 5.00%, 03/15/2019

      37,000         24,420   

5.75%, 03/15/2021

      165,000         105,600   
                1,969,471   

Oil & Gas Refining & Marketing–0.18%

  

   

Reliance Industries Ltd. (India), REGS, Sr. Unsec. Euro Notes, 4.13%, 01/28/2025(b)

      270,000         267,966   

Oil & Gas Storage & Transportation–0.44%

  

   

Genesis Energy L.P./Genesis Energy Finance Corp., Sr. Unsec. Gtd. Notes, 6.00%, 05/15/2023

      27,000         20,790   

GNL Quintero S.A. (Chile), Sr. Unsec. Notes, 4.63%, 07/31/2029(b)

      200,000         189,565   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

      Principal
Amount		      Value  

Oil & Gas Storage & Transportation–(continued)

  

Targa Resources Partners L.P./Targa Resources Partners Finance Corp., Sr. Unsec. Gtd. Global Notes,
6.88%, 02/01/2021

    $ 132,000       $ 114,840   

Teekay Corp. (Bermuda), Sr. Unsec. Global Notes, 8.50%, 01/15/2020

      60,000         37,950   

Teekay Offshore Partners L.P./Teekay Offshore Finance Corp. (Bermuda), Sr. Unsec. Global Notes, 6.00%, 07/30/2019

      104,000         61,620   

Tesoro Logistics L.P./Tesoro Logistics Finance Corp., Sr. Unsec. Gtd. Global Notes, 5.88%, 10/01/2020

      223,000         207,390   

Sr. Unsec. Gtd. Notes,

6.25%, 10/15/2022(b)

      14,000         12,670   
                644,825   

Other Diversified Financial Services–0.59%

  

   

Power Sector Assets & Liabilities Management Corp. (Philippines), Sr. Unsec. Gtd. Bonds,
7.39%, 12/02/2024(b)

      300,000         390,750   

REGS,

Sr. Unsec. Gtd. Euro Bond,

7.39%, 12/02/2024(b)

      200,000         259,531   

Sistema JSFC via Sistema International Funding S.A. (Russia), REGS, Sr. Unsec. Euro Loan Participation Notes, 6.95%, 05/17/2019(b)

      200,000         201,746   
                852,027   

Packaged Foods & Meats–1.04%

      

FAGE Dairy Industry S.A./FAGE USA Dairy Industry, Inc. (Greece), Sr. Unsec. Gtd. Notes, 9.88%, 02/01/2020(b)

      250,000         258,750   

JBS Investments GmbH (Brazil), REGS, Sr. Unsec. Gtd. Euro Notes,
7.25%, 04/03/2024(b)

      200,000         163,440   

MHP S.A. (Ukraine), REGS, Sr. Unsec. Gtd. Euro Notes, 8.25%, 04/02/2020(b)

      1,100,000         948,750   

Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., Sr. Unsec. Notes, 5.88%, 01/15/2024(b)

      61,000         63,364   

Smithfield Foods Inc., Sr. Unsec. Notes, 6.63%, 08/15/2022

      74,000         78,255   
                1,512,559   

Paper Packaging–0.12%

      

Graphic Packaging International Inc., Sr. Unsec. Gtd. Notes, 4.75%, 04/15/2021

      6,000         6,105   

4.88%, 11/15/2022

      163,000         163,815   
                169,920   

Paper Products–0.17%

      

Clearwater Paper Corp., Sr. Unsec. Gtd. Global Notes, 4.50%, 02/01/2023

      156,000         148,980   

Mercer International Inc. (Canada), Sr. Unsec. Gtd. Global Notes,
7.00%, 12/01/2019

      108,000         103,140   
                252,120   
      Principal
Amount		      Value  

Personal Products–0.32%

      

Alphabet Holding Co., Inc., Sr. Unsec. Global PIK Notes, 8.50%, 11/01/2017(d)

    $ 478,000       $ 470,830   

Pharmaceuticals–0.72%

      

Concordia Healthcare Corp. (Canada), Sr. Unsec. Gtd. Notes, 7.00%, 04/15/2023(b)

      198,000         173,745   

REGS,

Sr. Unsec. Gtd. Euro Notes,

7.00%, 04/15/2023(b)

      120,000         105,000   

Valeant Pharmaceuticals International, Inc., Sr. Unsec. Gtd. Notes,
5.50%, 03/01/2023(b)

      130,000         117,000   

5.63%, 12/01/2021(b)

      140,000         130,200   

5.88%, 05/15/2023(b)

      42,000         37,905   

6.13%, 04/15/2025(b)

      452,000         408,495   

REGS, Sr. Unsec. Gtd. Euro Notes,

6.13%, 04/15/2025(b)

      90,000         81,112   
                1,053,457   

Railroads–0.26%

      

Lima Metro Line 2 Finance Ltd. (Peru), Sr. Sec. First Lien Bonds,
5.88%, 07/05/2034(b)

      400,000         382,000   

Real Estate Development–0.49%

      

CIFI Holdings (Group) Co. Ltd. (China), Sr. Unsec. Gtd. Euro Notes,
8.88%, 01/27/2019

      210,000         217,829   

Country Garden Holdings Co. Ltd. (China), REGS, Sr. Unsec. Gtd. Euro Notes,
7.50%,01/10/2023(b)

      230,000         235,828   

Shimao Property Holdings Ltd. (Hong Kong), Sr. Unsec. Gtd. Bonds, 8.38%, 02/10/2022

      250,000         265,490   
                719,147   

Regional Banks–0.50%

      

Banco Internacional del Perú S.A.A. - Interbank (Peru), Unsec. Sub. Notes, 6.63%, 03/19/2029(b)

      300,000         294,750   

CIT Group Inc., Sr. Unsec. Global Notes, 5.00%, 08/15/2022

      259,000         262,885   

5.00%, 08/01/2023

      175,000         177,844   
                735,479   

Restaurants–0.38%

      

1011778 BC ULC/ New Red Finance, Inc. (Canada), Sec. Gtd. Second Lien Notes, 6.00%, 04/01/2022(b)

      306,000         318,622   

REGS,

Sec. Gtd. Second Lien Euro Notes,

6.00%, 04/01/2022(b)

      120,000         125,550   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

      Principal
Amount		      Value  

Restaurants–(continued)

      

Carrols Restaurant Group, Inc., Sec. Gtd. Second Lien Global Notes,
8.00%, 05/01/2022

    $ 106,000       $   112,095   
                556,267   

Security & Alarm Services–0.05%

      

ADT Corp. (The), Sr. Unsec. Global Notes, 6.25%, 10/15/2021

      75,000         78,188   

Semiconductor Equipment–0.06%

      

Amkor Technology Inc., Sr. Unsec. Global Notes, 6.38%, 10/01/2022

      93,000         88,583   

Semiconductors–0.08%

      

Freescale Semiconductor Inc., Sr. Sec. Gtd. First Lien Notes, 6.00%, 01/15/2022(b)

      105,000         110,447   

Sovereign Debt–5.05%

      

Argentina Bonar Bonds (Argentina), Series X, Sr. Unsec. Bonds, 7.00%, 04/17/2017

      920,000         948,060   

Dominican Republic International Bond (Dominican Repubic), Sr. Unsec. Notes, 9.04%, 01/23/2018(b)

      136,997      

 

144,874

  

Unsec. Notes, 6.88%, 01/29/2026(b)

      100,000         101,500   

El Salvador Government International Bond (El Salvador), Unsec. Notes,
6.38%, 01/18/2027(b)

      172,000         137,600   

Guatemala Government Bond (Guatemala), Sr. Unsec. Bonds, 8.13%, 10/06/2019(b)(e)

      359,000         461,494   

Honduras Government International Bond (Honduras), REGS, Sr. Unsec. Euro Notes, 7.50%, 03/15/2024(b)

      400,000         407,000   

Hungary Government International Bond (Hungary), Sr. Unsec. Global Notes,
5.38%, 03/25/2024

      810,000         894,204   

Indonesia Government International Bond (Indonesia), Sr. Unsec. Notes,
5.95%, 01/08/2046(b)

      200,000         207,487   

Ivory Coast Government International Bond (Ivory Coast), Sr. Unsec. Notes,
6.38%, 03/03/2028(b)

      382,000         338,158   

Magyar Export-Import Bank Zrt. (Hungary), Sr. Unsec. Gtd. Bonds, 4.00%, 01/30/2020(b)

      200,000         201,300   

REGS, Sr. Unsec. Gtd. Euro Notes,

4.00%, 01/30/2020(b)

      200,000         200,910   

Mexico Government International Bond (Mexico), Sr. Unsec. Global Notes,
3.60%, 01/30/2025

      300,000         292,125   

4.60%, 01/23/2046

      200,000         178,250   

Pakistan Government International Bond (Pakistan), Sr. Unsec. Bonds,
6.75%, 12/03/2019(b)

      238,000         239,553   

Panama Government International Bond (Panama), Sr. Unsec. Global Bonds,
3.75%, 03/16/2025

      200,000         197,500   

4.00%, 09/22/2024

      530,000         535,300   

Peruvian Government International Bond (Peru), Sr. Unsec. Global Bonds,
8.75%, 11/21/2033

      212,000         295,210   
      Principal
Amount		      Value  

Sovereign Debt–(continued)

      

Poland Government International Bond (Poland), Sr. Unsec. Global Notes,
3.00%, 03/17/2023

    $ 106,000       $ 104,585   

4.00%, 01/22/2024

      400,000         419,260   

5.00%, 03/23/2022

      146,000         161,531   

Romanian Government International Bond (Romania), Sr. Unsec. Notes,
4.88%, 01/22/2024(b)

      106,000         115,157   

Russian Foreign Bond (Russia), REGS, Sr. Unsec. Euro Bonds, 4.88%, 09/16/2023(b)

      400,000         407,980   

Ukraine Government International Bond (Ukraine), Unsec. Notes,
7.75%, 09/01/2019(b)

      250,000         236,750   

Ukreximbank (Biz Finance PLC) (Ukraine), REGS, Sr. Unsec. Euro Bonds,
9.63%, 04/27/2022(b)

      150,000         132,300   
                7,358,088   

Specialized Consumer Services–0.17%

  

   

ServiceMaster Co., LLC (The), Sr. Unsec. Notes, 7.45%, 08/15/2027

      254,000         253,365   

Specialized Finance–0.86%

      

Aircastle Ltd., Sr. Unsec. Notes,
5.50%, 02/15/2022

      460,000         460,000   

International Lease Finance Corp., Sr. Unsec. Global Notes, 5.88%, 08/15/2022

      138,000         144,555   

Sr. Unsec. Notes, 8.25%, 12/15/2020

      324,000         370,980   

MSCI Inc., Sr. Unsec. Gtd. Notes,
5.25%, 11/15/2024(b)

      265,000         273,612   
                1,249,147   

Specialized REIT’s–0.85%

      

Crown Castle International Corp., Sr. Unsec. Global Notes,
5.25%, 01/15/2023

      440,000         466,262   

Sr. Unsec. Notes, 4.88%, 04/15/2022

      36,000         37,744   

CyrusOne L.P./CyrusOne Finance Corp., Sr. Unsec. Gtd. Global Notes,
6.38%, 11/15/2022

      321,000         325,815   

Equinix Inc., Sr. Unsec. Notes,
5.38%, 01/01/2022

      172,000         179,740   

5.38%, 04/01/2023

      135,000         139,725   

5.88%, 01/15/2026

      88,000         91,520   
                1,240,806   

Specialty Chemicals–0.16%

      

Ashland Inc., Sr. Unsec. Gtd. Global Notes, 4.75%, 08/15/2022

      80,000         76,300   

PolyOne Corp., Sr. Unsec. Global Notes, 5.25%, 03/15/2023

      159,000         157,410   
                233,710   

Steel–0.18%

      

FMG Resources (August 2006) Pty. Ltd. (Australia), Sr. Unsec. Gtd. Notes,
6.88%, 04/01/2022(b)

      35,000         19,950   

8.25%, 11/01/2019(b)

      202,000         164,630   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

      Principal
Amount		      Value  

Steel–(continued)

  

Steel Dynamics, Inc., Sr. Unsec. Gtd. Global Notes, 5.50%, 10/01/2024

    $ 81,000       $ 73,508   
                258,088   

Trading Companies & Distributors–0.51%

  

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Sr. Unsec. Gtd. Global Notes,
4.63%, 10/30/2020

      150,000         148,875   

Fly Leasing Ltd. (Ireland), Sr. Unsec. Global Notes, 6.75%, 12/15/2020

      400,000         402,000   

United Rentals North America Inc., Sr. Unsec. Gtd. Notes,
6.13%, 06/15/2023

      200,000         193,500   
                744,375   

Trucking–0.17%

  

Hertz Corp. (The), Sr. Unsec. Gtd. Global Notes, 6.75%, 04/15/2019

      55,000         55,069   

OPE KAG Finance Sub Inc., Sr. Unsec. Notes, 7.88%, 07/31/2023(b)

      190,000         186,200   
                241,269   

Wireless Telecommunication Services–2.65%

  

Bharti Airtel Ltd. (India), Sr. Unsec. Notes, 4.38%, 06/10/2025(b)

      466,000         449,107   

REGS,

Sr. Unsec. Euro Notes,

4.38%, 06/10/2025(b)

      540,000         526,824   

Comcel Trust via Comunicaciones Celulares S.A. (Guatemala), REGS, Sr. Unsec. Gtd. Euro Bonds,
6.88%, 02/06/2024(b)

      267,000         214,935   

Digicel Ltd. (Jamaica), Sr. Unsec. Gtd. Notes, 6.75%, 03/01/2023(b)

      400,000         345,500   

Sr. Unsec. Notes,

6.00%, 04/15/2021(b)

      400,000         346,000   

SBA Communications Corp., Sr. Unsec. Global Notes, 4.88%, 07/15/2022

      315,000         315,000   

Turkcell Iletisim Hizmetleri A.S. (Turkey), Unsec. Notes, 5.75%, 10/15/2025(b)

      750,000         718,275   

VimpelCom Holdings B.V. (Russia), REGS, Sr. Unsec. Gtd. Euro Notes, 5.95%, 02/13/2023(b)

      400,000         374,000   

7.50%, 03/01/2022(b)

      280,000         284,900   

Wind Acquisition Finance S.A. (Italy), Sec. Gtd. Second Lien Notes,
7.38%, 04/23/2021(b)

      300,000         285,375   
                3,859,916   

Total U.S. Dollar Denominated Bonds and Notes
(Cost $61,595,144)

               59,067,444   
      Shares      Value  

Preferred Stocks–20.13%

  

Asset Management & Custody Banks–0.57%

  

Affiliated Managers Group Inc., 6.38%,
Sr. Unsec. Pfd.

      3,100       $ 80,290   

Apollo Investment Corp., 6.88%,
Sr. Unsec. Pfd.

      2,700         68,715   

Bank of New York Mellon Corp. (The), 5.20%, Pfd.

      4,600         118,634   

Northern Trust Corp., Series C, 5.85%, Pfd.

      4,400         117,216   

State Street Corp., 6.00%, Pfd.

      9,000         236,970   

State Street Corp., Series C, 5.25%, Pfd.

      4,500         116,010   

State Street Corp., Series D, 5.90%, Pfd.

      3,600         96,840   
         834,675   

Cable & Satellite–0.05%

  

Comcast Corp., 5.00%, Sr. Unsec. Gtd. Pfd.

      2,600         67,262   

Consumer Finance–0.48%

  

Capital One Financial Corp., Series B, 6.00%, Pfd.

      7,200         186,624   

Capital One Financial Corp., Series C, 6.25%, Pfd.

      4,000         105,040   

Capital One Financial Corp., Series D, 6.70%, Pfd.

      3,900         106,158   

Capital One Financial Corp., Series F, 6.20%, Pfd.

      3,600         93,996   

Discover Financial Services, Series B, 6.50%, Pfd.

      4,800         124,560   

Navient Corp., 6.00%, Sr. Unsec. Pfd.

      5,600         88,032   
         704,410   

Diversified Banks–7.59%

  

Bank of America Corp., Series 3, 6.38%, Pfd.

      5,000         127,800   

Bank of America Corp., Series D, 6.20%, Pfd.

      2,400         62,232   

Bank of America Corp., Series I, 6.63%, Pfd.

      20,351         539,301   

Bank of America Corp., Series W, 6.63%, Pfd.

      37,800         1,000,566   

Bank of America Corp., Series Y, 6.50%, Pfd.

      18,800         489,740   

Barclays Bank PLC (United Kingdom), Series 4, 7.75%, Jr. Unsec. Sub. Pfd.

      21,900         574,656   

Barclays Bank PLC (United Kingdom), Series 5, 8.13%, Jr. Unsec. Sub. Gtd. Pfd.

      23,400         615,888   

Citigroup Inc., Series J, 7.13%, Pfd.

      10,000         272,700   

Citigroup Inc., Series K, 6.88%, Pfd.

      14,000         384,580   

Citigroup Inc., Series L, 6.88%, Pfd.

      4,000         107,680   

Countrywide Capital V, 7.00%, Jr. Unsec. Gtd. Sub. Pfd.

      800         20,320   

HSBC Holdings PLC (United Kingdom), Series 2, 8.00%, Jr. Unsec. Sub. Pfd.

      62,200         1,620,932   

JPMorgan Chase & Co., Series AA, 6.10%, Pfd.

      13,400         343,710   

JPMorgan Chase & Co., Series BB, 6.15%, Pfd.

      15,500         397,420   

JPMorgan Chase & Co., Series O, 5.50%, Pfd.

      5,000         126,050   

JPMorgan Chase & Co., Series P, 5.45%, Pfd.

      7,200         181,584   
 

 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

      Shares      Value  

Diversified Banks–(continued)

  

JPMorgan Chase & Co., Series T, 6.70%, Pfd.

      1,800       $ 49,230   

JPMorgan Chase & Co., Series W, 6.30%, Pfd.

      2,500         65,225   

JPMorgan Chase & Co., Series Y, 6.13%, Pfd.

      16,700         432,196   

RBS Capital Funding Trust VII (Netherlands), Series G, 6.08%, Jr. Unsec. Gtd. Sub. Pfd.

      13,602         338,690   

Royal Bank of Canada (Canada), Series C-1, 5.50%, Pfd.

      2,500         65,875   

Royal Bank of Scotland Group PLC (The) (United Kingdom), Series L, 5.75%, Jr. Unsec. Sub. Pfd.

      13,601         336,897   

Royal Bank of Scotland Group PLC (The) (United Kingdom), Series R, 6.13%, Jr. Unsec. Sub. Pfd.

      9,900         247,599   

Royal Bank of Scotland Group PLC (The) (United Kingdom), Series S, 6.60% Jr. Unsec. Sub. Pfd.

      11,700         295,776   

Royal Bank of Scotland Group PLC (The) (United Kingdom), Series T, 7.25%, Jr. Unsec. Sub. Pfd.

      2,900         74,240   

Santander Finance Preferred SAU (Spain), 6.50%, Jr. Unsec. Gtd. Sub. Pfd.

      1,700         43,911   

US Bancorp, Series F, 6.50%, Pfd.

      19,700         562,041   

Wells Fargo & Co., 5.20%, Pfd.

      14,400         365,904   

Wells Fargo & Co., 5.85%, Pfd.

      8,000         206,800   

Wells Fargo & Co., 6.63%, Pfd.

      6,400         183,296   

Wells Fargo & Co., Series J, 8.00%, Pfd.

      4,500         126,000   

Wells Fargo & Co., Series O, 5.13%, Pfd.

      12,800         324,096   

Wells Fargo & Co., Series P, 5.25%, Pfd.

      6,100         155,001   

Wells Fargo & Co., Series T, 6.00%, Pfd.

      12,400         325,872   
         11,063,808   

Diversified Capital Markets–0.72%

  

Deutsche Bank Contingent Capital Trust III (Germany), 7.60%, Jr. Unsec. Gtd. Sub. Pfd.

      14,200         364,514   

Deutsche Bank Contingent Capital Trust V (Germany), 8.05%, Jr. Unsec. Gtd. Sub. Pfd.

      18,400         483,920   

KKR Financial Holdings LLC, 8.38%, Sr. Unsec. Pfd.

      4,200         113,694   

KKR Financial Holdings LLC, Series A, 7.38%, Pfd.

      3,000         79,260   
         1,041,388   

Diversified REIT’s–0.12%

  

PS Business Parks, Inc., Series S, 6.45%, Pfd.

      7,000         180,950   

Electric Utilities–1.10%

  

BGE Capital Trust II, 6.20%, Jr. Unsec. Gtd. Sub. Pfd.

      2,300         60,766   

Duke Energy Corp., 5.13%, Jr. Unsec. Sub. Pfd.

      5,500         141,460   

Entergy Louisiana LLC, 5.25%, Sr. Sec. First Mortgage Pfd.

      3,300         85,239   
      Shares      Value  

Electric Utilities–(continued)

  

Entergy Mississippi Inc., 6.00%, Sr. Sec. First Mortgage Pfd.

      5,500       $ 143,880   

Entergy Texas Inc., 5.63%, Sr. Sec. First Mortgage Pfd.

      4,000         107,880   

Interstate Power & Light Co., Series D, 5.10%, Pfd.

      1,800         46,350   

NextEra Energy Capital Holdings Inc., 5.00%, Jr. Unsec. Gtd. Sub. Pfd.

      4,800         118,896   

NextEra Energy Capital Holdings Inc., Series G, 5.70%, Jr. Unsec. Gtd. Sub. Pfd.

      3,200         82,144   

NextEra Energy Capital Holdings Inc., Series H, 5.63%, Jr. Unsec. Gtd. Sub. Pfd.

      6,400         165,184   

Pacific Gas & Electric Co., Series A, 6.00%, Pfd.

      1,000         30,380   

PPL Capital Funding, Inc., Series B, 5.90%, Jr. Unsec. Gtd. Sub. Pfd.

      3,800         98,648   

SCE Trust I, 5.63%, Jr. Unsec. Sub. Pfd.

      8,400         218,148   

SCE Trust IV, Series J, 5.38%, Jr. Unsec. Sub. Pfd.

      2,900         77,604   

Southern Co. (The), 6.25%, Jr. Unsec. Sub. Pfd.

      8,700         230,463   
         1,607,042   

Health Care REIT’s–0.14%

  

Senior Housing Properties Trust, 5.63%, Sr. Unsec. Pfd.

      3,200         79,776   

Ventas Realty L.P. / Ventas Capital Corp., 5.45%, Sr. Unsec. Gtd. Pfd.

      2,300         60,996   

Welltower Inc., Series J, 6.50%, Pfd.

      2,600         68,328   
         209,100   

Hotel and Resort REIT’s–0.05%

  

Hospitality Properties Trust, Series D, 7.13%, Pfd.

      2,600         67,496   

Industrial Conglomerates–0.32%

  

General Electric Capital Corp., 4.70%, Sr. Unsec. Pfd.

      6,600         171,798   

General Electric Capital Corp., 4.88%, Sr. Unsec. Pfd.

      4,800         125,184   

General Electric Capital Corp., 4.88%, Sr. Unsec. Pfd.

      6,700         174,066   
         471,048   

Industrial Machinery–0.11%

  

Stanley Black & Decker Inc., 5.75%, Jr. Unsec. Sub. Pfd.

      6,000         154,200   

Integrated Telecommunication Services–0.60%

  

Qwest Corp., 6.13%, Sr. Unsec. Pfd.

      7,800         193,050   

Qwest Corp., 6.88%, Sr. Unsec. Pfd.

      4,900         126,273   

Qwest Corp., 7.00%, Sr. Unsec. Pfd.

      3,200         82,944   

Qwest Corp., 7.00%, Sr. Unsec. Pfd.

      5,000         129,950   

Qwest Corp., 7.38%, Sr. Unsec. Pfd.

      5,600         143,528   

Qwest Corp., 7.50%, Sr. Unsec. Pfd.

      3,300         85,437   

Verizon Communications Inc., 5.90%, Sr. Unsec. Pfd.

      4,000         106,080   
         867,262   
 

 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

      Shares      Value  

Investment Banking & Brokerage–1.71%

  

BGC Partners Inc., 8.13%, Sr. Unsec. Pfd.

      1,000       $     26,180   

Charles Schwab Corp. (The), Series B,
6.00%, Pfd.

      3,900             103,233   

Charles Schwab Corp. (The), Series C,
6.00%, Pfd.

      4,800         125,616   

Goldman Sachs Group, Inc. (The),
6.50%, Sr. Unsec. Pfd.

      500         13,025   

Goldman Sachs Group, Inc. (The), Series I, 5.95%, Pfd.

      6,700         173,061   

Goldman Sachs Group, Inc. (The), Series J, 5.50%, Pfd.

      10,900         272,173   

Goldman Sachs Group, Inc. (The), Series K, 6.38%, Pfd.

      12,400         337,156   

Morgan Stanley, Series E, 7.13%, Pfd.

      6,300         179,109   

Morgan Stanley, Series F, 6.88%, Pfd.

      11,700         328,068   

Morgan Stanley, Series G, 6.63%, Pfd.

      7,000         187,530   

Morgan Stanley, Series I, 6.38%, Pfd.

      22,600         587,374   

Raymond James Financial Inc., 6.90%,
Sr. Unsec. Pfd.

      4,200         113,190   

Stifel Financial Corp., 5.38%, Sr. Unsec. Pfd.

      1,900         48,431   
                2,494,146   

Life & Health Insurance–0.74%

      

Aegon N.V. (Netherlands), 6.38%,
Jr. Unsec. Sub. Pfd.

      2,900         74,211   

Aegon N.V. (Netherlands), 8.00%,
Unsec. Sub. Pfd.

      12,100         326,700   

Aflac Inc., 5.50%, Jr. Unsec. Sub. Pfd.

      5,500         141,185   

Protective Life Corp., 6.25%, Unsec. Sub. Pfd.

      4,300         114,079   

Prudential Financial Inc., 5.70%,
Jr. Unsec. Sub. Pfd.

      5,400         140,832   

Prudential Financial Inc., 5.75%,
Jr. Unsec. Sub. Pfd.

      5,000         130,400   

Prudential PLC (United Kingdom), 6.75%,
Jr. Unsec. Sub. Pfd.

      4,600         120,428   

Torchmark Corp., 5.88%, Jr. Unsec. Sub. Pfd.

      1,100         28,688   
                1,076,523   

Mortgage REIT’s–0.08%

      

Wells Fargo Real Estate Investment Corp., Series A, 6.38%, Pfd.

      4,600         122,268   

Multi-Line Insurance–0.24%

      

American Financial Group Inc.,
6.38%, Sr. Unsec. Pfd.

      4,100         108,035   

Aviva PLC (United Kingdom),
8.25%, Unsec. Sub. Pfd.

      3,200         85,408   

Hartford Financial Services Group Inc. (The), 7.88%, Jr. Unsec. Sub. Pfd.

      4,200         128,940   

Kemper Corp., 7.38%, Unsec. Sub. Pfd.

      1,200         32,316   
                354,699   

Multi-Utilities–0.18%

      

DTE Energy Co., 6.50%, Jr. Unsec. Sub. Pfd.

      5,300         138,648   

Integrys Holding, Inc., 6.00%,
Jr. Unsec. Sub. Pfd.

      4,800         125,250   
                263,898   
      Shares      Value  

Office REIT’s–0.35%

      

Alexandria Real Estate Equities Inc.,
Series E, 6.45%, Pfd.

      1,200       $ 31,104   

Boston Properties, Inc., 5.25%, Pfd.

      1,800         46,350   

Equity Commonwealth, 5.75%,
Sr. Unsec. Pfd.

      3,600         89,280   

Kilroy Realty Corp., Series G, 6.88%, Pfd.

      900         23,256   

Kilroy Realty Corp., Series H, 6.38%, Pfd.

      900         22,797   

SL Green Realty Corp., Series I, 6.50%, Pfd.

      2,100         54,285   

Vornado Realty Trust, Series J, 6.88%, Pfd.

      9,300         237,801   
                504,873   

Office Services & Supplies–0.08%

  

   

Pitney Bowes Inc., 6.70%, Sr. Unsec. Pfd.

      4,400         119,724   

Oil & Gas Refining & Marketing–0.07%

  

   

NuStar Logistics L.P., 7.63%,
Jr. Unsec. Gtd. Sub. Pfd.

      4,800         97,296   

Oil & Gas Storage & Transportation–0.01%

  

Targa Resources Partners LP,Series A, 9.00%, Pfd.

      1,000         19,750   

Other Diversified Financial Services–0.58%

  

ING Groep NV (Netherlands), 6.38%,
Jr. Unsec. Sub. Pfd.

      32,600         843,688   

Property & Casualty Insurance–0.84%

  

Allstate Corp. (The), 5.10%, Unsec. Sub. Pfd.

      4,300         108,833   

Allstate Corp. (The), 5.63%, Pfd.

      2,800         72,296   

Allstate Corp. (The), Series C, 6.75%, Pfd.

      3,000         83,760   

Allstate Corp. (The), Series E, 6.63%, Pfd.

      7,500         206,025   

Allstate Corp. (The), Series F, 6.25%, Pfd.

      3,600         96,048   

Arch Capital Group Ltd., Series C, 6.75%, Pfd.

      3,900         101,400   

Argo Group U.S. Inc., 6.50%, Sr. Unsec. Gtd. Pfd.

      1,300         33,111   

Aspen Insurance Holdings Ltd. (Bermuda), 5.95%, Pfd.

      2,300         59,501   

Aspen Insurance Holdings Ltd. (Bermuda), 7.25%, Pfd.

      2,900         76,386   

Assured Guaranty Municipal Holdings Inc., 6.25%, Sr. Unsec. Gtd. Pfd.

      3,400         87,278   

Axis Capital Holdings Ltd., Series C,
6.88%, Pfd.

      5,000         130,850   

Hanover Insurance Group, Inc. (The),
6.35%, Jr. Unsec. Sub. Pfd.

      1,600         40,592   

Selective Insurance Group, Inc.,
5.88%, Sr. Unsec. Pfd.

      1,600         41,376   

W. R. Berkley Corp., 5.63%,
Jr. Unsec. Sub. Pfd.

      3,200         80,800   
                1,218,256   

Regional Banks–1.51%

      

BB&T Corp., 5.85%, Pfd.

      5,600         146,720   

BB&T Corp., Series E, 5.63%, Pfd.

      13,600         351,152   

Commerce Bancshares Inc., Series B,
6.00%, Pfd.

      1,600         42,928   

Cullen/Frost Bankers, Inc., 5.38%, Pfd.

      1,400         34,930   

Fifth Third Bancorp, Series I, 6.63%, Pfd.

      4,100         115,005   

First Horizon National Corp., Series A,
6.20%, Pfd.

      900         23,202   

First Niagara Financial Group Inc., Series B, 8.63%, Pfd.

      4,200         114,240   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

      Shares      Value  

Regional Banks–(continued)

      

First Republic Bank, 5.50%, Pfd.

      3,000       $ 75,960   

First Republic Bank, 7.00%, Pfd.

      1,800         50,094   

First Republic Bank, Series A, 6.70%, Pfd.

      2,100         54,915   

First Republic Bank, Series B, 6.20%, Pfd.

      2,200         57,376   

First Republic Bank, Series F, 5.70%, Pfd.

      2,300         60,467   

FirstMerit Corp., Series A, 5.88%, Pfd.

      900         22,689   

FNB Corp., 7.25%, Pfd.

      1,000         29,000   

Hancock Holding Co., 5.95%, Unsec. Sub. Pfd.

      1,800         44,838   

PNC Financial Services Group, Inc. (The), Series P, 6.13%, Pfd.

      14,600         407,048   

Regions Financial Corp., Series A, 6.38%, Pfd.

      5,500         143,440   

Regions Financial Corp., Series B, 6.38%, Pfd.

      4,000         105,760   

SunTrust Banks Inc., Series E, 5.88%, Pfd.

      3,800         98,306   

TCF Financial Corp., 7.50%, Pfd.

      1,200         32,640   

TCF Financial Corp., Series B, 6.45%, Pfd.

      1,200         30,288   

Texas Capital Bancshares, Inc., Series A, 6.50%, Pfd.

      2,400         58,248   

Webster Financial Corp., Series E, 6.40%, Pfd.

      1,100         28,424   

Zions Bancorp., Series F, 7.90%, Pfd.

      2,872         77,343   
         2,205,013   

Reinsurance–0.38%

      

Endurance Specialty Holdings Ltd., Series B, 7.50%, Pfd.

      2,100         53,928   

Maiden Holdings Ltd., Series A, 8.25%, Pfd.

      3,300         86,889   

Maiden Holdings, Ltd.,Series C, 7.13%, Pfd.

      1,900         46,474   

PartnerRe Ltd. (Bermuda), Series E, 7.25%, Pfd.

      6,600         194,106   

Reinsurance Group of America, Inc., 6.20%, Unsec. Sub. Pfd.

      3,300         94,380   

RenaissanceRe Holdings Ltd. (Bermuda), Series E, 5.38%, Pfd.

      3,200         80,320   
         556,097   

Retail REIT’s–0.40%

      

DDR Corp., Class J, 6.50%, Pfd.

      3,200         81,472   

Kimco Realty Corp., Series I, 6.00%, Pfd.

      8,600         221,450   

National Retail Properties Inc., Series D, 6.63%, Pfd.

      4,800         125,184   

Realty Income Corp., Series F, 6.63%, Pfd.

      3,300         86,856   

Regency Centers Corp., Series 6, 6.63%, Pfd.

      2,300         60,007   
         574,969   

Specialized REIT’s–0.83%

      

Digital Realty Trust, Inc., Series F, 6.63%, Pfd.

      3,300         86,262   

Digital Realty Trust, Inc., Series G, 5.88%, Pfd.

      4,500         111,870   

Digital Realty Trust, Inc., Series H, 7.38%, Pfd.

      4,400         117,788   

EPR Properties, Series F, 6.63%, Pfd.

      1,100         28,336   

Public Storage, Series A, 5.88%, Pfd.

      5,600         149,856   

Public Storage, Series Q, 6.50%, Pfd.

      15,400         390,852   

Public Storage, Series Y, 6.38%, Pfd.

      11,800         319,898   
         1,204,862   
      Shares      Value  

Thrifts & Mortgage Finance–0.02%

      

Astoria Financial Corp., Series C, 6.50%, Pfd.

      1,200       $ 31,128   

Wireless Telecommunication Services–0.26%

  

   

Telephone & Data Systems Inc., 7.00%,
Sr. Unsec. Pfd.

      6,700         168,773   

United States Cellular Corp., 6.95%,
Sr. Unsec. Pfd.

      3,100         78,275   

United States Cellular Corp., 7.25%,
Sr. Unsec. Pfd.

      2,500         62,600   

United States Cellular Corp., 7.25%,
Sr. Unsec. Pfd.

      2,800         71,120   
                380,768   

Total Preferred Stocks
(Cost $27,652,127)

               29,336,599   

Common Stocks & Other Equity Interests–16.69%

  

Diversified Real Estate Activities–0.02%

  

   

RMR Group Inc. (The) -Class A (f)

      1,482         30,900   

Diversified REIT’s–1.64%

      

Lexington Realty Trust

      58,823         431,172   

Liberty Property Trust

      15,455         453,141   

Select Income REIT

      25,668         485,125   

Spirit Realty Capital, Inc.

      51,713         541,952   

W. P. Carey Inc.

      8,259         481,087   
         2,392,477   

Health Care REIT’s–2.46%

      

HCP, Inc.

      14,690         527,959   

Medical Properties Trust Inc.

      46,056         506,616   

National Health Investors, Inc.

      8,968         544,178   

Omega Healthcare Investors, Inc.

      15,342         486,495   

Sabra Health Care REIT, Inc.

      25,338         465,206   

Senior Housing Properties Trust

      35,397         512,548   

Ventas, Inc.

      9,928         549,217   
         3,592,219   

Hotel and Resort REIT’s–0.58%

      

Hospitality Properties Trust

      19,196         452,833   

LaSalle Hotel Properties

      17,779         393,983   
         846,816   

Industrial REIT’s–0.30%

      

STAG Industrial, Inc.

      25,495         431,630   

Mortgage REIT’s–8.22%

      

Altisource Residential Corp.

      19,799         197,000   

American Capital Agency Corp.

      71,446         1,219,583   

American Capital Mortgage Investment Corp.

      17,704         230,683   

Annaly Capital Management Inc.

      133,567         1,268,887   

Apollo Commercial Real Estate Finance, Inc.

      20,218         321,466   

ARMOUR Residential REIT, Inc.

      15,190         296,053   

Blackstone Mortgage Trust, Inc. -Class A

      32,266         799,551   

Capstead Mortgage Corp.

      33,209         310,172   

Chimera Investment Corp.

      71,236         882,614   

Colony Capital, Inc. -Class A

      38,656         666,043   

CYS Investments, Inc.

      54,369         374,602   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

          
Shares		      Value  

Mortgage REIT’s–(continued)

  

   

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

      10,790       $ 193,681   

Hatteras Financial Corp.

      33,523         410,992   

MFA Financial, Inc.

      128,224         814,222   

New Residential Investment Corp.

      79,826         909,218   

New York Mortgage Trust, Inc.

      37,921         183,538   

PennyMac Mortgage Investment Trust

      25,876         350,620   

Redwood Trust, Inc.

      29,332         315,906   

Starwood Property Trust, Inc.

      66,312         1,262,581   

Two Harbors Investment Corp.

      127,282         967,343   
                11,974,755   

Office REIT’s–0.65%

      

Franklin Street Properties Corp.

      50,967         497,438   

Government Properties Income Trust

      32,570         447,186   
                944,624   

Retail REIT’s–0.70%

      

CBL & Associates Properties, Inc.

      36,872         396,374   

Inland Real Estate Corp.

      58,598         627,585   
                1,023,959   

Specialized REIT’s–2.12%

      

Corrections Corp. of America

      18,208         524,573   

DuPont Fabros Technology Inc.

      16,325         541,500   

EPR Properties

      9,245         554,238   

Geo Group Inc. (The)

      16,365         484,077   

Iron Mountain Inc.

      16,891         465,178   

Lamar Advertising Co. -Class A

      9,211         516,829   
                3,086,395   

Total Common Stocks & Other Equity Interests
(Cost $26,855,333)

   

      24,323,775   
      Principal
Amount		          

U.S. Treasury Securities–10.44%

  

U.S. Treasury Bills–0.30%

      

0.11%, 05/26/2016(g)(h)

    $ 195,000         194,785   

0.24%, 05/26/2016(g)(h)

      235,000         234,741   
                429,526   

U.S. Treasury STRIPS–10.14%

  

2.91%, 02/15/2043(g)(i)

      1,400,000         648,375   

3.03%, 02/15/2043(g)(i)

      1,850,000         856,781   

3.07%, 02/15/2043(g)(i)

      10,700,000         4,955,438   

3.36%, 02/15/2043(g)(i)

      2,450,000         1,134,656   

3.98%, 02/15/2043(g)(i)

      10,800,000         5,001,750   

4.11%, 02/15/2043(g)(i)

      4,700,000         2,176,687   
                14,773,687   

Total U.S. Treasury Securities
(Cost $12,856,240)

               15,203,213   
      Principal
Amount		      Value  

Exchange Traded Notes–3.91%

  

   

JPMorgan Alerian MLP Index ETN,
7.20%, 05/24/2024(j)
(Cost $6,979,797)

    $ 222,000       $ 5,696,520   

Non-U.S. Dollar Denominated Bonds & Notes–1.30%(k)

  

Automobile Manufacturers–0.06%

  

Hydra Dutch Holdings 2 B.V. (Netherlands), Sr. Sec. Gtd. First Lien Notes, 8.00%, 04/15/2019(b)

    EUR 78,188         85,551   

Cable & Satellite–0.28%

      

Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec. Gtd. First Lien Notes,
4.88%, 01/15/2027(b)

    GBP 100,000         132,877   

REGS, Sr. Sec. Gtd. First Lien Medium-Term Euro Notes, 5.13%, 01/15/2025(b)

    GBP 200,000         271,453   
                404,330   

Diversified Support Services–0.08%

  

La Financière Atalian S.A. (France), Sr. Unsec. Gtd. Bonds,
7.25%, 01/15/2020(b)

    EUR 100,000         114,380   

Hotels, Resorts & Cruise Lines–0.13%

  

Thomas Cook Finance PLC (United Kingdom), Sr. Unsec. Gtd. Bonds, 6.75%, 06/15/2021(b)

    EUR     100,000         112,668   

Thomas Cook Group PLC (United Kingdom), Sr. Unsec. Gtd. Medium-Term Euro Notes, 7.75%, 06/22/2017

    GBP 57,000         84,471   
                197,139   

Internet Software & Services–0.08%

  

United Group B.V. (Serbia), REGS, Sr. Sec. Gtd. Euro Notes,
7.88%, 11/15/2020(b)

    EUR 100,000         114,591   

Metal & Glass Containers–0.08%

  

SIG Combibloc Holding S.C.A. (Luxembourg), REGS, Sr. Unsec. Euro Bonds, 7.75%, 02/15/2023(b)

    EUR 100,000         111,991   

Movies & Entertainment–0.10%

  

Entertainment One Ltd. (Canada), Sr. Sec. Gtd. Bonds,
6.88%, 2/15/2022(b)

    GBP 100,000         141,070   

Multi-Sector Holdings–0.22%

  

Gala Electric Casinos PLC (United Kingdom), REGS, Sec. Gtd. Second Lien Euro Notes,
11.50%, 06/01/2019(b)

    GBP 63,636         95,123   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

            Principal
Amount		     Value  

Multi-Sector Holdings–(continued)

  

  

Odeon & UCI Finco PLC (United Kingdom), REGS, Sr. Sec. Gtd. First Lien Medium-Term Euro Notes, 9.00%, 08/01/2018(b)

     GBP        150,000      $ 221,571   
                      316,694   

Other Diversified Financial Services–0.18%

  

  

Cabot Financial Luxembourg S.A. (United Kingdom), REGS, Sr. Sec. Gtd. First Lien Euro Notes,
10.38%, 10/01/2019(b)

     GBP        100,000        152,470   

Financiere Gaillon 8 SAS (France), Sr. Sec. First Lien Notes,
7.00%, 09/30/2019(b)

     EUR        100,000        111,585   
                      264,055   

Packaged Foods & Meats–0.10%

  

  

Moy Park (Bondco) PLC (United Kingdom), Sr. Unsec. Gtd. Notes,
6.25%, 05/29/2021(b)

     GBP        100,000        140,447   

Total Non-U.S. Dollar Denominated Bonds & Notes
(Cost $2,062,406)

   

     1,890,248   
          Shares     Value  

Money Market Funds–5.79%

      

Liquid Assets Portfolio –Institutional
Class, 0.38% (l)

         4,219,887      $ 4,219,887   

Premier Portfolio –Institutional
Class, 0.34% (l)

         4,219,887        4,219,887   

Total Money Market Funds
(Cost $8,439,774)

                 8,439,774   

TOTAL INVESTMENTS–98.80%
(Cost $146,440,821)

                 143,957,573   

OTHER ASSETS LESS LIABILITIES–1.20%

  

     1,741,985   

NET ASSETS–100.00%

               $   145,699,558   
 
Investment Abbreviations:

Conv.

      —Convertible     PIK      —Payment in Kind

ETN

      —Exchange Traded Notes     REGS      —Regulation S

EUR

      —Euro     REIT      —Real Estate Investment Trust

GBP

      —British Pound Sterling     Sec.      —Secured

Gtd.

      —Guaranteed     Sr.      —Senior

Jr.

      —Junior     STRIPS      —Separately Traded Registered Interest and Principal Security

MLP

      —Master Limited Partnerships     Sub.      —Subordinated

Pfd.

      —Preferred     Unsec.      —Unsecured

Notes to Schedule of Investments:

 

(a)  Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.

 

(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 January 31, 2016 was $36,678,898, which represented 25.17% of the Fund’s Net Assets.

 

(c)  Perpetual bond with no specified maturity date.

 

(d)  All or a portion of this security is Payment-in-Kind.

 

Issuer    Cash Rate    PIK Rate    

Alphabet Holding Co., Inc., Sr. Unsec. Global PIK Notes

    7.75%    8.50%

 

(e)  Security has an irrevocable call by the issuer or mandatory put by the holder. Maturity date reflects such call or put.

 

(f)  Non-income producing security.

 

(g)  Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.

 

(h)  A portion of the principal balance was pledged as collateral for open credit default swap contracts. See Note 1G and Note 3.

 

(i)  All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. See Note 1F and Note 3.

 

(j)  Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on January 31, 2016.

 

(k)  Foreign denominated security. Principal amount is denominated in the currency indicated.

 

(l)  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 January 31, 2016.

 

See accompanying notes which are an integral part of this schedule.

Invesco Premium Income Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

 

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

 

Invesco Premium Income Fund

A. Security Valuations – (continued)

 

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

 

Invesco Premium Income Fund

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

F. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between Counterparties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities.
G. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. Such transactions are agreements between Counterparties. A swap agreement may be negotiated bilaterally and traded over-the-counter (“OTC”) between two parties (“uncleared/OTC”) or, in some instances, must be transacted through a future commission merchant (“FCM”) and cleared through a clearinghouse that serves as a central Counterparty (“centrally cleared swap”). These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index.

In a centrally cleared swap, the Fund’s ultimate Counterparty is a central clearinghouse. The Fund initially will enter into centrally cleared swaps through an executing broker. When a fund enters into a centrally cleared swap, it must deliver to the central Counterparty (via the FCM) an amount referred to as “initial margin.” Initial margin requirements are determined by the central Counterparty, but an FCM may require additional initial margin above the amount required by the central Counterparty.

 

Invesco Premium Income Fund

G. Swap Agreements – (continued)

 

Initial margin deposits required upon entering into centrally cleared swaps are satisfied by cash or securities as collateral at the FCM. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities. During the term of a cleared swap agreement, a “variation margin” amount may be required to be paid by the Fund or may be received by the Fund, based on the daily change in price of the underlying reference instrument subject to the swap agreement and is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities until the centrally cleared swap is terminated at which time a realized gain or loss is recorded.

A CDS is an agreement between Counterparties to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the “par value”, of the referenced obligation to the Fund. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer “par value” or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its Counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Fund’s maximum risk of loss from Counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the Counterparty and by the designation of collateral by the Counterparty to cover the Fund’s exposure to the Counterparty.

Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing CDS contract and serve as an indicator of the current status of the payment/performance risk of the CDS. An implied spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets.

An interest rate swap is an agreement between Counterparties pursuant to which the parties exchange a floating rate payment for a fixed rate payment based on a specified notional amount.

Changes in the value of centrally cleared and OTC swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

Notional amounts of each individual credit default swap agreement outstanding as of January 31, 2016 for which the Fund is the seller of protection are disclosed in the open swap agreements table. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net

 

Invesco Premium Income Fund

 

G. Swap Agreements – (continued)

amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.

H. Other Risks - The Fund may invest in lower-quality debt securities, i.e., “junk bonds”. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claim.
I. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
J. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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  

Equity Securities

    $ 61,974,898       $ 125,250       $ —       $ 62,100,148   

Exchange Traded Notes

      5,696,520         —         —         5,696,520   

U.S. Treasury Securities

      —         15,203,213         —         15,203,213   

Corporate Debt Securities

      —         51,709,356         —         51,709,356   

Foreign Debt Securities

      —         1,890,248         —         1,890,248   

Foreign Sovereign Debt Securities

      —         7,358,088         —         7,358,088   
       67,671,418         76,286,155         —         143,957,573   

Forward Foreign Currency Contracts*

      —         57,284         —         57,284   

Futures Contracts*

      (81,501)         —         —         (81,501)   

Swap Agreements*

      —         (43,332)         —         (43,332)   

Total Investments

    $     67,589,917       $     76,300,107       $         —       $     143,890,024   
* Unrealized appreciation (depreciation).

 

Invesco Premium Income Fund

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

     Value  
  Risk Exposure/ Derivative Type   

 

Assets

     

 

Liabilities

  

  Credit risk:

      

Swap agreements(a)

    $ —           $ (43,332 ) 

  Currency risk:

      

Forward foreign currency contracts

      68,489          (11,205 ) 

  Equity risk:

      

Futures contracts (b)

      142,494         (1,091,118 ) 

  Interest rate risk:

      

Futures contracts (b)

      867,123         —       

Total

    $     1,078,106       $   (1,145,655)   

 

(a) Includes cumulative appreciation (depreciation) of centrally cleared swap agreements.

 

(b) Includes cumulative appreciation (depreciation) of futures contracts.

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

      Location of Gain (Loss) on
Statement of Operations
     Forward Foreign
Currency
Contracts		    Futures
Contracts		     Swap
Agreements  

  Realized Gain (Loss):

                  

Credit risk

    $      —         $ —          $  26,651

Currency risk

      54,488      —          —

Equity risk

          —          (1,187,687 )    —

Interest rate risk

          —          46,131      —

  Change in Net Unrealized Appreciation (Depreciation):

                  

Credit risk

          —          —            (60,948)

Currency risk

    48,189      —          —

Equity risk

          —          (1,509,200 )    —

Interest rate risk

          —          744,562       —

  Total

    $102,677    $ (1,906,194 )    $  (34,297)

The table below summarizes the average notional value of forward foreign currency contracts, futures contracts and swap agreements outstanding during the period.

 

      Forward Foreign
Currency
Contracts		    Futures
Contracts		    Swap
Agreements

  Average notional value

    $2,033,317    $60,392,199    $1,990,453

Invesco Premium Income Fund

Open Forward Foreign Currency Contracts  

  Settlement

Date

        

    

Contract to

     

Notional

Value

     

Unrealized
Appreciation

(Depreciation)

  
   Counterparty                            Deliver      Receive        

03/11/16

    Citigroup Global Markets Inc.    EUR      92,563       USD      100,915       $ 100,385       $ 530   

03/11/16

    Deutsche Bank Securities Inc.    GBP      753,808       USD      1,135,302             1,074,215         61,087   

03/11/16

    Goldman Sachs International    EUR      612,759       USD      655,783         664,542         (8,759 )

03/11/16

    Goldman Sachs International    GBP      91,125       USD      136,633         129,858         6,775   

03/11/16

    Goldman Sachs International    USD      139,349       EUR      128,580         139,446         97   

03/11/16

    Goldman Sachs International    USD      57,047       GBP      38,315         54,601         (2,446 ) 

Total Forward Foreign Currency Contracts—Currency Risk

  

                           $             57,284   

  Currency Abbreviations:

 

  EUR       —   Euro

    GBP    —    British Pound Sterling    USD        —    U.S. Dollar

 

Open Futures Contracts  
Futures Contracts    Type of
Contract		    Number of
Contracts		    Expiration Month    Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Canada 10 Year Bonds

    Long    116    March-2016    $     11,828,133         $       207,978   

Euro Bonds

    Long    45    March-2016      7,963,435         179,888   

Japanese 10 Year Mini Bonds

    Long    63    March-2016      7,830,182         84,493   

Long Gilt

    Long    68    March-2016      11,658,599         267,137   

U.S. Treasury 30 Year Bonds

    Long    19    March-2016      3,059,594         127,627   

Subtotal—Interest Rate Risk

                    867,123   

Dow Jones Euro STOXX 50 Index

    Long    87    March-2016      2,853,934         (171,375 ) 

E-Mini S&P 500 Index

    Long    67    March-2016      6,465,835         (326,645 ) 

FTSE 100 Index

    Long    42    March-2016      3,595,063         12,657   

Hang Seng Index

    Long    33    February-2016      4,182,334         129,837   

Russell 2000 Mini Index

    Long    20    March-2016      2,062,800         (152,442 ) 

Tokyo Stock Price Index

    Long    36    March-2016      4,279,024         (440,656 ) 

Subtotal—Equity Risk

                    (948,624 ) 

Total Futures Contracts

                    $      (81,501)   

 

Invesco Premium Income Fund

Open Centrally Cleared Credit Default Swap Agreements – Credit Risk

                 

Counterparty/

Clearinghouse

   Reference
Entity		   

Buy/

Sell

Protection

   

(Pay)/

Receive

Fixed Rate

    Expiration
Date		    Implied
Credit
Spread(a)		   

Notional

Value

      Upfront
Payments
Paid		     

Unrealized

Appreciation

(Depreciation)

  

Credit Suisse Securities (USA) LLC/CME

  

Markit CDX

North America

High Yield

Index, Series 25,

Version 1

    Sell    5.00%    12/20/2020    5.04%      $ 2,530,000         $ 38,121         $ (43,332)   

Abbreviations:

CME     - Chicago Mercantile Exchange

 

(a)  Implied credit spreads represent the current level as of January 31, 2016 at which protection could be bought or sold given the terms of the existing credit default swap contract and serve as an indicator of the current status of the payment/performance risk of the credit default swap contract. An implied credit spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets generally.

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $33,245,580 and $18,912,938, respectively. During the same period, purchases of long-term U.S. Treasury obligations were $4,988,203. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 4,864,850    

Aggregate unrealized (depreciation) of investment securities

      (7,803,095)   

Net unrealized appreciation (depreciation) of investment securities

    $     (2,938,245)   

Cost of investments for tax purposes is $146,895,818.

   

 

Invesco Premium Income Fund

 

 

Invesco Select Companies Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

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  invesco.com/us   SCO-QTR-1       01/16   Invesco Advisers, Inc.

Schedule of Investments(a)

January 31, 2016

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–92.45%

  

Aerospace & Defense–4.32%

  

Cubic Corp.

      671,470       $   26,831,941   

Airlines–2.31%

      

Spirit Airlines Inc. (b)

      343,447         14,356,085   

Aluminum–0.01%

      

Cymat Technologies Ltd. (Canada)(b)

      249,750         28,526   

Apparel, Accessories & Luxury Goods–0.02%

  

Hampshire Group, Ltd. (b)(c)

      592,824         118,565   

Automotive Retail–3.56%

      

America’s Car-Mart, Inc. (b)(c)

      942,136         22,102,511   

Commodity Chemicals–1.87%

  

Chemtrade Logistics Income Fund (Canada)

      1,045,784         11,608,624   

Communications Equipment–10.13%

  

CommScope Holding Co., Inc. (b)

      1,112,159         24,934,605   

Mitel Networks Corp. (b)

      5,219,275         37,996,322   
                62,930,927   

Consumer Finance–5.89%

      

Encore Capital Group, Inc. (b)(c)

      1,597,305         36,610,231   

Data Processing & Outsourced Services–6.00%

  

Alliance Data Systems Corp. (b)

      95,692         19,118,305   

Global Payments Inc.

      307,447         18,124,000   
                37,242,305   

Diversified Support Services–1.52%

  

Performant Financial Corp. (b)(c)

      5,527,196         9,451,505   

Education Services–2.83%

      

American Public Education Inc. (b)(c)

      1,112,185         17,550,279   

Electrical Components & Equipment–4.95%

  

Regal-Beloit Corp.

      546,417         30,714,100   

Health Care Supplies–7.39%

      

Alere, Inc. (b)

      781,193         29,060,379   

Cooper Cos., Inc. (The)

      128,239         16,818,545   
                45,878,924   

Integrated Telecommunication Services–1.72%

  

General Communication, Inc. -Class A (b)

      590,716         10,703,774   

IT Consulting & Other Services–6.26%

  

Booz Allen Hamilton Holding Corp.

      1,375,337         38,908,284   
      Shares      Value  

Life Sciences Tools & Services–4.76%

  

Charles River Laboratories
International, Inc. (b)

      398,220       $ 29,559,871   

Oil & Gas Equipment & Services–1.02%

  

ION Geophysical Corp. (b)(c)

      14,077,289         6,333,372   

Oil & Gas Exploration & Production–1.98%

  

Ultra Petroleum Corp. (b)

      5,439,470         12,293,202   

Oil & Gas Storage & Transportation–4.80%

  

GasLog Ltd. (Monaco)

      3,993,544         29,831,774   

Other Diversified Financial Services–0.00%

  

Brompton Corp. (Canada) (b)

      69,374         0   

Publishing–4.71%

  

John Wiley & Sons, Inc. -Class A

      699,940         29,257,492   

Real Estate Services–2.65%

  

Colliers International Group Inc. (Canada)

      379,022         16,472,041   

Semiconductors–5.66%

  

Microsemi Corp. (b)

      1,109,733         35,178,536   

Systems Software–8.09%

      

Rovi Corp. (b)

      2,582,888         50,263,000   

Total Common Stocks & Other Equity Interests
(Cost $696,184,238)

   

      574,225,869   

Money Market Funds–7.07%

      

Liquid Assets Portfolio –Institutional Class, 0.38% (d)

      21,964,960         21,964,960   

Premier Portfolio –Institutional
Class, 0.34% (d)

      21,964,961         21,964,961   

Total Money Market Funds
(Cost $43,929,921)

   

      43,929,921   

TOTAL INVESTMENTS–99.52%
(Cost $740,114,159)

   

      618,155,790   

OTHER ASSETS LESS LIABILITIES–0.48%

  

      2,975,127   

NET ASSETS–100.00%

  

    $   621,130,917   
 

 

See accompanying notes which are an integral part of this schedule.

Invesco Select Companies Fund

Notes to Schedule of Investments:

 

(a)  Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.

 

(b)  Non-income producing security.

 

(c)  Affiliated company during the period. The Investment Company Act of 1940 defines an “affiliated person” as an issuance in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the Investment Company Act of 1940) of that issuer. The aggregate value of these securities as of January 31, 2016 was $92,166,463, which represented 14.84% of the Fund’s Net Assets. See Note 3.

 

(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 January 31, 2016.

 

See accompanying notes which are an integral part of this schedule.

Invesco Select Companies Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

 

Invesco Select Companies Fund

A. Security Valuations – (continued)

 

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

E. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign

 

Invesco Select Companies Fund

E. Forward Foreign Currency Contracts – (continued)

 

currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

NOTE 2 — 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 January 31, 2016. 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

 Equity Securities

    $    618,037,225    $        118,565    $             0       $    618,155,790

 

Invesco Select Companies Fund

NOTE 3 — Investments in Other Affiliates

The Investment Company Act of 1940, as amended (the “1940 Act”), defines an “affiliated person” as an issuance in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the 1940 Act) of that issuer. The following is a summary of the investments in other affiliates for the three months ended January 31, 2016.

 

     Value
10/31/15		     Purchases
at Cost		     Proceeds
from Sales		     Change in
Unrealized
Appreciation
(Depreciation)		    

Realized

Gain

(Loss)

     Value
01/31/16		     Interest /
Dividend
Income		  

America’s Car-Mart, Inc.

   $ 32,258,737      $ —      $ —      $ (10,156,226)      $ —      $ 22,102,511      $ —   

American Public Education Inc.

     24,773,765        —        (650,387)        (6,192,978)        (380,121)        17,550,279        —   

Encore Capital Group, Inc.

     65,010,313        —        —        (28,400,082)        —        36,610,231        —   

Hampshire Group, Ltd.

     88,924        —        —        29,641        —        118,565        —   

ION Geophysical Corp.

     5,208,597        —        —        1,124,775        —        6,333,372        —   

Performant Financial Corp.

     12,767,823        —        —        (3,316,318)        —        9,451,505        —   

Total

   $   140,108,159      $ —      $ (650,387)      $ (46,911,188)      $ (380,121)      $ 92,166,463      $ —   

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $75,301,980 and $112,865,540, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis  

Aggregate unrealized appreciation of investment securities

    $ 148,207,576   

Aggregate unrealized (depreciation) of investment securities

      (270,363,499)   

Net unrealized appreciation (depreciation) of investment securities

    $     (122,155,923)   

Cost of investments for tax purposes is $740,311,713.

   

 

Invesco Select Companies Fund

 

 

Invesco Strategic Income Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

 

LOGO

 

    
  invesco.com/us   STI-QTR-1      01/16   Invesco Advisers, Inc.

Schedule of Investments(a)

January 31, 2016

(Unaudited)

 

          

Principal

Amount

      Value  

Asset-Backed Securities–55.05%

  

   

Adjustable Rate Mortgage Trust,
Series 2005-11, Class 2A41, Variable Rate Pass Through Ctfs., 2.71%, 02/25/2036(b)

        $ 80,548       $ 80,194   

Apidos CLO XIV (Cayman Islands), Series 2013-14A, Class D, Floating Rate Pass Through Ctfs., 4.12%, 04/15/2025(b)(c)

          460,000         417,314   

ARES XI CLO Ltd., Series 2007-11A, Class E, Floating Rate Pass Through Ctfs., 6.62%, 10/11/2021(b)(c)

          250,000         250,799   

Babson CLO Ltd. (Cayman Islands), Series 2013-11A, Class C, Floating Rate Pass Through Ctfs., 3.87%, 01/18/2025(b)(c)

          500,000         449,698   

Babson Euro CLO (Netherlands), Series 2014-2A, Class D, Floating Rate Pass Through Ctfs., 3.20%, 11/25/2027(b)(c)(d)

   EUR      250,000         253,592   

BAMLL Commercial Mortgage Securities Trust, Series 2014-ICTS, Class C, Floating Rate Pass Through Ctfs., 1.83%, 06/15/2028(b)(c)

          200,000         199,016   

Banc of America Commercial Mortgage Trust, Series 2015-UBS 7, Class C, Variable Rate Pass Through Ctfs., 4.37%, 09/15/2048(b)

          250,000             240,667   

Series 2015-UBS7, Class XA, IO Variable Rate Pass Through Ctfs., 0.94%, 09/15/2048(b)

              1,873,229         121,780   

Banc of America Funding Trust, Series 2006-3, Class 5A5, Pass Through Ctfs., 5.50%, 03/25/2036

          152,992         144,751   

Banc of America Mortgage Trust, Series 2005-H, Class 2A1, Floating Rate Pass Through Ctfs., 2.85%, 09/25/2035(b)

          252,747         232,988   

Barclays Bank Commercial Mortgage Securities Trust,
Series 2015-RRI, Class D, Floating Rate Pass Through Ctfs., 3.33%, 05/15/2032(b)(c)

          210,000         206,936   

BCAP Trust LLC, Series 2009-RR13, Class 15A2, Pass Through Ctfs., 6.00%, 07/26/2037(c)

          161,119         153,849   

Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-2, Class A1, Floating Rate Pass Through Ctfs., 2.92%, 03/25/2035(b)

          208,560         209,029   
          

Principal

Amount

      Value  

Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class AJ, Pass Through Ctfs., 4.99%, 09/11/2042

        $ 44,352       $ 44,427   

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2012-2A, Class ER, Floating Rate Pass Through Ctfs., 6.72%,
07/20/2023(b)(c)

          500,000         464,103   

Series 2012-3A, Class D, Floating Rate Pass Through Ctfs., 6.12%, 10/04/2024(b)(c)

          500,000         446,366   

Cent CLO 19 Ltd. (Cayman Islands), Series 2013-19A, Class C, Floating Rate Pass Through Ctfs., 3.92%, 10/29/2025(b)(c)

          600,000         463,411   

Chase Mortgage Finance Trust, Series 2005-A1, Class 3A1, Floating Rate Pass Through Ctfs.,
2.69%, 12/25/2035(b)

          155,138         141,259   

Series 2007-A1, Class 13A1, Floating Rate Pass Through Ctfs., 4.82%, 03/25/2037(b)

          253,962         237,167   

Citigroup Mortgage Loan Trust Inc., Series 2005-11, Class A2A, Floating Rate Pass Through Ctfs., 2.73%, 10/25/2035(b)

          74,425         73,719   

Series 2006-AR2, Class 1A2, Floating Rate Pass Through Ctfs., 2.85%, 03/25/2036(b)

          163,706         154,522   

COMM Mortgage Trust, Series 2015-CR23, Class CMD, Variable Rate Pass Through Ctfs.,
3.68%, 05/10/2048(b)(c)

          300,000         278,273   

Series 2015-CR24, Class B, Variable Rate Pass Through Ctfs., 4.37%, 08/10/2055(b)

          300,000         309,838   

Series 2015-CR24, Class XA, IO Variable Rate Pass Through Ctfs., 0.89%, 08/10/2055(b)

              5,376,670         330,586   

Series 2015-CR25, Class B, Variable Rate Pass Through Ctfs., 4.55%, 08/10/2048(b)

          170,000         175,726   

Series 2015-PC1, Class XA, IO Variable Rate Pass Through Ctfs., 0.80%, 07/10/2050(b)(c)

          5,981,799         287,541   

CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B, Pass Through Ctfs., 4.04%, 04/15/2050

          165,000         165,076   

Dryden XI-Leveraged Loan CDO, Series 2006-11A, Class A3, Floating Rate Pass Through Ctfs., 1.00%, 04/12/2020(b)(c)(e)

          500,000         491,263   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Strategic Income Fund

     Principal
Amount		      Value  

Eaton Vance CDO VIII Ltd. (Cayman Islands), Series 2006-8A, Class D, Floating Rate Pass Through Ctfs., 3.78%, 08/15/2022(b)(c)

   $     400,000       $     388,019   

Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M2, Floating Rate Pass Through Ctfs., 4.73%, 02/25/2025(b)

     160,000         151,686   

Series 2015-C02, Class 2M2, Floating Rate Pass Through Ctfs., 4.43%, 05/25/2025(b)

     700,000         648,094   

Foothill CLO Ltd. (Cayman Islands), Series 2007-1A, Class C, Floating Rate Pass Through Ctfs., 1.09%, 02/22/2021(b)(c)(e)

     250,000         248,353   

GMACM Mortgage Loan Trust, Series 2006-AR1, Class 1A1, Floating Rate Pass Through Ctfs., 3.19%, 04/19/2036(b)

     203,394         184,599   

GS Mortgage Securities Trust, Series 2015-GC32, Class B, Variable Rate Pass Through Ctfs., 4.40%, 07/10/2048(b)

     350,000         363,214   

Series 2015-GS1, Class C, Variable Rate Pass Through Ctfs., 4.42%, 11/10/2048(b)

     400,000         378,010   

GSAA Home Equity Trust, Series 2007-7, Class A4, Floating Rate Pass Through Ctfs., 0.70%, 07/25/2037(b)

     206,130         180,309   

GSR Mortgage Loan Trust, Series 2006-1F, Class 1A11, Pass Through Ctfs., 5.50%, 02/25/2036

     219,845         210,013   

H/2 Asset Funding (Cayman Islands), Series 2015-1A, Class BFL, Pass Through Ctfs., 2.49%, 06/24/2049(c)

     400,000         385,151   

Hamlet II Ltd. (Cayman Islands), Series 2006-2A, Class A2B, Floating Rate Pass Through Ctfs., 0.69%, 05/11/2021(b)(c)(e)

     500,000         483,438   

Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class D, Floating Rate Pass Through Ctfs., 3.98%, 05/05/2027(b)(c)

     250,000         216,783   

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class B, Floating Rate Pass Through Ctfs., 1.78%, 07/15/2031(b)(c)

     250,000         246,692   

JP Morgan Mortgage Trust, Series 2005-A1, Class IB2, Floating Rate Pass Through Ctfs., 2.75%, 02/25/2035(b)

     150,578         129,737   

Series 2005-A3, Class 7CA1, Variable Rate Pass Through Ctfs., 2.75%, 06/25/2035(b)

     143,849         140,354   
     Principal
Amount		      Value  

JP Morgan Mortgage Trust (continued), Series 2006-A2, Class 1A1, Variable Rate Pass Through Ctfs., 2.94%, 04/25/2036(b)

   $ 101,604       $     92,720   

Series 2007-A1, Class 2A2, Floating Rate Pass Through Ctfs., 2.71%, 07/25/2035(b)

     253,117         248,151   

Series 2007-A4, Class 3A1, Floating Rate Pass Through Ctfs., 4.67%, 06/25/2037(b)

     214,441         193,452   

JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class C, Variable Rate Pass Through Ctfs., 4.89%, 01/15/2047(b)

     380,000         382,815   

Series 2015-C29. Class C, Variable Rate Pass Through Ctfs., 4.20%, 05/15/2048(b)

     302,000         283,530   

Series 2015-C32, Class B, Pass Through Ctfs., 4.39%, 11/15/2048

     800,000         827,253   

Magnetite XV Ltd. (Cayman Islands), Series 2015-15A, Class D, Floating Rate Pass Through Ctfs., 4.54%, 10/25/2027(b)(c)

     250,000             235,880   

Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 3A, Floating Rate Pass Through Ctfs., 2.36%, 11/25/2035(b)

     145,066         140,703   

Series 2005-A9, Class 2A1C, Floating Rate Pass Through Ctfs., 2.68%, 12/25/2035(b)

     200,000         193,437   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class B, Variable Rate Pass Through Ctfs., 4.44%, 10/15/2047(b)

     250,000         262,567   

Series 2015-C22, Class XA, IO Variable Rate Pass Through Ctfs., 1.18%, 04/15/2048(b)

         2,134,857         156,818   

Series 2015-C26, Class C, Variable Rate Pass Through Ctfs., 4.41%, 10/15/2048(b)

     190,000         182,607   

Morgan Stanley Mortgage Loan Trust, Series 2005-10, Class 1A1, Floating Rate Pass Through Ctfs., 1.13%, 12/25/2035(b)

     257,993         208,956   

Series 2005-3AR, Class 3A, Floating Rate Pass Through Ctfs., 2.57%, 07/25/2035(b)

     248,755         213,773   

Nantucket CLO Ltd. (Cayman Islands), Series 2006-1A, Class E, Floating Rate Pass Through Ctfs., 4.13%, 11/24/2020(b)(c)

     350,000         348,900   

Neuberger Berman CLO XV (Cayman Islands), Series 2013-15A, Class D, Floating Rate Pass Through Ctfs., 3.87%, 10/15/2025(b)(c)

     250,000         223,781   

Neuberger Berman CLO XVII Ltd. (Cayman Islands), Series 2014-17A, Class E1, Floating Rate Pass Through Ctfs., 5.08%, 08/04/2025(b)(c)

     480,000         341,457   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Strategic Income Fund

      Principal
Amount		      Value  

Northwoods Capital X Ltd. (Cayman Islands), Series 2013-10A, Class D, Floating Rate Pass Through Ctfs., 3.93%, 11/04/2025(b)(c)

    $     250,000       $     221,114   

Octagon Investment Partners XV Ltd. (Cayman Islands), Series 2013-1A, Class D, Floating Rate Pass Through Ctfs., 4.17%, 01/19/2025(b)(c)

      500,000         458,073   

Octagon Investment Partners XVIII Ltd. (Cayman Islands), Series 2013-1A, Class D, Floating Rate Pass Through Ctfs., 5.61%, 12/16/2024(b)(c)

      350,000         279,956   

Octagon Investment Partners XXI Ltd. (Cayman Islands), Series 2014-1A, Class D, Floating Rate Pass Through Ctfs., 6.96%, 11/14/2026(b)(c)

      250,000         202,473   

PFP Ltd. (Cayman Islands), Series 2015-2, Class B, Floating Rate Pass Through Ctfs., 3.13%, 07/14/2034(b)(c)

      230,000         229,074   

RAIT Trust, Series 2015-FL4, Class B, Floating Rate Pass Through Ctfs., 2.73%, 12/15/2031(b)(c)

      341,176         335,420   

Regatta IV Funding Ltd. (Cayman Islands), Series 2014-1A, Class D, Floating Rate Pass Through Ctfs., 4.12%,
07/25/2026(b)(c)

      290,000         250,593   

Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, Pass Through Ctfs., 4.35%, 07/17/2026(c)(e)

      600,000         603,916   

Series 2014-1A, Class E, Floating Rate Pass Through Ctfs., 5.32%,
07/17/2026(b)(c)

      250,000         195,438   

Stone Tower CLO VII Ltd. (Cayman Islands), Series 2007-7A, Class C, Floating Rate Pass Through Ctfs., 4.71%, 08/30/2021(b)(c)

      250,000         249,160   

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, Floating Rate Pass Through Ctfs., 2.61%, 01/25/2035(b)

      447,330         426,970   

Series 2004-8, Class 3A, Floating Rate Pass Through Ctfs., 2.60%, 07/25/2034(b)

      100,929         100,909   

Structured Asset Securities Corp., Series 2002-21A, Class B1II, Variable Rate Pass Through Ctfs., 2.59%, 11/25/2032(b)

      154,690         140,600   

Symphony CLO XI Ltd. (Cayman Islands), Series 2013-11A, Class C, Floating Rate Pass Through Ctfs., 3.77%,
01/17/2025(b)(c)

      250,000         243,902   

Series 2013-11A, Class D, Floating Rate Pass Through Ctfs., 4.62%,
01/17/2025(b)(c)

      250,000         237,474   
      Principal
Amount		      Value  

Symphony CLO XIV Ltd. (Cayman Islands), Series 2014-14A, Class E, Floating Rate Pass Through Ctfs., 5.22%, 07/14/2026(b)(c)

    $     250,000       $     195,838   

Thornburg Mortgage Securities Trust, Series 2007-2, Class 2A2, Floating Rate Pass Through Ctfs., 2.39%,
06/25/2037(b)

      330,886         313,530   

Trimaran CLO VII Ltd. (Cayman Islands), Series 2007-1A, Class B2L, Floating Rate Pass Through Ctfs., 3.91%,
06/15/2021(b)(c)

      350,000         340,432   

WaMu Mortgage Trust, Series 2005-AR12, Class 1A8, Floating Rate Pass Through Ctfs., 2.43%, 10/25/2035(b)

      218,339         207,906   

Series 2006-AR10, Class 3A2, Floating Rate Pass Through Ctfs., 5.87%, 08/25/2046(b)

      188,706         173,068   

Series 2006-AR18, Class 1A1, Floating Rate Pass Through Ctfs., 1.97%, 01/25/2037(b)

      149,984         127,191   

Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1, Pass Through Ctfs., 6.25%, 11/25/2037

      191,466         186,329   

Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class B, Variable Rate Pass Through Ctfs., 4.54%, 09/15/2058(b)

      230,000         237,788   

Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, Floating Rate Pass Through Ctfs., 2.78%, 06/25/2035(b)

      270,623         272,364   

Series 2005-AR12, Class 2A11, Floating Rate Pass Through Ctfs., 2.81%, 06/25/2035(b)

      161,709         162,627   

Series 2005-AR14, Class A1, Floating Rate Pass Through Ctfs., 2.74%, 08/25/2035(b)

      124,196         122,787   

Series 2005-AR2, Class 2A2, Floating Rate Pass Through Ctfs., 2.87%, 03/25/2035(b)

      227,073         229,999   

Series 2005-AR7, Class 1A1, Floating Rate Pass Through Ctfs., 2.75%, 05/25/2035(b)

      145,162         145,224   

Series 2005-AR8, Class 3A3, Floating Rate Pass Through Ctfs., 2.73%, 06/25/2035(b)

      291,186         282,855   

Series 2006-AR10, Class 4A1, Floating Rate Pass Through Ctfs., 2.91%, 07/25/2036(b)

      198,232         187,158   

Series 2006-AR8, Class 2A3, Floating Rate Pass Through Ctfs., 2.75%, 04/25/2036(b)

      187,155         183,036   

Series 2007-7, Class A1, Pass Through Ctfs., 6.00%, 06/25/2037

      133,827         134,484   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Strategic Income Fund

      Principal
Amount		      Value  

WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, Variable Rate Pass Through Ctfs., 4.20%, 11/15/2047(b)

    $     250,000       $ 253,603   

Total Asset-Backed Securities
(Cost $24,408,020)

                   23,846,433   

U.S. Dollar Denominated Bonds & Notes–29.69%

  

Agricultural Products–0.09%

  

Darling Ingredients Inc., Sr. Unsec. Gtd. Global Notes, 5.38%, 01/15/2022

      40,000         39,800   

Airlines–0.97%

      

Air Canada (Canada), Sr. Unsec. Gtd. Notes, 7.75%, 04/15/2021(c)

      420,000         422,100   

Apparel Retail–0.35%

      

Hot Topic, Inc., Sr. Sec. Gtd. First Lien Notes, 9.25%, 06/15/2021(c)

      170,000         153,213   

Asset Management & Custody Banks–0.73%

  

   

First Data Corp., Sec. Second Lien Notes, 5.75%, 01/15/2024(c)

      315,000         315,000   

Automotive Retail–0.96%

      

CST Brands, Inc., Sr. Unsec. Gtd. Global Notes, 5.00%, 05/01/2023

      415,000         416,556   

Building Products–0.04%

      

Builders FirstSource, Inc., Sr. Sec. First Lien Notes, 7.63%, 06/01/2021(c)

      15,000         15,750   

Cable & Satellite–1.55%

      

CCO Safari II, LLC, Sr. Sec. First Lien Notes, 3.58%, 07/23/2020(c)

      98,000         98,561   

Sr. Sec. Gtd. First Lien Notes, 4.91%, 07/23/2025(c)

      170,000         169,980   

CSC Holdings LLC, Sr. Unsec. Global Bonds, 5.25%, 06/01/2024

      245,000         217,438   

VTR Finance B.V. (Chile), Sr. Sec. First Lien Notes, 6.88%, 01/15/2024(c)

      200,000         186,875   
                672,854   

Communications Equipment–0.46%

  

   

Avaya Inc., Sr. Sec. Gtd. First Lien Notes, 7.00%, 04/01/2019(c)

      299,000         201,825   

Construction Machinery & Heavy Trucks–0.47%

  

Meritor Inc., Sr. Unsec. Gtd. Notes, 6.25%, 02/15/2024

      250,000         201,875   
      Principal
Amount		      Value  

Consumer Finance–2.37%

      

Ally Financial Inc., Sr. Unsec. Global Notes, 4.13%, 03/30/2020

    $ 614,000       $ 607,092   

Synchrony Financial, Sr. Unsec. Global Notes, 4.50%, 07/23/2025

      415,000         418,686   
                1,025,778   

Diversified Banks–2.84%

      

Citigroup Inc., Series Q, Jr. Unsec. Sub. Global Notes, 5.95% (f)

      170,000         167,450   

JPMorgan Chase & Co., Series Z, Jr. Unsec. Sub. Global Notes, 5.30% (f)

      300,000         299,250   

Skandinaviska Enskilda Banken AB (Sweden), Jr. Unsc. Sub. Medium-Term Euro Notes, 5.75% (f)

      400,000         382,070   

Svenska Handelsbanken AB (Sweden), Jr. Unsec. Sub. Euro Bonds, 5.25% (f)

      400,000         380,166   
                1,228,936   

Health Care Facilities–3.45%

      

Community Health Systems, Inc., Sr. Unsec. Gtd. Global Notes, 6.88%, 02/01/2022

      230,000         209,300   

HCA, Inc., Sr. Sec. Gtd. First Lien Notes, 5.25%, 04/15/2025

      816,000         839,460   

Tenet Healthcare Corp., Sr. Sec. Gtd. First Lien Global Notes, 6.00%, 10/01/2020

      210,000         223,650   

Sr. Unsec. Global Notes, 8.13%, 04/01/2022

      220,000         222,200   
                1,494,610   

Home Furnishings–0.46%

      

Tempur Sealy International, Inc., Sr. Unsec. Gtd. Notes, 5.63%, 10/15/2023(c)

      193,000         198,308   

Homebuilding–1.68%

      

K. Hovnanian Enterprises Inc., Sr. Sec. Gtd. First Lien Notes, 7.25%, 10/15/2020(c)

      510,000         412,463   

KB Home, Sr. Unsec. Gtd. Notes, 7.00%, 12/15/2021

      335,000         316,156   
                728,619   

Independent Power Producers & Energy Traders–0.95%

  

AES Corp., Sr. Unsec. Global Notes, 7.38%, 07/01/2021

      40,000         41,000   

Calpine Corp., Sr. Unsec. Global Notes, 5.38%, 01/15/2023

      48,000         43,920   

5.75%, 01/15/2025

      360,000         324,900   
                409,820   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Strategic Income Fund

           Principal
Amount		      Value  

Industrial REIT’s–0.60%

        

PLA Administradora Industrial, S. de R.L. de C.V. (Mexico), Sr. Unsec. Notes, 5.25%, 11/10/2022(c)

        $ 281,000       $ 259,135   

Investment Banking & Brokerage–0.32%

  

   

Morgan Stanley, Sr. Unsec. Medium-Term Global Notes, 4.00%, 07/23/2025

          135,000         137,460   

Marine–0.46%

        

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Sr. Sec. Gtd. First Lien Mortgage Notes, 8.13%, 11/15/2021 (Acquired 12/28/2015; Cost $218,750)(c)

          250,000         200,000   

Metal & Glass Containers–0.97%

        

Berry Plastics Corp., Sec. Gtd. Second Lien Notes, 6.00%, 10/15/2022(c)

          408,000         418,710   

Oil & Gas Exploration & Production–0.08%

  

   

Pacific Exploration and Production Corp. (Colombia), Sr. Unsec. Gtd. Notes, 5.13%, 03/28/2023(c)

          285,000         37,050   

Paper Products–0.76%

        

Clearwater Paper Corp., Sr. Unsec. Gtd. Notes, 5.38%, 02/01/2025(c)

          340,000         328,100   

Pharmaceuticals–0.47%

        

Valeant Pharmaceuticals International, Inc., Sr. Unsec. Gtd. Notes, 5.50%, 03/01/2023(c)

          225,000         202,500   

Railroads–0.44%

        

Lima Metro Line 2 Finance Ltd. (Peru), Sr. Sec. First Lien Bonds, 5.88%, 07/05/2034(c)

          200,000         191,000   

Regional Banks–1.86%

        

CIT Group Inc., Sr. Unsec. Global Notes, 5.00%, 08/15/2022

          618,000         627,270   

Fifth Third Bancorp, Series J, Jr. Unsec. Sub. Bonds, 4.90% (f)

          200,000         181,000   
                    808,270   

Security & Alarm Services–0.98%

        

ADT Corp. (The), Sr. Unsec. Global Notes, 6.25%, 10/15/2021

          407,000         424,297   

Semiconductors–0.30%

        

NXP B.V./NXP Funding LLC (Netherlands), Sr. Unsec. Gtd. Notes, 5.75%, 02/15/2021(c)

          125,000         129,063   
           Principal
Amount		      Value  

Specialized REIT’s–0.45%

        

Corrections Corp. of America, Sr. Unsec. Gtd. Notes, 5.00%, 10/15/2022

        $ 63,000       $ 63,768   

Equinix Inc., Sr. Unsec. Notes, 5.38%, 01/01/2022

          125,000         130,625   
                    194,393   

Specialty Chemicals–0.45%

        

Platform Specialty Products Corp., Sr. Unsec. Notes, 6.50%, 02/01/2022(c)

          240,000         193,200   

Technology Hardware, Storage & Peripherals–0.51%

  

Seagate HDD Cayman, Sr. Unsec. Gtd. Notes, 4.88%, 06/01/2027(c)

          290,000         219,494   

Tires & Rubber–0.96%

        

Goodyear Tire & Rubber Co. (The), Sr. Unsec. Gtd. Notes, 7.00%, 05/15/2022

          390,000         418,275   

Trading Companies & Distributors–1.40%

  

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Sr. Unsec. Gtd. Global Notes, 4.50%, 05/15/2021

          615,000         607,312   

Wireless Telecommunication Services–1.31%

  

Digicel Ltd. (Jamaica), Sr. Unsec. Notes, 6.00%, 04/15/2021(c)

          430,000         371,950   

Sprint Corp., Sr. Unsec. Gtd. Global Notes, 7.88%, 09/15/2023

          273,000         195,195   
                    567,145   

Total U.S. Dollar Denominated Bonds & Notes
    (Cost $13,247,717)

   

      12,860,448   

Non-U.S. Dollar Denominated Bonds & Notes–11.13%(d)

  

Automobile Manufacturers–0.80%

  

   

Volkswagen International Finance N.V. (Germany), REGS, Jr. Unsec. Sub. Gtd. Euro Bonds, 3.88% (c)(f)

   EUR      330,000         345,815   

Diversified Banks–0.78%

        

Bankia S.A. (Spain), REGS, Sr. Unsec. Euro Bonds, 3.50%, 01/17/2019(c)

   EUR      300,000         338,906   

Electric Utilities–3.33%

        

EDP Finance B.V. (Portugal), REGS, Sr. Unsec. Medium-Term Euro Notes, 2.00%, 04/22/2025(c)

   EUR      700,000         679,750   

Électricité de France S.A. (France), REGS, Jr. Unsec. Sub. Medium-Term Euro Notes, 6.00%(c)(f)

   GBP      600,000         763,403   
                    1,443,153   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Strategic Income Fund

           Principal
Amount		      Value  

Integrated Oil & Gas–0.83%

  

   

DONG Energy AS (Denmark), REGS, Jr. Unsec. Sub. Euro Bonds, 3.00%, 11/06/3015(c)

   EUR      360,000       $ 360,112   

Integrated Telecommunication Services–0.73%

  

Telefonica Europe, B.V. (Spain), REGS, Jr. Unsec. Sub. Gtd. Euro Bonds, 5.00%(c)(f)

   EUR      300,000         315,005   

Life & Health Insurance–0.32%

  

   

Delta Lloyd Levensverzekering N.V. (Netherlands), REGS, Unsec. Sub. Euro Notes, 9.00%, 08/29/2042(c)

   EUR      120,000         139,996   

Multi-Utilities–3.59%

  

   

Engie S.A. (France), REGS, Series NC10, Jr. Unsec. Sub. Euro Notes, 3.88% (c)(f)

   EUR      800,000         838,629   

Series NC5, Jr. Unsec. Sub. Euro Notes, 3.00% (c)(f)

   EUR      300,000         320,881   

NGG Finance PLC
(United Kingdom), REGS, Unsec. Sub. Gtd. Euro Notes, 5.63%, 06/18/2073(c)

   GBP      275,000         393,331   
                        1,552,841   

Specialized Finance–0.75%

  

   

Redexis Gas Finance B.V. (Spain), REGS, Sr. Unsec. Gtd. Medium-Term Euro Notes, 2.75%, 04/08/2021(c)

   EUR      280,000         323,693   

Total Non-U.S. Dollar Denominated Bonds & Notes
(Cost $5,185,983)

   

      4,819,521   

U.S. Treasury Bills–1.95%(g)(h)

  

   

0.00%, 05/26/2016

      $     160,000         159,824   

0.03%, 05/26/2016

        25,000         24,972   

0.04%, 05/26/2016

        55,000         54,939   

0.07%, 05/26/2016

        20,000         19,978   

0.09%, 05/26/2016

        15,000         14,983   

0.22%, 05/26/2016

        120,000         119,868   

0.23%, 05/26/2016

        90,000         89,901   

0.28%, 05/26/2016

        95,000         94,895   

0.29%, 05/26/2016

        30,000         29,967   

0.34%, 05/26/2016

        80,000         79,912   

0.35%, 05/26/2016

        75,000         74,917   

0.37%, 05/26/2016

        75,000         74,917   

0.48%, 05/26/2016

          5,000         4,995   

Total U.S. Treasury Bills
(Cost $844,302)

   

      844,068   
           Principal
Amount		      Value  

Municipal Obligations–0.87%

  

   

Chicago (City of), Illinois; Series 2012 B, Ref. Unlimted Tax GO Bonds, 5.43%, 01/01/2042

        $ 35,000       $ 29,473   

Series 2014 B, Ref. Unlimited Tax GO Bonds, 6.31%, 01/01/2044

          150,000         139,404   

Puerto Rico (Commonwealth of); Series 2014 A, Unlimited Tax GO Bonds, 8.00%, 07/01/2035

          290,000         208,139   

Total Municipal Obligations
(Cost $392,740)

   

      377,016   

U.S. Government Sponsored Agency Mortgage-Backed Securities–0.36%

   

Collateralized Mortgage Obligations–0.36%

  

Fannie Mae REMICs, IO, 3.00%, 06/25/2027

          813,904         75,679   

Freddie Mac REMICs, IO, 3.00%, 05/15/2028

          773,907         79,349   

Total U.S. Government Sponsored Agency Mortgage-Backed Securities
(Cost $171,787)

    

      155,028   
       Shares      

Money Market Funds–2.77%

  

   

Liquid Assets Portfolio, Institutional Class, 0.38% (i)

          601,039         601,039   

Premier Portfolio, Institutional Class, 0.34% (i)

          601,039         601,039   

Total Money Market Funds
(Cost $1,202,078)

   

      1,202,078   

Options Purchased–0.74%(j)

  

   

(Cost $321,775)

  

      318,950   

TOTAL INVESTMENTS–102.56%
(Cost $45,774,402)

   

      44,423,542   

OTHER ASSETS LESS LIABILITIES–(2.56)%

  

      (1,109,971 ) 

NET ASSETS–100.00%

                 $     43,313,571   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Strategic Income Fund

Investment Abbreviations:
CDO    —  Collateralized Debt Obligation
CLO    —  Collateralized Loan Obligation
Ctfs.    —  Certificates
EUR    —  Euro
GBP    —  British Pound Sterling
GO    —  General Obligation
Gtd.    —  Guaranteed
IO    —  Interest Only
Jr.    —  Junior
Ref.    —  Refunding
REGS    —  Regulation S
REIT    —  Real Estate Investment Trust
REMICs    —  Real Estate Investment Conduits
Sec.    —  Secured
Sr.    —  Senior
Sub.    —  Subordinated
Unsec.    —  Unsecured

Notes to Schedule of Investments:

 

(a)  Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.

 

(b)  Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on January 31, 2016.

 

(c)  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 January 31, 2016 was $21,067,276, which represented 48.64% of the Fund’s Net Assets.

 

(d)  Foreign denominated security. Principal amount is denominated in the currency indicated.

 

(e)  All or a portion of the security is pledged as collateral for open reverse repurchase agreements. See Note 1F. The following table presents the Fund’s collateral pledged as of January 31, 2016.

 

  Counterparty    Reverse Repurchase Agreements    Value of Non-cash Collateral Pledged*   Net Amount      

  Royal Bank of Canada

    $1,647,515    $(1,647,515)   $ —      

        * Amount does not include excess collateral pledged.

 

(f)  Perpetual bond with no specified maturity date.

 

(g)  Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.

 

(h)  All or a portion of the value was pledged and/or designated as collateral for open futures contracts and swap agreements. See Notes 1I, 1L and 3.

 

(i)  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 January 31, 2016.

 

(j)  The table below details options purchased:
 
Open Over-The-Counter Interest Rate Swaptions Purchased
Description    Type of
Contract		    Counterparty    Exercise
Rate		   Pay/
Receive
Exercise
Rate		    Floating Rate Index    Expiration
Date		    Notional
Value		    Value

5 Year Interest Rate Swap

    Call    Citigroup Global Markets Inc.    1.830%   Receive    3 Month USD LIBOR    06/10/16    $4,200,000    $100,459

7 Year Interest Rate Swap

    Call    Citigroup Global Markets Inc.    1.900   Receive    3 Month USD LIBOR    04/06/16      2,450,000        58,215

7 Year Interest Rate Swap

    Call    Deutsche Bank Securities Inc.    1.890   Receive    3 Month USD LIBOR    04/20/16      3,000,000        69,971

7 Year Interest Rate Swap

    Call    Goldman Sachs International    1.910   Receive    3 Month USD LIBOR    04/07/16      2,400,000        58,158

5 Year Interest Rate Swap

    Put    Citigroup Global Markets Inc.    1.830   Pay    3 Month USD LIBOR    06/10/16      4,200,000        11,102

7 Year Interest Rate Swap

    Put    Citigroup Global Markets Inc.    1.900   Pay    3 Month USD LIBOR    04/06/16      2,450,000          5,731

7 Year Interest Rate Swap

    Put    Deutsche Bank Securities Inc.    1.890   Pay    3 Month USD LIBOR    04/20/16      3,000,000          9,799

7 Year Interest Rate Swap

    Put    Goldman Sachs International    1.910   Pay    3 Month USD LIBOR    04/07/16      2,400,000          5,515

Total Options Purchased—Interest Rate Risk (Cost $321,775)

              $318,950

 

Abbreviations:

LIBOR

   —  London Interbank Offered Rate    USD —  U.S. Dollar

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Strategic Income Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

 

Invesco Strategic Income Fund

A. Security Valuations – (continued)

 

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates realized and unrealized capital gains and losses to a class based on the relative net assets of each class. The Fund allocates income to a class based on the relative value of the settled shares of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Treasury Inflation-Protected Securities - The Fund may invest in Treasury Inflation-Protected Securities (“TIPS”). TIPS are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The principal value of TIPS will be adjusted upward or downward, and any increase or decrease in the principal amount of TIPS will be included as interest income in the Statement of Operations, even though investors do not receive their principal until maturity.
E. Structured Securities – The Fund may invest in structured securities. Structured securities are a type of derivative security whose value is determined by reference to changes in the value of underlying securities, currencies, interest rates, commodities, indices or other financial indicators (“reference instruments”). Most structured securities are fixed-income securities that have maturities of three years or less. Structured securities may be positively or negatively indexed (i.e., their principal value or interest rates may increase or decrease if the underlying reference instrument appreciates) and may have return characteristics similar to direct investments in the underlying reference instrument.

Structured securities may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference instruments. In addition to the credit risk of structured securities and the normal risks of price changes in response to changes in interest rates, the principal amount of structured notes or indexed securities may decrease as a result of changes in the value of the underlying reference instruments. Changes in the daily value of structured securities are recorded as unrealized gains (losses) in the Statement of Operations. When the structured securities mature or are sold, the Fund recognizes a realized gain (loss) on the Statement of Operations.

 

Invesco Strategic Income Fund

F. Reverse Repurchase Agreements – The Fund may enter into reverse repurchase agreements. Reverse repurchase agreements involve the sale of securities held by the Fund, with an agreement that the Fund will repurchase such securities at an agreed upon price and date. The Fund will use the proceeds of a reverse repurchase agreement (which are considered to be borrowings under the 1940 Act) to purchase other permitted securities either maturing, or under an agreement to resell, at a date simultaneous with or prior to the expiration of the reverse repurchase agreement. The agreements are collateralized by the underlying securities and are carried at the amount at which the securities subsequently will be repurchased as specified in the agreements. Expenses under the Reverse Repurchase Agreements are shown in the Statement of Operations as Interest, facilities and maintenance fees.
G. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

H. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

I. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between Counterparties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to

 

Invesco Strategic Income Fund

I. Futures Contracts – (continued)

 

liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities.

J. Call Options Written and Purchased – The Fund may write call options and/or buy call options. A covered call option gives the purchaser of such option the right to buy, and the writer the obligation to sell, the underlying security or foreign currency at the stated exercise price during the option period. An uncovered call option exists without the ownership of the underlying security. Options written by the Fund normally will have expiration dates between three and nine months from the date written. The exercise price of a call option may be below, equal to, or above the current market value of the underlying security at the time the option is written.

Additionally, the Fund may enter into an option on a swap agreement, also called a “swaption”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based premium. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the Counterparties.

When the Fund writes a covered call option, an amount equal to the premium received by the Fund is recorded as an asset and an equivalent liability in the Statement of Assets and Liabilities. The amount of the liability is subsequently “marked-to-market” to reflect the current market value of the option written. If a written covered call option expires on the stipulated expiration date, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or a loss if the closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a written covered call option is exercised, the Fund realizes a gain or a loss from the sale of the underlying security and the proceeds of the sale are increased by the premium originally received. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations. A risk in writing a covered call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing an uncovered call option is that the Fund may incur significant losses if the value of the written security exceeds the exercise price of the option.

When the Fund buys a call option, an amount equal to the premium paid by the Fund is recorded as an investment on the Statement of Assets and Liabilities. The amount of the investment is subsequently “marked-to-market” to reflect the current value of the option purchased. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased.

K. Put Options Purchased and Written – The Fund may purchase and write put options including options on securities indexes, or foreign currency and/or futures contracts. By purchasing a put option, the Fund obtains the right (but not the obligation) to sell the option’s underlying instrument at a fixed strike price. In return for this right, the Fund pays an option premium. The option’s underlying instrument may be a security, securities index, or a futures contract.

Additionally, the Fund may enter into an option on a swap agreement, also called a “swaption”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based premium. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the Counterparties.

Put options may be used by the Fund to hedge securities it owns by locking in a minimum price at which the Fund can sell. If security prices fall, the put option could be exercised to offset all or a portion of the Fund’s resulting losses. At the same time, because the maximum the Fund has at risk is the cost of the option, purchasing put options does not eliminate the potential for the Fund to profit from an increase in the value of the underlying portfolio securities. The Fund may write put options to earn additional income in the form of option premiums if it expects the price of the underlying instrument to remain stable or rise during the option period so that the option will not be exercised. The risk in this strategy is that the price of the underlying securities may decline by an amount greater than the premium received. Put options written are reported as a liability in the Statement of Assets and Liabilities. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations as Net realized gain from Investment securities. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased.

 

Invesco Strategic Income Fund

L. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. Such transactions are agreements between Counterparties. A swap agreement may be negotiated bilaterally and traded over-the-counter (“OTC”) between two parties (“uncleared/OTC”) or, in some instances, must be transacted through a future commission merchant (“FCM”) and cleared through a clearinghouse that serves as a central Counterparty (“centrally cleared swap”). These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index.

In a centrally cleared swap, the Fund’s ultimate Counterparty is a central clearinghouse. The Fund initially will enter into centrally cleared swaps through an executing broker. When a fund enters into a centrally cleared swap, it must deliver to the central Counterparty (via the FCM) an amount referred to as “initial margin.” Initial margin requirements are determined by the central Counterparty, but an FCM may require additional initial margin above the amount required by the central Counterparty. Initial margin deposits required upon entering into centrally cleared swaps are satisfied by cash or securities as collateral at the FCM. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities. During the term of a cleared swap agreement, a “variation margin” amount may be required to be paid by the Fund or may be received by the Fund, based on the daily change in price of the underlying reference instrument subject to the swap agreement and is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities until the centrally cleared swap is terminated at which time a realized gain or loss is recorded.

A CDS is an agreement between Counterparties to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the “par value”, of the referenced obligation to the Fund. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer “par value” or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its Counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Fund’s maximum risk of loss from Counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the Counterparty and by the designation of collateral by the Counterparty to cover the Fund’s exposure to the Counterparty.

Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing CDS contract and serve as an indicator of the current status of the payment/performance risk of the CDS. An implied spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets.

An interest rate swap is an agreement between Counterparties pursuant to which the parties exchange a floating rate payment for a fixed rate payment based on a specified notional amount.

 

Invesco Strategic Income Fund

L. Swap Agreements – (continued)

 

Changes in the value of centrally cleared and OTC swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

M. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
N. Other Risks – The Fund is non-diversified and may invest in securities of fewer issuers than if it were diversified. Thus, the value of the Fund’s shares may vary more widely and the Fund may be subject to greater market and credit risk than if the Fund invested more broadly.

The Fund may invest in lower-quality debt securities, i.e., “junk bonds”. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claim.

O. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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.

 

Invesco Strategic Income Fund

The following is a summary of the tiered valuation input levels, as of January 31, 2016. 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  

  Equity Securities

    $ 1,202,078       $ —       $ —       $ 1,202,078   

  U.S. Treasury Securities

      —         844,068         —         844,068   

  U.S. Government Sponsored Agency Securities

      —         155,028         —         155,028   

  Asset-Backed Securities

      —         23,846,433         —         23,846,433   

  Corporate Debt Securities

      —         12,860,448         —         12,860,448   

  Foreign Debt Securities

      —         4,819,521         —         4,819,521   

  Municipal Obligations

      —         377,016         —         377,016   

  Options Purchased

      —         318,950         —         318,950   
           1,202,078         43,221,464         —         44,423,542   

  Forward Foreign Currency Contracts*

      —         123,812         —         123,812   

  Futures Contracts*

      (245,558)         —         —         (245,558)   

  Swap Agreements*

      —         (31,044)                     —         (31,044)   

  Total

    $ 956,520       $     43,314,232       $ —       $     44,270,752   

* Unrealized appreciation (depreciation).

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

  Risk Exposure/ Derivative Type   Value
  Assets   Liabilities

  Currency risk:

    

  Forward foreign currency contracts

   $159,651   $(35,839)

  Interest rate risk:

    

  Futures contracts (a)

   106,836   (352,394)

  Options purchased (b)

   318,950   —

  Swap agreements (c)

   241,320   (272,364)

  Total

   $826,757   $(660,597)

 

(a)  Includes cumulative appreciation (depreciation) of futures contracts.

 

(b)  Options purchased at value as reported in the Schedule of Investments.

 

(c)  Includes cumulative appreciation (depreciation) of centrally cleared swap agreements.

 

Invesco Strategic Income Fund

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

      Location of Gain (Loss) on Statement of Operations
   Forward
Foreign
Currency
Contracts		    Futures
Contracts		   Options
Purchased(a)		   Options
Written		   Swap  
Agreements  

  Realized Gain (Loss):

            

  Credit Risk

    $—    $—   $—   $—   $17,432

  Currency Risk

    110,743    —   48,120   (3,118)   —

  Equity Risk

    —    —   —   —   (79,765)

  Interest Rate Risk

    —    47,127   (181,933)   —   (2,866)

  Change in Net Unrealized Appreciation (Depreciation):

            

  Credit Risk

    —    —   —   —   8,603

  Currency Risk

    43,367    —   1,943   (996)   —

  Equity Risk

    —    —   —   —   (176,024)

  Interest Rate Risk

    —    (227,056)   193,533   —   (200,209)

  Total

    $154,110    $(179,929)   $61,663   $(4,114)   $(432,829)

 

   (a) Options purchased are included in the net realized gain (loss) from investment securities and the change in net unrealized appreciation (depreciation) of investment securities.

The table below summarizes the three month average notional value of forward foreign currency contracts, futures contracts, options purchased and swap agreements and the two month average notional value of options written.

 

      Forward
Foreign
Currency
Contracts		    Futures
Contracts		    Options
Purchased		    Options
Written		   

Swap  

Agreements  

  Average notional value

    $16,718,159    $26,144,840    $50,772,967    $2,559,450    $49,150,489  

 

Invesco Strategic Income Fund

Open Forward Foreign Currency Contracts  

  Settlement

  Date

         Contract to     

Notional

Value

     

Unrealized
Appreciation

(Depreciation)

  
   Counterparty    Deliver      Receive        

  02/02/16

    State Street Bank and Trust Co.    BRL      790,000       USD      204,483       $ 197,311      $ 7,172   

  02/02/16

    State Street Bank and Trust Co.    USD      195,787       BRL      790,000         197,311         1,524   

  02/04/16

    Goldman Sachs International    KRW      820,000,000       USD      673,179         682,663         (9,484)   

  02/04/16

    Goldman Sachs International    USD      335,821       KRW      405,000,000         337,169         1,348   

  02/04/16

    JPMorgan Chase Bank, N.A.    KRW      1,764,000,000       USD      1,519,842         1,468,558         51,284   

  02/04/16

    JPMorgan Chase Bank, N.A.    USD      382,813       KRW      444,000,000         369,637         (13,176)   

  02/04/16

    JPMorgan Chase Bank, N.A.    USD      1,442,017       KRW      1,735,000,000         1,444,415         2,398   

  02/09/16

    Barclays Bank PLC    GBP      906,449       USD      1,372,549         1,291,660         80,889   

  02/09/16

    Barclays Bank PLC    USD      145,278       GBP      100,000         142,497         (2,781)   

  03/02/16

    State Street Bank and Trust Co.    BRL      790,000       USD      194,170         195,637         (1,467)   

  03/11/16

    Barclays Bank PLC    EUR      635,404       USD      693,929         689,101         4,828   

  03/11/16

    Barclays Bank PLC    SGD      520,000       USD      361,018         364,712        (3,694)   

  03/11/16

    Barclays Bank PLC    USD      110,353       EUR      101,512         110,091         (262)   

  04/15/16

    Deutsche Bank Securities Inc.    CNY      7,362,300       USD      1,100,000         1,103,584         (3,584)   

  04/15/16

    Deutsche Bank Securities Inc.    USD      1,100,000       CNY      7,361,200         1,103,419         3,419   

  04/29/16

    Goldman Sachs International    KRW      332,000,000       USD      276,966         274,095         2,871   

  04/29/16

    Goldman Sachs International    USD      275,486       KRW      332,000,000         274,095         (1,391)   

  04/29/16

    State Street Bank and Trust Co.    EUR      3,002,851       USD      3,263,132         3,261,359         1,773   

  05/02/16

    Goldman Sachs International    KRW      405,000,000       USD      335,001         334,349         652   

  05/03/16

    Citigroup Global Markets Inc.    USD      190,316       MXN      3,500,000         191,809         1,493   

      Total Open Forward Foreign Currency Contracts—Currency Risk

  

                           $         123,812   

Currency Abbreviations:

 

BRL   —  Brazilian Real    GBP   —  British Pound Sterling    SGD   —  Singapore Dollar    
CNY   —  Chinese Renminbi    KRW   —  South Korean Won    USD   —  U.S. Dollar    
EUR   —  Euro    MXN   —  Mexican New Peso         

 

Open Futures Contracts  
                

 

 Unrealized

Appreciation

   

  

     Type of    Number of    Expiration    Notional     
Futures Contracts    Contract    Contracts    Month    Value      (Depreciation)  

Euro Bobl

    Short    11    March-2016      $    (1,578,148)         $      (16,663)   

Euro Bonds

    Short    36    March-2016      (6,370,748)             (140,354)   

Euro Schatz

    Short    10    March-2016      (1,211,456)         (3,542)   

Long Gilt

    Short    7    March-2016      (1,200,150)         (29,710)   

U.S. Treasury 5 Year Notes

    Short    79    March-2016          (9,533,078)         (162,125)   

U.S. Treasury 10 Year Notes

    Long    33    March-2016      4,276,078         41,287   

U.S. Treasury Ultra Bonds

    Long    14    March-2016      2,326,625         65,549   

     Total Futures Contracts—Interest Rate Risk

                              $    (245,558)   

 

Invesco Strategic Income Fund

Options Written Transactions  
     Call Options           Put Options  
      Notional Value      Premiums Received            Notional Value      Premiums Received  

Beginning of period

      USD         2,225,000       $ 13,275              EUR         600,000       $ 2,839   

Written

      USD         1,130,000         6,441              EUR         —         —   

Closed

      USD         (2,680,000)                 (17,852)              EUR         (600,000)                 (2,839)   

Expired

      USD         (675,000)         (1,864)              EUR         —         —   

End of period

      USD         —       $ —              EUR         —       $ —   

 

Currency Abbreviations:

EUR — Euro                 USD — U.S. Dollar

Open Centrally Cleared Interest Rate Swap Agreements

  Counterparty/

  Clearinghouse

    Pay/Receive
Floating
Rate		   

Floating Rate

Index

    Fixed
Rate		    Termination
Date		    Notional
Value		     

Unrealized
Appreciation

(Depreciation)

  

  Credit Suisse Securities

  (USA) LLC/CME

    Pay    3 Month USD LIBOR    1.55%    02/01/19    $ 5,558,822       $         80,055   

  Credit Suisse Securities

  (USA) LLC/CME

    Pay    3 Month USD LIBOR    1.60    02/02/19      3,950,000         66,881   

  Credit Suisse Securities

  (USA) LLC/CME

    Pay    3 Month USD LIBOR    2.40    01/13/36      3,050,000         94,384   

  Credit Suisse Securities

  (USA) LLC/CME

    Receive    3 Month USD LIBOR    1.51    02/02/19      (10,245,000)         (60,372)   

  Credit Suisse Securities

  (USA) LLC/CME

    Receive    3 Month USD LIBOR    1.42    10/05/20      (1,500,000)         (11,107)   

  Credit Suisse Securities

  (USA) LLC/CME

    Receive    3 Month USD LIBOR    1.76    06/14/21      (2,660,000)         (24,199)   

  Credit Suisse Securities

  (USA) LLC/CME

    Receive    3 Month USD LIBOR    2.07    03/21/23      (4,710,000)         (70,976)   

  Credit Suisse Securities

  (USA) LLC/CME

    Receive    3 Month USD LIBOR    2.48    07/20/25      (4,925,000)         (105,710)   
      Total Interest Rate Swap Agreements—Interest Rate Risk            $        (31,044)  

Abbreviations:

 

CME – Chicago Mercantile Exchange

    LIBOR – London Interbank Offered Rate      USD — U.S. Dollar

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $12,448,710 and $7,033,765, respectively. During the same period, purchases and sales of long-term U.S. Treasury obligations were $319,550 and $736,035, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis   

Aggregate unrealized appreciation of investment securities

    $ 335,424   

Aggregate unrealized (depreciation) of investment securities

      (1,723,683)   

Net unrealized appreciation (depreciation) of investment securities

    $     (1,388,259)   

Cost of investments for tax purposes is $45,811,801.

   

 

Invesco Strategic Income Fund

 

 

Invesco Unconstrained Bond Fund

Quarterly Schedule of Portfolio Holdings

January 31, 2016

 

 

 

 

LOGO      
invesco.com/us    UCB-QTR-1       01/16    Invesco Advisers, Inc.
 

Schedule of Investments(a)

January 31, 2016

(Unaudited)

 

     

Principal

Amount

      Value  

Asset-Backed Securities–64.96%

  

   

Apidos CLO XIX (Cayman Islands), Series 2014-19A, Class C, Floating Rate Pass Through Ctfs., 3.91%, 10/17/2026(b)(c)

    $ 500,000       $ 486,189   

Babson CLO Ltd. (Cayman Islands), Series 2013-IIA, Class C, Floating Rate Pass Through Ctfs., 3.87%, 01/18/2025(b)(c)

      500,000         449,698   

Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class B,
Variable Rate Pass Through Ctfs.,
4.51%, 09/15/2048(c)

      130,000         134,327   

Series 2015-UBS7, Class XA,
IO Variable Rate Pass Through Ctfs., 1.09%, 09/15/2048(c)

          1,414,886         91,983   

Banc of America Funding Trust, Series 2005-D, Class A1, Floating Rate Pass Through Ctfs., 2.77%, 05/25/2035(c)

      135,548         137,885   

Banc of America Mortgage Trust, Series 2005-H, Class 2A1, Floating Rate Pass Through Ctfs., 2.85%, 09/25/2035(c)

      252,747             232,988   

BCAP Trust LLC, Series 2009-RR13, Class 15A2, Pass Through Ctfs., 6.00%, 07/26/2037(b)

      123,226         117,667   

Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-2, Class A1, Floating Rate Pass Through Ctfs.,
2.62%, 03/25/2035(c)

      173,800         174,191   

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands),
Series 2012-2AR, Class ER, Floating Rate Pass Through Ctfs., 6.72%, 07/20/2023(b)(c)

      300,000         278,462   

Series 2012-3A, Class D,

Floating Rate Pass Through Ctfs.,

6.12%, 10/04/2024(b)(c)

      300,000         267,820   

CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class A, Floating Rate Pass Through Ctfs., 1.83%, 12/15/2027(b)(c)

      200,000         197,997   

Cent CLO 19 Ltd. (Cayman Islands), Series 2013-19A, Class C, Floating Rate Pass Through Ctfs., 3.92%, 10/29/2025(b)(c)

      500,000         386,176   

Cerberus Onshore II CLO-2 LLC, Series 2014-1A, Class D, Pass Through Ctfs.,
4.43%, 10/15/2023(b)

      350,000         342,209   

Chase Mortgage Finance Trust,
Series 2007-A1,Class 13A1, Floating Rate Pass Through Ctfs.,
4.83%, 03/25/2037(c)

      220,837         206,232   

Citigroup Commercial Mortgage Trust, Series 2014-388G, Class C, Floating Rate Pass Through Ctfs., 1.83%, 06/15/2033(b)(c)

      300,000         291,496   
     

Principal

Amount

      Value  

Citigroup Mortgage Loan Trust Inc., Series 2005-11, Class A2A, Floating Rate Pass Through Ctfs., 2.73%, 10/25/2035(c)

    $ 148,850       $   147,439   

Series 2005-3, Class 2A2A,

Variable Rate Pass Through Ctfs.,

2.71%, 08/25/2035(c)

      153,782         152,547   

COMM Mortgage Trust,
Series 2014-FL5, Class A,
Floating Rate Pass Through Ctfs.,
1.80%, 10/15/2031(b)(c)

      300,000         297,611   

Series 2015-CR24, Class B,

Variable Rate Pass Through Ctfs.,

4.52%, 08/10/2055(c)

      300,000         309,838   

Series 2015-CR24, Class XA,

IO Variable Rate Pass Through Ctfs.,

1.04%, 08/10/2055(c)

      3,783,582         232,635   

Series 2015-CR25, Class B,

Variable Rate Pass Through Ctfs.,

4.70%, 08/10/2048(c)

      130,000         134,379   

Series 2015-PC1, Class XA,

IO Variable Rate Pass Through Ctfs.,

0.94%, 07/10/2050(b)(c)

          3,987,866         191,694   

Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-10, Class 5A7,
Pass Through Ctfs., 6.00%, 11/25/2035

      118,728         111,822   

Series 2005-C3, Class AJ,

Pass Through Ctfs.,

4.77%, 07/15/2037

      3,154         3,153   

CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B, Pass Through Ctfs., 4.04%, 04/15/2050

      130,000         130,060   

Fannie Mae Connecticut Avenue Securities,

  

   

Series 2015-C01, Class 1M2,
Floating Rate Pass Through Ctfs.,
4.73%, 02/25/2025(c)

      130,000         123,245   

Series 2015-C02, Class 2M2,

Floating Rate Pass Through Ctfs.,

4.43%, 05/25/2025(c)

      400,000         370,339   

GMACM Mortgage Loan Trust,
Series 2005-AR6, Class 4A1, Floating Rate Pass Through Ctfs., 3.16%, 11/19/2035(c)

      82,753         75,059   

GS Mortgage Securities Trust,
Series 2015-GC32, Class B, Variable Rate Pass Through Ctfs., 4.55%, 07/10/2048(c)

      150,000         155,663   

GSAA Home Equity Trust,
Series 2005-11, Class 3A5, Floating Rate Pass Through Ctfs., 0.80%, 10/25/2035(c)

      213,366         197,588   

GSR Mortgage Loan Trust,
Series 2005-AR7, Class 6A1,
Variable Rate Pass Through Ctfs.,
2.85%, 11/25/2035(c)

      195,892         189,008   

Series 2006-1F, Class 1A11,

Pass Through Ctfs.,

5.50%, 02/25/2036

      187,318         178,941   

H/2 Asset Funding (Cayman Islands), Series 2015-1A, Class BFL, Pass Through Ctfs., 2.49%, 06/24/2049(b)

      200,000         192,575   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Unconstrained Bond Fund

    

Principal

Amount

     Value  

Highbridge Loan Management CLO Ltd. (Cayman Islands), Series 2015-6A, Class D, Floating Rate Pass Through Ctfs., 3.95%, 05/05/2027(b)(c)

   $     250,000      $     216,783   

ING IM CLO Ltd. (Cayman Islands),
Series 2012-1A, Class A2R, Floating Rate Pass Through Ctfs., 2.35%,
03/14/2022(b)(c)(d)

     500,000        495,490   

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20, Class B, Pass Through Ctfs., 4.40%, 07/15/2047

     300,000        306,880   

JP Morgan Mortgage Trust,
Series 2005-A3, Class 7CA1,
Variable Rate Pass Through Ctfs.,
2.70%, 06/25/2035(c)

     287,699        280,708   

Series 2007-A1, Class 2A2,

Floating Rate Pass Through Ctfs.,

2.71%, 07/25/2035(c)

     295,952        290,145   

Series 2007-A1, Class 5A5,

Floating Rate Pass Through Ctfs.,

2.78%, 07/25/2035(c)

     160,651        163,458   

Series 2007-A1, Class 6A1,

Floating Rate Pass Through Ctfs.,

2.66%, 07/25/2035(c)

     134,946        133,913   

Series 2007-A2, Class 4A2,

Floating Rate Pass Through Ctfs.,

4.82%, 04/25/2037(c)

     227,397        204,295   

Magnetite CLO Ltd. (Cayman Islands), Series 2015-15A, Class D, Floating Rate Pass Through Ctfs., 4.54%, 10/25/2027(b)(c)

     250,000        235,880   

Merrill Lynch Mortgage Investors Trust,
Series 2005-3, Class 3A,
Floating Rate Pass Through Ctfs.,
2.33%, 11/25/2035(c)

     117,621        114,084   

Series 2005-A5, Class A9,

Floating Rate Pass Through Ctfs.,

2.57%, 06/25/2035(c)

     155,975        152,237   

Series 2005-A9, Class 2A1C,

Floating Rate Pass Through Ctfs.,

2.66%, 12/25/2035(c)

     260,000        251,468   

Morgan Stanley Bank of America Merrill Lynch Trust,

 

Series 2015-C22, Class XA,
IO Variable Rate Pass Through Ctfs.,
1.32%, 04/15/2048(c)

     1,658,238        121,807   

Series 2015-C25, Class B,

Variable Rate Pass Through Ctfs.,

4.68%, 10/15/2048(c)

     130,000        132,452   

Series 2015-C26, Class C,

Variable Rate Pass Through Ctfs.,

4.56%, 11/15/2048(c)

     130,000        124,942   

Morgan Stanley Mortgage Loan Trust,
Series 2005-10, Class A1A,
Floating Rate Pass Through Ctfs.,
1.13%, 12/25/2035(c)

     213,341        172,791   

Series 2005-3AR, Class 3A,

Floating Rate Pass Through Ctfs.,

2.57%, 07/25/2035(c)

     208,142        178,871   
    

Principal

Amount

     Value  

Nantucket CLO Ltd. (Cayman Islands), Series 2006-1A, Class E, Floating Rate Pass Through Ctfs., 4.13%, 11/24/2020(b)(c)

   $     250,000      $     249,214   

Northwoods Capital X CLO Ltd. (Cayman Islands), Series 2013-10A, Class D, Floating Rate Pass Through Ctfs.,
3.91%, 11/04/2025(b)(c)

     250,000        221,113   

Octagon Investment Partners XV CLO Ltd. (Cayman Islands), Series 2013-1A, Class D, Floating Rate Pass Through Ctfs., 4.17%, 01/19/2025(b)(c)

     250,000        229,037   

Octagon Investment Partners XVIII CLO Ltd. (Cayman Islands), Series 2013-1A, Class D, Floating Rate Pass Through Ctfs., 5.61%, 12/16/2024(b)(c)

     250,000        199,968   

Octagon Investment Partners XXI CLO Ltd. (Cayman Islands), Series 2014-1A, Class D, Floating Rate Pass Through Ctfs., 6.91%, 11/14/2026(b)(c)

     250,000        202,473   

PFP Ltd. (Cayland Islands), Series 2015-2, Class B, Floating Rate Pass Through Ctfs., 3.12%, 07/14/2034(b)(c)

     188,000        187,243   

Regatta IV Funding CLO Ltd. (Cayman Islands), Series 2014-1A, Class D, Floating Rate Pass Through Ctfs., 4.12%, 07/25/2026(b)(c)

     310,000        267,875   

RMAT LLC, Series 2015-RPL1, Class A1, Floating Rate Pass Through Ctfs., 3.97%, 05/26/2020(b)(c)

     187,923        188,543   

Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, Pass Throught Ctfs., 4.35%, 07/17/2026(b)(d)

     500,000        503,263   

Starwood Retail Property Trust,
Series 2014-STAR, Class B, Floating Rate Pass Through Ctfs., 2.08%, 11/15/2027(b)(c)

     250,000        245,229   

Stone Tower CLO VII Ltd. (Cayman Islands), Series 2007-7A, Class C, Floating Rate Pass Through Ctfs., 4.71%, 08/30/2021(b)(c)

     250,000        249,160   

Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-20, Class 1A2,
Floating Rate Pass Through Ctfs.,
2.60%, 01/25/2035(c)

     325,272        312,292   

Series 2004-20, Class 3A1,
Floating Rate Pass Through Ctfs.,
2.61%, 01/25/2035(c)

     187,590        179,052   

Sudbury Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class B1, Floating Rate Pass Through Ctfs., 2.82%, 01/17/2026(b)(c)

     500,000        492,940   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Unconstrained Bond Fund

    

Principal

Amount

     Value  

Symphony CLO XI Ltd. (Cayman Islands),
Series 2013-11A, Class C,
Floating Rate Pass Through Ctfs.,
3.77%, 01/17/2025(b)(c)

   $ 250,000      $ 243,902   

Series 2013-11A, Class D,

Floating Rate Pass Through Ctfs.,

4.62%, 01/17/2025(b)(c)

     250,000        237,474   

Trimaran CLO VII Ltd. (Cayman Islands), Series 2007-1A, Class B2L, Floating Rate Pass Through Ctfs., 3.91%, 06/15/2021(b)(c)

     250,000        243,166   

WaMu Mortgage Trust,
Series 2006-AR14, Class 1A4,
Variable Rate Pass Through Ctfs.,
2.17%, 11/25/2036(c)

     108,881        94,887   

Series 2007-HY1, Class 3A1,

Floating Rate Pass Through Ctfs.,

4.28%, 02/25/2037(c)

     222,778        206,005   

Series 2007-HY2, Class 2A1,

Variable Rate Pass Through Ctfs.,

2.54%, 11/25/2036(c)

     250,017        220,598   

Wells Fargo Commercial Mortgage Trust,
Series 2014-C24, Class B,
Pass Through Ctfs.,
4.20%, 11/15/2047

     250,000        253,603   

Series 2015-LC22, Class B,

Variable Rate Pass Through Ctfs.,

4.69%, 09/15/2058(c)

     180,000        186,095   

Wells Fargo Mortgage Backed Securities Trust,
Series 2005-AR10, Class 2A4,
Floating Rate Pass Through Ctfs.,
2.75%, 06/25/2035(c)

     29,544        29,734   

Series 2005-AR14, Class A1,

Floating Rate Pass Through Ctfs.,

2.74%, 08/25/2035(c)

     194,884        192,673   

Series 2005-AR16, Class 4A2,

Variable Rate Pass Through Ctfs.,

2.74%, 10/25/2035(c)

     203,526        202,980   

Series 2006-2, Class 2A3,

Pass Through Ctfs.,

5.50%, 03/25/2036

     123,215        118,982   

Total Asset-Backed Securities
(Cost $16,826,831)

             16,522,621   

U.S. Dollar Denominated Bonds & Notes–21.09%

  

Asset Management & Custody Banks–0.51%

  

First Data Corp., Sec. Second Lien
Notes, 5.75%, 01/15/2024(b)

     130,000        130,000   

Automotive Retail–1.26%

    

CST Brands, Inc., Sr. Unsec. Gtd. Global Notes, 5.00%, 05/01/2023

     320,000        321,200   

Building Products–0.28%

    

Building Materials Corp. of America,
Sr. Unsec. Notes, 5.38%, 11/15/2024(b)

     72,000        71,280   
      Principal
Amount		      Value  

Cable & Satellite–0.73%

      

CCO Safari II, LLC,
Sr. Sec. First Lien Notes,
3.58%, 07/23/2020(b)

    $ 55,000       $ 55,315   

Sr. Sec. Gtd. First Lien Notes,
4.91%, 07/23/2025(b)

      130,000         129,985   
                185,300   

Communications Equipment–0.24%

      

Avaya Inc., Sr. Sec. Gtd. First Lien Notes,
7.00%, 04/01/2019(b)

      90,000         60,750   

Construction Machinery & Heavy Trucks–0.48%

  

Meritor Inc., Sr. Unsec. Gtd. Notes,
6.25%, 02/15/2024

      150,000         121,125   

Consumer Finance–0.69%

      

Synchrony Financial, Sr. Unsec. Global Notes, 4.50%, 07/23/2025

      175,000         176,554   

Diversified Banks–3.26%

      

Citigroup Inc., Series Q, Jr. Unsec. Sub. Global Notes, 5.95%(e)

      130,000         128,050   

JPMorgan Chase & Co., Series Z, Jr. Unsec. Sub. Global Notes, 5.30%(e)

      130,000         129,675   

Skandinaviska Enskilda Banken AB
(Sweden), REGS, Jr. Unsec. Sub.
Medium-Term Euro Notes, 5.75%(b)(e)

      200,000         191,035   

Svenska Handelsbanken AB (Sweden),
REGS, Jr. Unsec. Sub.
Euro Bonds, 5.25%(b)(e)

      400,000         380,167   
                828,927   

Health Care Facilities–3.02%

  

   

Community Health Systems, Inc.,
Sr. Unsec. Gtd. Global Notes,
6.88%, 02/01/2022

      130,000         118,300   

HCA, Inc., Sr. Sec. Gtd. First Lien Notes,
5.25%, 04/15/2025

      379,000         389,896   

Tenet Healthcare Corp., Sr. Sec. Gtd. First Lien Global Notes, 6.00%, 10/01/2020

      120,000         127,800   

Sr. Unsec. Global Notes, 8.13%, 04/01/2022

      130,000         131,300   
                767,296   

Home Furnishings–0.40%

      

Tempur Sealy International, Inc., Sr. Unsec. Gtd. Notes, 5.63%, 10/15/2023(b)

      100,000         102,750   

Homebuilding–1.76%

  

K. Hovnanian Enterprises Inc., Sr. Sec. Gtd. First Lien Notes, 7.25%, 10/15/2020(b)

      256,000         207,040   

KB Home, Sr. Unsec. Gtd. Notes, 7.00%, 12/15/2021

      255,000         240,656   
                447,696   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Unconstrained Bond Fund

           Principal
Amount		      Value  

Industrial REIT’s–0.78%

        

PLA Administradora Industrial, S. de R.L. de C.V. (Mexico), Sr. Unsec. Notes, 5.25%, 11/10/2022(b)

        $ 215,000       $ 198,270   

Marine–0.47%

        

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Sr. Sec. Gtd. First Lien Mortgage Notes, 8.13%, 11/15/2021 (Acquired 12/28/2015;
Cost $131,250) (b)

          150,000         120,000   

Metal & Glass Containers–0.40%

        

Berry Plastic Corp., Sec. Gtd. Second Lien Notes, 6.00%, 10/15/2022(b)

          100,000         102,625   

Oil & Gas Exploration & Production–0.10%

  

   

Pacific Exploration and Production Corp. (Colombia), Sr. Unsec. Gtd. Notes, 5.13%, 03/28/2023(b)

          190,000         24,700   

Paper Products–0.99%

        

Clearwater Paper Corp., Sr. Unsec. Gtd. Notes, 5.38%, 02/01/2025(b)

          260,000         250,900   

Pharmaceuticals–0.53%

        

Valeant Pharmaceuticals International, Inc., Sr. Unsec. Gtd. Notes, 5.50%, 03/01/2023(b)

          150,000         135,000   

Regional Banks–0.40%

        

CIT Group Inc., Sr. Unsec. Global Notes, 5.00%, 08/15/2022

          100,000         101,500   

Security & Alarm Services–0.41%

        

ADT Corp. (The), Sr. Unsec. Global Notes, 6.25%, 10/15/2021

          100,000         104,250   

Specialized REIT’s–0.20%

        

Corrections Corp. of America, Sr. Unsec. Gtd. Notes, 5.00%, 10/15/2022

          50,000         50,609   

Technology Hardware, Storage & Peripherals–0.51%

  

Seagate HDD Cayman, Sr. Unsec. Gtd. Notes, 4.88%, 06/01/2027(b)

          170,000         128,669   

Tires & Rubber–1.27%

        

Goodyear Tire & Rubber Co. (The), Sr. Unsec. Gtd. Notes, 7.00%, 05/15/2022

          300,000         321,750   

Trading Companies & Distributors–1.16%

  

   

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Sr. Unsec. Gtd. Global Notes, 4.50%, 05/15/2021

          300,000         296,250   

Wireless Telecommunication Services–1.24%

  

   

Digicel Ltd. (Jamaica), Sr. Unsec. Notes, 6.00%, 04/15/2021(b)

          200,000         173,000   
           Principal
Amount		      Value  

Wireless Telecommunication Services–(continued)

  

Sprint Communications Inc., Sr. Unsec. Gtd. Notes, 9.00%, 11/15/2018(b)

        $     141,000       $ 143,468   
                    316,468   

Total U.S. Dollar Denominated Bonds & Notes
(Cost $5,563,743)

   

      5,363,869   

Non-U.S. Dollar Denominated Bonds & Notes–8.84%(f)

  

Automobile Manufacturers–0.58%

  

   

Volkswagen International Finance N.V. (Germany), REGS, Jr. Unsec. Sub. Gtd. Euro Bonds, 3.88%(b)(e)

  

EUR

      140,000         146,710   

Electric Utilities–2.92%

        

EDP Finance B.V. (Portugal), REGS, Sr. Unsec. Medium-Term Euro Notes, 2.00%, 04/22/2025(b)

   EUR      240,000         233,057   

Électricité de France S.A. (France), REGS, Jr. Unsec. Sub. Medium-Term Euro Notes, 6.00%(b)(e)

   GBP      400,000         508,935   
                    741,992   

Integrated Oil & Gas–0.47%

        

DONG Energy AS (Denmark), REGS, Jr. Unsec. Sub. Euro Bonds, 3.00%, 11/06/3015(b)

   EUR      120,000         120,037   

Integrated Telecommunication Services–0.82%

  

Telefonica Europe, B.V. (Spain), REGS, Jr. Unsec. Sub. Gtd. Euro Bonds, 5.00%(b)(e)

   EUR      200,000         210,003   

Multi-Utilities–3.05%

        

Engie S.A. (France), REGS,

        

Series NC10,
Jr. Unsec. Sub. Euro Notes,
3.88% (b)(e)

   EUR      400,000         419,315   

Series NC5, Jr. Unsec. Sub. Euro Notes, 3.00%(b)(e)

   EUR      200,000         213,921   

NGG Finance PLC (United Kingdom), REGS, Unsec. Sub. Gtd. Euro Notes, 5.63%, 06/18/2073(b)

   GBP      100,000         143,029   
                    776,265   

Specialized Finance–1.00%

  

   

Redexis Gas Finance B.V. (Spain), REGS, Sr. Unsec. Gtd. Medium-Term Euro Notes, 2.75%, 04/08/2021(b)

   EUR      220,000         254,330   

Total Non-U.S. Dollar Denominated Bonds & Notes
(Cost $2,442,026)

   

      2,249,337   

 

 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Unconstrained Bond Fund

      Principal
Amount		      Value  

U.S. Treasury Bills–1.95%(g)(h)

      

0.03%, 05/26/2016

    $ 30,000       $ 29,967   

0.04%, 05/26/2016

      85,000         84,906   

0.06%, 05/26/2016

      100,000         99,890   

0.07%, 05/26/2016

      30,000         29,967   

0.08%, 05/26/2016

      250,000         249,724   

Total U.S. Treasury Bills
(Cost $494,898)

               494,454   

Municipal Obligations–1.12%

      

Chicago (City of), Illinois; Series 2014 B, Ref. Unlimited Tax GO Bonds, 6.31%, 01/01/2044

      125,000         116,170   

Puerto Rico (Commonwealth of); Series 2014 A, Unlimited Tax GO Bonds, 8.00%, 07/01/2035

      235,000         168,664   

Total Municipal Obligations (Cost $297,697)

               284,834   

U.S. Government Sponsored Agency Mortgage-Backed Securities–0.50%

   

Collateralized Mortgage Obligations–0.50%

  

Fannie Mae REMICs, IO, 3.00%, 06/25/2027

      697,632         64,868   

Freddie Mac REMICs, IO, 3.00%, 05/15/2028

      601,536         61,676   

Total U.S. Government Sponsored Agency Mortgage-Backed Securities (Cost $139,938)

               126,544   
          
Shares		      Value  

Money Market Funds–4.08%

  

Liquid Assets Portfolio, Institutional Class, 0.38%(i)

      518,966       $ 518,966   

Premier Portfolio, Institutional Class, 0.34%(i)

      518,965         518,965   

Total Money Market Funds
(Cost $1,037,931)

               1,037,931   

Options Purchased–0.92%(j)

      

(Cost $247,440)

  

      234,062   

TOTAL INVESTMENTS–103.46%
(Cost $27,050,504)

   

      26,313,652   

OTHER ASSETS LESS LIABILITIES–(3.46)%

  

      (879,256 ) 

NET ASSETS–100%

  

    $     25,434,396   
 

 

Investment Abbreviations:

 

CLO    —    Collateralized Loan Obligation
Ctfs.    —    Certificates
EUR    —    Euro
GBP    —    British Pound Sterling
GO    —    General Obligation
Gtd.    —    Guaranteed
IO    —    Interest Only
Jr.    —    Junior
Ref.    —    Refunding
REGS    —    Regulation S
REIT    —    Real Estate Investment Trust
REMICs    —    Real Estate Investment Conduits
Sec.    —    Secured
Sr.    —    Senior
Sub.    —    Subordinated
Unsec.    —    Unsecured

 

See accompanying notes which are an integral part of this schedule.

Invesco Unconstrained Bond Fund

Notes to Schedule of Investments:

 

(a)  Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.

 

(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 January 31, 2016 was $13,262,638, which represented 52.14% of the Fund’s Net Assets.

 

(c)  Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on January 31, 2016.

 

(d)  All or a portion of the security is pledged as collateral for open reverse repurchase agreements. See Note 1D. The following table presents the Fund’s collateral pledged as of January 31, 2016:

 

Counterparty      Reverse Repurchase  
Agreements		      Value of Non-cash
  Collateral Pledged*  		       Net Amount    

 

Royal Bank of Canada

    $858,587      $(858,587)   $—

 

 

* Amount does not include excess collateral pledged.

   

 

(e)  Perpetual bond with no specified maturity date.

 

(f)  Foreign denominated security. Principal amount is denominated in the currency indicated.

 

(g)  Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.

 

(h)  All or a portion of the value was pledged and/or designated as collateral to cover margin requirements for open futures contracts and swap agreements. See Notes 1G, 1J and 3.

 

(i)  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 January 31, 2016.

 

(j)  The table below details options purchased:

 

Open Over-The-Counter Interest Rate Swaptions Purchased  
Description   Type of
Contract		   Counterparty   Exercise
Rate		     Pay/Receive
Exercise Rate		   Floating Rate Index   Expiration
Date		   Notional Value     Value  

5 Year Interest Rate Swap

   Call   Citigroup Global Markets Inc.     1.830 %    Receive   3 Month USD LIBOR   06/10/16     $ 1,800,000      $ 43,054   

7 Year Interest Rate Swap

   Call   Citigroup Global Markets Inc.     1.900      Receive   3 Month USD LIBOR   04/06/16     2,250,000        53,463   

7 Year Interest Rate Swap

   Call   Deutsche Bank Securities Inc.     1.890      Receive   3 Month USD LIBOR   04/20/16     3,000,000        69,971   

7 Year Interest Rate Swap

   Call   Goldman Sachs International     1.910      Receive   3 Month USD LIBOR   04/07/16     1,800,000        43,618   

5 Year Interest Rate Swap

   Put   Citigroup Global Markets Inc.     1.830      Pay   3 Month USD LIBOR   06/10/16     1,800,000        4,758   

7 Year Interest Rate Swap

   Put   Citigroup Global Markets Inc.     1.900      Pay   3 Month USD LIBOR   04/06/16     2,250,000        5,263   

7 Year Interest Rate Swap

   Put   Deutsche Bank Securities Inc.     1.890      Pay   3 Month USD LIBOR   04/20/16     3,000,000        9,799   

7 Year Interest Rate Swap

   Put   Goldman Sachs International     1.910      Pay   3 Month USD LIBOR   04/07/16       1,800,000        4,136   

Total Options Purchased—Interest Rate Risk (Cost $247,440)

         $   234,062   

        Abbreviations:

          LIBOR    —        London Interbank Offered Rate
          USD    —        U.S. Dollar

 

See accompanying notes which are an integral part of this schedule.

 

Invesco Unconstrained Bond Fund

Notes to Quarterly Schedule of Portfolio Holdings

January 31, 2016

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

 

Invesco Unconstrained Bond Fund

A. Security Valuations – (continued)

 

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. 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.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates realized and unrealized capital gains and losses to a class based on the relative net assets of each class. The Fund allocates income to a class based on the relative value of the settled shares of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Reverse Repurchase Agreements – The Fund may enter into reverse repurchase agreements. Reverse repurchase agreements involve the sale of securities held by the Fund, with an agreement that the Fund will repurchase such securities at an agreed upon price and date. The Fund will use the proceeds of a reverse repurchase agreement (which are considered to be borrowings under the 1940 Act) to purchase other permitted securities either maturing, or under an agreement to resell, at a date simultaneous with or prior to the expiration of the reverse repurchase agreement. The agreements are collateralized by the underlying securities and are carried at the amount at which the securities subsequently will be repurchased as specified in the agreements. Expenses under the Reverse Repurchase Agreements are shown in the Statement of Operations as Interest, facilities and maintenance fees.
E. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests and are shown in the Statement of Operations.

 

Invesco Unconstrained Bond Fund

F. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

G. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between Counterparties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities.
H. Call Options Written and Purchased – The Fund may write covered call options and/or buy call options. A covered call option gives the purchaser of such option the right to buy, and the writer the obligation to sell, the underlying security or foreign currency at the stated exercise price during the option period for American style options or at expiration date for European style options. Options written by the Fund normally will have expiration dates between three and nine months from the date written. The exercise price of a call option may be below, equal to, or above the current market value of the underlying security at the time the option is written.

Additionally, the Fund may enter into an option on a swap agreement, also called a “swaption”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based premium. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the Counterparties.

When the Fund writes a covered call option, an amount equal to the premium received by the Fund is recorded as an asset and an equivalent liability in the Statement of Assets and Liabilities. The amount of the liability is subsequently “marked-to-market” to reflect the current market value of the option written. If a written covered call option expires on the stipulated expiration date, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or a loss if the closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a written covered call option is exercised, the Fund realizes a gain or a loss from the sale of the underlying security and the proceeds of the sale are increased by the premium originally received. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations. A risk in writing a covered call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised.

 

Invesco Unconstrained Bond Fund

H. Call Options Written and Purchased – (continued)

 

When the Fund buys a call option, an amount equal to the premium paid by the Fund is recorded as an investment on the Statement of Assets and Liabilities. The amount of the investment is subsequently “marked-to-market” to reflect the current value of the option purchased. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased.

I. Put Options Purchased and Written – The Fund may purchase and write put options including options on securities indexes, or foreign currency and/or futures contracts. By purchasing a put option, the Fund obtains the right (but not the obligation) to sell the option’s underlying instrument at a fixed strike price. In return for this right, the Fund pays an option premium. The option’s underlying instrument may be a security, securities index, or a futures contract.

Additionally, the Fund may enter into an option on a swap agreement, also called a “swaption”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based premium. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the Counterparties.

Put options may be used by the Fund to hedge securities it owns by locking in a minimum price at which the Fund can sell. If security prices fall, the put option could be exercised to offset all or a portion of the Fund’s resulting losses. At the same time, because the maximum the Fund has at risk is the cost of the option, purchasing put options does not eliminate the potential for the Fund to profit from an increase in the value of the underlying portfolio securities. The Fund may write put options to earn additional income in the form of option premiums if it expects the price of the underlying instrument to remain stable or rise during the option period so that the option will not be exercised. The risk in this strategy is that the price of the underlying securities may decline by an amount greater than the premium received. Put options written are reported as a liability in the Statement of Assets and Liabilities. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations as Net realized gain from Investment securities. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased.

J. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, volatility, variance, index, currency and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, equity, currency or credit risk. Such transactions are agreements between Counterparties. A swap agreement may be negotiated bilaterally and traded over-the-counter (“OTC”) between two parties (“uncleared/OTC”) or, in some instances, must be transacted through a future commission merchant (“FCM”) and cleared through a clearinghouse that serves as a central Counterparty (“centrally cleared swap”). These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, volatility, variance, index, and currency swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index.

In a centrally cleared swap, the Fund’s ultimate Counterparty is a central clearinghouse. The Fund initially will enter into centrally cleared swaps through an executing broker. When a fund enters into a centrally cleared swap, it must deliver to the central Counterparty (via the FCM) an amount referred to as “initial margin.” Initial margin requirements are determined by the central Counterparty, but an FCM may require additional initial margin above the amount required by the central Counterparty. Initial margin deposits required upon entering into centrally cleared swaps are satisfied by cash or securities as collateral at the FCM. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities. During the term of a cleared swap agreement, a “variation margin” amount may be required to be paid by the Fund or may be received by the Fund, based on the daily change in price of the underlying reference instrument subject to the swap agreement and is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities until the centrally cleared swap is terminated at which time a realized gain or loss is recorded.

A CDS is an agreement between Counterparties to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the “par value”, of the referenced obligation to the Fund. A seller of a CDS is said to sell protection

 

Invesco Unconstrained Bond Fund

J. Swap Agreements – (continued)

 

and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer “par value” or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its Counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Fund’s maximum risk of loss from Counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the Counterparty and by the designation of collateral by the Counterparty to cover the Fund’s exposure to the Counterparty.

Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing CDS contract and serve as an indicator of the current status of the payment/performance risk of the CDS. An implied spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets.

A volatility swap involves an exchange between the Fund and a Counterparty of periodic payments based on the measured volatility of an underlying security, currency, commodity, interest rate, index or other reference asset over a specified time frame. Depending on the structure of the swap, either the Fund’s or the Counterparty’s payment obligation will typically be based on the realized volatility of the reference asset as measured by changes in its price or level over a specified time period while the other party’s payment obligation will be based on a specified rate representing expected volatility for the reference asset at the time the swap is executed, or the measured volatility of a different reference asset over a specified time period. The Fund will typically make or lose money on a volatility swap depending on the magnitude of the reference asset’s volatility, or size of the movements in its price, over a specified time period, rather than general increases or decreases in the price of the reference asset. Volatility swaps are often used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of other investments held by the Fund. Variance swaps are similar to volatility swaps except payments are based on the difference between the implied and measured volatility mathematically squared.

An interest rate swap is an agreement between Counterparties pursuant to which the parties exchange a floating rate payment for a fixed rate payment based on a specified notional amount.

Changes in the value of centrally cleared and OTC swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. A short position in a security poses more risk than holding the same security long. As there is no limit on how much the price of the security can increase, the Fund’s exposure is unlimited.

K. Leverage Risk – Leverage exists when the Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.

 

Invesco Unconstrained Bond Fund

L. Other Risks – The Fund is non-diversified and may invest in securities of fewer issuers than if it were diversified. Thus, the value of the Fund’s shares may vary more widely and the Fund may be subject to greater market and credit risk than if the Fund invested more broadly.

The Fund may invest in lower-quality debt securities, i.e., “junk bonds”. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claim.

M. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — 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 January 31, 2016. 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  

Equity Securities

    $     1,037,931       $ —      $ —       $ 1,037,931   

U.S. Treasury Securities

      —         494,454        —         494,454   

U.S. Government Sponsored Agency Securities

      —         126,544        —         126,544   

Asset-Backed Securities

      —         16,522,621        —         16,522,621   

Corporate Debt Securities

      —         5,363,869        —         5,363,869   

Foreign Debt Securities

      —         2,249,337        —         2,249,337   

Municipal Obligations

      —         284,834        —         284,834   

Options Purchased

      —         234,062        —         234,062   
       1,037,931         25,275,721        —         26,313,652   

Forward Foreign Currency Contracts*

      —         74,953        —         74,953   

Futures Contracts*

      (148,412)         —        —         (148,412)   

Swap Agreements*

      —         (176,475 )      —         (176,475 ) 

Total

    $ 889,519       $     25,174,199      $         —       $     26,063,718   

* Unrealized appreciation (depreciation).

 

Invesco Unconstrained Bond Fund

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of January 31, 2016:

 

     Value
Risk Exposure/ Derivative Type    Assets      Liabilities

Credit risk:

        

Swap agreements

    $—      $(1,026)

Currency risk:

        

Forward foreign currency contracts

    100,657      (25,704)

Interest rate risk:

        

Futures contracts (a)

    45,775      (194,187)

Options purchased (b)

    234,062      —

Swap agreements (c)

    35,331      (210,780)

Total

    $415,825      $(431,697)

 

(a)  Includes cumulative appreciation (depreciation) of futures contracts.

 

(b)  Options purchased at value as reported in the Schedule of Investments.

 

(c)  Includes cumulative appreciation (depreciation) of centrally cleared swap agreements.

Effect of Derivative Investments for the three months ended January 31, 2016

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

     Location of Gain (Loss) on Statement of Operations
      Forward Foreign
Currency Contracts		      Futures
Contracts		      Options
Purchased(a)		      Options
Written		      Swap
Agreements    

Realized Gain (Loss):

                                 

Credit Risk

    $—      $—      $—      $—      $  25,078

Currency Risk

    75,843      —      26,753      (664)      —

Equity Risk

    —      —      —      —      (46,378)

Interest Rate Risk

    —      (9,408)      (198,357)      —      144,464

Change in Net Unrealized

Appreciation (Depreciation):

                                 

Credit Risk

    —      —      —      —      16,168

Currency Risk

    32,093      —      6,265      (2,184)      —

Equity Risk

    —      —      —      —      (131,117)

Interest Rate Risk

    —      (118,432)      196,370      —      (300,174)

Total

    $ 107,936      $  (127,840)      $  31,031      $  (2,848)      $  (291,959)
(a)  Options purchased are included in the net realized gain (loss) from investment securities and the change in net unrealized appreciation (depreciation) of investment securities.

The table below summarizes the three month average notional value of forward foreign currency contracts, futures contracts, options purchased and swap agreements and the two month average notional value of options written.

 

      Forward Foreign
Currency Contracts		      Futures
Contracts		     

Options

Purchased

      Options
Written		      Swap
Agreements

Average notional value

    $10,959,920      $16,083,948      $47,789,725      $2,034,587      $34,503,333

 

Invesco Unconstrained Bond Fund

Open Forward Foreign Currency Contracts  
                      Unrealized   
Settlement        Contract to      Notional     

Appreciation

(Depreciation)

  
Date   Counterparty    Deliver      Receive      Value     

02/02/16

  

State Street Bank and Trust Co.

    BRL      820,000       USD      212,248      $ 204,804       $ 7,444   

02/02/16

  

State Street Bank and Trust Co.

    USD      203,222       BRL      820,000        204,804         1,582   

02/04/16

  

Goldman Sachs International

    KRW      530,000,000       USD      435,104         441,234         (6,130 ) 

02/04/16

  

Goldman Sachs International

    USD      190,713       KRW      230,000,000         191,479         766   

02/04/16

  

JPMorgan Chase Bank, N.A.

    KRW      1,058,000,000       USD      912,333         880,802         31,531   

02/04/16

  

JPMorgan Chase Bank, N.A.

    USD      256,940       KRW      298,000,000         248,090         (8,850 ) 

02/04/16

  

JPMorgan Chase Bank, N.A.

    USD      881,001       KRW      1,060,000,000         882,467         1,466   

02/09/16

  

Barclays Bank PLC

    GBP      514,708       USD      780,833         733,443         47,390   

02/09/16

  

Barclays Bank PLC

    USD      87,585       GBP      60,000         85,498         (2,087 ) 

03/02/16

  

State Street Bank and Trust Co.

    BRL      820,000       USD      201,544         203,067         (1,523 ) 

03/11/16

  

Barclays Bank PLC

    EUR      488,105       USD      533,063         529,354         3,709   

03/11/16

  

Barclays Bank PLC

    SGD      275,000       USD      190,923         192,876         (1,953 ) 

03/11/16

  

Barclays Bank PLC

    USD      322,117       EUR      295,104         320,043         (2,074 ) 

04/15/16

  

Deutsche Bank Securities Inc.

    CNY      4,216,590       USD      630,000         632,052         (2,052 ) 

04/15/16

  

Deutsche Bank Securities Inc.

    USD      630,000       CNY      4,215,960        631,958         1,958   

04/29/16

  

Goldman Sachs International

    KRW      247,000,000       USD      206,056         203,920         2,136   

04/29/16

  

Goldman Sachs International

    USD      204,955       KRW      247,000,000         203,920         (1,035 ) 

04/29/16

  

State Street Bank and Trust Co.

    EUR      1,230,870       USD      1,337,559           1,336,833         726   

05/02/16

  

Goldman Sachs International

    KRW      230,000,000       USD      190,248         189,877         371   

05/03/16

  

Citigroup Global Markets Inc.

    USD      201,191       MXN      3,700,000         202,769         1,578   

Total Forward Foreign Currency Contracts—Currency Risk

  

             $   74,953   

 

Open Futures Contracts  
Futures Contracts    Type of
Contract		      Number of
Contracts		      Expiration
Month		      Notional
Value		        Unrealized
Appreciation
(Depreciation)		  

Euro Bobl

    Short      4      March-2016      $ (573,872 )           $ (6,063 ) 

Euro Bonds

    Short      19      March-2016        (3,362,339 )         (72,797 ) 

Euro Schatz

    Short      9      March-2016        (1,090,311 )         (3,187 ) 

Long Gilt

    Short      5      March-2016        (847,250 )         (21,573 ) 

U.S. Treasury 5 Year Notes

    Short      45      March-2016        (5,430,234 )         (90,567 ) 

U.S. Treasury 10 Year Notes

    Long      21      March-2016        2,721,141           26,688   

U.S. Treasury Ultra Bonds

    Long      3      March-2016        498,563           19,087   

Total Futures Contracts—Interest Rate Risk

                            $ (148,412 ) 

Currency Abbreviations:

 

BRL    —    Brazilian Real    GBP    —    British Pound Sterling    USD    —    U.S. Dollar   
CNY    —    China Renminbi    KRW    —    South Korean Won    SGD    —    Singapore Dollar   
EUR    —    Euro    MXN    —    Mexican New Peso            

 

Invesco Unconstrained Bond Fund

Options Written Transactions  
     Call Options      Put Options  
            Notional Value      Premiums Received              Notional Value      Premiums Received  

Beginning of period

    USD      2,100,000         $  10,630         EUR         470,000         $  2,223   

Written

    USD      730,000         4,161         EUR         —         —   

Closed

    USD      (1,780,000)         (11,891)         EUR         (470,000)         (2,223)   

Expired

    USD      (1,050,000)         (2,900)         EUR         —         —   

End of period

    USD      —         $         —         EUR         —         $       —   

 

Open Over-The-Counter Credit Default Swap Agreements—Credit Risk  
Counterparty    Reference
Entity		   

Buy/

Sell

Protection

   

(Pay)/

Receive

Fixed
Rate

   Expiration
Date		    Implied
Credit
Spread(a)		     

Notional

Value

      Upfront
Payments
Paid
(Received)		     

Unrealized

Appreciation

(Depreciation)

  

Goldman Sachs International

    McKesson Corp.    Buy    (1.00)%   03/20/19      0.12%       $ (300,000 )     $ (7,254 )     $ (1,026 ) 

 

Open Centrally Cleared Interest Rate Swap Agreements  
Counterparty/ Clearinghouse    Pay/
Receive
Floating
Rate		    Floating Rate Index    Fixed
Rate		      Termination
Date		    Notional
Value		    

Unrealized
Appreciation

(Depreciation)

  

Credit Suisse Securities (USA) LLC/CME

    Pay    3 Month USD LIBOR      2.396%       01/13/36    $ 1,250,000          $ 35,331   

Credit Suisse Securities (USA) LLC/CME

    Receive    3 Month USD LIBOR      1.762       06/14/21      (1,140,000 )      (10,092 ) 

Credit Suisse Securities (USA) LLC/CME

    Receive    3 Month USD LIBOR      2.070       03/21/23      (4,190,000 )      (61,105 ) 

Credit Suisse Securities (USA) LLC/CME

    Receive    3 Month USD LIBOR      2.455       07/17/25      (1,250,000 )      (74,380 ) 

Credit Suisse Securities (USA) LLC/CME

    Receive    3 Month USD LIBOR      2.424       07/27/25      (1,150,000 )      (65,203 ) 

Total Interest Rate Swap Agreements—Interest Rate Risk

                $ (175,449 ) 

Abbreviations:

 

CME – Chicago Mercantile Exchange    LIBOR – London Interbank Offered Rate
EUR — Euro    USD — U.S. Dollar

 

(a)  Implied credit spreads represent the current level as of January 31, 2016 at which protection could be bought or sold given the terms of the existing credit default swap contract and serve as an indicator of the current status of the payment/performance risk of the credit default swap contract. An implied credit spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets generally.

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the three months ended January 31, 2016 was $4,845,015 and $5,161,658, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis  

Aggregate unrealized appreciation of investment securities

    $             207,707   

Aggregate unrealized (depreciation) of investment securities

      (965,963 ) 

Net unrealized appreciation (depreciation) of investment securities

    $ (758,256 ) 

Cost of investments for tax purposes is $27,071,908.

   

 

Invesco Unconstrained Bond Fund

Item 2. Controls and Procedures.

 

  (a) As of February 12, 2016, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the Principal Executive Officer (“PEO”) and Principal Financial Officer (“PFO”), to assess the effectiveness of the Registrant’s disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act of 1940 (“Act”), as amended. Based on that evaluation, the Registrant’s officers, including the PEO and PFO, concluded that, as of February 12, 2016, the Registrant’s disclosure controls and procedures were reasonably designed so as to ensure: (1) that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission; and (2) that material information relating to the Registrant is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure.

 

  (b) There have been no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

Certifications of PEO and PFO as required by Rule 30a-2(a) under the Investment Company Act of 1940.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:    AIM Investment Funds (Invesco Investment Funds)

 

By:

  

  /s/ Sheri Morris

    Sheri Morris
    Principal Executive Officer

Date:

     March 31, 2016

Pursuant to the requirements of the Securities and Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:

  

  /s/ Sheri Morris

    Sheri Morris
    Principal Executive Officer

Date:

     March 31, 2016

 

By:

  

  /s/ Kelli Gallegos

    Kelli Gallegos
    Principal Financial Officer

Date:

     March 31, 2016

EXHIBIT INDEX

Certifications of Principal Executive Officer (“PEO”) and Principal Financial Officer (“PFO”) as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended.