NPORT-EX 2 edgar.htm HTML

Consolidated Schedule of Investments

July 31, 2022

(Unaudited)

 

     Interest
Rate		     

Maturity

Date

      Principal
Amount
(000)		      Value  

 

  

U.S. Treasury Securities–40.55%(a)

            

U.S. Treasury Bills–12.84%

            

U.S. Treasury Bills

      0.73%        09/08/2022      $ 9,400      $ 9,392,819  

 

  

U.S. Treasury Bills

      1.48%        11/25/2022        10,630        10,542,914  

 

  

U.S. Treasury Bills

      1.74%        12/08/2022        1,540        1,525,748  

 

  
              21,461,481  

 

  

U.S. Treasury Floating Rate Notes–27.71%

            

U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate - 0.02%)(b)

      2.49%        01/31/2024        23,500        23,559,257  

 

  

U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate - 0.08%)(b)

      2.43%        04/30/2024        22,700        22,725,970  

 

  
              46,285,227  

 

  

Total U.S. Treasury Securities (Cost $67,702,974)

               67,746,708  

 

  
                   Shares         

Money Market Funds–43.45%

            

Invesco Government & Agency Portfolio, Institutional Class, 1.71%(c)(d)

            29,109,308        29,109,308  

 

  

Invesco Liquid Assets Portfolio, Institutional Class, 1.67%(c)(d)

            11,148,136        11,148,136  

 

  

Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio (Ireland), Institutional Class, 1.68%(c)(d)

            14,727,219        14,727,219  

 

  

Invesco Treasury Portfolio, Institutional Class, 1.66%(c)(d)

            17,590,066        17,590,066  

 

  

Total Money Market Funds (Cost $72,572,137)

               72,574,729  

 

  

Options Purchased–3.77%

            

(Cost $8,952,652)(e)

               6,300,115  

 

  

TOTAL INVESTMENTS IN SECURITIES–87.77% (Cost $149,227,763)

               146,621,552  

 

  

OTHER ASSETS LESS LIABILITIES–12.23%

               20,425,310  

 

  

NET ASSETS–100.00%

             $ 167,046,862  

 

  

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 July 31, 2022.

(c) 

Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the nine months ended July 31, 2022.

 

    

Value

October 31, 2021

     

Purchases

at Cost

     

Proceeds

from Sales

      Change in
Unrealized
Appreciation		      Realized
Gain
(Loss)		     

Value

July 31, 2022

      Dividend Income  

 

  
Investments in Affiliated Money Market Funds:                     

 

  

Invesco Government & Agency Portfolio, Institutional Class

      $  53,989,266            $  99,509,760        $(124,389,718)        $       -            $          -        $29,109,308        $121,723          

 

  

Invesco Liquid Assets Portfolio, Institutional Class

      18,897,176            71,078,400        (78,821,226)        3,286            (9,500)        11,148,136        35,319          

 

  

Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio, Institutional Class

      20,435,916            77,183,569        (82,892,266)        -            -        14,727,219        37,463          

 

  

Invesco Treasury Portfolio, Institutional Class

      29,978,590            113,725,440        (126,113,964)        -            -        17,590,066        48,347          

 

  

Total

      $123,300,948            $361,497,169        $(412,217,174)        $3,286            $(9,500)        $72,574,729        $242,852          

 

  

 

(d) 

The rate shown is the 7-day SEC standardized yield as of July 31, 2022.

(e) 

The table below details options purchased.

 

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

 

                                          Invesco Macro Allocation Strategy Fund

Open Exchange-Traded Index Options Purchased(a)  

 

  
Description    Type of
Contract		      Expiration
Date		      Number of
Contracts		     

Exercise

Price

     

Notional

Value*

      Value  

 

  

Equity Risk

                 

 

  

S&P 500 Index

      Put          09/16/2022        17          USD       4,350.00        USD       7,395,000      $ 417,775  

 

  

S&P 500 Index

      Put          10/21/2022        17          USD       4,250.00        USD       7,225,000        361,250  

 

  

S&P 500 Index

      Put          08/19/2022        17          USD       4,250.00        USD       7,225,000        239,190  

 

  

S&P 500 Index

      Put          11/18/2022        17          USD       4,450.00        USD       7,565,000        617,610  

 

  

S&P 500 Index

      Put          12/16/2022        17          USD       4,475.00        USD       7,607,500        671,500  

 

  

S&P 500 Index

      Put          01/20/2023        17          USD       4,650.00        USD       7,905,000        903,550  

 

  

S&P 500 Index

      Put          02/17/2023        17          USD       4,375.00        USD       7,437,500        611,490  

 

  

S&P 500 Index

      Put          03/17/2023        17          USD       4,175.00        USD       7,097,500        477,530  

 

  

S&P 500 Index

      Put          04/21/2023        17          USD       4,450.00        USD       7,565,000        734,060  

 

  

S&P 500 Index

      Put          06/16/2023        17          USD       4,025.00        USD       6,842,500        461,125  

 

  

S&P 500 Index

      Put          07/21/2023        17          USD       3,750.00        USD       6,375,000        350,030  

 

  

S&P 500 Index

      Put          05/19/2023        17          USD       4,050.00        USD       6,885,000        455,005  

 

  

Total Index Options Purchased

                       $ 6,300,115  

 

  

 

(a) 

Open Exchange-Traded Index Options Purchased collateralized by $4,095,000 cash held with Morgan Stanley & Co.

*

Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier.

 

Open Futures Contracts(a)  

 

  
Long Futures Contracts    Number of
Contracts		     

Expiration

Month

      Notional
Value		      Value     Unrealized
Appreciation
(Depreciation)		  

 

  

Commodity Risk

              

 

  

Low Sulphur Gas Oil

      3              December-2022      $ 307,200      $ 12,546     $ 12,546  

 

  

Soybean Meal

      65              December-2022        2,720,250        188,305       188,305  

 

  

Brent Crude

      13              September-2022        1,318,720        (41,651 )      (41,651 ) 

 

  

Coffee ‘C’

      31              September-2022        2,524,950        (207,044 )      (207,044 ) 

 

  

Cotton No. 2

      17              December-2022        822,290        (238,882 )      (238,882 ) 

 

  

Gasoline Reformulated Blendstock Oxygenate Blending

      9              August-2022        1,176,790        28,369       28,369  

 

  

LME Primary Aluminum

      169              October-2022        10,586,752        171,603       171,603  

 

  

New York Harbor Ultra-Low Sulfur Diesel

      3              November-2022        428,803        (34,386 )      (34,386 ) 

 

  

Soybeans

      11              November-2022        807,675        (26,955 )      (26,955 ) 

 

  

WTI Crude

      6              September-2022        580,500        (33,247 )      (33,247 ) 

 

  

Subtotal

               (181,342 )      (181,342 ) 

 

  

Equity Risk

              

 

  

E-Mini Russell 2000 Index

      18              September-2022        1,696,770        58,555       58,555  

 

  

E-Mini S&P 500 Index

      72              September-2022        14,880,600        1,256,702       1,256,702  

 

  

EURO STOXX 50 Index

      23              September-2022        870,234        43,006       43,006  

 

  

FTSE 100 Index

      41              September-2022        3,683,571        119,466       119,466  

 

  

S&P/TSX 60 Index

      4              September-2022        741,556        (18,450 )      (18,450 ) 

 

  

Subtotal

               1,459,279       1,459,279  

 

  

Interest Rate Risk

              

 

  

Australia 10 Year Bonds

      600              September-2022        52,388,958        2,308,414       2,308,414  

 

  

Canada 10 Year Bonds

      319              September-2022        32,496,623        1,350,699       1,350,699  

 

  

Euro-Bund

      128              September-2022        20,622,837        956,941       956,941  

 

  

Japan 10 Year Bonds

      23              September-2022        25,959,730        215,177       215,177  

 

  

Long Gilt

      84              September-2022        12,089,245        307,832       307,832  

 

  

U.S. Treasury Long Bonds

      55              September-2022        7,920,000        160,917       160,917  

 

  

Subtotal

               5,299,980       5,299,980  

 

  

Subtotal-Long Futures Contracts

               6,577,917       6,577,917  

 

  

 

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

 

                                          Invesco Macro Allocation Strategy Fund

Open Futures Contracts(a)-(continued)  

 

  
Short Futures Contracts    Number of
Contracts		     

Expiration

Month

      Notional
Value		     Value     Unrealized
Appreciation
(Depreciation)		  

 

  

Commodity Risk

             

 

  

Gold 100 oz.

      18              December-2022      $ (3,207,240 )    $ (101,748 )      $  (101,748 ) 

 

  

Soybean Oil

      29              December-2022        (1,142,484 )      (131,457 )      (131,457 ) 

 

  

Cocoa

      53              September-2022        (1,231,190 )      91,375       91,375  

 

  

Corn

      59              December-2022        (1,829,000 )      217,044       217,044  

 

  

Kansas City Wheat

      9              December-2022        (396,675 )      5,482       5,482  

 

  

Lean Hogs

      95              December-2022        (3,338,300 )      (184,776 )      (184,776 ) 

 

  

Live Cattle

      8              December-2022        (474,080 )      4,786       4,786  

 

  

LME Primary Aluminum

      169              October-2022        (10,586,752 )      1,201,446       1,201,446  

 

  

LME Nickel

      12              September-2022        (1,699,488 )      35,297       35,297  

 

  

Natural Gas

      43              November-2022        (3,600,820 )      (901,291 )      (901,291 ) 

 

  

Silver

      17              September-2022        (1,716,745 )      (35,436 )      (35,436 ) 

 

  

Sugar No. 11

      30              February-2023        (594,384 )      20,244       20,244  

 

  

Wheat

      62              December-2022        (2,559,825 )      743,800       743,800  

 

  

Subtotal

              964,766       964,766  

 

  

Equity Risk

             

 

  

MSCI EAFE Index

      127              September-2022        (12,395,835 )      231,517       231,517  

 

  

MSCI Emerging Markets Index

      203              September-2022        (10,134,775 )      28,914       28,914  

 

  

Tokyo Stock Price Index

      1              September-2022        (145,294 )      (5,714 )      (5,714 ) 

 

  

Subtotal

              254,717       254,717  

 

  

Subtotal-Short Futures Contracts

              1,219,483       1,219,483  

 

  

Total Futures Contracts

            $ 7,797,400       $7,797,400  

 

  

 

(a) 

Futures contracts collateralized by $6,938,146 cash held with Goldman Sachs & Co. LLC, the futures commission merchant.

 

Open Over-The-Counter Total Return Swap Agreements(a)  

 

  
Counterparty    Pay/
Receive		      Reference Entity(b)    Fixed
Rate		     Payment
Frequency		     

Number of

Contracts

      Maturity Date      Notional Value     Upfront
Payments
Paid
(Received)		      Value     Unrealized
Appreciation
(Depreciation)		  

 

  

Commodity Risk

                             

 

  

Macquarie Bank Ltd.

      Receive      Macquarie F6 Carry Alpha Index      (0.32 )%      Monthly        194,250        April-2023      USD     50,592,743      
 $–
  
 		    $ 82,071       $  82,071   

 

  

Merrill Lynch International

      Pay      MLCX Dynamic Enhanced Copper Excess Return Index      0.10       Monthly        830        July-2023      USD     (613,361 )      –        0       0   

 

  

Subtotal - Appreciation

                     –        82,071       82,071   

 

  

Commodity Risk

                             

 

  

Morgan Stanley Capital Services LLC

      Pay      S&P GSCI Aluminum Dynamic Roll Index Excess Return      0.03       Monthly        28,300        June-2023      USD     (3,205,300 )      –        (101,416 )      (101,416)  

 

  

Total – Total Return Swap Agreements

                     $–        $ (19,345 )      $  (19,345)  

 

  

 

(a) 

The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively.

(b) 

The Reference Entity Components table below includes additional information regarding the underlying components of certain reference entities that are not publicly available.

 

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

 

                                          Invesco Macro Allocation Strategy Fund

Open Over-The-Counter Total Return Swap Agreements(a)  

 

  
Counterparty    Pay/
Receive		    Reference
Entity		    Floating
Rate
Index		     Payment
Frequency		      Number of
Contracts		      Maturity Date      Notional Value      Upfront
Payments
Paid
(Received)		      Value      Unrealized
Appreciation		  

 

  

Commodity Risk

                         

 

  

BNP Paribas S.A.

    Receive   

Invesco U.S. Low Volatility Total

Return Index

     
 SOFR +
0.600%		  
 		     Monthly        666        September-2022      USD     4,001,448        $–        $ 134,673        $   134,673  

 

  

BNP Paribas S.A.

    Receive    Invesco US Large Cap Broad Quality Total Return Index     
 SOFR +
0.280%		  
 		     Monthly        475        November-2022      USD     3,993,871        –        251,958        251,958  

 

  

BNP Paribas S.A.

    Receive    MSCI EAFE Minimum Volatility Daily Net Total Return Index     
 SOFR +
0.230%		  
 		     Monthly        2,120        September-2022      USD     3,965,714        –        126,818        126,818  

 

  

Citibank, N.A.

    Receive    MSCI EAFE Momentum Index     
 SOFR +
0.10%		  
 		     Monthly        690        October-2022      USD     3,904,924        –        155,174        155,174  

 

  

Citibank, N.A.

    Receive    MSCI EAFE Quality Index     
 SOFR +
0.14%		  
 		     Monthly        990        October-2022      USD     4,001,946        –        240,348        240,348  

 

  

J.P. Morgan Chase Bank, N.A.

    Receive    Invesco Emerging Markets + Korea Large Cap Broad Price Momentum Index     
 SOFR +
0.550%		  
 		     Monthly        920        November-2022      USD     5,700,339        –        256,723        256,723  

 

  

J.P. Morgan Chase Bank, N.A.

    Receive    Invesco US Large Cap Broad Price Momentum Index     
 SOFR +
0.280%		  
 		     Monthly        580        November-2022      USD     3,975,047        –        273,952        273,952  

 

  

J.P. Morgan Chase Bank, N.A.

    Receive    MSCI Emerging Markets Minimum Volatility Index     
 SOFR +
0.680%		  
 		     Monthly        3,220        December-2022      USD     5,907,283        –        62,854        62,854  

 

  

Total – Total Return Swap Agreements

 

                   $–        $ 1,502,500        $1,502,500  

 

  

 

(a) 

The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively.

 

Reference Entity Components  

 

  
Reference Entity    Underlying Components    Percentage  

 

  

MLCX Dynamic Enhanced Copper Excess Return Index

      
   Long Futures Contracts   
  

 

  
   Copper      100%  
  

 

  

Macquarie F6 Carry Alpha Index

      

 

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

 

                                          Invesco Macro Allocation Strategy Fund

Reference Entity Components–(continued)  

 

  
Reference Entity    Underlying Components    Percentage  

 

  
   Long Futures Contracts   
  

 

  
   Aluminum      4.50%  
  

 

  
   Coffee ‘C’      3.04%  
  

 

  
   Copper      5.50%  
  

 

  
   Corn      7.18%  
  

 

  
   Cotton No. 2      1.51%  
  

 

  
   Heating Oil      3.34%  
  

 

  
   KC HRW Wheat      2.38%  
  

 

  
   Lean Hogs      2.39%  
  

 

  
   Live Cattle      4.93%  
  

 

  
   Low Sulphur Gasoil      4.50%  
  

 

  
   Natural Gas      15.48%  
  

 

  
   Nickel      3.90%  
  

 

  
   RBOB Gasoline      3.03%  
  

 

  
   Soybean Meal      4.34%  
  

 

  
   Soybean Oil      4.32%  
  

 

  
   Soybeans      7.58%  
  

 

  
   Sugar No. 11      3.34%  
  

 

  
   Wheat      3.98%  
  

 

  
   WTI Crude      11.33%  
  

 

  
   Zinc      3.43%  
  

 

  
   Total      100%  
  

 

  
   Short Futures Contracts   
  

 

  
   Aluminum      (4.19)%  
  

 

  
   Coffee ‘C’      (2.94)%  
  

 

  
   Copper      (5.11)%  
  

 

  
   Corn      (6.58)%  
  

 

  
   Cotton No. 2      (1.46)%  
  

 

  
   Heating Oil      (3.41)%  
  

 

  
   KC HRW Wheat      (2.19)%  
  

 

  
   Lean Hogs      (2.37)%  
  

 

  
   Live Cattle      (4.28)%  
  

 

  
   Low Sulphur Gasoil      (4.69)%  
  

 

  
   Natural Gas      (19.02)%  
  

 

  
   Nickel      (3.61)%  
  

 

  
   RBOB Gasoline      (3.30)%  
  

 

  
   Soybean Meal      (4.13)%  
  

 

  
   Soybean Oil      (4.08)%  
  

 

  
   Soybeans      (7.07)%  
  

 

  
   Sugar No. 11      (3.11)%  
  

 

  
   Wheat      (3.57)%  
  

 

  
   WTI Crude      (11.51)%  
  

 

  
   Zinc      (3.38)%  
  

 

  
   Total      (100.00)%  
  

 

  
S&P GSCI Aluminum Dynamic Roll Index Excess Return      
   Long Futures Contracts   
  

 

  
   Aluminum      100%  
  

 

  

Abbreviations:

SOFR –Secured Overnight Financing Rate

USD    –U.S. Dollar

 

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

 

                                          Invesco Macro Allocation Strategy Fund

The valuation policy and a listing of other significant accounting policies are available in the most recent shareholder report.

 

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

 

                                          Invesco Macro Allocation Strategy Fund

Notes to Quarterly Consolidated Schedule of Portfolio Holdings

July 31, 2022

(Unaudited)

NOTE 1–Additional Valuation Information

Generally Accepted Accounting Principles (“GAAP”) defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:

Level 1 -   Prices are determined using quoted prices in an active market for identical assets.
Level 2 -   Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.
Level 3 -   Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.

The following is a summary of the tiered valuation input levels, as of July 31, 2022. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the consolidated financial statements may materially differ from the value received upon actual sale of those investments.

 

     Level 1     Level 2     Level 3      Total  

 

  

Investments in Securities

          

 

  

U.S. Treasury Securities

      $                  –       $67,746,708       $–          $  67,746,708  

 

  

Money Market Funds

      72,574,729       –       –        72,574,729  

 

  

Options Purchased

      6,300,115       –       –        6,300,115  

 

  

Total Investments in Securities

      78,874,844       67,746,708       –        146,621,552  

 

  

Other Investments - Assets*

          

 

  

Futures Contracts

      9,758,437       –       –        9,758,437  

 

  

Swap Agreements

      –       1,584,571       –        1,584,571  

 

  
     9,758,437       1,584,571       –        11,343,008  

 

  

Other Investments - Liabilities*

          

 

  

Futures Contracts

      (1,961,037 )      –       –        (1,961,037 ) 

 

  

Swap Agreements

      –       (101,416 )      –        (101,416 ) 

 

  
     (1,961,037 )      (101,416 )      –        (2,062,453 ) 

 

  

Total Other Investments

      7,797,400       1,483,155       –        9,280,555  

 

  

Total Investments

      $86,672,244       $69,229,863       $–          $155,902,107  

 

  

 

*

Unrealized appreciation (depreciation).

 

                                          Invesco Macro Allocation Strategy Fund