Consolidated Schedule of Investments
July 31, 2021
(Unaudited)
Interest Rate | Maturity Date | Principal Amount (000) | Value | ||
U.S. Treasury Securities–33.43% | |||||
U.S. Treasury Bills–12.48%(a) | |||||
U.S. Treasury Bills | 0.02% | 10/21/2021 | $ 82,000 | $ 81,991,770 | |
U.S. Treasury Bills | 0.03% | 12/09/2021 | 112,900 | 112,880,783 | |
U.S. Treasury Bills | 0.05% | 01/20/2022 | 109,600 | 109,573,970 | |
304,446,523 | |||||
U.S. Treasury Notes–20.95% | |||||
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate + 0.15%)(b) | 0.20% | 01/31/2022 | 200,000 | 200,158,932 | |
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate + 0.11%)(b) | 0.16% | 04/30/2022 | 150,000 | 150,127,152 | |
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate + 0.06%)(b) | 0.10% | 07/31/2022 | 160,520 | 160,601,812 | |
510,887,896 | |||||
Total U.S. Treasury Securities (Cost $814,974,841) | 815,334,419 | ||||
Expiration Date | |||||
Commodity-Linked Securities–4.07% | |||||
Canadian Imperial Bank of Commerce EMTN, U.S. Federal Funds Effective Rate minus 0.02% (linked to the Canadian Imperial Bank of Commerce Custom 7 Agriculture Commodity Index, multiplied by 2) (Canada)(c)(d) | 10/22/2021 | 24,900 | 43,401,216 | ||
RBC Capital Markets LLC, Commodity-Linked Notes, U.S. Federal Funds Effective Rate minus 0.04% (linked to the RBC Enhanced Agricultural Basket 07 Excess Return Index) (Canada)(c)(d) | 10/28/2021 | 32,750 | 55,772,390 | ||
Total Commodity-Linked Securities (Cost $57,650,000) | 99,173,606 | ||||
Shares | |||||
Money Market Funds–55.12% | |||||
Invesco Government & Agency Portfolio, Institutional Class, 0.03%(e)(f) | 393,708,015 | 393,708,015 | |||
Invesco Liquid Assets Portfolio, Institutional Class, 0.01%(e)(f) | 134,701,140 | 134,755,021 | |||
Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio (Ireland), Institutional Class, 0.01%(e)(f) | 130,588,849 | 130,588,849 | |||
Invesco Treasury Obligations Portfolio, Institutional Class, 0.01%(e)(f) | 524,000,000 | 524,000,000 | |||
Invesco Treasury Portfolio, Institutional Class, 0.01%(e)(f) | 161,036,588 | 161,036,588 | |||
Total Money Market Funds (Cost $1,343,969,764) | 1,344,088,473 | ||||
Options Purchased–1.02% | |||||
(Cost $26,881,838)(g) | 24,911,212 | ||||
TOTAL INVESTMENTS IN SECURITIES–93.64% (Cost $2,243,476,443) | 2,283,507,710 | ||||
OTHER ASSETS LESS LIABILITIES–6.36% | 155,191,058 | ||||
NET ASSETS–100.00% | $2,438,698,768 |
Investment Abbreviations:
EMTN | – European Medium-Term Notes |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Balanced-Risk Allocation Fund
Notes to Consolidated Schedule of Investments:
(a) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. |
(b) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on July 31, 2021. |
(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 July 31, 2021 was $99,173,606, which represented 4.07% of the Fund’s Net Assets. |
(d) | The Reference Entity Components table below includes additional information regarding the underlying components of certain reference entities that are not publicly available. |
(e) | Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the nine months ended July 31, 2021. |
Value October 31, 2020 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain | Value July 31, 2021 | Dividend Income | |
Investments in Affiliated Money Market Funds: | |||||||
Invesco Government & Agency Portfolio, Institutional Class | $382,427,492 | $390,146,785 | $(378,866,262) | $- | $- | $393,708,015 | $78,246 |
Invesco Liquid Assets Portfolio, Institutional Class | 125,668,036 | 278,676,275 | (269,589,577) | (4,953) | 5,240 | 134,755,021 | 36,032 |
Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio, Institutional Class | 67,985,494 | 578,531,864 | (515,928,509) | - | - | 130,588,849 | 25,595 |
Invesco Treasury Obligations Portfolio, Institutional Class | 524,000,000 | - | - | - | - | 524,000,000 | 39,913 |
Invesco Treasury Portfolio, Institutional Class | 148,144,563 | 445,882,040 | (432,990,015) | - | - | 161,036,588 | 13,518 |
Total | $1,248,225,585 | $1,693,236,964 | $(1,597,374,363) | $(4,953) | $5,240 | $1,344,088,473 | $193,304 |
(f) | The rate shown is the 7-day SEC standardized yield as of July 31, 2021. |
(g) | The table below details options purchased. |
Open Exchange-Traded Index Options Purchased | ||||||||
Description | Type of Contract | Expiration Date | Number of Contracts | Exercise Price | Notional Value* | Value | ||
Equity Risk | ||||||||
EURO STOXX 50 Index | Put | 09/17/2021 | 160 | EUR | 3,450.00 | EUR | 27,600,000 | $27,901 |
EURO STOXX 50 Index | Put | 12/17/2021 | 160 | EUR | 3,400.00 | EUR | 27,200,000 | 89,396 |
EURO STOXX 50 Index | Put | 03/18/2022 | 160 | EUR | 3,500.00 | EUR | 28,000,000 | 172,718 |
EURO STOXX 50 Index | Put | 06/17/2022 | 160 | EUR | 3,750.00 | EUR | 30,000,000 | 366,124 |
EURO STOXX 50 Index | Put | 08/20/2021 | 160 | EUR | 3,850.00 | EUR | 30,800,000 | 31,697 |
EURO STOXX 50 Index | Put | 06/17/2022 | 160 | EUR | 3,850.00 | EUR | 30,800,000 | 423,634 |
EURO STOXX 50 Index | Put | 03/18/2022 | 160 | EUR | 3,900.00 | EUR | 31,200,000 | 331,391 |
EURO STOXX 50 Index | Put | 10/15/2021 | 160 | EUR | 3,850.00 | EUR | 30,800,000 | 125,078 |
EURO STOXX 50 Index | Put | 11/19/2021 | 160 | EUR | 3,950.00 | EUR | 31,600,000 | 217,321 |
EURO STOXX 50 Index | Put | 06/17/2022 | 160 | EUR | 3,800.00 | EUR | 30,400,000 | 393,645 |
EURO STOXX 50 Index | Put | 03/18/2022 | 160 | EUR | 3,450.00 | EUR | 27,600,000 | 159,622 |
EURO STOXX 50 Index | Put | 09/16/2022 | 160 | EUR | 3,850.00 | EUR | 30,800,000 | 497,276 |
FTSE 100 Index | Put | 08/20/2021 | 100 | GBP | 6,975.00 | GBP | 34,875,000 | 117,455 |
FTSE 100 Index | Put | 09/17/2021 | 100 | GBP | 6,950.00 | GBP | 34,750,000 | 193,905 |
FTSE 100 Index | Put | 10/15/2021 | 100 | GBP | 6,925.00 | GBP | 34,625,000 | 248,115 |
FTSE 100 Index | Put | 11/19/2021 | 100 | GBP | 6,900.00 | GBP | 34,500,000 | 308,580 |
FTSE 100 Index | Put | 12/17/2021 | 100 | GBP | 6,875.00 | GBP | 34,375,000 | 345,415 |
FTSE 100 Index | Put | 01/21/2022 | 100 | GBP | 6,875.00 | GBP | 34,375,000 | 403,795 |
FTSE 100 Index | Put | 02/18/2022 | 100 | GBP | 6,850.00 | GBP | 34,250,000 | 423,255 |
FTSE 100 Index | Put | 03/18/2022 | 100 | GBP | 6,800.00 | GBP | 34,000,000 | 453,835 |
FTSE 100 Index | Put | 04/14/2022 | 100 | GBP | 6,800.00 | GBP | 34,000,000 | 493,450 |
FTSE 100 Index | Put | 05/20/2022 | 100 | GBP | 6,775.00 | GBP | 33,875,000 | 530,286 |
FTSE 100 Index | Put | 06/17/2022 | 100 | GBP | 6,700.00 | GBP | 33,500,000 | 526,810 |
FTSE 100 Index | Put | 07/15/2022 | 100 | GBP | 6,400.00 | GBP | 32,000,000 | 426,035 |
MSCI Emerging Markets Index | Put | 09/17/2021 | 72 | USD | 1,300.00 | USD | 9,360,000 | 321,120 |
MSCI Emerging Markets Index | Put | 12/17/2021 | 72 | USD | 1,280.00 | USD | 9,216,000 | 462,600 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Balanced-Risk Allocation Fund
Open Exchange-Traded Index Options Purchased—(continued) | ||||||||
Description | Type of Contract | Expiration Date | Number of Contracts | Exercise Price | Notional Value* | Value | ||
MSCI Emerging Markets Index | Put | 04/14/2022 | 72 | USD | 1,280.00 | USD | 9,216,000 | $663,120 |
MSCI Emerging Markets Index | Put | 08/20/2021 | 72 | USD | 1,300.00 | USD | 9,360,000 | 225,720 |
MSCI Emerging Markets Index | Put | 10/15/2021 | 72 | USD | 1,350.00 | USD | 9,720,000 | 624,960 |
MSCI Emerging Markets Index | Put | 11/19/2021 | 72 | USD | 1,340.00 | USD | 9,648,000 | 637,200 |
MSCI Emerging Markets Index | Put | 01/21/2022 | 72 | USD | 1,290.00 | USD | 9,288,000 | 554,760 |
MSCI Emerging Markets Index | Put | 02/18/2022 | 72 | USD | 1,290.00 | USD | 9,288,000 | 593,640 |
MSCI Emerging Markets Index | Put | 05/20/2022 | 72 | USD | 1,280.00 | USD | 9,216,000 | 725,040 |
MSCI Emerging Markets Index | Put | 03/18/2022 | 72 | USD | 1,330.00 | USD | 9,576,000 | 797,400 |
MSCI Emerging Markets Index | Put | 06/17/2022 | 72 | USD | 1,330.00 | USD | 9,576,000 | 957,600 |
MSCI Emerging Markets Index | Put | 07/15/2022 | 75 | USD | 1,310.00 | USD | 9,825,000 | 986,625 |
Nikkei 225 Index | Put | 12/10/2021 | 45 | JPY | 27,250.00 | JPY | 61,312,500 | 533,248 |
Nikkei 225 Index | Put | 10/08/2021 | 45 | JPY | 27,250.00 | JPY | 61,312,500 | 393,783 |
Nikkei 225 Index | Put | 11/12/2021 | 45 | JPY | 27,250.00 | JPY | 61,312,500 | 488,127 |
Nikkei 225 Index | Put | 01/14/2022 | 45 | JPY | 27,000.00 | JPY | 60,750,000 | 570,166 |
Nikkei 225 Index | Put | 06/10/2022 | 45 | JPY | 27,750.00 | JPY | 62,437,500 | 951,643 |
Nikkei 225 Index | Put | 03/11/2022 | 45 | JPY | 27,750.00 | JPY | 62,437,500 | 795,771 |
Nikkei 225 Index | Put | 08/13/2021 | 45 | JPY | 28,500.00 | JPY | 64,125,000 | 488,127 |
Nikkei 225 Index | Put | 02/10/2022 | 45 | JPY | 28,000.00 | JPY | 63,000,000 | 808,076 |
Nikkei 225 Index | Put | 06/10/2022 | 45 | JPY | 27,250.00 | JPY | 61,312,500 | 849,095 |
Nikkei 225 Index | Put | 06/10/2022 | 45 | JPY | 27,500.00 | JPY | 61,875,000 | 898,318 |
Nikkei 225 Index | Put | 09/10/2021 | 45 | JPY | 28,250.00 | JPY | 63,562,500 | 488,127 |
Nikkei 225 Index | Put | 09/09/2022 | 45 | JPY | 27,500.00 | JPY | 61,875,000 | 1,013,172 |
S&P 500 Index | Put | 09/17/2021 | 13 | USD | 3,600.00 | USD | 4,680,000 | 11,245 |
S&P 500 Index | Put | 12/17/2021 | 13 | USD | 3,625.00 | USD | 4,712,500 | 62,075 |
S&P 500 Index | Put | 03/18/2022 | 13 | USD | 3,750.00 | USD | 4,875,000 | 134,485 |
S&P 500 Index | Put | 04/14/2022 | 13 | USD | 3,925.00 | USD | 5,102,500 | 190,450 |
S&P 500 Index | Put | 08/20/2021 | 13 | USD | 3,975.00 | USD | 5,167,500 | 8,125 |
S&P 500 Index | Put | 10/15/2021 | 13 | USD | 4,080.00 | USD | 5,304,000 | 73,905 |
S&P 500 Index | Put | 11/19/2021 | 13 | USD | 4,075.00 | USD | 5,297,500 | 109,005 |
S&P 500 Index | Put | 05/20/2022 | 13 | USD | 4,050.00 | USD | 5,265,000 | 250,185 |
S&P 500 Index | Put | 06/17/2022 | 13 | USD | 4,050.00 | USD | 5,265,000 | 268,710 |
S&P 500 Index | Put | 01/21/2022 | 13 | USD | 4,075.00 | USD | 5,297,500 | 161,785 |
S&P 500 Index | Put | 02/18/2022 | 13 | USD | 4,075.00 | USD | 5,297,500 | 185,900 |
S&P 500 Index | Put | 07/15/2022 | 13 | USD | 4,150.00 | USD | 5,395,000 | 321,165 |
Total Index Options Purchased | 4,683 | $24,911,212 |
* | Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier. |
Open Futures Contracts(a) | |||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Commodity Risk | |||||
Brent Crude | 678 | September-2021 | $50,572,020 | $387,470 | $387,470 |
Gasoline Reformulated Blendstock Oxygenate Blending | 539 | August-2021 | 52,852,939 | 3,117,255 | 3,117,255 |
New York Harbor Ultra-Low Sulfur Diesel | 142 | December-2021 | 13,040,882 | 217,136 | 217,136 |
Silver | 551 | September-2021 | 70,381,985 | (1,427,167) | (1,427,167) |
WTI Crude | 456 | September-2021 | 33,392,880 | 6,925,879 | 6,925,879 |
Subtotal | 9,220,573 | 9,220,573 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Balanced-Risk Allocation Fund
Open Futures Contracts(a)—(continued) | |||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Equity Risk | |||||
E-Mini Russell 2000 Index | 1,490 | September-2021 | $165,509,200 | $(6,813,808) | $(6,813,808) |
E-Mini S&P 500 Index | 335 | September-2021 | 73,524,125 | 2,871,938 | 2,871,938 |
EURO STOXX 50 Index | 1,900 | September-2021 | 92,138,369 | (805,438) | (805,438) |
FTSE 100 Index | 840 | September-2021 | 81,340,906 | (1,475,241) | (1,475,241) |
MSCI Emerging Market Index | 1,075 | September-2021 | 68,676,375 | (5,071,562) | (5,071,562) |
Nikkei 225 Index | 506 | September-2021 | 126,148,307 | (7,353,592) | (7,353,592) |
Subtotal | (18,647,703) | (18,647,703) | |||
Interest Rate Risk | |||||
Australia 10 Year Bonds | 3,915 | September-2021 | 417,730,790 | 13,237,054 | 13,237,054 |
Canada 10 Year Bonds | 3,235 | September-2021 | 383,786,750 | 8,167,975 | 8,167,975 |
Japan 10 Year Bonds | 70 | September-2021 | 97,178,798 | 455,673 | 455,673 |
Long Gilt | 2,080 | September-2021 | 375,249,088 | 7,791,602 | 7,791,602 |
U.S. Treasury Long Bonds | 1,315 | September-2021 | 216,605,156 | 10,651,227 | 10,651,227 |
Subtotal | 40,303,531 | 40,303,531 | |||
Total Futures Contracts | $30,876,401 | $30,876,401 |
(a) | Futures contracts collateralized by $73,313,303 cash held with Counterparties, 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 | |
Commodity Risk | |||||||||||
Barclays Bank PLC | Receive | Barclays Commodity Strategy 1452 Excess Return Index | 0.26% | Monthly | 38,500 | November—2021 | USD | 29,019,537 | $— | $742,226 | $742,226 |
Canadian Imperial Bank of Commerce | Receive | Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 | 0.30 | Monthly | 327,000 | February—2022 | USD | 37,455,561 | — | 1,294,658 | 1,294,658 |
Cargill, Inc. | Receive | Monthly Rebalance Commodity Excess Return Index | 0.47 | Monthly | 35,300 | February—2022 | USD | 32,267,998 | — | 1,111,583 | 1,111,583 |
Cargill, Inc. | Receive | Single Commodity Index Excess Return | 0.12 | Monthly | 32,400 | December—2021 | USD | 36,902,531 | — | 390,132 | 390,132 |
J.P. Morgan Chase Bank, N.A. | Receive | J.P. Morgan Contag Beta Gas Oil Excess Return Index | 0.25 | Monthly | 69,000 | March—2022 | USD | 12,800,017 | — | 457,732 | 457,732 |
J.P. Morgan Chase Bank, N.A. | Receive | S&P GSCI Gold Index Excess Return | 0.09 | Monthly | 262,000 | March—2022 | USD | 35,004,851 | — | 154,790 | 154,790 |
Macquarie Bank Ltd. | Receive | Macquarie Aluminium Dynamic Selection Index | 0.30 | Monthly | 415,000 | February—2022 | USD | 23,949,193 | — | 534,105 | 534,105 |
Merrill Lynch International | Receive | Merrill Lynch Gold Excess Return Index | 0.14 | Monthly | 209,000 | February—2022 | USD | 43,955,835 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCX Dynamic Enhanced Copper Excess Return Index | 0.25 | Monthly | 11,600 | February—2022 | USD | 10,558,402 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCX Natural Gas Annual Excess Return Index | 0.25 | Monthly | 326,000 | February—2022 | USD | 20,719,028 | — | 0 | 0 |
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(a)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity(b) | Fixed Rate | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation | |
Morgan Stanley and Co. International PLC | Receive | S&P GSCI Aluminum Dynamic Roll Index Excess Return | 0.30% | Monthly | 315,000 | July—2022 | USD | 34,682,539 | $— | $593,113 | $593,113 |
Royal Bank of Canada | Receive | RBC Enhanced Agricultural Basket 07 Excess Return Index | 0.40 | Monthly | 534,000 | July—2022 | USD | 56,842,645 | — | 0 | 0 |
Total — Total Return Swap Agreements | $— | $5,278,339 | $5,278,339 |
(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. |
Open Over-The-Counter Total Return Swap Agreements(a) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity(b) | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Equity Risk | |||||||||||
BNP Paribas S.A. | Receive | MSCI EMU Momentum Index | 1 Month EURIBOR - 0.100% | Monthly | 7,900 | September—2021 | EUR | 49,395,256 | $— | $1,024,885 | $1,024,885 |
BNP Paribas S.A. | Receive | MSCI USA Minimum Volatility Index | 1 Month USD LIBOR - 0.170% | Monthly | 7,180 | September—2021 | USD | 36,345,519 | — | 444,586 | 444,586 |
BNP Paribas S.A. | Receive | MSCI USA Momentum Index | 1 Month USD LIBOR + 0.010% | Monthly | 8,740 | September—2021 | USD | 34,846,625 | — | 1,175,460 | 1,175,460 |
BNP Paribas S.A. | Receive | MSCI USA Quality Index | 1 Month USD LIBOR + 0.010% | Monthly | 8,610 | September—2021 | USD | 36,231,913 | — | 785,662 | 785,662 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Daily Total Return Net United Kingdom Index | SONIA + 0.300% | Monthly | 1,750 | September—2021 | GBP | 31,653,537 | — | 229,875 | 229,875 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Daily Total Return Net United Kingdom Index | SONIA + 0.300% | Monthly | 1,750 | September—2021 | GBP | 31,653,537 | — | 229,875 | 229,875 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Daily Total Return Net United Kingdom Index | SONIA + 0.300% | Monthly | 3,675 | September—2021 | GBP | 32,312,171 | — | 107,399 | 107,399 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Daily Total Return Net United Kingdom Index | SONIA + 0.300% | Monthly | 3,675 | September—2021 | GBP | 32,312,171 | — | 107,399 | 107,399 |
Merrill Lynch International | Receive | MSCI EMU Minimum Volatility Index | 1 Month EURIBOR - 0.070% | Monthly | 13,300 | September—2021 | EUR | 50,538,137 | — | 927,379 | 927,379 |
Merrill Lynch International | Receive | MSCI EMU Quality Index | 1 Month EURIBOR - 0.020% | Monthly | 10,200 | September—2021 | EUR | 51,044,398 | — | 1,067,363 | 1,067,363 |
Subtotal — Appreciation | — | 6,099,883 | 6,099,883 |
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(a)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity(b) | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Equity Risk | |||||||||||
Goldman Sachs International | Receive | MSCI Emerging Markets Minimum Volatility Index | 1 Month USD LIBOR + 1.200% | Monthly | 14,000 | August—2021 | USD | 28,994,700 | $— | $(780,220) | $(780,220) |
Goldman Sachs International | Receive | MSCI Emerging Markets Momentum Index | 1 Month USD LIBOR + 1.000% | Monthly | 2,466 | September—2021 | USD | 35,615,723 | — | (1,255,577) | (1,255,577) |
Goldman Sachs International | Receive | MSCI Japan Minimum Volatility Index | 1 Month JPY LIBOR + 0.030% | Monthly | 2,400,000 | August—2021 | JPY | 55,563,036 | — | (523,732) | (523,732) |
Goldman Sachs International | Receive | MSCI Japan Minimum Volatility Index | 1 Month JPY LIBOR + 0.080% | Monthly | 2,400,000 | August—2021 | JPY | 55,563,036 | — | (523,732) | (523,732) |
Goldman Sachs International | Receive | MSCI Japan Quality Index | 1 Month JPY LIBOR + 0.050% | Monthly | 2,055,000 | August—2021 | JPY | 53,685,314 | — | (778,317) | (778,317) |
Goldman Sachs International | Receive | MSCI Japan Quality Index | 1 Month JPY LIBOR + 0.050% | Monthly | 2,175,000 | August—2021 | JPY | 56,820,223 | — | (823,766) | (823,766) |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Daily Total Return Net United Kingdom Index | SONIA + 0.300% | Monthly | 6,600 | September—2021 | GBP | 32,766,880 | — | (47,090) | (47,090) |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Daily Total Return Net United Kingdom Index | SONIA + 0.300% | Monthly | 6,600 | September—2021 | GBP | 32,766,880 | — | (47,090) | (47,090) |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | 1 Month USD LIBOR + 0.990% | Monthly | 16,033 | September—2021 | USD | 33,205,145 | — | (893,519) | (893,519) |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Emerging Markets Momentum Index | 1 Month USD LIBOR + 0.980% | Monthly | 2,084 | September—2021 | USD | 30,098,608 | — | (1,061,079) | (1,061,079) |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Emerging Markets Momentum Index | 1 Month USD LIBOR + 1.320% | Monthly | 2,300 | August—2021 | USD | 33,218,233 | — | (1,171,057) | (1,171,057) |
Merrill Lynch International | Receive | MSCI Emerging Markets Minimum Volatility Index | 1 Month USD LIBOR + 0.950% | Monthly | 16,034 | September—2021 | USD | 33,207,216 | — | (893,575) | (893,575) |
Subtotal — Depreciation | — | (8,798,754) | (8,798,754) | ||||||||
Total — Total Return Swap Agreements | $— | $(2,698,871) | $(2,698,871) |
(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 Balanced-Risk Allocation Fund
Reference Entity Components | ||
Reference Entity | Underlying Components | Percentage |
Canadian Imperial Bank of Commerce Custom 7 Agriculture Commodity Index | ||
Long Futures Contracts | ||
Coffee ‘C’ | 5.58% | |
Corn | 6.08 | |
Cotton No. 2 | 22.83 | |
Lean Hogs | 0.6 | |
Live Cattle | 0.5 | |
Soybeans | 22.03 | |
Soybean Oil | 6.08 | |
Soybean Meal | 23.14 | |
Sugar No. 11 | 5.98 | |
Wheat | 7.18 | |
Total | 100.00% | |
RBC Enhanced Agricultural Basket 07 Excess Return Index | ||
Long Futures Contracts | ||
Coffee ’C’ | 5.58% | |
Corn | 6.08 | |
Cotton No. 2 | 22.83 | |
Lean Hogs | 0.6 | |
Live Cattle | 0.5 | |
Soybeans | 22.03 | |
Soybean Oil | 6.08 | |
Soybean Meal | 23.14 | |
Sugar No. 11 | 5.98 | |
Wheat | 7.18 | |
Total | 100.00% | |
Barclays Commodity Strategy 1452 Excess Return Index | ||
Long Futures Contracts | ||
Copper | 100.00% | |
Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 | ||
Long Futures Contracts | ||
Copper | 100.00% |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Balanced-Risk Allocation Fund
Reference Entity Components—(continued) | ||
Reference Entity | Underlying Components | Percentage |
Monthly Rebalance Commodity Excess Return Index | ||
Long Futures Contracts | ||
Coffee ’C’ | 5.58% | |
Corn | 6.08 | |
Cotton No. 2 | 22.83 | |
Lean Hogs | 0.6 | |
Live Cattle | 0.5 | |
Soybeans | 22.03 | |
Soybean Oil | 6.08 | |
Soybean Meal | 23.14 | |
Sugar No. 11 | 5.98 | |
Wheat | 7.18 | |
Total | 100.00% | |
Single Commodity Index Excess Return | ||
Long Futures Contracts | ||
Gold | 100.00% | |
J.P. Morgan Contag Beta Gas Oil Excess Return Index | ||
Long Futures Contracts | ||
Gas Oil | 100.00% | |
Merrill Lynch Gold Excess Return Index | ||
Long Futures Contracts | ||
Gold | 100.00% | |
MLCX Dynamic Enhanced Copper Excess Return Index | ||
Long Futures Contracts | ||
Copper | 100.00% | |
MLCX Natural Gas Annual Excess Return Index | ||
Long Futures Contracts | ||
Natural Gas | 100.00% | |
S&P GSCI Aluminum Dynamic Roll Index Excess Return | ||
Long Futures Contracts | ||
Aluminum | 100.00% | |
S&P GSCI Gold Index Excess Return | ||
Long Futures Contracts | ||
Gold | 100.00% | |
Macquarie Aluminium Dynamic Selection Index | ||
Long Futures Contracts | ||
Aluminum | 100.00% |
Abbreviations: | |
EUR | —Euro |
EURIBOR | —Euro Interbank Offered Rate |
GBP | —British Pound Sterling |
JPY | —Japanese Yen |
LIBOR | —London Interbank Offered Rate |
SONIA | —Sterling Overnight Index Average |
USD | —U.S. Dollar |
The valuation policy and a listing of other significant accounting policies are available in the most recent shareholder report.
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Balanced-Risk Allocation Fund
Notes to Quarterly Consolidated Schedule of Portfolio Holdings
July 31, 2021
(Unaudited)
NOTE 1—Additional Valuation Information
Generally Accepted Accounting Principles ("GAAP") defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:
Level 1 – Prices are determined using quoted prices in an active market for identical assets.
Level 2 – Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.
Level 3 – Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.
The following is a summary of the tiered valuation input levels, as of July 31, 2021. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the consolidated financial statements may materially differ from the value received upon actual sale of those investments.
Level 1 | Level 2 | Level 3 | Total | |
Investments in Securities | ||||
U.S. Treasury Securities | $— | $815,334,419 | $— | $815,334,419 |
Commodity-Linked Securities | — | 99,173,606 | — | 99,173,606 |
Money Market Funds | 1,344,088,473 | — | — | 1,344,088,473 |
Options Purchased | 24,911,212 | — | — | 24,911,212 |
Total Investments in Securities | 1,368,999,685 | 914,508,025 | — | 2,283,507,710 |
Other Investments - Assets* | ||||
Futures Contracts | 53,823,209 | — | — | 53,823,209 |
Swap Agreements | — | 11,378,222 | — | 11,378,222 |
53,823,209 | 11,378,222 | — | 65,201,431 | |
Other Investments - Liabilities* | ||||
Futures Contracts | (22,946,808) | — | — | (22,946,808) |
Swap Agreements | — | (8,798,754) | — | (8,798,754) |
(22,946,808) | (8,798,754) | — | (31,745,562) | |
Total Other Investments | 30,876,401 | 2,579,468 | — | 33,455,869 |
Total Investments | $1,399,876,086 | $917,087,493 | $— | $2,316,963,579 |
* | Unrealized appreciation (depreciation). |
Invesco Balanced-Risk Allocation Fund