Schedule of Investments
March 31, 2022
(Unaudited)
Principal Amount | Value | ||
U.S. Government Sponsored Agency Mortgage-Backed Securities–101.08% | |||
Collateralized Mortgage Obligations–5.65% | |||
Fannie Mae ACES, IO, 0.19%, 12/25/2022(a) | $54,085,523 | $20,920 | |
Fannie Mae Grantor Trust, 7.50%, 01/19/2039(b) | 135,098 | 141,545 | |
Fannie Mae Interest STRIPS, | |||
IO, 7.50%, 05/25/2023 to 01/25/2032(c) | 205,485 | 15,140 | |
6.50%, 10/25/2024 to 02/25/2033(c) | 1,410,913 | 216,720 | |
7.00%, 02/25/2028(c) | 268,914 | 28,828 | |
8.00%, 05/25/2030(c) | 303,893 | 59,861 | |
6.00%, 02/25/2033 to 09/25/2035(a)(c) | 1,740,765 | 275,014 | |
5.50%, 11/25/2033 to 06/25/2035(c) | 795,099 | 129,153 | |
PO, 0.00%, 09/25/2032(d) | 47,881 | 43,515 | |
Fannie Mae REMICs, | |||
3.50%, 09/25/2023 to 08/25/2042(c) | 1,800,182 | 229,167 | |
4.00%, 07/25/2024 to 08/25/2047(c) | 1,310,326 | 936,024 | |
2.50%, 12/25/2025 to 10/25/2026 | 804,094 | 805,325 | |
5.50%, 12/25/2025 to 07/25/2046(c) | 751,338 | 439,122 | |
7.00%, 03/18/2027 to 05/25/2033(c) | 562,088 | 349,810 | |
6.50%, 10/25/2028 to 05/25/2033(c) | 156,094 | 148,934 | |
1.46% (1 mo. USD LIBOR + 1.00%), 12/25/2031 to 12/25/2032(e) | 422,707 | 431,000 | |
1.47% (1 mo. USD LIBOR + 1.00%), 03/18/2032 to 12/18/2032(e) | 367,210 | 374,234 | |
0.96% (1 mo. USD LIBOR + 0.50%), 08/25/2032 to 06/25/2046(e) | 1,314,802 | 1,322,327 | |
0.97% (1 mo. USD LIBOR + 0.50%), 10/18/2032(e) | 39,443 | 39,618 | |
0.86% (1 mo. USD LIBOR + 0.40%), 03/25/2033 to 03/25/2042(e) | 219,982 | 220,511 | |
0.80% (1 mo. USD LIBOR + 0.34%), 06/25/2035(e) | 939,767 | 940,073 | |
0.81% (1 mo. USD LIBOR + 0.35%), 08/25/2035 to 10/25/2035(e) | 839,028 | 839,405 | |
22.89% (24.57% - (3.67 x 1 mo. USD LIBOR)), 03/25/2036(e) | 144,928 | 211,133 | |
22.53% (24.20% - (3.67 x 1 mo. USD LIBOR)), 06/25/2036(e) | 104,224 | 147,055 |
Principal Amount | Value | ||
Collateralized Mortgage Obligations–(continued) | |||
22.53% (24.20% - (3.67 x 1 mo. USD LIBOR)), 06/25/2036(e) | $104,079 | $143,122 | |
1.40% (1 mo. USD LIBOR + 0.94%), 06/25/2037(e) | 798,008 | 810,886 | |
0.91% (1 mo. USD LIBOR + 0.45%), 08/25/2037(e) | 362,743 | 364,810 | |
2.75%, 01/25/2039 | 447,369 | 448,105 | |
6.60%, 06/25/2039(b) | 401,664 | 444,675 | |
5.00%, 04/25/2040 to 09/25/2047(c)(e) | 2,339,031 | 672,806 | |
2.00%, 05/25/2044 to 03/25/2051(c) | 7,194,309 | 1,364,201 | |
IO, 6.24% (6.70% - (1.00 x 1 mo. USD LIBOR)), 02/25/2024 to 05/25/2035(c)(e) | 752,619 | 96,061 | |
3.00%, 10/25/2026 to 07/25/2045(c) | 11,378,999 | 6,467,329 | |
8.00%, 08/18/2027 to 09/18/2027(c) | 227,748 | 27,526 | |
0.75%, 10/25/2031(c) | 4,040 | 73 | |
7.44% (7.90% - (1.00 x 1 mo. USD LIBOR)), 11/25/2031(c)(e) | 90,248 | 14,367 | |
7.43% (7.90% - (1.00 x 1 mo. USD LIBOR)), 12/18/2031(c)(e) | 79,594 | 10,776 | |
7.49% (7.95% - (1.00 x 1 mo. USD LIBOR)), 01/25/2032(c)(e) | 59,849 | 9,042 | |
7.53% (8.00% - (1.00 x 1 mo. USD LIBOR)), 03/18/2032(c)(e) | 139,979 | 23,775 | |
7.64% (8.10% - (1.00 x 1 mo. USD LIBOR)), 03/25/2032 to 04/25/2032(c)(e) | 189,531 | 32,593 | |
6.54% (7.00% - (1.00 x 1 mo. USD LIBOR)), 04/25/2032 to 08/25/2032(c)(e) | 300,157 | 39,493 | |
7.34% (7.80% - (1.00 x 1 mo. USD LIBOR)), 04/25/2032(c)(e) | 66,430 | 11,007 | |
7.54% (8.00% - (1.00 x 1 mo. USD LIBOR)), 07/25/2032 to 09/25/2032(c)(e) | 435,815 | 76,494 | |
7.63% (8.10% - (1.00 x 1 mo. USD LIBOR)), 12/18/2032(c)(e) | 265,031 | 39,576 | |
7.79% (8.25% - (1.00 x 1 mo. USD LIBOR)), 02/25/2033 to 05/25/2033(c)(e) | 350,222 | 68,580 | |
6.00%, 05/25/2033(c) | 17,488 | 3,222 | |
5.59% (6.05% - (1.00 x 1 mo. USD LIBOR)), 03/25/2035 to 07/25/2038(c)(e) | 1,023,015 | 120,074 | |
6.29% (6.75% - (1.00 x 1 mo. USD LIBOR)), 03/25/2035(c)(e) | 60,609 | 7,405 | |
6.14% (6.60% - (1.00 x 1 mo. USD LIBOR)), 05/25/2035(c)(e) | 215,694 | 24,033 | |
6.19% (6.65% - (1.00 x 1 mo. USD LIBOR)), 03/25/2039(c)(e) | 1,212,528 | 35,362 | |
6.09% (6.55% - (1.00 x 1 mo. USD LIBOR)), 10/25/2041(c)(e) | 178,091 | 22,606 |
See accompanying notes which are an integral part of this schedule.
Invesco Quality Income Fund
Principal Amount | Value | ||
Collateralized Mortgage Obligations–(continued) | |||
5.69% (6.15% - (1.00 x 1 mo. USD LIBOR)), 12/25/2042(c)(e) | $463,787 | $86,714 | |
4.50%, 02/25/2043(c) | 419,128 | 64,587 | |
1.50%, 02/25/2056(a) | 6,281,700 | 330,426 | |
Freddie Mac Multifamily Structured Pass-Through Ctfs., | |||
Series KC02, Class X1, IO, 1.91%, 03/25/2024(a) | 229,218,436 | 1,381,431 | |
Series KC03, Class X1, IO, 0.63%, 11/25/2024(a) | 22,084,463 | 255,526 | |
0.52%, 09/25/2025(b) | 57,851,463 | 879,932 | |
Series K734, Class X1, IO, 0.65%, 02/25/2026(a) | 16,831,701 | 352,804 | |
Series K735, Class X1, IO, 1.10%, 05/25/2026(a) | 15,797,479 | 530,615 | |
Series K093, Class X1, IO, 0.95%, 05/25/2029(a) | 13,237,550 | 757,074 | |
Series Q004, Class AFL, 0.88%(12 mo. MTA Rate + 0.74%), 05/25/2044(e) | 446,078 | 446,078 | |
Freddie Mac REMICs, | |||
5.00%, 09/15/2023 | 58,647 | 59,502 | |
2.00%, 12/15/2023 | 308,562 | 308,462 | |
1.59% (COFI 11 + 1.37%), 03/15/2024(e) | 74,549 | 75,323 | |
4.00%, 10/15/2024 to 03/15/2045(c) | 617,031 | 362,530 | |
3.50%, 11/15/2025 to 05/15/2032 | 939,436 | 948,525 | |
3.00%, 04/15/2026 to 05/15/2040(c) | 5,753,095 | 799,960 | |
1.50%, 08/15/2027 | 5,999,340 | 5,700,016 | |
6.95%, 03/15/2028 | 150,885 | 161,754 | |
6.50%, 08/15/2028 to 03/15/2032 | 1,452,315 | 1,553,125 | |
1.00% (1 mo. USD LIBOR + 0.60%), 01/15/2029 to 12/15/2032(e) | 101,770 | 102,606 | |
6.00%, 01/15/2029 to 04/15/2029 | 231,742 | 247,489 | |
0.75% (1 mo. USD LIBOR + 0.35%), 02/15/2029(e) | 127,519 | 127,580 | |
1.13% (1 mo. USD LIBOR + 0.90%), 03/15/2029(e) | 144,040 | 145,942 | |
0.80% (1 mo. USD LIBOR + 0.40%), 06/15/2029 to 01/15/2033(e) | 178,328 | 178,630 | |
1.05% (1 mo. USD LIBOR + 0.65%), 07/15/2029(e) | 32,772 | 33,006 | |
8.00%, 03/15/2030 | 68,590 | 77,017 | |
1.35% (1 mo. USD LIBOR + 0.95%), 08/15/2031(e) | 101,141 | 103,174 | |
0.90% (1 mo. USD LIBOR + 0.50%), 02/15/2032 to 03/15/2032(e) | 298,461 | 299,864 | |
1.40% (1 mo. USD LIBOR + 1.00%), 02/15/2032 to 03/15/2032(e) | 200,723 | 204,909 | |
0.95% (1 mo. USD LIBOR + 0.55%), 03/15/2032 to 10/15/2036(e) | 547,159 | 552,371 | |
23.30% (24.75% - (3.67 x 1 mo. USD LIBOR)), 08/15/2035(e) | 26,894 | 39,713 |
Principal Amount | Value | ||
Collateralized Mortgage Obligations–(continued) | |||
0.70% (1 mo. USD LIBOR + 0.30%), 03/15/2036(e) | $1,487,895 | $1,485,907 | |
0.85% (1 mo. USD LIBOR + 0.45%), 07/15/2037(e) | 82,567 | 83,036 | |
0.61% (1 mo. USD LIBOR + 0.50%), 03/15/2042(e) | 136,015 | 137,573 | |
IO, 5.60% (6.00% - (1.00 x 1 mo. USD LIBOR)), 03/15/2024 to 04/15/2038(c)(e) | 347,193 | 15,683 | |
7.25% (7.65% - (1.00 x 1 mo. USD LIBOR)), 07/15/2026(c)(e) | 25,910 | 1,579 | |
2.50%, 09/15/2027 to 07/15/2038(c) | 2,132,405 | 1,175,619 | |
8.26% (8.70% - (1.00 x 1 mo. USD LIBOR)), 07/17/2028(c)(e) | 58,677 | 2,618 | |
7.70% (8.10% - (1.00 x 1 mo. USD LIBOR)), 06/15/2029 to 09/15/2029(c)(e) | 191,954 | 22,018 | |
6.30% (6.70% - (1.00 x 1 mo. USD LIBOR)), 01/15/2035(c)(e) | 829,968 | 86,080 | |
6.35% (6.75% - (1.00 x 1 mo. USD LIBOR)), 02/15/2035(c)(e) | 137,091 | 14,171 | |
6.32% (6.72% - (1.00 x 1 mo. USD LIBOR)), 05/15/2035(c)(e) | 222,091 | 23,716 | |
6.60% (7.00% - (1.00 x 1 mo. USD LIBOR)), 12/15/2037(c)(e) | 18,605 | 3,011 | |
5.67% (6.07% - (1.00 x 1 mo. USD LIBOR)), 05/15/2038(c)(e) | 1,066,363 | 143,049 | |
1.72%, 02/15/2039(a) | 2,463,139 | 128,872 | |
5.85% (6.25% - (1.00 x 1 mo. USD LIBOR)), 12/15/2039(c)(e) | 260,982 | 33,045 | |
5.70% (6.10% - (1.00 x 1 mo. USD LIBOR)), 01/15/2044(c)(e) | 319,779 | 42,028 | |
Freddie Mac Seasoned Loans Structured Transaction, Series 2019-1, Class A2, 3.50%, 05/25/2029 | 2,000,000 | 2,022,180 | |
Freddie Mac STRIPS, | |||
IO, 3.00%, 12/15/2027(c) | 527,806 | 30,355 | |
3.27%, 12/15/2027(a) | 129,782 | 6,584 | |
6.50%, 02/01/2028(c) | 31,216 | 3,755 | |
7.00%, 09/01/2029(c) | 268,923 | 41,510 | |
7.50%, 12/15/2029(c) | 19,111 | 3,182 | |
8.00%, 06/15/2031(c) | 483,039 | 100,706 | |
6.00%, 12/15/2032(c) | 98,441 | 13,860 | |
0.00%, 12/01/2031 to 03/01/2032(d) | 255,109 | 231,427 | |
0.90% (1 mo. USD LIBOR + 0.50%), 05/15/2036(e) | 657,153 | 665,909 | |
Freddie Mac Structured Pass-Through Ctfs., 6.50%, 02/25/2043 | 1,331,901 | 1,513,321 | |
Freddie Mac Whole Loan Securities Trust, Series 2015-SC02, Class 1A, 3.00%, 09/25/2045 | 286,947 | 279,110 | |
45,219,022 |
See accompanying notes which are an integral part of this schedule.
Invesco Quality Income Fund
Principal Amount | Value | ||
Federal Home Loan Mortgage Corp. (FHLMC)–17.49% | |||
6.50%, 04/01/2022 to 04/01/2034 | $648,067 | $693,982 | |
9.00%, 08/01/2022 to 05/01/2025 | 4,454 | 4,672 | |
6.00%, 10/01/2022 to 10/01/2029 | 260,530 | 280,939 | |
5.50%, 01/01/2024 to 12/01/2036 | 120,950 | 130,095 | |
2.50%, 02/01/2031 to 10/01/2051 | 21,232,494 | 20,368,932 | |
8.50%, 03/01/2031 to 08/01/2031 | 131,186 | 145,102 | |
7.00%, 10/01/2031 to 10/01/2037 | 215,615 | 234,911 | |
7.50%, 01/01/2032 to 08/01/2037 | 5,712,930 | 6,303,859 | |
3.00%, 02/01/2032 to 05/01/2050 | 38,490,440 | 38,249,829 | |
8.00%, 08/01/2032 | 84,297 | 92,720 | |
5.00%, 01/01/2037 to 06/01/2040 | 1,954,860 | 2,118,457 | |
4.50%, 05/01/2038 to 11/01/2049 | 6,770,827 | 7,222,480 | |
5.35%, 07/01/2038 to 10/17/2038 | 1,134,727 | 1,205,715 | |
5.80%, 10/01/2038 to 01/20/2039 | 536,079 | 562,518 | |
5.45%, 11/25/2038 | 1,125,060 | 1,204,827 | |
4.00%, 06/01/2042 to 07/01/2049 | 20,915,023 | 21,763,957 | |
3.50%, 09/01/2045 to 05/01/2050 | 21,719,114 | 22,058,290 | |
2.00%, 12/01/2051 to 01/01/2052 | 18,768,434 | 17,475,770 | |
140,117,055 | |||
Federal National Mortgage Association (FNMA)–65.52% | |||
5.50%, 05/01/2022 to 04/01/2038 | 3,679,339 | 3,987,344 | |
5.00%, 06/01/2022 to 01/01/2041 | 2,467,702 | 2,653,497 | |
6.00%, 06/01/2022 to 05/01/2040 | 1,957,671 | 2,126,051 | |
2.00%, 03/01/2023 to 01/01/2052 | 66,305,933 | 62,731,002 | |
4.50%, 04/01/2023 to 07/01/2044 | 4,510,486 | 4,773,184 | |
7.00%, 07/01/2023 to 01/01/2036 | 1,609,393 | 1,735,544 | |
6.50%, 08/01/2023 to 11/01/2038 | 2,813,254 | 3,037,287 | |
0.38%, 08/25/2025 | 4,000,000 | 3,723,754 | |
1.88%, 09/24/2026 | 4,000,000 | 3,895,528 | |
7.50%, 02/01/2027 to 08/01/2037 | 2,292,295 | 2,506,757 | |
3.59%, 10/01/2028 | 9,586,000 | 9,995,572 | |
3.00%, 02/01/2029 to 06/01/2051 | 65,533,152 | 65,116,105 | |
9.50%, 04/01/2030 | 8,731 | 9,296 | |
8.50%, 07/01/2032 to 10/01/2032 | 186,741 | 212,764 | |
5.63%, 08/01/2032 | 73,240 | 75,082 | |
8.00%, 04/01/2033 | 194,105 | 220,145 |
Principal Amount | Value | ||
Federal National Mortgage Association (FNMA)–(continued) | |||
3.50%, 11/01/2034 to 05/01/2050 | $50,744,841 | $51,892,773 | |
2.50%, 03/01/2035 to 12/01/2051 | 52,889,994 | 50,786,731 | |
5.45%, 01/01/2038 | 251,227 | 256,650 | |
4.00%, 02/01/2042 to 03/01/2050 | 42,714,855 | 44,336,841 | |
TBA, 2.50%, 04/01/2037 to 04/01/2052(f) | 86,825,000 | 83,845,301 | |
2.00%, 04/01/2052(f) | 23,919,000 | 22,206,362 | |
3.00%, 04/01/2052(f) | 47,650,000 | 46,615,102 | |
3.50%, 04/01/2052(f) | 42,100,000 | 42,185,516 | |
4.00%, 04/01/2052(f) | 15,700,000 | 16,028,727 | |
524,952,915 | |||
Government National Mortgage Association (GNMA)–12.42% | |||
7.00%, 11/15/2022 to 01/20/2030 | 199,234 | 207,790 | |
6.50%, 01/15/2024 to 10/15/2028 | 30,485 | 32,815 | |
3.00%, 12/16/2025 to 02/20/2050 | 2,873,873 | 2,860,938 | |
6.00%, 06/15/2028 to 04/20/2029 | 102,122 | 109,861 | |
7.50%, 06/15/2028 to 08/15/2028 | 119,657 | 122,010 | |
8.00%, 09/15/2028 | 3,934 | 3,949 | |
5.50%, 05/15/2033 to 10/15/2034 | 327,887 | 359,516 | |
4.77%, 07/17/2033 | 52,579 | 53,077 | |
7.14%, 11/20/2033(b) | 1,216,880 | 1,326,765 | |
5.00%, 11/20/2037 | 357,715 | 369,467 | |
5.89%, 01/20/2039(b) | 893,186 | 965,939 | |
4.51%, 07/20/2041(b) | 943,295 | 984,424 | |
1.81%, 09/20/2041 | 729,077 | 746,329 | |
0.68% (1 mo. USD LIBOR + 0.45%), 07/20/2044(e) | 559,497 | 558,861 | |
3.50%, 05/20/2046 to 06/20/2050 | 14,756,911 | 15,042,604 | |
4.00%, 02/20/2048 to 03/20/2050 | 4,958,816 | 5,097,555 | |
IO, 6.22% (6.65% - (1.00 x 1 mo. USD LIBOR)), 04/16/2041(c)(e) | 1,461,183 | 165,692 | |
4.50%, 09/16/2047(c) | 838,445 | 133,206 | |
5.77% (6.20% - (1.00 x 1 mo. USD LIBOR)), 10/16/2047(c)(e) | 740,358 | 112,799 | |
TBA, 2.00%, 04/01/2052(f) | 4,984,000 | 4,741,809 | |
2.50%, 04/01/2052(f) | 23,848,000 | 23,131,628 | |
3.00%, 04/01/2052(f) | 25,450,000 | 25,154,740 | |
3.50%, 04/01/2052(f) | 9,700,000 | 9,756,078 | |
Series 2020-137, Class A, 1.50%, 04/16/2062 | 8,081,507 | 7,475,639 | |
99,513,491 | |||
Total U.S. Government Sponsored Agency Mortgage-Backed Securities (Cost $858,581,693) | 809,802,483 |
See accompanying notes which are an integral part of this schedule.
Invesco Quality Income Fund
Principal Amount | Value | ||
Asset-Backed Securities–9.99% | |||
Adjustable Rate Mortgage Trust, Series 2005-7, Class 2A21, 0.77%, 10/25/2035(b) | $191,751 | $174,632 | |
Agate Bay Mortgage Trust, Series 2015-2, Class B1, 3.64%, 03/25/2045(b)(g) | 1,756,745 | 1,750,782 | |
Banc of America Funding Trust, | |||
Series 2006-3, Class 5A5, 5.50%, 03/25/2036 | 32,232 | 30,757 | |
Series 2006-A, Class 1A1, 2.61%, 02/20/2036(b) | 249,141 | 248,351 | |
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A1, 2.92%, 03/25/2035(b) | 877,805 | 866,568 | |
Benchmark Mortgage Trust, Series 2018-B1, Class XA, IO, 0.49%, 01/15/2051(a) | 17,168,448 | 390,079 | |
BINOM Securitization Trust, Series 2021-INV1, Class A1, 2.03%, 06/25/2056(b)(g) | 3,773,028 | 3,610,129 | |
BX Commercial Mortgage Trust, Series 2018-BIOA, Class C, 1.52% (1 mo. USD LIBOR + 1.12%), 03/15/2037(e)(g) | 5,907,190 | 5,841,675 | |
CCG Receivables Trust, | |||
Series 2019-1, Class B, 3.22%, 09/14/2026(g) | 1,400,000 | 1,409,747 | |
Series 2019-1, Class C, 3.57%, 09/14/2026(g) | 340,000 | 342,976 | |
Series 2019-2, Class C, 2.89%, 03/15/2027(g) | 405,000 | 404,066 | |
CD Mortgage Trust, Series 2017-CD6, Class XA, IO, 0.92%, 11/13/2050(a) | 7,269,041 | 233,368 | |
Chase Mortgage Finance Corp., | |||
Series 2016-2, Class M4, 3.75%, 12/25/2045(b)(g) | 1,731,540 | 1,657,142 | |
Series 2016-SH1, Class M3, 3.75%, 04/25/2045(b)(g) | 1,467,878 | 1,436,593 | |
Chase Mortgage Finance Trust, | |||
Series 2005-A1, Class 3A1, 2.88%, 12/25/2035(b) | 15,502 | 14,725 | |
Series 2007-A2, Class 2A1, 2.38%, 06/25/2035(b) | 251,936 | 253,894 | |
Series 2007-A2, Class 2A4, 2.38%, 06/25/2035(b) | 232,735 | 233,004 | |
Citigroup Commercial Mortgage Trust, | |||
Series 2013-GC17, Class XA, IO, 1.00%, 11/10/2046(a) | 4,982,043 | 61,609 | |
Series 2017-C4, Class XA, IO, 1.08%, 10/12/2050(a) | 19,390,283 | 770,198 | |
Citigroup Mortgage Loan Trust, Inc., | |||
Series 2004-UST1, Class A4, 1.89%, 08/25/2034(b) | 63,816 | 62,054 | |
Series 2005-11, Class A2A, 2.47% (1 yr. U.S. Treasury Yield Curve Rate + 2.40%), 10/25/2035(e) | 581,527 | 581,571 | |
Series 2006-AR2, Class 1A2, 2.56%, 03/25/2036(b) | 17,150 | 16,530 |
Principal Amount | Value | ||
COMM Mortgage Trust, | |||
Series 2013-LC13, Class XA, IO, 0.99%, 08/10/2046(a) | $19,274,665 | $210,156 | |
Series 2015-CR24, Class XA, IO, 0.75%, 08/10/2048(a) | 38,784,910 | 812,777 | |
Commonbond Student Loan Trust, Series 2018-CGS, Class A1, 3.87%, 02/25/2046(g) | 1,068,600 | 1,075,186 | |
Countrywide Home Loans Mortgage Pass-Through Trust, Series 2004-29, Class 1A1, 1.00% (1 mo. USD LIBOR + 0.54%), 02/25/2035(e) | 186,807 | 181,107 | |
Credit Suisse Mortgage Capital Trust, Series 2013-7, Class B1, 3.54%, 08/25/2043(b)(g) | 1,628,653 | 1,625,232 | |
Credit Suisse Mortgage Loan Trust, Series 2015-1, Class A9, 3.50%, 05/25/2045(b)(g) | 355,311 | 347,301 | |
CSFB Mortgage-Backed Pass-Through Ctfs., Series 2004-AR5, Class 5A1, 2.77%, 06/25/2034(b) | 431,356 | 444,379 | |
Dell Equipment Finance Trust, Series 2019-2, Class D, 2.48%, 04/22/2025(g) | 875,000 | 875,757 | |
Deutsche Mortgage Securities, Inc. Re-REMIC Trust Ctfs., Series 2007-WM1, Class A1, 3.08%, 06/27/2037(b)(g) | 1,607,255 | 1,607,575 | |
Galton Funding Mortgage Trust, Series 2018-1, Class A33, 3.50%, 11/25/2057(b)(g) | 463,714 | 462,464 | |
GMACM Mortgage Loan Trust, Series 2005-AR3, Class 2A1, 2.96%, 06/19/2035(b) | 680,169 | 685,130 | |
GSAA Home Equity Trust, Series 2007-7, Class A4, 1.00% (1 mo. USD LIBOR + 0.54%), 07/25/2037(e) | 30,906 | 30,667 | |
GSR Mortgage Loan Trust, | |||
Series 2004-12, Class 3A6, 1.46%, 12/25/2034(b) | 257,471 | 251,216 | |
Series 2005-AR, Class 6A1, 3.02%, 07/25/2035(b) | 111,198 | 113,521 | |
Invitation Homes Trust, | |||
Series 2018-SFR3, Class B, 1.59% (1 mo. USD LIBOR + 1.15%), 07/17/2037(e)(g) | 1,250,941 | 1,241,380 | |
Series 2018-SFR4, Class C, 1.84% (1 mo. USD LIBOR + 1.40%), 01/17/2038(e)(g) | 4,228,805 | 4,226,836 | |
JP Morgan Mortgage Trust, | |||
Series 2005-A1, Class 3A1, 2.60%, 02/25/2035(b) | 469,551 | 461,117 | |
Series 2005-A3, Class 6A5, 2.80%, 06/25/2035(b) | 282,249 | 287,332 | |
Series 2014-1, Class 1A17, 0.79%, 01/25/2044(b)(g) | 719,408 | 707,392 | |
Series 2015-3, Class A3, 3.50%, 05/25/2045(b)(g) | 712,588 | 700,639 | |
Series 2017-5, Class A1, 3.05%, 10/26/2048(b)(g) | 874,931 | 874,825 | |
Series 2019-INV2, Class A15, 3.50%, 02/25/2050(b)(g) | 191,107 | 190,818 |
See accompanying notes which are an integral part of this schedule.
Invesco Quality Income Fund
Principal Amount | Value | ||
Luminent Mortgage Trust, Series 2006-1, Class A1, 1.18% (1 mo. USD LIBOR + 0.72%), 04/25/2036(e) | $32,780 | $29,485 | |
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A2, 2.62%, 04/21/2034(b) | 132,693 | 133,817 | |
Merrill Lynch Mortgage Investors Trust, | |||
Series 2005-3, Class 3A, 2.06%, 11/25/2035(b) | 259,630 | 259,543 | |
Series 2005-A, Class A1, 0.92% (1 mo. USD LIBOR + 0.46%), 03/25/2030(e) | 336,757 | 324,410 | |
Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA, IO, 0.78%, 12/15/2050(a) | 6,675,843 | 231,724 | |
Onslow Bay Mortgage Loan Trust, Series 2021-NQM4, Class A1, 1.96%, 10/25/2061(b)(g) | 7,296,628 | 6,892,120 | |
PRKCM Trust, Series 2021-AFC2, Class A1, 2.07%, 11/25/2056(b)(g) | 8,703,355 | 8,258,455 | |
Progress Residential Trust, Series 2020-SFR1, Class C, 2.18%, 04/17/2037(g) | 2,500,000 | 2,350,857 | |
Residential Accredit Loans, Inc. Trust, | |||
Series 2006-QO2, Class A2, 1.00% (1 mo. USD LIBOR + 0.54%), 02/25/2046(e) | 41,533 | 10,859 | |
Series 2006-QS13, Class 1A8, 6.00%, 09/25/2036 | 34,384 | 31,195 | |
Sapphire Aviation Finance II Ltd., Series 2020-1A, Class B, 4.34%, 03/15/2040(g) | 5,610,803 | 4,525,129 | |
SGR Residential Mortgage Trust, Series 2021-2, Class A1, 1.74%, 12/25/2061(b)(g) | 8,178,786 | 7,807,053 | |
Shellpoint Asset Funding Trust, Series 2013-1, Class A3, 3.75%, 07/25/2043(b)(g) | 434,458 | 423,810 | |
Starwood Mortgage Residential Trust, Series 2021-6, Class A1, 1.92%, 11/25/2066(b)(g) | 4,853,365 | 4,594,879 | |
Structured Adjustable Rate Mortgage Loan Trust, | |||
Series 2004-13, Class A2, 0.76% (1 mo. USD LIBOR + 0.30%), 09/25/2034(e) | 272,579 | 257,859 | |
Series 2004-20, Class 3A1, 2.94%, 01/25/2035(b) | 60,709 | 61,348 | |
Structured Asset Mortgage Investments II Trust, Series 2005-AR2, Class 2A1, 0.92% (1 mo. USD LIBOR + 0.46%), 05/25/2045(e) | 584,488 | 556,795 | |
Structured Asset Sec Mortgage Pass-Through Ctfs., Series 2002-21A, Class B1II, 2.19%, 11/25/2032(b) | 65,610 | 65,223 | |
UBS Commercial Mortgage Trust, Series 2017-C5, Class XA, IO, 0.98%, 11/15/2050(a) | 12,706,639 | 464,097 |
Principal Amount | Value | ||
Vendee Mortgage Trust, | |||
Series 1999-3, Class IO, 0.00%, 10/15/2029(b) | $4,964,456 | $5 | |
Series 2001-3, Class IO, 0.00%, 10/15/2031(b) | 2,383,650 | 2 | |
Series 2002-2, Class IO, 0.01%, 01/15/2032(b) | 6,656,019 | 630 | |
Series 2002-3, Class IO, 0.30%, 08/15/2032(b) | 7,994,174 | 56,505 | |
Series 2003-1, Class IO, 0.09%, 11/15/2032(b) | 12,246,304 | 30,327 | |
Verus Securitization Trust, Series 2019-INV3, Class A2, 2.95%, 11/25/2059(b)(g) | 1,639,234 | 1,639,686 | |
WaMu Mortgage Pass-Through Ctfs. Trust, | |||
Series 2003-AR10, Class A7, 2.49%, 10/25/2033(b) | 156,591 | 156,548 | |
Series 2007-HY2, Class 2A1, 2.82%, 11/25/2036(b) | 45,235 | 42,375 | |
Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA, IO, 0.87%, 12/15/2050(a) | 9,245,762 | 385,943 | |
Zaxby’s Funding LLC, Series 2021-1A, Class A2, 3.24%, 07/30/2051(g) | 2,885,500 | 2,674,762 | |
Total Asset-Backed Securities (Cost $84,755,747) | 80,068,698 | ||
Certificates of Deposit–9.35% | |||
Diversified Banks–6.24% | |||
Norinchukin Bank (Japan), 0.49% (SOFR + 0.22%), 06/16/2022(e) | 25,000,000 | 24,995,401 | |
Royal Bank of Canada (Canada), 0.33% (SOFR + 0.20%), 11/10/2022(e) | 25,000,000 | 24,970,674 | |
49,966,075 | |||
Regional Banks–3.11% | |||
Svenska Handelsbanken AB (Sweden), 0.51% (SOFR + 0.23%), 11/30/2022(e) | 25,000,000 | 24,967,971 | |
Total Certificates of Deposit (Cost $75,000,000) | 74,934,046 | ||
Commercial Paper–9.33% | |||
Diversified Banks–3.12% | |||
Toronto-Dominion Bank (The) (Canada), 0.24% (SOFR + 0.19%), 11/15/2022(e) | 25,000,000 | 25,002,352 | |
Diversified Capital Markets–3.12% | |||
UBS AG (Switzerland), 0.36% (SOFR + 0.23%), 11/16/2022(e)(g) | 25,000,000 | 24,957,123 | |
Investment Banking & Brokerage–3.09% | |||
Goldman Sachs International, 0.46%, 11/10/2022(g) | 25,000,000 | 24,749,400 | |
Total Commercial Paper (Cost $74,930,312) | 74,708,875 | ||
U.S. Treasury Securities–3.13% | |||
U.S. Treasury Bills–0.13% | |||
0.11% - 0.28%, 05/26/2022(h)(i) | 1,011,000 | 1,010,371 |
See accompanying notes which are an integral part of this schedule.
Invesco Quality Income Fund
Principal Amount | Value | ||
U.S. Treasury Floating Rate Notes–3.00% | |||
0.71%, (3 mo. U.S. Treasury Bill Money Market Yield Rate + 0.03%), 04/30/2023(e) | $13,000,000 | $13,017,742 | |
0.70%, (3 mo. U.S. Treasury Bill Money Market Yield Rate + 0.03%), 07/31/2023(e) | 11,000,000 | 11,016,622 | |
24,034,364 | |||
Total U.S. Treasury Securities (Cost $25,011,799) | 25,044,735 | ||
Agency Credit Risk Transfer Notes–0.75% | |||
Fannie Mae Connecticut Avenue Securities, | |||
Series 2015-C03, Class 2M2, 5.46% (1 mo. USD LIBOR + 5.00%), 07/25/2025(e) | 23,720 | 23,722 | |
Series 2022-R03, Class 1M1, 2.20% (30 Day Average SOFR + 2.10%), 03/25/2042(e)(g) | 6,000,000 | 6,020,549 | |
Total Agency Credit Risk Transfer Notes (Cost $6,022,970) | 6,044,271 |
Shares | Value | ||
Money Market Funds–1.47% | |||
Invesco Government & Agency Portfolio, Institutional Class, 0.25%(j)(k) (Cost $11,779,854) | 11,779,854 | $11,779,854 | |
TOTAL INVESTMENTS IN SECURITIES–135.10% (Cost $1,136,082,375) | 1,082,382,962 | ||
OTHER ASSETS LESS LIABILITIES—(35.10)% | (281,221,555) | ||
NET ASSETS–100.00% | $801,161,407 |
Investment Abbreviations:
ACES | – Automatically Convertible Extendable Security |
COFI | – Cost of Funds Index |
Ctfs. | – Certificates |
IO | – Interest Only |
LIBOR | – London Interbank Offered Rate |
MTA | – Moving Treasury Average |
PO | – Principal Only |
REMICs | – Real Estate Mortgage Investment Conduits |
SOFR | – Secured Overnight Financing Rate |
STRIPS | – Separately Traded Registered Interest and Principal Security |
TBA | – To Be Announced |
USD | – U.S. Dollar |
Notes to Schedule of Investments:
(a) | Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on March 31, 2022. |
(b) | Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on March 31, 2022. |
(c) | Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. |
(d) | Zero coupon bond issued at a discount. |
(e) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on March 31, 2022. |
(f) | Security purchased on a forward commitment basis. This security is subject to dollar roll transactions. |
(g) | 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 March 31, 2022 was $125,282,338, which represented 15.64% of the Fund’s Net Assets. |
(h) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. |
(i) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. |
(j) | Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the three months ended March 31, 2022. |
Value December 31, 2021 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation | Realized Gain | Value March 31, 2022 | Dividend Income | |
Investments in Affiliated Money Market Funds: | |||||||
Invesco Government & Agency Portfolio, Institutional Class | $9,273,851 | $52,239,418 | $(49,733,415) | $- | $- | $11,779,854 | $188 |
See accompanying notes which are an integral part of this schedule.
Invesco Quality Income Fund
Value December 31, 2021 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation | Realized Gain | Value March 31, 2022 | Dividend Income | |
Investments Purchased with Cash Collateral from Securities on Loan: | |||||||
Invesco Private Government Fund | $- | $8,034,462 | $(8,034,462) | $- | $- | $- | $17* |
Invesco Private Prime Fund | - | 4,949,984 | (4,949,984) | - | - | - | 37* |
Total | $9,273,851 | $65,223,864 | $(62,717,861) | $- | $- | $11,779,854 | $242 |
* | Represents the income earned on the investment of cash collateral. Does not include rebates and fees paid to lending agent or premiums received from borrowers, if any. |
(k) | The rate shown is the 7-day SEC standardized yield as of March 31, 2022. |
Open Futures Contracts | |||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Interest Rate Risk | |||||
U.S. Treasury 10 Year Ultra Notes | 67 | June-2022 | $9,076,406 | $32,234 | $32,234 |
U.S. Treasury Long Bonds | 152 | June-2022 | 22,809,500 | (145,320) | (145,320) |
U.S. Treasury Ultra Bonds | 25 | June-2022 | 4,428,125 | (35,625) | (35,625) |
Subtotal—Long Futures Contracts | (148,711) | (148,711) | |||
Short Futures Contracts | |||||
Interest Rate Risk | |||||
U.S. Treasury 2 Year Notes | 127 | June-2022 | (26,914,078) | 333,375 | 333,375 |
U.S. Treasury 5 Year Notes | 546 | June-2022 | (62,619,375) | 315,000 | 315,000 |
U.S. Treasury 10 Year Notes | 112 | June-2022 | (13,762,000) | 447,125 | 447,125 |
Subtotal—Short Futures Contracts | 1,095,500 | 1,095,500 | |||
Total Futures Contracts | $946,789 | $946,789 |
The valuation policy and a listing of other significant accounting policies are available in the most recent shareholder report.
See accompanying notes which are an integral part of this schedule.
Invesco Quality Income Fund
Notes to Quarterly Schedule of Portfolio Holdings
March 31, 2022
(Unaudited)
NOTE 1—Additional Valuation Information
Generally Accepted Accounting Principles ("GAAP") defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:
Level 1 – Prices are determined using quoted prices in an active market for identical assets.
Level 2 – Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.
Level 3 – Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.
The following is a summary of the tiered valuation input levels, as of March 31, 2022. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.
Level 1 | Level 2 | Level 3 | Total | |
Investments in Securities | ||||
U.S. Government Sponsored Agency Mortgage-Backed Securities | $— | $809,802,483 | $0 | $809,802,483 |
Asset-Backed Securities | — | 80,068,698 | — | 80,068,698 |
Certificates of Deposit | — | 74,934,046 | — | 74,934,046 |
Commercial Paper | — | 74,708,875 | — | 74,708,875 |
U.S. Treasury Securities | — | 25,044,735 | — | 25,044,735 |
Agency Credit Risk Transfer Notes | — | 6,044,271 | — | 6,044,271 |
Money Market Funds | 11,779,854 | — | — | 11,779,854 |
Total Investments in Securities | 11,779,854 | 1,070,603,108 | 0 | 1,082,382,962 |
Other Investments - Assets | ||||
Futures Contracts* | 1,127,734 | — | — | 1,127,734 |
Other Investments - Liabilities | ||||
Futures Contracts* | (180,945) | — | — | (180,945) |
Total Other Investments | 946,789 | — | — | 946,789 |
Total Investments | $12,726,643 | $1,070,603,108 | $0 | $1,083,329,751 |
* | Unrealized appreciation (depreciation). |
Invesco Quality Income Fund