Consolidated Schedule of Investments
July 31, 2023
(Unaudited)
Interest Rate | Maturity Date | Principal Amount (000) | Value | ||
U.S. Treasury Securities–22.52% | |||||
U.S. Treasury Floating Rate Notes–22.52%(a) | |||||
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate - 0.02%) | 5.33% | 01/31/2024 | $ 58,700 | $ 58,706,904 | |
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate - 0.08%) | 5.28% | 04/30/2024 | 74,500 | 74,483,516 | |
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate + 0.04%) | 5.39% | 07/31/2024 | 59,200 | 59,221,998 | |
Total U.S. Treasury Securities (Cost $192,399,966) | 192,412,418 | ||||
Expiration Date | |||||
Commodity-Linked Securities–11.84% | |||||
Barclays Bank PLC (United Kingdom), U.S. Federal Funds Effective Rate minus 0.06% (linked to the Barclays Gold Nearby Total Return Index, multiplied by 2.5)(b) | 01/08/2024 | 14,700 | 17,512,628 | ||
Citigroup, Inc., 1 month SOFR plus 0.04% (linked to the S&P GSCI Gold Excess Return Index, multiplied by 2.5)(b) | 11/30/2023 | 33,500 | 45,997,116 | ||
Royal Bank of Canada (Canada), (linked to RBC Enhanced Copper 2x Index, multiplied by 2)(b) | 09/03/2024 | 15,500 | 16,079,450 | ||
Societe Generale S.A. (France), U.S. Federal Funds Effective Rate minus 0.02% (linked to the Societe Generale Soybean Meal Index, multiplied by 2)(b) | 01/31/2024 | 22,000 | 21,584,180 | ||
Total Commodity-Linked Securities (Cost $85,700,000) | 101,173,374 | ||||
Shares | |||||
Money Market Funds–56.55% | |||||
Invesco Government & Agency Portfolio, Institutional Class, 5.18%(c)(d) | 125,815,486 | 125,815,486 | |||
Invesco Liquid Assets Portfolio, Institutional Class, 5.28%(c)(d) | 88,877,092 | 88,885,980 | |||
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio (Ireland), Agency Class, 5.30%(c)(d) | 124,765,050 | 124,765,050 | |||
Invesco Treasury Portfolio, Institutional Class, 5.18%(c)(d) | 143,789,127 | 143,789,127 | |||
Total Money Market Funds (Cost $483,236,809) | 483,255,643 | ||||
TOTAL INVESTMENTS IN SECURITIES–90.91% (Cost $761,336,775) | 776,841,435 | ||||
OTHER ASSETS LESS LIABILITIES–9.09% | 77,651,385 | ||||
NET ASSETS–100.00% | $854,492,820 |
Investment Abbreviations:
SOFR | – Secured Overnight Financing Rate |
Notes to Consolidated Schedule of Investments:
(a) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on July 31, 2023. |
(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 July 31, 2023 was $101,173,374, which represented 11.84% of the Fund’s Net Assets. |
(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, 2023. |
Value October 31, 2022 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain | Value July 31, 2023 | Dividend Income | |
Investments in Affiliated Money Market Funds: | |||||||
Invesco Government & Agency Portfolio, Institutional Class | $161,006,414 | $152,922,628 | $(188,113,556) | $- | $- | $125,815,486 | $3,883,022 |
Invesco Liquid Assets Portfolio, Institutional Class | 114,029,407 | 109,230,448 | (134,366,826) | (26,734) | 19,685 | 88,885,980 | 2,816,953 |
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, Institutional Class | 209,004,299 | 195,987,966 | (404,992,265) | - | - | - | 1,484,240 |
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, Agency Class | - | 596,160,205 | (471,395,155) | - | - | 124,765,050 | 3,897,645 |
Invesco Treasury Portfolio, Institutional Class | 184,007,331 | 174,768,717 | (214,986,921) | - | - | 143,789,127 | 4,432,666 |
Total | $668,047,451 | $1,229,069,964 | $(1,413,854,723) | $(26,734) | $19,685 | $483,255,643 | $16,514,526 |
(d) | The rate shown is the 7-day SEC standardized yield as of July 31, 2023. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Balanced-Risk Commodity Strategy Fund
Open Futures Contracts(a) | |||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Commodity Risk | |||||
Corn | 616 | December-2023 | $15,800,400 | $(622,806) | $(622,806) |
Soybean | 707 | November-2023 | 47,077,363 | 4,332,552 | 4,332,552 |
Total Futures Contracts | $3,709,746 | $3,709,746 |
(a) | Futures contracts collateralized by $45,825,800 cash held with Goldman Sachs International, the futures commission merchant. |
Open Over-The-Counter Total Return Swap Agreements(a)(b) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity(c) | Fixed Rate | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Commodity Risk | |||||||||||
Barclays Bank PLC | Receive | Barclays WTI Crude Roll Yield Excess Return Index | 0.17% | Monthly | 20,100 | June—2024 | USD | 7,612,387 | $— | $701,785 | $701,785 |
BNP Paribas S.A. | Receive | BNP Paribas Commodity Daily Dynamic Curve CO Index | 0.25 | Monthly | 37,450 | August—2023 | USD | 19,501,544 | — | 1,936,959 | 1,936,959 |
Canadian Imperial Bank of Commerce | Receive | Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 | 0.27 | Monthly | 278,000 | February—2024 | USD | 28,232,874 | — | 1,725,073 | 1,725,073 |
Cargill, Inc. | Receive | Cargill Single Commodity Index | 0.41 | Monthly | 120,100 | June—2024 | USD | 38,965,784 | — | 1,655,627 | 1,655,627 |
Goldman Sachs International | Receive | Enhanced Strategy AB141 on the S&P GSCI Sugar Excess Return Index | 0.30 | Monthly | 41,300 | June—2024 | USD | 14,170,203 | (778,158) | (374,851) | 403,307 |
Goldman Sachs International | Receive | Enhanced Strategy AB31 on the S&P GSCI Cotton Excess Return Index | 0.35 | Monthly | 625,500 | June—2024 | USD | 34,584,076 | — | 1,921,117 | 1,921,117 |
J.P. Morgan Chase Bank, N.A. | Receive | J.P. Morgan Contag Beta Gas Oil Excess Return Index | 0.25 | Monthly | 135,500 | February—2024 | USD | 50,272,763 | — | 2,093,353 | 2,093,353 |
Macquarie Bank Ltd. | Pay | Macquarie Single Commodity Nickel type A Excess Return Index | 0.17 | Monthly | 65,000 | March—2024 | USD | 9,004,229 | — | 64,825 | 64,825 |
Macquarie Bank Ltd. | Receive | Macquarie Aluminium Dynamic Selection Index | 0.30 | Monthly | 1,239,000 | February—2024 | USD | 64,213,777 | — | 1,135,791 | 1,135,791 |
Macquarie Bank Ltd. | Receive | Macquarie Single Commodity Silver type A Excess Return Index | 0.16 | Monthly | 105,800 | February—2024 | USD | 25,928,893 | — | 154,584 | 154,584 |
Merrill Lynch International | Pay | MLC2KCE Excess Return Index | 0.00 | Monthly | 1,315,000 | July—2024 | USD | 13,302,277 | — | 0 | 0 |
Merrill Lynch International | Pay | Merrill Lynch Gold Excess Return Index | 0.01 | Monthly | 37,700 | April—2024 | USD | 8,136,105 | — | 0 | 0 |
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(a)(b)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity(c) | Fixed Rate | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Merrill Lynch International | Pay | MLCIAPLH Excess Return Index | 0.00% | Monthly | 4,205,000 | February—2024 | USD | 30,757,893 | $— | $0 | $0 |
Merrill Lynch International | Pay | MLCX2LCER Excess Return Index | 0.06 | Monthly | 75,000 | February—2024 | USD | 5,414,858 | 2 | 2 | 0 |
Merrill Lynch International | Receive | Merrill Lynch Soybean Meal Index | 0.25 | Monthly | 13,300 | June—2024 | USD | 11,709,929 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCX Dynamic Enhanced Copper Excess Return Index | 0.25 | Monthly | 48,800 | January—2024 | USD | 40,790,197 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCX Natural Gas Annual Excess Return Index | 0.25 | Monthly | 58,500 | June—2024 | USD | 4,976,484 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCX1XBE Excess Return Index | 0.10 | Monthly | 90,700 | September—2023 | USD | 44,993,513 | — | 0 | 0 |
Morgan Stanley and Co. International PLC | Pay | Morgan Stanley MSCY2KW0 Index | 0.05 | Monthly | 28,200 | March—2024 | USD | 7,434,916 | — | 22,800 | 22,800 |
Morgan Stanley and Co. International PLC | Receive | Morgan Stanley MSCY2XBD0 Index | 0.15 | Monthly | 23,650 | September—2023 | USD | 20,395,786 | — | 2,570,691 | 2,570,691 |
Morgan Stanley and Co. International PLC | Receive | MS Soybean Oil Dynamic Roll Index | 0.30 | Monthly | 167,600 | December—2023 | USD | 44,864,643 | — | 15,118 | 15,118 |
Royal Bank of Canada | Receive | RBC Enhanced Brent Crude Oil 01 Excess Return Index | 0.32 | Monthly | 36,300 | June—2024 | USD | 18,062,201 | — | 0 | 0 |
UBS AG | Receive | UBS Modified Roll Select Heating Oil Strategy | 0.30 | Monthly | 416,500 | December—2023 | USD | 46,339,498 | — | 4,266,572 | 4,266,572 |
Subtotal — Appreciation | (778,156) | 17,889,446 | 18,667,602 | ||||||||
Commodity Risk | |||||||||||
Goldman Sachs International | Receive | S&P GSCI Soybean Meal Excess Return Index | 0.32 | Monthly | 14,250 | June—2024 | USD | 20,021,421 | — | (967,404) | (967,404) |
J.P. Morgan Chase Bank, N.A. | Pay | S&P GSCI Gold Index Excess Return | 0.08 | Monthly | 306,800 | December—2023 | USD | 42,075,411 | — | (172,422) | (172,422) |
Macquarie Bank Ltd. | Pay | Macquarie Single Commodity Zinc type A Excess Return Index | 0.12 | Monthly | 24,000 | April—2024 | USD | 3,952,906 | — | (123,238) | (123,238) |
Macquarie Bank Ltd. | Receive | Modified Macquarie Single Commodity Sugar type A Excess Return Index | 0.34 | Monthly | 16,100 | July—2024 | USD | 5,238,415 | — | (122,167) | (122,167) |
Morgan Stanley and Co. International PLC | Pay | Morgan Stanley MSCY2KW0 Index | 0.05 | Monthly | 16,400 | April—2024 | USD | 4,278,214 | — | (78,528) | (78,528) |
Subtotal — Depreciation | — | (1,463,759) | (1,463,759) | ||||||||
Total — Total Return Swap Agreements | $(778,156) | $16,425,687 | $17,203,843 |
(a) | Open Over-The-Counter Swap Agreements collateralized by $1,020,704 cash held with Macqaurie Bank, the Counterparty. |
(b) | The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively. |
(c) | 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 Commodity Strategy Fund
Reference Entity Components | ||
Reference Entity | Underlying Components | Percentage |
Barclays WTI Crude Roll Yield Excess Return Index | ||
Long Futures Contracts | ||
WTI Crude | 100% | |
BNP Paribas Commodity Daily Dynamic Curve CO Index | ||
Long futures Contracts | ||
Brent Crude | 100% | |
Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 | ||
Long Futures Contracts | ||
Copper | 100% | |
Cargill Single Commodity Index | ||
Long Futures Contracts | ||
Sugar | 100% | |
Enhanced Strategy AB141 on the S&P GSCI Sugar Excess Return Index | ||
Long Futures Contracts | ||
Sugar | 100% | |
Enhanced Strategy AB31 on the S&P GSCI Cotton Excess Return Index | ||
Long Futures Contracts | ||
Cotton | 100% | |
J.P. Morgan Contag Beta Gas Oil Excess Return Index | ||
Long Futures Contracts | ||
Gas Oil | 100% | |
Macquarie Single Commodity Nickel type A Excess Return Index | ||
Long futures Contracts | ||
Nickel | 100% | |
Macquarie Aluminum Dynamic Selection Index | ||
Long futures Contracts | ||
Aluminium | 100% | |
Macquarie Single Commodity Silver type A Excess Return Index | ||
Long Futures Contracts | ||
Silver | 100% | |
MLC2KCE Excess Return Index | ||
Long Futures Contracts | ||
Coffee | 100% | |
Merrill Lynch Gold Excess Return Index | ||
Long Futures Contracts | ||
Gold | 100% | |
MLCIAPLH Excess Return Index | ||
Long Futures Contracts | ||
Lean Hogs | 100% |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Balanced-Risk Commodity Strategy Fund
Reference Entity Components—(continued) | ||
Reference Entity | Underlying Components | Percentage |
MLCX2LCER Excess Return Index | ||
Long Futures Contracts | ||
Live Cattle | 100% | |
Merrill Lynch Soybean Meal Index | ||
Long Futures Contracts | ||
Soybean Meal | 100% | |
MLCX Dynamic Enhanced Copper Excess Return Index | ||
Long Futures Contracts | ||
Copper | 100% | |
MLCX Natural Gas Annual Excess Return Index | ||
Long Futures Contracts | ||
Natural Gas | 100% | |
MLCX1XBE Excess Return Index | ||
Long Futures Contracts | ||
Gasoline unleaded | 100% | |
Morgan Stanley MSCY2KW0 Index | ||
Long Futures Contracts | ||
Kansas Wheat | 100% | |
Morgan Stanley MSCY2XBD0 Inde | ||
Long Futures Contracts | ||
Gasoline RBOB | 100% | |
MS Soybean Oil Dynamic Roll Index | ||
Long Futures Contracts | ||
Soybean Oil | 100% | |
RBC Enhanced Brent Crude Oil 01 Excess Return Index | ||
Long Futures Contracts | ||
Brent Crude | 100% | |
UBS Modified Roll Select Heating Oil Strategy | ||
Long Futures Contracts | ||
Heating Oil | 100% | |
S&P GSCI Soybean Meal Excess Return Index | ||
Long Futures Contracts | ||
Soybean Meal | 100% | |
S&P GSCI Gold Index Excess Return | ||
Long Futures Contracts | ||
Gold | 100% | |
Macquarie Single Commodity Zinc type A Excess Return Index | ||
Long Futures Contracts | ||
Zinc | 100% |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Balanced-Risk Commodity Strategy Fund
Reference Entity Components—(continued) | ||
Reference Entity | Underlying Components | Percentage |
Modified Macquarie Single Commodity Sugar type A Excess Return Index | ||
Long Futures Contracts | ||
Sugar | 100% | |
Morgan Stanley MSCY2WH0 Index | ||
Long Futures Contracts | ||
Wheat | 100% |
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 Commodity Strategy Fund
Notes to Quarterly Consolidated Schedule of Portfolio Holdings
July 31, 2023
(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. 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 Invesco Advisers, Inc.’s 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, 2023. 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 | $— | $192,412,418 | $— | $192,412,418 |
Commodity-Linked Securities | — | 101,173,374 | — | 101,173,374 |
Money Market Funds | 483,255,643 | — | — | 483,255,643 |
Total Investments in Securities | 483,255,643 | 293,585,792 | — | 776,841,435 |
Other Investments - Assets* | ||||
Futures Contracts | 4,332,552 | — | — | 4,332,552 |
Swap Agreements | — | 18,667,602 | — | 18,667,602 |
4,332,552 | 18,667,602 | — | 23,000,154 | |
Other Investments - Liabilities* | ||||
Futures Contracts | (622,806) | — | — | (622,806) |
Swap Agreements | — | (1,463,759) | — | (1,463,759) |
(622,806) | (1,463,759) | — | (2,086,565) | |
Total Other Investments | 3,709,746 | 17,203,843 | — | 20,913,589 |
Total Investments | $486,965,389 | $310,789,635 | $— | $797,755,024 |
* | Unrealized appreciation (depreciation). |
Invesco Balanced-Risk Commodity Strategy Fund