Consolidated Schedule of Investments
July 31, 2023
(Unaudited)
Interest Rate | Maturity Date | Principal Amount (000) | Value | ||
U.S. Treasury Securities–25.31% | |||||
U.S. Treasury Floating Rate Notes–25.31% | |||||
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate - 0.02%)(a) | 5.33% | 01/31/2024 | $ 114,500 | $ 114,513,468 | |
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate - 0.08%)(a) | 5.28% | 04/30/2024 | 128,300 | 128,271,612 | |
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate + 0.04%)(a) | 5.39% | 07/31/2024 | 134,000 | 134,049,792 | |
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate + 0.20%)(a) | 5.55% | 01/31/2025 | 18,000 | 18,039,023 | |
Total U.S. Treasury Securities (Cost $394,802,059) | 394,873,895 | ||||
Expiration Date | |||||
Commodity-Linked Securities–3.81% | |||||
Bank of Montreal, Commodity-Linked Notes (linked to the S&P GSCI Aluminum Dynamic Roll Index) (Canada)(b)(c) | 07/08/2024 | 12,000 | 12,083,239 | ||
Canadian Imperial Bank of Commerce EMTN, U.S. Federal Funds Effective Rate minus 0.03% (linked to the Canadian Imperial Bank of Commerce Gold Standard Roll Excess Return Index) (Canada)(b)(c) | 06/07/2024 | 13,200 | 12,286,069 | ||
Canadian Imperial Bank of Commerce EMTN, U.S. Federal Funds Effective Rate minus 0.03% (linked to the Canadian Imperial Bank of Commerce Silver Index) (Canada)(b)(c) | 06/07/2024 | 12,300 | 11,833,634 | ||
RBC Capital Markets LLC, Commodity-Linked Notes (linked to the RBC Enhanced Copper 2x Index) (Canada)(b)(c) | 06/07/2024 | 22,700 | 23,254,267 | ||
Total Commodity-Linked Securities (Cost $60,200,000) | 59,457,209 | ||||
Shares | |||||
Money Market Funds–62.14% | |||||
Invesco Government & Agency Portfolio, Institutional Class, 5.18%(d)(e) | 236,189,689 | 236,189,690 | |||
Invesco Liquid Assets Portfolio, Institutional Class, 5.28%(d)(e) | 52,755,937 | 52,761,212 | |||
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio (Ireland), Agency Class, 5.30%(d)(e) | 164,947,606 | 164,947,606 | |||
Invesco Treasury Obligations Portfolio, Institutional Class, 5.12%(d)(e) | 431,000,000 | 431,000,000 | |||
Invesco Treasury Portfolio, Institutional Class, 5.18%(d)(e) | 84,415,645 | 84,415,645 | |||
Total Money Market Funds (Cost $969,313,901) | 969,314,153 | ||||
Options Purchased–0.40% | |||||
(Cost $20,889,499)(f) | 6,215,712 | ||||
TOTAL INVESTMENTS IN SECURITIES–91.66% (Cost $1,445,205,459) | 1,429,860,969 | ||||
OTHER ASSETS LESS LIABILITIES–8.34% | 130,121,274 | ||||
NET ASSETS–100.00% | $1,559,982,243 |
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) | 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 $59,457,209, which represented 3.81% of the Fund’s Net Assets. |
(c) | The Reference Entity Components table below includes additional information regarding the underlying components of certain reference entities that are not publicly available. |
(d) | 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 | $263,828,894 | $300,565,066 | $(328,204,270) | $- | $- | $236,189,690 | $8,159,524 |
Invesco Liquid Assets Portfolio, Institutional Class | 60,972,621 | 211,225,047 | (219,431,622) | (5,775) | 941 | 52,761,212 | 2,006,387 |
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, Institutional Class | 174,522,956 | 128,046,348 | (302,569,304) | - | - | - | 1,523,808 |
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, Agency Class | - | 367,200,487 | (202,252,881) | - | - | 164,947,606 | 4,577,855 |
Invesco Treasury Obligations Portfolio, Institutional Class | 380,000,000 | 84,700,000 | (33,700,000) | - | - | 431,000,000 | 12,671,508 |
Invesco Treasury Portfolio, Institutional Class | 97,546,164 | 337,960,075 | (351,090,594) | - | - | 84,415,645 | 3,118,918 |
Total | $976,870,635 | $1,429,697,023 | $(1,437,248,671) | $(5,775) | $941 | $969,314,153 | $32,058,000 |
(e) | The rate shown is the 7-day SEC standardized yield as of July 31, 2023. |
(f) | 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 | 08/18/2023 | 110 | EUR | 3,500.00 | EUR | 3,850,000 | $967 |
EURO STOXX 50 Index | Put | 09/15/2023 | 110 | EUR | 3,350.00 | EUR | 3,685,000 | 3,024 |
EURO STOXX 50 Index | Put | 10/20/2023 | 110 | EUR | 3,200.00 | EUR | 3,520,000 | 5,442 |
EURO STOXX 50 Index | Put | 01/19/2024 | 110 | EUR | 3,900.00 | EUR | 4,290,000 | 51,039 |
EURO STOXX 50 Index | Put | 05/17/2024 | 110 | EUR | 4,200.00 | EUR | 4,620,000 | 166,178 |
EURO STOXX 50 Index | Put | 06/21/2024 | 110 | EUR | 4,250.00 | EUR | 4,675,000 | 198,955 |
EURO STOXX 50 Index | Put | 07/19/2024 | 110 | EUR | 4,300.00 | EUR | 4,730,000 | 224,958 |
EURO STOXX 50 Index | Put | 11/17/2023 | 110 | EUR | 3,500.00 | EUR | 3,850,000 | 13,062 |
EURO STOXX 50 Index | Put | 12/15/2023 | 110 | EUR | 3,875.00 | EUR | 4,262,500 | 38,219 |
EURO STOXX 50 Index | Put | 02/16/2024 | 110 | EUR | 4,100.00 | EUR | 4,510,000 | 90,830 |
EURO STOXX 50 Index | Put | 03/15/2024 | 110 | EUR | 4,150.00 | EUR | 4,565,000 | 112,842 |
EURO STOXX 50 Index | Put | 04/19/2024 | 110 | EUR | 4,200.00 | EUR | 4,620,000 | 140,538 |
FTSE 100 Index | Put | 08/18/2023 | 62 | GBP | 7,200.00 | GBP | 4,464,000 | 6,365 |
FTSE 100 Index | Put | 09/15/2023 | 62 | GBP | 7,000.00 | GBP | 4,340,000 | 12,731 |
FTSE 100 Index | Put | 10/20/2023 | 62 | GBP | 6,800.00 | GBP | 4,216,000 | 20,688 |
FTSE 100 Index | Put | 01/19/2024 | 62 | GBP | 7,450.00 | GBP | 4,619,000 | 114,577 |
FTSE 100 Index | Put | 05/17/2024 | 62 | GBP | 7,800.00 | GBP | 4,836,000 | 246,262 |
FTSE 100 Index | Put | 06/21/2024 | 62 | GBP | 7,575.00 | GBP | 4,696,500 | 212,843 |
FTSE 100 Index | Put | 07/19/2024 | 62 | GBP | 7,575.00 | GBP | 4,696,500 | 221,596 |
FTSE 100 Index | Put | 11/17/2023 | 62 | GBP | 7,050.00 | GBP | 4,371,000 | 40,977 |
FTSE 100 Index | Put | 12/15/2023 | 62 | GBP | 7,450.00 | GBP | 4,619,000 | 98,664 |
FTSE 100 Index | Put | 02/16/2024 | 62 | GBP | 7,650.00 | GBP | 4,743,000 | 169,877 |
FTSE 100 Index | Put | 03/15/2024 | 62 | GBP | 7,800.00 | GBP | 4,836,000 | 229,155 |
FTSE 100 Index | Put | 04/19/2024 | 62 | GBP | 7,575.00 | GBP | 4,696,500 | 168,286 |
MSCI Emerging Markets Index | Put | 08/18/2023 | 85 | USD | 970.00 | USD | 8,245,000 | 7,225 |
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 | 09/15/2023 | 85 | USD | 950.00 | USD | 8,075,000 | $20,825 |
MSCI Emerging Markets Index | Put | 10/20/2023 | 85 | USD | 850.00 | USD | 7,225,000 | 15,725 |
MSCI Emerging Markets Index | Put | 12/15/2023 | 85 | USD | 970.00 | USD | 8,245,000 | 124,100 |
MSCI Emerging Markets Index | Put | 01/19/2024 | 85 | USD | 960.00 | USD | 8,160,000 | 130,900 |
MSCI Emerging Markets Index | Put | 05/17/2024 | 85 | USD | 960.00 | USD | 8,160,000 | 217,600 |
MSCI Emerging Markets Index | Put | 06/21/2024 | 85 | USD | 960.00 | USD | 8,160,000 | 243,950 |
MSCI Emerging Markets Index | Put | 07/19/2024 | 85 | USD | 1,000.00 | USD | 8,500,000 | 348,500 |
MSCI Emerging Markets Index | Put | 11/17/2023 | 85 | USD | 840.00 | USD | 7,140,000 | 22,525 |
MSCI Emerging Markets Index | Put | 03/15/2024 | 85 | USD | 970.00 | USD | 8,245,000 | 179,350 |
MSCI Emerging Markets Index | Put | 02/16/2024 | 85 | USD | 1,040.00 | USD | 8,840,000 | 317,050 |
MSCI Emerging Markets Index | Put | 04/19/2024 | 85 | USD | 975.00 | USD | 8,287,500 | 223,550 |
Nikkei 225 Index | Put | 09/08/2023 | 29 | JPY | 25,750.00 | JPY | 746,750,000 | 1,223 |
Nikkei 225 Index | Put | 09/08/2023 | 29 | JPY | 26,500.00 | JPY | 768,500,000 | 1,835 |
Nikkei 225 Index | Put | 12/08/2023 | 29 | JPY | 25,000.00 | JPY | 725,000,000 | 16,511 |
Nikkei 225 Index | Put | 03/08/2024 | 29 | JPY | 24,250.00 | JPY | 703,250,000 | 31,596 |
Nikkei 225 Index | Put | 06/14/2024 | 29 | JPY | 28,250.00 | JPY | 819,250,000 | 148,807 |
Nikkei 225 Index | Put | 06/14/2024 | 29 | JPY | 29,750.00 | JPY | 862,750,000 | 218,114 |
Nikkei 225 Index | Put | 09/13/2024 | 29 | JPY | 32,250.00 | JPY | 935,250,000 | 447,440 |
Nikkei 225 Index | Put | 12/08/2023 | 29 | JPY | 26,250.00 | JPY | 761,250,000 | 25,481 |
Nikkei 225 Index | Put | 12/08/2023 | 29 | JPY | 27,000.00 | JPY | 783,000,000 | 32,615 |
Nikkei 225 Index | Put | 03/08/2024 | 29 | JPY | 26,000.00 | JPY | 754,000,000 | 48,923 |
Nikkei 225 Index | Put | 03/08/2024 | 29 | JPY | 26,250.00 | JPY | 761,250,000 | 51,980 |
Nikkei 225 Index | Put | 06/14/2024 | 29 | JPY | 27,000.00 | JPY | 783,000,000 | 112,115 |
S&P 500 Index | Put | 08/18/2023 | 9 | USD | 4,100.00 | USD | 3,690,000 | 1,327 |
S&P 500 Index | Put | 09/15/2023 | 9 | USD | 3,900.00 | USD | 3,510,000 | 3,825 |
S&P 500 Index | Put | 10/20/2023 | 9 | USD | 3,625.00 | USD | 3,262,500 | 6,075 |
S&P 500 Index | Put | 12/15/2023 | 9 | USD | 4,100.00 | USD | 3,690,000 | 34,200 |
S&P 500 Index | Put | 01/19/2024 | 9 | USD | 3,900.00 | USD | 3,510,000 | 30,690 |
S&P 500 Index | Put | 04/19/2024 | 9 | USD | 4,150.00 | USD | 3,735,000 | 76,185 |
S&P 500 Index | Put | 05/17/2024 | 9 | USD | 4,200.00 | USD | 3,780,000 | 91,080 |
S&P 500 Index | Put | 06/21/2024 | 9 | USD | 4,275.00 | USD | 3,847,500 | 111,465 |
S&P 500 Index | Put | 07/19/2024 | 9 | USD | 4,525.00 | USD | 4,072,500 | 164,565 |
S&P 500 Index | Put | 11/17/2023 | 9 | USD | 3,875.00 | USD | 3,487,500 | 16,155 |
S&P 500 Index | Put | 02/16/2024 | 9 | USD | 4,100.00 | USD | 3,690,000 | 52,290 |
S&P 500 Index | Put | 03/15/2024 | 9 | USD | 4,000.00 | USD | 3,600,000 | 51,840 |
Total Index Options Purchased | $6,215,712 |
* | 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 | 293 | November-2023 | $24,603,210 | $2,561,233 | $2,561,233 |
Gasoline Reformulated Blendstock Oxygenate Blending | 299 | August-2023 | 36,361,689 | 3,652,069 | 3,652,069 |
New York Harbor Ultra-Low Sulfur Diesel | 268 | November-2023 | 32,103,238 | 5,372,959 | 5,372,959 |
WTI Crude | 100 | February-2024 | 7,886,000 | 855,129 | 855,129 |
Subtotal | 12,441,390 | 12,441,390 |
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 | 1,715 | September-2023 | $172,666,200 | $9,967,990 | $9,967,990 |
E-Mini S&P 500 Index | 36 | September-2023 | 8,306,100 | 406,545 | 406,545 |
EURO STOXX 50 Index | 680 | September-2023 | 33,614,805 | 910,967 | 910,967 |
FTSE 100 Index | 180 | September-2023 | 17,761,813 | 214,864 | 214,864 |
MSCI Emerging Markets Index | 330 | September-2023 | 17,395,950 | 848,676 | 848,676 |
Nikkei 225 Index | 337 | September-2023 | 78,786,912 | 2,933,170 | 2,933,170 |
Subtotal | 15,282,212 | 15,282,212 | |||
Interest Rate Risk | |||||
Australia 10 Year Bonds | 2,828 | September-2023 | 220,083,217 | (2,189,761) | (2,189,761) |
Canada 10 Year Bonds | 1,213 | September-2023 | 110,477,610 | (2,866,615) | (2,866,615) |
Euro-Bund | 1,350 | September-2023 | 197,415,294 | (2,018,251) | (2,018,251) |
Japan 10 Year Bonds | 295 | September-2023 | 304,403,754 | (2,467,370) | (2,467,370) |
Long Gilt | 1,080 | September-2023 | 133,237,852 | (57,998) | (57,998) |
U.S. Treasury Long Bonds | 448 | September-2023 | 55,748,000 | (1,666,259) | (1,666,259) |
Subtotal | (11,266,254) | (11,266,254) | |||
Total Futures Contracts | $16,457,348 | $16,457,348 |
(a) | Futures contracts collateralized by $65,275,323 cash held with Merrill Lynch 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 Commodity Strategy 1452 Excess Return Index | 0.17% | Monthly | 800 | June—2024 | USD | 557,848 | $— | $21,808 | $21,808 |
Barclays Bank PLC | Receive | Barclays Corn Seasonal Index Excess Return | 0.17 | Monthly | 8,000 | June—2024 | USD | 275,094 | — | 3,806 | 3,806 |
Canadian Imperial Bank of Commerce | Receive | Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 | 0.27 | Monthly | 198,500 | February—2024 | USD | 20,159,084 | — | 1,231,752 | 1,231,752 |
Canadian Imperial Bank of Commerce | Receive | Canadian Imperial Bank of Commerce Seasonally Enhanced Bean Oil Commodity Index | 0.26 | Monthly | 47,500 | February—2024 | USD | 6,928,255 | — | 6,940 | 6,940 |
Canadian Imperial Bank of Commerce | Receive | Canadian Imperial Bank of Commerce Seasonally Enhanced Cotton Commodity Index | 0.28 | Monthly | 49,500 | February—2024 | USD | 8,003,393 | — | 253,395 | 253,395 |
Cargill, Inc. | Receive | Cargill Coffee Front Index | 0.20 | Monthly | 1,500 | July—2024 | USD | 231,250 | — | 7,218 | 7,218 |
Cargill, Inc. | Receive | Cargill Soybean Oil Index | 0.24 | Monthly | 46,500 | February—2024 | USD | 9,346,719 | — | 118,329 | 118,329 |
Cargill, Inc. | Receive | Cargill Sugar Index | 0.20 | Monthly | 30,900 | February—2024 | USD | 15,725,758 | — | 668,175 | 668,175 |
Cargill, Inc. | Receive | Cargill Wheat Index | 0.22 | Monthly | 26,000 | July—2024 | USD | 1,576,523 | — | 20,381 | 20,381 |
Goldman Sachs International | Receive | Enhanced Strategy AB42 on the S&P GSCI Soybeans Excess Return | 0.14 | Monthly | 20,800 | February—2024 | USD | 10,246,456 | — | 119,868 | 119,868 |
Goldman Sachs International | Receive | Enhanced Strategy BNZ0Y on the S&P GSCI Soybean Oil Excess Return | 0.25 | Monthly | 62,500 | February—2024 | USD | 9,197,594 | — | 261,756 | 261,756 |
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)(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) | |
Goldman Sachs International | Receive | Goldman Sachs GSCI A44 Corn Index | 0.18% | Monthly | 189,000 | February—2024 | USD | 6,191,854 | $— | $231,644 | $231,644 |
Goldman Sachs International | Receive | Goldman Sachs GSCI A48 Wheat Enhanced Return Index | 0.20 | Monthly | 115,000 | July—2024 | USD | 1,735,663 | — | 23,159 | 23,159 |
J.P. Morgan Chase Bank, N.A. | Receive | J.P. Morgan Contag Beta Gas Oil Excess Return Index | 0.25 | Monthly | 83,500 | February—2024 | USD | 30,979,894 | — | 1,290,000 | 1,290,000 |
J.P. Morgan Chase Bank, N.A. | Receive | S&P GSCI Gold Index Excess Return | 0.09 | Monthly | 12,000 | November—2023 | USD | 1,645,714 | — | 6,744 | 6,744 |
Macquarie Bank Ltd. | Receive | Macquarie Aluminium Dynamic Selection Index | 0.30 | Monthly | 85,000 | February—2024 | USD | 4,405,303 | — | 77,919 | 77,919 |
Merrill Lynch International | Receive | MLCISCE Excess Return Index | 0.12 | Monthly | 112,000 | February—2024 | USD | 6,393,845 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCX Natural Gas Annual Excess Return Index | 0.25 | Monthly | 60,000 | June—2024 | USD | 5,104,086 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCX6CTE Excess Return Index | 0.18 | Monthly | 88,000 | February—2024 | USD | 8,259,126 | (2) | (2) | 0 |
Morgan Stanley Capital Services LLC | Receive | S&P GSCI Aluminum Dynamic Index Excess Return | 0.30 | Monthly | 184,000 | July—2024 | USD | 18,453,102 | — | 1,095,591 | 1,095,591 |
Royal Bank of Canada | Receive | RBC Commodity CT01 Excess Return Custom Index | 0.28 | Monthly | 78,000 | February—2024 | USD | 10,534,493 | — | 0 | 0 |
Royal Bank of Canada | Receive | RBC Commodity SB01 Excess Return Custom Index | 0.20 | Monthly | 68,500 | February—2024 | USD | 13,324,997 | — | 0 | 0 |
Royal Bank of Canada | Receive | RBC Commodity SO01 Excess Return Custom Index | 0.18 | Monthly | 64,500 | February—2024 | USD | 9,215,741 | — | 0 | 0 |
Subtotal — Appreciation | (2) | 5,438,483 | 5,438,485 | ||||||||
Commodity Risk | |||||||||||
Barclays Bank PLC | Receive | Barclays Soybean Meal S2 Nearby Excess Return Index | 0.19 | Monthly | 10,950 | February—2024 | USD | 13,711,053 | — | (452,126) | (452,126) |
Barclays Bank PLC | Receive | Barclays Soybeans Seasonal Excess Return Index | 0.19 | Monthly | 22,000 | February—2024 | USD | 9,508,343 | — | (319,130) | (319,130) |
Canadian Imperial Bank of Commerce | Pay | Canadian Imperial Bank of Commerce Silver Index | 0.00 | Monthly | 70,500 | April—2024 | USD | 7,994,510 | — | (580,673) | (580,673) |
Canadian Imperial Bank of Commerce | Receive | Canadian Imperial Bank of Commerce Soybean Meal 1 Excess Return Commodity Index | 0.14 | Monthly | 46,000 | February—2024 | USD | 10,894,672 | — | (87,354) | (87,354) |
Macquarie Bank Ltd. | Receive | Macquarie Soybean Meal A Excess Return Index | 0.17 | Monthly | 36,300 | February—2024 | USD | 16,211,228 | — | (786,991) | (786,991) |
Subtotal — Depreciation | — | (2,226,274) | (2,226,274) | ||||||||
Total — Total Return Swap Agreements | $(2) | $3,212,209 | $3,212,211 |
(a) | Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held with the swap Counterparties in the amount of $430,076. |
(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 Allocation Fund
Open Over-The-Counter Total Return Swap Agreements(a)(b) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | 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 | Invesco UK Broad Low Volatility Net Total Return Index | SONIA + 0.140% | Monthly | 300 | August—2023 | GBP | 1,479,432 | $— | $52,053 | $52,053 |
BNP Paribas S.A. | Receive | Invesco UK Broad Price Momentum Net Total Return Index | SONIA + 0.150% | Monthly | 300 | August—2023 | GBP | 1,764,633 | — | 100,265 | 100,265 |
BNP Paribas S.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | 1 mo. EURIBOR - 0.360% | Monthly | 1,400 | September—2023 | EUR | 4,431,406 | — | 84,631 | 84,631 |
BNP Paribas S.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | 1 mo. EURIBOR - 0.880% | Monthly | 7,700 | September—2023 | EUR | 24,372,733 | — | 465,469 | 465,469 |
BNP Paribas S.A. | Receive | MSCI EMU Momentum Index | 1 mo. EURIBOR - 0.240% | Monthly | 750 | September—2023 | EUR | 4,000,170 | — | 87,536 | 87,536 |
BNP Paribas S.A. | Receive | MSCI EMU Quality Index | 1 mo. EURIBOR + 0.000% | Monthly | 7,000 | January—2024 | EUR | 29,645,420 | — | 662,427 | 662,427 |
BNP Paribas S.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.370% | Monthly | 295,000 | January—2024 | JPY | 907,694,350 | — | 129,081 | 129,081 |
BNP Paribas S.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.370% | Monthly | 75,000 | January—2024 | JPY | 230,097,000 | — | 37,546 | 37,546 |
BNP Paribas S.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR + 0.010% | Monthly | 110,000 | August—2023 | JPY | 343,285,767 | — | 14,227 | 14,227 |
BNP Paribas S.A. | Receive | MSCI Japan Quality Index | TONAR - 0.220% | Monthly | 1,800,000 | January—2024 | JPY | 5,517,324,000 | — | 1,047,622 | 1,047,622 |
BNP Paribas S.A. | Receive | MSCI Japan Quality Index | TONAR - 0.330% | Monthly | 190,000 | August—2023 | JPY | 575,485,300 | — | 159,076 | 159,076 |
Citibank, N.A. | Receive | Invesco UK Broad Low Volatility Net Total Return Index | SONIA + 0.190% | Monthly | 850 | May—2024 | GBP | 4,191,724 | — | 147,484 | 147,484 |
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)(b)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Citibank, N.A. | Receive | Invesco UK Broad Price Momentum Net Total Return Index | SONIA + 0.170% | Monthly | 800 | November—2023 | GBP | 4,705,688 | $— | $267,374 | $267,374 |
Citibank, N.A. | Receive | Invesco UK Broad Price Momentum Net Total Return Index | SONIA + 0.205% | Monthly | 259 | November—2023 | GBP | 1,523,466 | — | 86,562 | 86,562 |
Citibank, N.A. | Receive | Invesco UK Broad Quality Net Total Return Index | SONIA + 0.170% | Monthly | 750 | October—2023 | GBP | 4,921,725 | — | 172,470 | 172,470 |
Citibank, N.A. | Receive | Invesco UK Broad Quality Net Total Return Index | SONIA + 0.245% | Monthly | 1,320 | January—2024 | GBP | 8,662,236 | — | 303,546 | 303,546 |
Citibank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | 1 mo. EURIBOR - 0.120% | Monthly | 500 | January—2024 | EUR | 1,587,755 | — | 24,607 | 24,607 |
Citibank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.620% | Monthly | 1,600 | August—2023 | USD | 3,061,056 | — | 56,256 | 56,256 |
Citibank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.620% | Monthly | 900 | August—2023 | USD | 1,721,844 | — | 31,644 | 31,644 |
Citibank, N.A. | Receive | MSCI EMU Momentum Index | 1 mo. EURIBOR - 0.180% | Monthly | 4,600 | January—2024 | EUR | 24,534,376 | — | 536,886 | 536,886 |
Citibank, N.A. | Receive | MSCI EMU Quality Index | 1 mo. EURIBOR - 0.060% | Monthly | 250 | January—2024 | EUR | 1,048,210 | — | 35,263 | 35,263 |
Citibank, N.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.350% | Monthly | 2,111,542 | January—2024 | JPY | 6,512,354,490 | — | 816,476 | 816,476 |
Citibank, N.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.470% | Monthly | 201,344 | August—2023 | JPY | 611,707,233 | — | 143,028 | 143,028 |
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)(b)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Citibank, N.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.470% | Monthly | 67,114 | August—2023 | JPY | 203,900,386 | $— | $47,675 | $47,675 |
Citibank, N.A. | Receive | MSCI Japan Quality Index | TONAR - 0.110% | Monthly | 310,000 | August—2023 | JPY | 938,949,700 | — | 259,544 | 259,544 |
Citibank, N.A. | Receive | MSCI Japan Quality Index | TONAR - 0.200% | Monthly | 160,000 | August—2023 | JPY | 486,099,200 | — | 113,658 | 113,658 |
Citibank, N.A. | Receive | MSCI Japan Quality Index | TONAR - 0.340% | Monthly | 121,519 | August—2023 | JPY | 368,065,254 | — | 101,741 | 101,741 |
Citibank, N.A. | Receive | MSCI Japan Quality Index | TONAR - 0.340% | Monthly | 81,012 | August—2023 | JPY | 245,374,816 | — | 67,827 | 67,827 |
Goldman Sachs International | Receive | Invesco Emerging Markets + Korea Large Cap Broad Price Momentum Index | SOFR + 0.560% | Monthly | 770 | November—2023 | USD | 5,222,556 | — | 238,457 | 238,457 |
Goldman Sachs International | Receive | Invesco UK Broad Low Volatility Net Total Return Index | SONIA + 0.220% | Monthly | 100 | November—2023 | GBP | 493,144 | — | 17,351 | 17,351 |
Goldman Sachs International | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.620% | Monthly | 9,904 | February—2024 | USD | 19,205,540 | — | 90,622 | 90,622 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco Emerging Markets + Korea Large Cap Broad Price Momentum Index | SOFR + 0.560% | Monthly | 770 | November—2023 | USD | 5,222,556 | — | 238,457 | 238,457 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco Emerging Markets + Korea Large Cap Broad Price Momentum Index | SOFR + 0.580% | Monthly | 550 | January—2024 | USD | 3,561,739 | — | 338,984 | 338,984 |
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)(b)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco Emerging Markets + Korea Large Cap Broad Price Momentum Index | SOFR + 0.580% | Monthly | 950 | January—2024 | USD | 6,443,413 | $— | $294,199 | $294,199 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco Emerging Markets + Korea Large Cap Broad Price Momentum Index | SOFR + 0.630% | Monthly | 4,506 | August—2023 | USD | 30,562,125 | — | 1,395,435 | 1,395,435 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco Emerging Markets + Korea Large Cap Broad Price Momentum Index | SOFR + 0.630% | Monthly | 3,004 | August—2023 | USD | 20,374,750 | — | 930,290 | 930,290 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco Emerging Markets + Korea Large Cap Broad Price Momentum Index | SOFR + 0.630% | Monthly | 950 | September—2023 | USD | 6,443,413 | — | 294,200 | 294,200 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco Emerging Markets + Korea Large Cap Broad Price Momentum Index | SOFR + 0.630% | Monthly | 700 | August—2023 | USD | 4,747,778 | — | 216,779 | 216,779 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Large Cap Broad Price Momentum Total Return Index | SOFR + 0.280% | Monthly | 2,850 | November—2023 | USD | 21,941,551 | — | 205,366 | 205,366 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Large Cap Broad Price Momentum Total Return Index | SOFR + 0.280% | Monthly | 200 | November—2023 | USD | 1,539,758 | — | 14,412 | 14,412 |
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)(b)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Large Cap Broad Price Momentum Total Return Index | SOFR + 0.360% | Monthly | 200 | October—2023 | USD | 1,539,758 | $— | $14,412 | $14,412 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Large Cap Broad Quality Total Return Index | SOFR + 0.270% | Monthly | 2,170 | October—2023 | USD | 23,018,362 | — | 317,950 | 317,950 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Large Cap Broad Quality Total Return Index | SOFR + 0.380% | Monthly | 130 | October—2023 | USD | 1,378,980 | — | 19,048 | 19,048 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Low Volatility Total Return Index | SOFR + 0.280% | Monthly | 3,400 | November—2023 | USD | 21,640,762 | — | 437,255 | 437,255 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Low Volatility Total Return Index | SOFR + 0.280% | Monthly | 350 | November—2023 | USD | 2,227,725 | — | 45,011 | 45,011 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Low Volatility Net Total Return Index | SONIA + 0.200% | Monthly | 200 | August—2023 | GBP | 986,288 | — | 34,702 | 34,702 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Low Volatility Net Total Return Index | SONIA + 0.230% | Monthly | 500 | November—2023 | GBP | 2,479,325 | — | 69,295 | 69,295 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Low Volatility Net Total Return Index | SONIA + 0.240% | Monthly | 4,000 | May—2024 | GBP | 19,725,760 | — | 694,041 | 694,041 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Price Momentum Net Total Return Index | SONIA + 0.190% | Monthly | 3,141 | November—2023 | GBP | 18,475,708 | — | 1,049,778 | 1,049,778 |
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)(b)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Price Momentum Net Total Return Index | SONIA + 0.200% | Monthly | 150 | August—2023 | GBP | 882,317 | $— | $50,133 | $50,133 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Price Momentum Net Total Return Index | SONIA + 0.250% | Monthly | 350 | November—2023 | GBP | 2,057,696 | — | 118,315 | 118,315 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Quality Net Total Return Index | SONIA + 0.200% | Monthly | 1,260 | October—2023 | GBP | 8,268,498 | — | 289,749 | 289,749 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Quality Net Total Return Index | SONIA + 0.300% | Monthly | 380 | January—2024 | GBP | 2,485,090 | — | 98,401 | 98,401 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.530% | Monthly | 3,800 | November—2023 | USD | 7,270,008 | — | 133,608 | 133,608 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.530% | Monthly | 2,800 | November—2023 | USD | 5,356,848 | — | 98,448 | 98,448 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.600% | Monthly | 6,580 | August—2023 | USD | 12,588,593 | — | 231,353 | 231,353 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.600% | Monthly | 3,100 | August—2023 | USD | 5,930,796 | — | 108,996 | 108,996 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.630% | Monthly | 1,142 | August—2023 | USD | 2,184,829 | — | 40,153 | 40,153 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.630% | Monthly | 202 | August—2023 | USD | 386,458 | — | 7,102 | 7,102 |
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)(b)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI EMU Momentum Index | 1 mo. EURIBOR - 0.650% | Monthly | 200 | September—2023 | EUR | 1,066,712 | $— | $23,343 | $23,343 |
Merrill Lynch International | Receive | Invesco UK Broad Quality Net Total Return Index | SONIA + 0.260% | Monthly | 820 | January—2024 | GBP | 5,381,086 | — | 188,567 | 188,567 |
Merrill Lynch International | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.510% | Monthly | 2,800 | September—2023 | USD | 5,223,792 | — | 231,504 | 231,504 |
Merrill Lynch International | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.530% | Monthly | 1,455 | November—2023 | USD | 1,455 | — | 51,158 | 51,158 |
Merrill Lynch International | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.610% | Monthly | 6,414 | September—2023 | USD | 12,271,008 | — | 225,516 | 225,516 |
Merrill Lynch International | Receive | MSCI Emerging Markets Minimum Volatility Index | SOFR + 0.610% | Monthly | 1,603 | September—2023 | USD | 3,066,795 | — | 56,361 | 56,361 |
Subtotal — Appreciation | — | 14,960,725 | 14,960,725 | ||||||||
Equity Risk | |||||||||||
BNP Paribas S.A. | Receive | MSCI Japan Quality Index | TONAR - 0.220% | Monthly | 387,469 | January—2024 | JPY | 1,221,027,185 | — | (9,015) | (9,015) |
BNP Paribas S.A. | Receive | MSCI Japan Quality Index | TONAR + 0.040% | Monthly | 100,000 | August—2023 | JPY | 316,977,470 | — | (15,320) | (15,320) |
Subtotal — Depreciation | — | (24,335) | (24,335) | ||||||||
Total — Total Return Swap Agreements | $— | $14,936,390 | $14,936,390 |
(a) | Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held with the swap Counterparties in the amount of $430,076. |
(b) | 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 |
S&P GSCI Aluminum Dynamic Roll Index | ||
Long Futures Contracts | ||
Aluminum | 100% | |
Canadian Imperial Bank of Commerce Gold Standard Roll Excess Return Index | ||
Long Futures Contracts | ||
Gold | 100% |
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 |
Canadian Imperial Bank of Commerce Silver Index | ||
Long Futures Contracts | ||
Silver | 100% | |
RBC Enhanced Copper 2x Index | ||
Long Futures Contracts | ||
Copper | 100% | |
Barclays Commodity Strategy 1452 Excess Return Index | ||
Long Futures Contracts | ||
Copper | 100% | |
Barclays Corn Seasonal Index Excess Return | ||
Long Futures Contracts | ||
Corn | 100% | |
Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 | ||
Long Futures Contracts | ||
Copper | 100% | |
Canadian Imperial Bank of Commerce Seasonally Enhanced Bean Oil Commodity Index | ||
Long Futures Contracts | ||
Bean Oil | 100% | |
Canadian Imperial Bank of Commerce Seasonally Enhanced Cotton Commodity Index | ||
Long Futures Contracts | ||
Cotton | 100% | |
Cargill Coffee Front Index | ||
Long Futures Contracts | ||
Coffee | 100% | |
Cargill Soybean Oil Index | ||
Long Futures Contracts | ||
Soybean Oil | 100% | |
Cargill Sugar Index | ||
Long Futures Contracts | ||
Sugar | 100% | |
Cargill Wheat Index | ||
Long Futures Contracts | ||
Wheat | 100% | |
Enhanced Strategy AB42 on the S&P GSCI Soybeans Excess Return | ||
Long Futures Contracts | ||
Soybeans | 100% | |
Enhanced Strategy BNZ0Y on the S&P GSCI Soybean Oil Excess Return | ||
Long Futures Contracts | ||
Soybean Oil | 100% |
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 |
Goldman Sachs GSCI A44 Corn Index | ||
Long Futures Contracts | ||
Corn | 100% | |
Goldman Sachs GSCI A48 Wheat Enhanced Return Index | ||
Long Futures Contracts | ||
Wheat | 100% | |
J.P. Morgan Contag Beta Gas Oil Excess Return Index | ||
Long Futures Contracts | ||
Gas Oil | 100% | |
S&P GSCI Gold Index Excess Return | ||
Long Futures Contracts | ||
Gold | 100% | |
Macquarie Aluminium Dynamic Selection Index | ||
Long Futures Contracts | ||
Aluminium | 100% | |
MLCISCE Excess Return Index | ||
Long Futures Contracts | ||
Corn | 100% | |
MLCX Natural Gas Annual Excess Return Index | ||
Long Futures Contracts | ||
Natural Gas | 100% | |
MLCX6CTE Excess Return Index | ||
Long Futures Contracts | ||
Cotton | 100% | |
S&P GSCI Aluminum Dynamic Index Excess Return | ||
Long Futures Contracts | ||
Aluminum | 100% | |
RBC Commodity CT01 Excess Return Custom Index | ||
Long Futures Contracts | ||
Cotton | 100% | |
RBC Commodity SB01 Excess Return Custom Index | ||
Long Futures Contracts | ||
Sugar | 100% | |
RBC Commodity SO01 Excess Return Custom Index | ||
Long Futures Contracts | ||
Soybean | 100% | |
Barclays Soybean Meal S2 Nearby Excess Return Index | ||
Long Futures Contracts | ||
Soybean Meal | 100% |
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 |
Barclays Soybeans Seasonal Excess Return Index | ||
Long Futures Contracts | ||
Soybean | 100% | |
Canadian Imperial Bank of Commerce Soybean Meal 1 Excess Return Commodity Index | ||
Long Futures Contracts | ||
Soybean Meal | 100% | |
Macquarie Soybean Meal A Excess Return Index | ||
Long Futures Contracts | ||
Soybean Meal | 100% |
Abbreviations: | |
EMU | —European Economic and Monetary Union |
EUR | —Euro |
EURIBOR | —Euro Interbank Offered Rate |
GBP | —British Pound Sterling |
JPY | —Japanese Yen |
SOFR | —Secured Overnight Financing Rate |
SONIA | —Sterling Overnight Index Average |
TONAR | —Tokyo Overnight Average Rate |
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, 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 | $— | $394,873,895 | $— | $394,873,895 |
Commodity-Linked Securities | — | 59,457,209 | — | 59,457,209 |
Money Market Funds | 969,314,153 | — | — | 969,314,153 |
Options Purchased | 6,215,712 | — | — | 6,215,712 |
Total Investments in Securities | 975,529,865 | 454,331,104 | — | 1,429,860,969 |
Other Investments - Assets* | ||||
Futures Contracts | 27,723,602 | — | — | 27,723,602 |
Swap Agreements | — | 20,399,210 | — | 20,399,210 |
27,723,602 | 20,399,210 | — | 48,122,812 | |
Other Investments - Liabilities* | ||||
Futures Contracts | (11,266,254) | — | — | (11,266,254) |
Swap Agreements | — | (2,250,609) | — | (2,250,609) |
(11,266,254) | (2,250,609) | — | (13,516,863) | |
Total Other Investments | 16,457,348 | 18,148,601 | — | 34,605,949 |
Total Investments | $991,987,213 | $472,479,705 | $— | $1,464,466,918 |
* | Unrealized appreciation (depreciation). |
Invesco Balanced-Risk Allocation Fund