Schedule of Investments(a)
May 31, 2020
(Unaudited)
Principal Amount | Value | ||||
U.S. Dollar Denominated Bonds & Notes–131.08%(b) | |||||
Aerospace & Defense–4.16% | |||||
Bombardier, Inc. (Canada), | |||||
8.75%, 12/01/2021(c) | $281,000 | $204,339 | |||
5.75%, 03/15/2022(c) | 123,000 | 82,069 | |||
7.50%, 03/15/2025(c) | 613,000 | 374,313 | |||
7.88%, 04/15/2027(c) | 379,000 | 229,543 | |||
Spirit AeroSystems, Inc., | |||||
7.50%, 04/15/2025(c) | 258,000 | 257,840 | |||
4.60%, 06/15/2028 | 144,000 | 115,200 | |||
TransDigm UK Holdings PLC, 6.88%, 05/15/2026 | 801,000 | 746,084 | |||
TransDigm, Inc., | |||||
6.50%, 05/15/2025 | 336,000 | 325,955 | |||
6.25%, 03/15/2026(c) | 256,000 | 262,359 | |||
Triumph Group, Inc., | |||||
6.25%, 09/15/2024(c) | 515,000 | 442,954 | |||
7.75%, 08/15/2025 | 768,000 | 501,999 | |||
3,542,655 | |||||
Agricultural & Farm Machinery–0.82% | |||||
Titan International, Inc., 6.50%, 11/30/2023 | 1,285,000 | 701,796 | |||
Airlines–0.46% | |||||
Delta Air Lines, Inc., 7.00%, 05/01/2025(c) | 375,000 | 387,981 | |||
Alternative Carriers–1.32% | |||||
CenturyLink, Inc., Series Y, 7.50%, 04/01/2024 | 580,000 | 639,511 | |||
Level 3 Financing, Inc., 5.25%, 03/15/2026 | 466,000 | 483,389 | |||
1,122,900 | |||||
Aluminum–0.33% | |||||
Novelis Corp., 4.75%, 01/30/2030(c) | 295,000 | 280,974 | |||
Apparel Retail–1.51% | |||||
L Brands, Inc., | |||||
6.88%, 11/01/2035 | 776,000 | 645,803 | |||
6.75%, 07/01/2036 | 104,000 | 87,022 | |||
Michaels Stores, Inc., 8.00%, 07/15/2027(c) | 684,000 | 552,203 | |||
1,285,028 | |||||
Apparel, Accessories & Luxury Goods–0.75% | |||||
Hanesbrands, Inc., 5.38%, 05/15/2025(c) | 416,000 | 427,440 | |||
William Carter Co. (The), 5.50%, 05/15/2025(c) | 207,000 | 213,727 | |||
641,167 | |||||
Application Software–0.18% | |||||
Boxer Parent Co., Inc., 7.13%, 10/02/2025(c) | 143,000 | 150,150 | |||
Auto Parts & Equipment–2.03% | |||||
Adient Global Holdings Ltd., 4.88%, 08/15/2026(c) | 400,000 | 337,012 |
Principal Amount | Value | ||||
Auto Parts & Equipment–(continued) | |||||
Adient US LLC, 9.00%, 04/15/2025(c) | $277,000 | $296,734 | |||
Clarios Global L.P., 6.75%, 05/15/2025(c) | 166,000 | 172,882 | |||
Dana, Inc., 5.38%, 11/15/2027 | 357,000 | 343,389 | |||
Hertz Corp. (The), | |||||
7.63%, 06/01/2022(c)(d) | 150,000 | 65,344 | |||
7.13%, 08/01/2026(c)(d) | 195,000 | 33,607 | |||
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc., 8.50%, 05/15/2027(c) | 324,000 | 318,675 | |||
Tenneco, Inc., 5.00%, 07/15/2026 | 313,000 | 160,524 | |||
1,728,167 | |||||
Automobile Manufacturers–3.84% | |||||
Ford Motor Co., | |||||
8.50%, 04/21/2023 | 227,000 | 236,296 | |||
9.00%, 04/22/2025 | 212,000 | 223,660 | |||
9.63%, 04/22/2030 | 114,000 | 126,825 | |||
4.75%, 01/15/2043 | 327,000 | 251,381 | |||
Ford Motor Credit Co. LLC, | |||||
5.60%, 01/07/2022 | 398,000 | 398,995 | |||
4.39%, 01/08/2026 | 299,000 | 281,808 | |||
5.11%, 05/03/2029 | 395,000 | 370,332 | |||
General Motors Co., 6.13%, 10/01/2025 | 324,000 | 354,416 | |||
J.B. Poindexter & Co., Inc., 7.13%, 04/15/2026(c) | 1,026,000 | 1,024,912 | |||
Motors Liquidation Co., 0.00%, 07/15/2033(d)(e) | 1,640,000 | 0 | |||
3,268,625 | |||||
Automotive Retail–2.41% | |||||
Asbury Automotive Group, Inc., 4.75%, 03/01/2030(c) | 74,000 | 71,271 | |||
Capitol Investment Merger Sub 2 LLC, 10.00%, 08/01/2024(c) | 1,045,000 | 1,002,004 | |||
Lithia Motors, Inc., | |||||
5.25%, 08/01/2025(c) | 230,000 | 226,238 | |||
4.63%, 12/15/2027(c) | 191,000 | 184,912 | |||
Murphy Oil USA, Inc., 4.75%, 09/15/2029 | 150,000 | 154,502 | |||
Penske Automotive Group, Inc., 5.50%, 05/15/2026 | 418,000 | 412,698 | |||
2,051,625 | |||||
Broadcasting–3.00% | |||||
AMC Networks, Inc., | |||||
5.00%, 04/01/2024 | 241,000 | 242,356 | |||
4.75%, 08/01/2025 | 121,000 | 122,223 | |||
Clear Channel Worldwide Holdings, Inc., 9.25%, 02/15/2024 | 1,180,000 | 1,076,402 | |||
Gray Television, Inc., 7.00%, 05/15/2027(c) | 105,000 | 111,149 | |||
iHeartCommunications, Inc., 8.38%, 05/01/2027 | 919,000 | 861,392 | |||
TV Azteca S.A.B. de C.V. (Mexico), 8.25%, 08/09/2024(c) | 250,000 | 139,661 | |||
2,553,183 |
See accompanying notes which are an integral part of this schedule.
Invesco High Income Trust II
Principal Amount | Value | ||||
Building Products–0.33% | |||||
AZEK Co. LLC (The), 9.50%, 05/15/2025(c) | $67,000 | $72,025 | |||
Standard Industries, Inc., 6.00%, 10/15/2025(c) | 200,000 | 208,123 | |||
280,148 | |||||
Cable & Satellite–7.96% | |||||
Altice Financing S.A. (Luxembourg), 7.50%, 05/15/2026(c) | 450,000 | 474,833 | |||
CCO Holdings LLC/CCO Holdings Capital Corp., | |||||
5.75%, 02/15/2026(c) | 1,355,000 | 1,415,968 | |||
4.50%, 08/15/2030(c) | 56,000 | 58,231 | |||
CSC Holdings LLC, | |||||
10.88%, 10/15/2025(c) | 419,000 | 454,634 | |||
6.50%, 02/01/2029(c) | 687,000 | 760,032 | |||
5.75%, 01/15/2030(c) | 225,000 | 237,727 | |||
DISH DBS Corp., 5.88%, 11/15/2024 | 1,419,000 | 1,404,661 | |||
DISH Network Corp., Conv., 3.38%, 08/15/2026 | 511,000 | 451,545 | |||
Intelsat Jackson Holdings S.A. (Luxembourg), | |||||
5.50%, 08/01/2023(d) | 586,000 | 310,642 | |||
8.50%, 10/15/2024(c)(d) | 490,000 | 280,576 | |||
9.75%, 07/15/2025(c)(d) | 256,000 | 148,507 | |||
Telenet Finance Luxembourg Notes S.a r.l. (Belgium), 5.50%, 03/01/2028(c) | 400,000 | 422,000 | |||
UPC Holding B.V. (Netherlands), 5.50%, 01/15/2028(c) | 200,000 | 193,537 | |||
Ziggo B.V. (Netherlands), 5.50%, 01/15/2027(c) | 157,000 | 165,501 | |||
6,778,394 | |||||
Casinos & Gaming–4.86% | |||||
Boyd Gaming Corp., | |||||
8.63%, 06/01/2025(c) | 167,000 | 178,940 | |||
6.38%, 04/01/2026 | 230,000 | 229,313 | |||
6.00%, 08/15/2026 | 212,000 | 206,927 | |||
Cirsa Finance International S.a.r.l. (Spain), 7.88%, 12/20/2023(c) | 200,000 | 185,016 | |||
Codere Finance 2 (Luxembourg) S.A. (Spain), 7.63%, 11/01/2021(c) | 240,000 | 112,440 | |||
Melco Resorts Finance Ltd. (Hong Kong), 5.63%, 07/17/2027(c) | 279,000 | 279,586 | |||
MGM China Holdings Ltd. (Macau), 5.88%, 05/15/2026(c) | 206,000 | 205,452 | |||
MGM Resorts International, | |||||
7.75%, 03/15/2022 | 327,000 | 341,086 | |||
6.75%, 05/01/2025 | 430,000 | 438,600 | |||
Scientific Games International, Inc., | |||||
8.25%, 03/15/2026(c) | 163,000 | 149,986 | |||
7.00%, 05/15/2028(c) | 286,000 | 252,342 | |||
Station Casinos LLC, 4.50%, 02/15/2028(c) | 194,000 | 171,569 | |||
Studio City Finance Ltd. (Macau), 7.25%, 02/11/2024(c) | 586,000 | 584,597 | |||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 03/01/2025(c) | 826,000 | 803,273 | |||
4,139,127 |
Principal Amount | Value | ||||
Coal & Consumable Fuels–1.40% | |||||
Parsley Energy LLC/Parsley Finance Corp., | |||||
5.38%, 01/15/2025(c) | $156,000 | $153,755 | |||
4.13%, 02/15/2028(c) | 109,000 | 101,847 | |||
SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp., 7.50%, 06/15/2025(c) | 1,227,000 | 933,397 | |||
1,188,999 | |||||
Commodity Chemicals–1.14% | |||||
Koppers, Inc., 6.00%, 02/15/2025(c) | 446,000 | 411,707 | |||
Olin Corp., 5.63%, 08/01/2029 | 617,000 | 559,085 | |||
970,792 | |||||
Communications Equipment–0.56% | |||||
CommScope Technologies LLC, 6.00%, 06/15/2025(c) | 492,000 | 479,870 | |||
Construction & Engineering–0.45% | |||||
Valmont Industries, Inc., 5.00%, 10/01/2044 | 374,000 | 382,965 | |||
Construction Materials–0.34% | |||||
Cemex S.A.B. de C.V. (Mexico), 5.45%, 11/19/2029(c) | 310,000 | 290,109 | |||
Consumer Finance–1.83% | |||||
Navient Corp., | |||||
7.25%, 01/25/2022 | 225,000 | 224,376 | |||
7.25%, 09/25/2023 | 685,000 | 659,734 | |||
5.00%, 03/15/2027 | 195,000 | 167,334 | |||
Springleaf Finance Corp., 8.88%, 06/01/2025 | 485,000 | 505,612 | |||
1,557,056 | |||||
Copper–3.10% | |||||
First Quantum Minerals Ltd. (Zambia), 7.50%, 04/01/2025(c) | 1,195,000 | 1,087,575 | |||
Freeport-McMoRan, Inc., 5.40%, 11/14/2034 | 1,044,000 | 1,036,593 | |||
Taseko Mines Ltd. (Canada), 8.75%, 06/15/2022(c) | 899,000 | 515,590 | |||
2,639,758 | |||||
Data Processing & Outsourced Services–0.77% | |||||
Alliance Data Systems Corp., 4.75%, 12/15/2024(c) | 446,000 | 400,430 | |||
Cardtronics, Inc./Cardtronics USA, Inc., 5.50%, 05/01/2025(c) | 273,000 | 257,615 | |||
658,045 | |||||
Department Stores–1.41% | |||||
Kohl’s Corp., | |||||
9.50%, 05/15/2025 | 45,000 | 47,882 | |||
5.55%, 07/17/2045 | 373,000 | 292,832 | |||
Macy’s, Inc., 8.38%, 06/15/2025(c) | 437,000 | 444,101 | |||
Nordstrom, Inc., 8.75%, 05/15/2025(c) | 391,000 | 420,232 | |||
1,205,047 | |||||
Distributors–1.25% | |||||
Core & Main Holdings L.P., 9.38% PIK Rate, 8.63% Cash Rate, 09/15/2024(c)(f) | 1,110,000 | 1,064,096 |
See accompanying notes which are an integral part of this schedule.
Invesco High Income Trust II
Principal Amount | Value | ||||
Diversified Banks–1.30% | |||||
Credit Agricole S.A. (France), 8.13%(c)(g) | $488,000 | $561,044 | |||
Societe Generale S.A. (France), 7.38%(c)(g) | 288,000 | 290,601 | |||
Standard Chartered PLC (United Kingdom), 7.50%(c)(g) | 245,000 | 252,483 | |||
1,104,128 | |||||
Diversified Capital Markets–0.22% | |||||
Credit Suisse Group AG (Switzerland), 5.10%(c)(g) | 201,000 | 186,176 | |||
Diversified Chemicals–0.54% | |||||
Chemours Co. (The), 7.00%, 05/15/2025 | 210,000 | 204,772 | |||
Trinseo Materials Operating S.C.A./Trinseo Materials Finance, Inc., 5.38%, 09/01/2025(c) | 264,000 | 252,945 | |||
457,717 | |||||
Diversified Metals & Mining–0.87% | |||||
Hudbay Minerals, Inc. (Canada), 7.63%, 01/15/2025(c) | 532,000 | 485,022 | |||
Vedanta Resources Ltd. (India), 6.38%, 07/30/2022(c) | 444,000 | 257,009 | |||
742,031 | |||||
Diversified REITs–1.55% | |||||
Colony Capital, Inc., | |||||
Conv., 3.88%, 01/15/2021 | 36,000 | 33,365 | |||
5.00%, 04/15/2023 | 310,000 | 245,721 | |||
iStar, Inc., 4.75%, 10/01/2024 | 706,000 | 637,239 | |||
VICI Properties L.P./VICI Note Co., Inc., | |||||
3.50%, 02/15/2025(c) | 138,000 | 133,149 | |||
3.75%, 02/15/2027(c) | 139,000 | 134,461 | |||
4.13%, 08/15/2030(c) | 139,000 | 134,461 | |||
1,318,396 | |||||
Diversified Support Services–0.36% | |||||
IAA, Inc., 5.50%, 06/15/2027(c) | 303,000 | 308,246 | |||
Electric Utilities–0.48% | |||||
NRG Energy, Inc., 6.63%, 01/15/2027 | 167,000 | 178,242 | |||
Talen Energy Supply LLC, 7.63%, 06/01/2028(c) | 232,000 | 234,923 | |||
413,165 | |||||
Electrical Components & Equipment–0.72% | |||||
EnerSys, 4.38%, 12/15/2027(c) | 294,000 | 289,039 | |||
WESCO Distribution, Inc., 7.25%, 06/15/2028(c) | 331,000 | 328,497 | |||
617,536 | |||||
Electronic Equipment & Instruments–0.54% | |||||
MTS Systems Corp., 5.75%, 08/15/2027(c) | 514,000 | 464,430 | |||
Environmental & Facilities Services–0.54% | |||||
GFL Environmental, Inc. (Canada), 7.00%, 06/01/2026(c) | 97,000 | 102,438 | |||
Waste Pro USA, Inc., 5.50%, 02/15/2026(c) | 360,000 | 356,913 | |||
459,351 |
Principal Amount | Value | ||||
Food Retail–1.20% | |||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertson’s LLC, | |||||
7.50%, 03/15/2026(c) | $236,000 | $263,987 | |||
5.88%, 02/15/2028(c) | 328,000 | 351,841 | |||
Simmons Foods, Inc., 5.75%, 11/01/2024(c) | 433,000 | 405,983 | |||
1,021,811 | |||||
Forest Products–0.39% | |||||
Norbord, Inc. (Canada), 5.75%, 07/15/2027(c) | 337,000 | 333,569 | |||
Gas Utilities–0.87% | |||||
AmeriGas Partners L.P./AmeriGas Finance Corp., 5.75%, 05/20/2027 | 305,000 | 325,010 | |||
Suburban Propane Partners L.P./Suburban Energy Finance Corp., 5.50%, 06/01/2024 | 350,000 | 354,590 | |||
Superior Plus L.P./Superior General Partner, Inc. (Canada), 7.00%, 07/15/2026(c) | 58,000 | 59,366 | |||
738,966 | |||||
Health Care Facilities–3.37% | |||||
Acadia Healthcare Co., Inc., 6.50%, 03/01/2024 | 375,000 | 380,469 | |||
Community Health Systems, Inc., | |||||
9.88%, 06/30/2023(c)(h) | 216,000 | 173,587 | |||
6.63%, 02/15/2025(c) | 318,000 | 307,864 | |||
8.00%, 03/15/2026(c) | 481,000 | 471,002 | |||
Encompass Health Corp., 4.75%, 02/01/2030 | 167,000 | 169,820 | |||
HCA, Inc., | |||||
5.38%, 02/01/2025 | 440,000 | 484,130 | |||
5.25%, 04/15/2025 | 242,000 | 274,703 | |||
Tenet Healthcare Corp., | |||||
8.13%, 04/01/2022 | 415,000 | 434,598 | |||
7.50%, 04/01/2025(c) | 158,000 | 173,010 | |||
2,869,183 | |||||
Health Care REITs–0.60% | |||||
MPT Operating Partnership L.P./MPT Finance Corp., 5.00%, 10/15/2027 | 493,000 | 511,194 | |||
Health Care Services–1.95% | |||||
DaVita, Inc., 4.63%, 06/01/2030(c) | 230,000 | 229,712 | |||
Hadrian Merger Sub, Inc., 8.50%, 05/01/2026(c) | 696,000 | 590,598 | |||
MPH Acquisition Holdings LLC, 7.13%, 06/01/2024(c) | 657,000 | 622,911 | |||
Team Health Holdings, Inc., 6.38%, 02/01/2025(c) | 392,000 | 218,950 | |||
1,662,171 | |||||
Home Improvement Retail–0.34% | |||||
Hillman Group, Inc. (The), 6.38%, 07/15/2022(c) | 323,000 | 292,068 | |||
Homebuilding–3.12% | |||||
Ashton Woods USA LLC/Ashton Woods Finance Co., 9.88%, 04/01/2027(c) | 553,000 | 568,313 | |||
Beazer Homes USA, Inc., 6.75%, 03/15/2025 | 271,000 | 274,698 | |||
KB Home, 4.80%, 11/15/2029 | 205,000 | 207,496 |
See accompanying notes which are an integral part of this schedule.
Invesco High Income Trust II
Principal Amount | Value | ||||
Homebuilding–(continued) | |||||
Lennar Corp., | |||||
8.38%, 01/15/2021 | $112,000 | $116,046 | |||
4.75%, 11/15/2022 | 135,000 | 141,281 | |||
5.25%, 06/01/2026 | 261,000 | 281,504 | |||
Mattamy Group Corp. (Canada), 5.25%, 12/15/2027(c) | 318,000 | 309,454 | |||
Meritage Homes Corp., 5.13%, 06/06/2027 | 175,000 | 180,873 | |||
PulteGroup, Inc., 6.38%, 05/15/2033 | 13,000 | 14,807 | |||
Taylor Morrison Communities, Inc., | |||||
6.63%, 07/15/2027(c) | 304,000 | 302,513 | |||
5.75%, 01/15/2028(c) | 261,000 | 258,014 | |||
2,654,999 | |||||
Hotel & Resort REITs–0.35% | |||||
Service Properties Trust, 4.95%, 10/01/2029 | 373,000 | 299,010 | |||
Hotels, Resorts & Cruise Lines–0.70% | |||||
Carnival Corp., 11.50%, 04/01/2023(c) | 303,000 | 323,405 | |||
Royal Caribbean Cruises Ltd., | |||||
10.88%, 06/01/2023(c) | 208,000 | 217,608 | |||
11.50%, 06/01/2025(c) | 52,000 | 55,182 | |||
596,195 | |||||
Household Products–0.84% | |||||
Energizer Holdings, Inc., | |||||
6.38%, 07/15/2026(c) | 88,000 | 93,486 | |||
7.75%, 01/15/2027(c) | 318,000 | 347,356 | |||
Reynolds Group Issuer, Inc./LLC, 7.00%, 07/15/2024(c) | 274,000 | 276,097 | |||
716,939 | |||||
Housewares & Specialties–0.22% | |||||
Newell Brands, Inc., 4.88%, 06/01/2025 | 182,000 | 189,244 | |||
Human Resource & Employment Services–0.12% | |||||
ASGN, Inc., 4.63%, 05/15/2028(c) | 105,000 | 100,294 | |||
Independent Power Producers & Energy Traders–0.56% | |||||
AES Corp. (The), 5.50%, 04/15/2025 | 174,000 | 178,892 | |||
Calpine Corp., 5.50%, 02/01/2024 | 294,000 | 297,121 | |||
476,013 | |||||
Industrial Machinery–3.19% | |||||
Clark Equipment Co. (South Korea), 5.88%, 06/01/2025(c) | 152,000 | 157,510 | |||
Cleaver-Brooks, Inc., 7.88%, 03/01/2023(c) | 1,051,000 | 884,264 | |||
EnPro Industries, Inc., 5.75%, 10/15/2026 | 888,000 | 875,621 | |||
Mueller Industries, Inc., 6.00%, 03/01/2027 | 847,000 | 803,431 | |||
2,720,826 | |||||
Integrated Oil & Gas–3.29% | |||||
Cenovus Energy, Inc. (Canada), 4.25%, 04/15/2027 | 533,000 | 484,446 |
Principal Amount | Value | ||||
Integrated Oil & Gas–(continued) | |||||
Occidental Petroleum Corp., | |||||
2.70%, 08/15/2022 | $602,000 | $553,659 | |||
2.90%, 08/15/2024 | 340,000 | 272,000 | |||
3.20%, 08/15/2026 | 719,000 | 528,249 | |||
3.50%, 08/15/2029 | 189,000 | 128,048 | |||
6.20%, 03/15/2040 | 336,000 | 231,000 | |||
4.10%, 02/15/2047 | 499,000 | 291,915 | |||
Petrobras Global Finance B.V. (Brazil), 5.75%, 02/01/2029 | 175,000 | 176,004 | |||
Petroleos Mexicanos (Mexico), 5.95%, 01/28/2031(c) | 170,000 | 138,533 | |||
2,803,854 | |||||
Integrated Telecommunication Services–5.07% | |||||
Altice France Holding S.A. (Luxembourg), 10.50%, 05/15/2027(c) | 428,000 | 476,150 | |||
Altice France S.A. (France), 7.38%, 05/01/2026(c) | 703,000 | 743,292 | |||
CommScope, Inc., | |||||
6.00%, 03/01/2026(c) | 501,000 | 528,006 | |||
8.25%, 03/01/2027(c) | 169,000 | 176,574 | |||
Embarq Corp., 8.00%, 06/01/2036 | 759,000 | 811,622 | |||
Frontier Communications Corp., | |||||
10.50%, 09/15/2022(d) | 1,815,000 | 637,092 | |||
11.00%, 09/15/2025(d) | 344,000 | 122,335 | |||
Telecom Italia Capital S.A. (Italy), | |||||
6.38%, 11/15/2033 | 92,000 | 103,023 | |||
7.20%, 07/18/2036 | 433,000 | 497,192 | |||
Virgin Media Finance PLC (United Kingdom), 6.00%, 10/15/2024(c) | 218,000 | 224,790 | |||
4,320,076 | |||||
Interactive Media & Services–1.86% | |||||
Cable Onda S.A. (Panama), 4.50%, 01/30/2030(c) | 240,000 | 235,084 | |||
Cumulus Media New Holdings, Inc., 6.75%, 07/01/2026(c) | 509,000 | 425,097 | |||
Diamond Sports Group LLC/Diamond Sports Finance Co., | |||||
5.38%, 08/15/2026(c) | 598,000 | 476,809 | |||
6.63%, 08/15/2027(c) | 743,000 | 448,783 | |||
1,585,773 | |||||
Internet & Direct Marketing Retail–0.37% | |||||
QVC, Inc., 5.45%, 08/15/2034 | 373,000 | 316,118 | |||
Internet Services & Infrastructure–0.08% | |||||
EIG Investors Corp., 10.88%, 02/01/2024 | 42,000 | 39,072 | |||
Rackspace Hosting, Inc., 8.63%, 11/15/2024(c) | 25,000 | 26,203 | |||
65,275 | |||||
Leisure Facilities–0.08% | |||||
Viking Cruises Ltd., 13.00%, 05/15/2025(c) | 65,000 | 70,525 | |||
Leisure Products–0.43% | |||||
Mattel, Inc., 6.75%, 12/31/2025(c) | 350,000 | 365,787 |
See accompanying notes which are an integral part of this schedule.
Invesco High Income Trust II
Principal Amount | Value | ||||
Managed Health Care–1.13% | |||||
Centene Corp., | |||||
5.38%, 06/01/2026(c) | $335,000 | $355,036 | |||
5.38%, 08/15/2026(c) | 290,000 | 307,719 | |||
4.63%, 12/15/2029 | 280,000 | 302,722 | |||
965,477 | |||||
Metal & Glass Containers–1.16% | |||||
Flex Acquisition Co., Inc., 7.88%, 07/15/2026(c) | 417,000 | 418,211 | |||
Owens-Brockway Glass Container, Inc., 6.63%, 05/13/2027(c) | 130,000 | 137,150 | |||
Trivium Packaging Finance B.V. (Netherlands), | |||||
5.50%, 08/15/2026(c) | 207,000 | 217,642 | |||
8.50%, 08/15/2027(c) | 205,000 | 216,750 | |||
989,753 | |||||
Movies & Entertainment–2.30% | |||||
AMC Entertainment Holdings, Inc., | |||||
5.75%, 06/15/2025 | 575,000 | 152,375 | |||
6.13%, 05/15/2027 | 611,000 | 157,332 | |||
AMC Entertainment, Inc., 10.50%, 04/15/2025(c) | 709,000 | 627,465 | |||
Netflix, Inc., | |||||
5.88%, 11/15/2028 | 441,000 | 502,822 | |||
5.38%, 11/15/2029(c) | 470,000 | 522,833 | |||
1,962,827 | |||||
Office Services & Supplies–0.12% | |||||
Pitney Bowes, Inc., 5.70%, 04/01/2023 | 136,000 | 104,196 | |||
Oil & Gas Drilling–0.95% | |||||
Diamond Offshore Drilling, Inc., 4.88%, 11/02/2043(d) | 226,000 | 26,149 | |||
Ensign Drilling, Inc. (Canada), 9.25%, 04/15/2024(c) | 425,000 | 179,909 | |||
Precision Drilling Corp. (Canada), | |||||
6.50%, 12/15/2021 | 40,736 | 36,403 | |||
7.75%, 12/15/2023 | 92,000 | 50,130 | |||
5.25%, 11/15/2024 | 372,000 | 192,471 | |||
Transocean, Inc., | |||||
8.00%, 02/01/2027(c) | 121,000 | 67,155 | |||
7.50%, 04/15/2031 | 647,000 | 205,002 | |||
Valaris PLC (Saudi Arabia), 7.75%, 02/01/2026 | 628,000 | 48,259 | |||
805,478 | |||||
Oil & Gas Equipment & Services–0.54% | |||||
Calfrac Holdings L.P. (Canada), | |||||
10.88%, 03/15/2026(c) | 101,200 | 25,300 | |||
8.50%, 06/15/2026(c) | 192,000 | 7,680 | |||
Hilcorp Energy I L.P./Hilcorp Finance Co., 6.25%, 11/01/2028(c) | 277,000 | 237,821 | |||
SESI LLC, 7.13%, 12/15/2021(c) | 456,000 | 188,385 | |||
459,186 | |||||
Oil & Gas Exploration & Production–7.91% | |||||
Antero Resources Corp., 5.63%, 06/01/2023 | 794,000 | 463,001 | |||
Apache Corp., | |||||
5.10%, 09/01/2040 | 435,000 | 349,185 | |||
4.75%, 04/15/2043 | 94,000 | 73,023 |
Principal Amount | Value | ||||
Oil & Gas Exploration & Production–(continued) | |||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/2022(c) | $362,000 | $317,878 | |||
California Resources Corp., 8.00%, 12/15/2022(c) | 572,000 | 11,440 | |||
Callon Petroleum Co., 6.13%, 10/01/2024 | 746,000 | 248,511 | |||
Chesapeake Energy Corp., 11.50%, 01/01/2025(c) | 198,000 | 15,345 | |||
CNX Resources Corp., 7.25%, 03/14/2027(c) | 153,000 | 145,068 | |||
Comstock Resources, Inc., 9.75%, 08/15/2026 | 182,000 | 169,800 | |||
Continental Resources, Inc., | |||||
4.50%, 04/15/2023 | 543,000 | 505,153 | |||
3.80%, 06/01/2024 | 84,000 | 73,500 | |||
Denbury Resources, Inc., 5.50%, 05/01/2022 | 314,000 | 12,560 | |||
Endeavor Energy Resources L.P./EER Finance, Inc., 5.75%, 01/30/2028(c) | 162,000 | 158,528 | |||
EP Energy LLC/Everest Acquisition Finance, Inc., 8.00%, 11/29/2024(c)(d) | 410,000 | 8,200 | |||
EQT Corp., 3.90%, 10/01/2027 | 146,000 | 128,571 | |||
Genesis Energy L.P./Genesis Energy Finance Corp., | |||||
6.25%, 05/15/2026 | 794,000 | 710,027 | |||
7.75%, 02/01/2028 | 308,000 | 288,431 | |||
Gulfport Energy Corp., | |||||
6.63%, 05/01/2023 | 107,000 | 69,391 | |||
6.00%, 10/15/2024 | 738,000 | 434,036 | |||
Laredo Petroleum, Inc., 10.13%, 01/15/2028 | 162,000 | 111,492 | |||
MEG Energy Corp. (Canada), 6.50%, 01/15/2025(c) | 238,000 | 234,735 | |||
Oasis Petroleum, Inc., 6.88%, 01/15/2023 | 166,000 | 28,531 | |||
PDC Energy, Inc., 5.75%, 05/15/2026 | 124,000 | 114,936 | |||
QEP Resources, Inc., | |||||
6.88%, 03/01/2021 | 591,000 | 415,842 | |||
5.25%, 05/01/2023 | 220,000 | 117,838 | |||
Range Resources Corp., 4.88%, 05/15/2025 | 343,000 | 287,906 | |||
SM Energy Co., | |||||
6.75%, 09/15/2026 | 470,000 | 240,882 | |||
6.63%, 01/15/2027 | 90,000 | 46,386 | |||
Southwestern Energy Co., | |||||
7.50%, 04/01/2026 | 115,000 | 106,163 | |||
7.75%, 10/01/2027 | 371,000 | 347,128 | |||
Whiting Petroleum Corp., | |||||
5.75%, 03/15/2021(d) | 358,000 | 43,071 | |||
6.25%, 04/01/2023(d) | 497,000 | 57,155 | |||
6.63%, 01/15/2026(d) | 486,000 | 57,423 | |||
WPX Energy, Inc., | |||||
5.75%, 06/01/2026 | 258,000 | 258,749 | |||
5.25%, 10/15/2027 | 64,000 | 62,548 | |||
4.50%, 01/15/2030 | 28,000 | 25,716 | |||
6,738,149 | |||||
Oil & Gas Refining & Marketing–2.21% | |||||
Calumet Specialty Products Partners L.P./Calumet Finance Corp., 7.63%, 01/15/2022 | 669,000 | 618,781 |
See accompanying notes which are an integral part of this schedule.
Invesco High Income Trust II
Principal Amount | Value | ||||
Oil & Gas Refining & Marketing–(continued) | |||||
EnLink Midstream Partners L.P., 5.60%, 04/01/2044 | $321,000 | $195,147 | |||
NuStar Logistics L.P., 6.00%, 06/01/2026 | 523,000 | 503,304 | |||
Parkland Corp. (Canada), 6.00%, 04/01/2026(c) | 161,000 | 164,701 | |||
PBF Holding Co. LLC/PBF Finance Corp., | |||||
9.25%, 05/15/2025(c) | 98,000 | 106,351 | |||
6.00%, 02/15/2028(c) | 353,000 | 297,620 | |||
1,885,904 | |||||
Oil & Gas Storage & Transportation–4.13% | |||||
Antero Midstream Partners L.P./Antero Midstream Finance Corp., | |||||
5.38%, 09/15/2024 | 59,000 | 49,449 | |||
5.75%, 01/15/2028(c) | 500,000 | 392,478 | |||
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 5.75%, 04/01/2025 | 182,000 | 169,827 | |||
DCP Midstream Operating L.P., 5.38%, 07/15/2025 | 407,000 | 394,865 | |||
EQM Midstream Partners L.P., 5.50%, 07/15/2028 | 353,000 | 327,070 | |||
Holly Energy Partners L.P./Holly Energy Finance Corp., 5.00%, 02/01/2028(c) | 142,000 | 140,203 | |||
NGL Energy Partners L.P./NGL Energy Finance Corp., 7.50%, 04/15/2026 | 889,000 | 620,491 | |||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | |||||
5.25%, 05/01/2023 | 266,000 | 268,023 | |||
5.13%, 02/01/2025 | 228,000 | 227,787 | |||
5.88%, 04/15/2026 | 267,000 | 272,297 | |||
5.50%, 03/01/2030(c) | 115,000 | 114,318 | |||
Western Midstream Operating L.P., | |||||
3.10%, 02/01/2025 | 176,000 | 164,669 | |||
4.75%, 08/15/2028 | 417,000 | 379,470 | |||
3,520,947 | |||||
Other Diversified Financial Services–3.02% | |||||
eG Global Finance PLC (United Kingdom), | |||||
6.75%, 02/07/2025(c) | 478,000 | 485,120 | |||
8.50%, 10/30/2025(c) | 240,000 | 250,825 | |||
Lions Gate Capital Holdings LLC, 6.38%, 02/01/2024(c) | 572,000 | 578,798 | |||
LPL Holdings, Inc., 5.75%, 09/15/2025(c) | 474,000 | 494,266 | |||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/2025(c) | 770,000 | 768,549 | |||
2,577,558 | |||||
Packaged Foods & Meats–2.91% | |||||
JBS USA LUX S.A./JBS USA Finance, Inc., 5.75%, 06/15/2025(c) | 176,000 | 180,840 | |||
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.50%, 01/15/2030(c) | 536,000 | 557,341 | |||
Kraft Heinz Foods Co. (The), | |||||
6.88%, 01/26/2039 | 373,000 | 455,817 | |||
5.00%, 06/04/2042 | 348,000 | 358,250 | |||
5.50%, 06/01/2050(c) | 477,000 | 498,277 |
Principal Amount | Value | ||||
Packaged Foods & Meats��(continued) | |||||
Post Holdings, Inc., 5.63%, 01/15/2028(c) | $409,000 | $429,375 | |||
2,479,900 | |||||
Paper Packaging–0.48% | |||||
Cascades, Inc./Cascades USA, Inc. (Canada), 5.38%, 01/15/2028(c) | 403,000 | 410,304 | |||
Paper Products–1.47% | |||||
Mercer International, Inc. (Germany), 5.50%, 01/15/2026 | 420,000 | 381,425 | |||
Schweitzer-Mauduit International, Inc., 6.88%, 10/01/2026(c) | 870,000 | 873,854 | |||
1,255,279 | |||||
Personal Products–0.20% | |||||
Edgewell Personal Care Co., 5.50%, 06/01/2028(c) | 164,000 | 170,355 | |||
Pharmaceuticals–4.10% | |||||
Bausch Health Americas, Inc., 9.25%, 04/01/2026(c) | 372,000 | 413,919 | |||
Bausch Health Cos., Inc., | |||||
5.50%, 11/01/2025(c) | 346,000 | 358,326 | |||
9.00%, 12/15/2025(c) | 616,000 | 675,675 | |||
5.75%, 08/15/2027(c) | 163,000 | 174,819 | |||
6.25%, 02/15/2029(c) | 408,000 | 419,220 | |||
Endo DAC/Endo Finance LLC/Endo Finco, Inc., 6.00%, 07/15/2023(c) | 275,000 | 215,019 | |||
Herbalife Nutrition Ltd./HLF Financing, Inc., 7.88%, 09/01/2025(c) | 355,000 | 360,769 | |||
HLF Financing S.a.r.l. LLC/Herbalife International, Inc., 7.25%, 08/15/2026(c) | 512,000 | 508,961 | |||
Par Pharmaceutical, Inc., 7.50%, 04/01/2027(c) | 355,000 | 362,755 | |||
3,489,463 | |||||
Property & Casualty Insurance–0.24% | |||||
AmWINS Group, Inc., 7.75%, 07/01/2026(c) | 193,000 | 207,757 | |||
Publishing–0.71% | |||||
Meredith Corp., 6.88%, 02/01/2026 | 653,000 | 606,738 | |||
Railroads–1.23% | |||||
Kenan Advantage Group, Inc. (The), 7.88%, 07/31/2023(c) | 1,255,000 | 1,046,224 | |||
Research & Consulting Services–0.32% | |||||
Dun & Bradstreet Corp. (The), 10.25%, 02/15/2027(c) | 242,000 | 269,785 | |||
Restaurants–1.15% | |||||
1011778 BC ULC/New Red Finance, Inc. (Canada), 5.00%, 10/15/2025(c) | 411,000 | 416,464 | |||
IRB Holding Corp., | |||||
7.00%, 06/15/2025(c) | 115,000 | 119,600 | |||
6.75%, 02/15/2026(c) | 476,000 | 447,350 | |||
983,414 | |||||
Security & Alarm Services–0.95% | |||||
Brink’s Co. (The), 4.63%, 10/15/2027(c) | 379,000 | 355,580 |
See accompanying notes which are an integral part of this schedule.
Invesco High Income Trust II
Principal Amount | Value | ||||
Security & Alarm Services–(continued) | |||||
Garda World Security Corp. (Canada), 9.50%, 11/01/2027(c) | $234,000 | $243,403 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, 04/15/2026(c) | 205,000 | 211,630 | |||
810,613 | |||||
Specialized Consumer Services–1.02% | |||||
ServiceMaster Co. LLC (The), 7.45%, 08/15/2027 | 814,000 | 865,738 | |||
Specialized REITs–1.27% | |||||
Iron Mountain US Holdings, Inc., 5.38%, 06/01/2026(c) | 274,000 | 278,847 | |||
Iron Mountain, Inc., 5.25%, 03/15/2028(c) | 473,000 | 481,190 | |||
Rayonier A.M. Products, Inc., 5.50%, 06/01/2024(c) | 693,000 | 321,306 | |||
1,081,343 | |||||
Specialty Chemicals–1.04% | |||||
Element Solutions, Inc., 5.88%, 12/01/2025(c) | 541,000 | 557,460 | |||
GCP Applied Technologies, Inc., 5.50%, 04/15/2026(c) | 335,000 | 331,295 | |||
888,755 | |||||
Specialty Stores–0.57% | |||||
Sally Holdings LLC/Sally Capital, Inc., 8.75%, 04/30/2025(c) | 444,000 | 483,960 | |||
Steel–0.23% | |||||
Cleveland-Cliffs, Inc., 9.88%, 10/17/2025(c) | 190,000 | 198,550 | |||
Systems Software–0.16% | |||||
Banff Merger Sub, Inc., 9.75%, 09/01/2026(c) | 136,000 | 136,931 | |||
Technology Hardware, Storage & Peripherals–0.24% | |||||
Dell International LLC/EMC Corp., 8.10%, 07/15/2036(c) | 97,000 | 117,719 | |||
Exela Intermediate LLC/Exela Finance, Inc., 10.00%, 07/15/2023(c) | 108,000 | 18,900 | |||
Presidio Holdings, Inc., 8.25%, 02/01/2028(c) | 68,000 | 67,363 | |||
203,982 | |||||
Textiles–0.36% | |||||
Eagle Intermediate Global Holding B.V./Ruyi US Finance LLC (China), 7.50%, 05/01/2025(c) | 491,000 | 309,330 | |||
Thrifts & Mortgage Finance–0.11% | |||||
Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/2027(c) | 100,000 | 90,235 | |||
Trading Companies & Distributors–1.69% | |||||
AerCap Global Aviation Trust (Ireland), 6.50% (3 mo. USD LIBOR + 4.30%), 06/15/2045(c)(i) | 430,000 | 321,103 | |||
Herc Holdings, Inc., 5.50%, 07/15/2027(c) | 584,000 | 570,513 |
Principal Amount | Value | ||||
Trading Companies & Distributors–(continued) | |||||
United Rentals North America, Inc., | |||||
6.50%, 12/15/2026 | $315,000 | $337,385 | |||
5.50%, 05/15/2027 | 197,000 | 209,670 | |||
1,438,671 | |||||
Trucking–0.66% | |||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | |||||
5.25%, 03/15/2025(c) | 269,000 | 216,545 | |||
10.50%, 05/15/2025(c) | 308,000 | 344,190 | |||
560,735 | |||||
Wireless Telecommunication Services–4.17% | |||||
Digicel Group One Ltd. (Jamaica), 8.25%, 12/30/2022(c) | 225,000 | 147,375 | |||
Digicel Group Two Ltd. (Jamaica), 8.25%, 09/30/2022(c) | 213,000 | 11,715 | |||
Intelsat (Luxembourg) S.A. (Luxembourg), 7.75%, 06/01/2021(d) | 399,000 | 22,943 | |||
Intelsat Connect Finance S.A. (Luxembourg), 9.50%, 02/15/2023(c)(d) | 292,000 | 73,912 | |||
Oztel Holdings SPC Ltd. (Oman), 5.63%, 10/24/2023(c) | 451,000 | 436,669 | |||
Sprint Capital Corp., 8.75%, 03/15/2032 | 348,000 | 501,056 | |||
Sprint Communications, Inc., 11.50%, 11/15/2021 | 390,000 | 436,517 | |||
Sprint Corp., | |||||
7.88%, 09/15/2023 | 1,059,000 | 1,204,724 | |||
7.63%, 02/15/2025 | 218,000 | 254,924 | |||
T-Mobile USA, Inc., 6.50%, 01/15/2026 | 437,000 | 462,178 | |||
3,552,013 | |||||
Total U.S. Dollar Denominated Bonds & Notes (Cost $126,427,933) | 111,679,273 | ||||
Non-U.S. Dollar Denominated Bonds & Notes–0.90%(j) | |||||
Construction & Engineering–0.18% | |||||
Sarens Finance Co. NV (Belgium), 5.75%, 02/21/2027(c) | EUR | 187,000 | 151,325 | ||
Food Retail–0.38% | |||||
Iceland Bondco PLC (United Kingdom), 4.63%, 03/15/2025(c) | GBP | 300,000 | 322,335 | ||
Highways & Railtracks–0.13% | |||||
Rubis Terminal Infra S.A.S (France), 5.63%, 05/15/2025(c) | EUR | 100,000 | 114,603 | ||
Pharmaceuticals–0.13% | |||||
Nidda Healthcare Holding GmbH (Germany), 3.50%, 09/30/2024(c) | EUR | 100,000 | 108,790 | ||
Textiles–0.08% | |||||
Eagle Intermediate Global Holding B.V./Ruyi US Finance LLC (China), 5.38%, 05/01/2023(c) | EUR | 100,000 | 66,048 | ||
Total Non-U.S. Dollar Denominated Bonds & Notes (Cost $848,365) | 763,101 |
See accompanying notes which are an integral part of this schedule.
Invesco High Income Trust II
Principal Amount | Value | ||||
Asset-Backed Securities–0.46% | |||||
Sonic Capital LLC, Series 2020-1A, Class A2I, 3.85%, 01/20/2050 (Cost $417,952)(c) | $417,952 | $389,942 | |||
Shares | |||||
Money Market Funds–0.60% | |||||
Invesco Government & Agency Portfolio, Institutional Class, 0.11%(k)(l) | 180,479 | 180,479 | |||
Invesco Liquid Assets Portfolio, Institutional Class, 0.43%(k)(l) | 128,771 | 128,887 |
Shares | Value | ||
Money Market Funds–(continued) | |||
Invesco Treasury Portfolio, Institutional Class, 0.08%(k)(l) | 206,262 | $206,262 | |
Total Money Market Funds (Cost $515,628) | 515,628 | ||
TOTAL INVESTMENTS IN SECURITIES–133.04% (Cost $128,209,878) | 113,347,944 | ||
BORROWINGS–(35.86)% | (30,550,000) | ||
OTHER ASSETS LESS LIABILITIES—2.82% | 2,402,787 | ||
NET ASSETS–100.00% | $85,200,731 |
Investment Abbreviations:
Conv. | – Convertible |
EUR | – Euro |
GBP | – British Pound Sterling |
LIBOR | – London Interbank Offered Rate |
PIK | – Pay-in-Kind |
REIT | – Real Estate Investment Trust |
USD | – U.S. Dollar |
Notes to Schedule of Investments:
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. |
(b) | Calculated as a percentage of net assets. Amounts in excess of 100% are due to the Trust’s use of leverage. |
(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 May 31, 2020 was $64,510,158, which represented 75.72% of the Trust’s Net Assets. |
(d) | Defaulted security. Currently, the issuer is in default with respect to principal and/or interest payments. The aggregate value of these securities at May 31, 2020 was $1,886,956, which represented 2.21% of the Trust’s Net Assets. |
(e) | Security valued using significant unobservable inputs (Level 3). See Note 1. |
(f) | All or a portion of this security is Pay-in-Kind. Pay-in-Kind securities pay interest income in the form of securities. |
(g) | Perpetual bond with no specified maturity date. |
(h) | Step coupon bond. The interest rate represents the coupon rate at which the bond will accrue at a specified future date. |
(i) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on May 31, 2020. |
(j) | Foreign denominated security. Principal amount is denominated in the currency indicated. |
(k) | Affiliated issuer. The issuer and/or the Trust 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 Trust’s transactions in, and earnings from, its investments in affiliates for the three months ended May 31, 2020. |
Value February 29, 2020 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain | Value May 31, 2020 | Dividend Income | |
Investments in Affiliated Money Market Funds: | |||||||
Invesco Government & Agency Portfolio, Institutional Class | $1,845,572 | $2,837,320 | $(4,502,413) | $- | $- | $180,479 | $1,049 |
Invesco Liquid Assets Portfolio, Institutional Class | 1,421,814 | 2,587,994 | (3,880,942) | (141) | 162 | 128,887 | 1,442 |
Invesco Treasury Portfolio, Institutional Class | 2,109,226 | 3,242,651 | (5,145,615) | - | - | 206,262 | 1,120 |
Total | $5,376,612 | $8,667,965 | $(13,528,970) | $(141) | $162 | $515,628 | $3,611 |
(l) | The rate shown is the 7-day SEC standardized yield as of May 31, 2020. |
Open Forward Foreign Currency Contracts | ||||||
Settlement Date | Counterparty | Contract to | Unrealized Appreciation (Depreciation) | |||
Deliver | Receive | |||||
Currency Risk | ||||||
08/28/2020 | Barclays Capital | GBP | 257,250 | USD | 317,392 | $(422) |
08/28/2020 | Citibank N.A. | EUR | 1,325,731 | USD | 1,459,722 | (14,597) |
Total Forward Foreign Currency Contracts | $(15,019) |
Abbreviations: | |
EUR | —Euro |
GBP | —British Pound Sterling |
USD | —U.S. Dollar |
See accompanying notes which are an integral part of this schedule.
Invesco High Income Trust II
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 High Income Trust II
Notes to Quarterly Schedule of Portfolio Holdings
May 31, 2020
(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 Trust’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 May 31, 2020. 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. Dollar Denominated Bonds & Notes | $— | $111,679,273 | $0 | $111,679,273 |
Non-U.S. Dollar Denominated Bonds & Notes | — | 763,101 | — | 763,101 |
Asset-Backed Securities | — | 389,942 | — | 389,942 |
Money Market Funds | 515,628 | — | — | 515,628 |
Total Investments in Securities | 515,628 | 112,832,316 | 0 | 113,347,944 |
Other Investments - Assets* | ||||
Investments Matured | — | 7,685 | 0 | 7,685 |
Other Investments - Liabilities* | ||||
Forward Foreign Currency Contracts | — | (15,019) | — | (15,019) |
Total Investments | $515,628 | $112,824,982 | $0 | $113,340,610 |
* | Forward foreign currency contracts are valued at unrealized appreciation (depreciation). Investments matured are shown at value. |
NOTE 2—Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Trust’s ability to achieve its investment objective, as stated in the most recent shareholder report. Because of the uncertainties on valuation, the global economy and business operations, values reflected in the Schedule of Investments may materially differ from the value received upon actual sales of those investments.
The extent of the impact on the performance of the Trust and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
Invesco High Income Trust II