Shares | Value | ||
Money Market Funds–(continued) | |||
Invesco Private Prime Fund, 5.38%(k)(l)(m) | 16,381 | $16,381 | |
Total Investments Purchased with Cash Collateral from Securities on Loan (Cost $22,751) | 22,751 | ||
TOTAL INVESTMENTS IN SECURITIES—101.93% (Cost $29,341,306) | 26,481,737 | ||
OTHER ASSETS LESS LIABILITIES–(1.93)% | (501,671) | ||
NET ASSETS–100.00% | $25,980,066 |
AUD | – Australian Dollar |
CAD | – Canadian Dollar |
CHF | – Swiss Franc |
Ctfs. | – Certificates |
ETF | – Exchange-Traded Fund |
EUR | – Euro |
GBP | – British Pound Sterling |
IDR | – Indonesian Rupiah |
IO | – Interest Only |
JPY | – Japanese Yen |
KRW | – South Korean Won |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NOK | – Norwegian Krone |
NZD | – New Zealand Dollar |
PLN | – Polish Zloty |
SEK | – Swedish Krona |
TBA | – To Be Announced |
THB | – Thai Baht |
(a) | Foreign denominated security. Principal amount is denominated in the currency indicated. |
(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 $9,765,172, which represented 37.59% of the Fund’s Net Assets. |
(c) | Security issued at a fixed rate for a specific period of time, after which it will convert to a variable rate. |
(d) | Perpetual bond with no specified maturity date. |
(e) | All or a portion of this security was out on loan at July 31, 2023. |
(f) | Step coupon bond. The interest rate represents the coupon rate at which the bond will accrue at a specified future date. |
(g) | Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on July 31, 2023. |
(h) | Security purchased on a forward commitment basis. This security is subject to dollar roll transactions. |
(i) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. |
(j) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. |
(k) | 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 | Realized Gain (Loss) | Value July 31, 2023 | Dividend Income | |
Invesco High Yield Bond Factor ETF | $368,287 | $- | $- | $14,615 | $- | $381,150 | $17,776* |
Investments in Affiliated Money Market Funds: | |||||||
Invesco Government & Agency Portfolio, Institutional Class | - | 2,555,042 | (2,279,003) | - | - | 276,039 | 4,977 |
Invesco Liquid Assets Portfolio, Institutional Class | - | 1,825,029 | (1,627,858) | 1 | (40) | 197,132 | 3,288 |
Invesco Treasury Portfolio, Institutional Class | - | 2,920,047 | (2,604,574) | - | - | 315,473 | 5,118 |
Investments Purchased with Cash Collateral from Securities on Loan: | |||||||
Invesco Private Government Fund | 33,265 | 296,275 | (323,170) | - | - | 6,370 | 830** |
Invesco Private Prime Fund | 88,347 | 511,456 | (583,420) | - | (2) | 16,381 | 2,213** |
Total | $489,899 | $8,107,849 | $(7,418,025) | $14,616 | $(42) | $1,192,545 | $34,202 |
* | Amounts include a return of capital distribution reclassification which reduces dividend income and increases realized gain (loss) and/or change in unrealized appreciation (depreciation). |
** | Represents the income earned on the investment of cash collateral. Does not include rebates and fees paid to lending agent or premiums received from borrowers, if any. |
(l) | The rate shown is the 7-day SEC standardized yield as of July 31, 2023. |
(m) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. |
Open Futures Contracts(a) | |||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Interest Rate Risk | |||||
Euro-Buxl | 2 | September-2023 | $295,942 | $(2,683) | $(2,683) |
Japan 10 Year Bonds | 1 | September-2023 | 1,031,877 | (8,013) | (8,013) |
Long Gilt | 2 | September-2023 | 246,737 | (744) | (744) |
U.S. Treasury 10 Year Ultra Notes | 4 | September-2023 | 467,937 | (9,150) | (9,150) |
Subtotal—Long Futures Contracts | (20,590) | (20,590) | |||
Short Futures Contracts | |||||
Interest Rate Risk | |||||
Euro-Schatz | 4 | September-2023 | (462,010) | 1,891 | 1,891 |
U.S. Treasury 5 Year Notes | 1 | September-2023 | (106,820) | 2,390 | 2,390 |
Subtotal—Short Futures Contracts | 4,281 | 4,281 | |||
Total Futures Contracts | $(16,309) | $(16,309) |
(a) | Futures contracts collateralized by $12,554 cash held with Merrill Lynch International, the futures commission merchant. |
Open Forward Foreign Currency Contracts | ||||||
Settlement Date | Counterparty | Contract to | Unrealized Appreciation (Depreciation) | |||
Deliver | Receive | |||||
Currency Risk | ||||||
09/20/2023 | BNP Paribas S.A. | INR | 317,278 | USD | 3,855 | $2 |
09/20/2023 | BNP Paribas S.A. | JPY | 4,530,898 | USD | 32,927 | 835 |
09/20/2023 | BNP Paribas S.A. | USD | 326,315 | NOK | 3,514,380 | 20,980 |
09/20/2023 | BNP Paribas S.A. | USD | 116,807 | NZD | 191,000 | 1,830 |
09/20/2023 | Citibank, N.A. | CLP | 4,808,000 | USD | 5,951 | 250 |
09/20/2023 | Citibank, N.A. | IDR | 1,098,628,002 | USD | 73,314 | 610 |
09/20/2023 | Citibank, N.A. | USD | 51,760 | CZK | 1,146,000 | 880 |
09/20/2023 | Citibank, N.A. | USD | 70,722 | THB | 2,424,000 | 418 |
09/20/2023 | Citibank, N.A. | USD | 111,237 | ZAR | 2,062,380 | 3,574 |
08/02/2023 | Goldman Sachs International | USD | 42,606 | BRL | 203,690 | 468 |
09/20/2023 | Goldman Sachs International | KRW | 124,868,300 | USD | 98,477 | 483 |
09/20/2023 | Goldman Sachs International | USD | 96,612 | COP | 413,581,170 | 7,422 |
08/02/2023 | HSBC Bank USA | USD | 13,120 | BRL | 62,210 | 35 |
09/05/2023 | HSBC Bank USA | USD | 13,023 | BRL | 62,210 | 54 |
09/20/2023 | HSBC Bank USA | HUF | 3,593,714 | USD | 10,225 | 131 |
09/20/2023 | HSBC Bank USA | USD | 309,744 | AUD | 463,000 | 1,773 |
09/20/2023 | HSBC Bank USA | USD | 262,839 | CHF | 234,000 | 6,879 |
09/20/2023 | HSBC Bank USA | USD | 64,861 | GBP | 51,000 | 603 |
09/20/2023 | HSBC Bank USA | USD | 153,915 | JPY | 21,945,000 | 1,520 |
09/20/2023 | HSBC Bank USA | USD | 5,190 | KRW | 6,809,600 | 154 |
09/20/2023 | HSBC Bank USA | USD | 15,061 | MXN | 266,000 | 685 |
09/20/2023 | J.P. Morgan Chase Bank, N.A. | AUD | 4,028,420 | USD | 2,724,355 | 13,947 |
09/20/2023 | J.P. Morgan Chase Bank, N.A. | EUR | 31,000 | USD | 34,771 | 605 |
09/20/2023 | J.P. Morgan Chase Bank, N.A. | USD | 7,141,360 | EUR | 6,608,970 | 142,514 |
09/20/2023 | J.P. Morgan Chase Bank, N.A. | USD | 934,470 | GBP | 746,818 | 24,158 |
09/20/2023 | Merrill Lynch International | INR | 2,411,542 | USD | 29,428 | 146 |
Open Forward Foreign Currency Contracts—(continued) | ||||||
Settlement Date | Counterparty | Contract to | Unrealized Appreciation (Depreciation) | |||
Deliver | Receive | |||||
09/20/2023 | Merrill Lynch International | USD | 203,123 | AUD | 304,500 | $1,751 |
09/20/2023 | Merrill Lynch International | USD | 1,173,890 | CAD | 1,567,402 | 15,545 |
09/20/2023 | Merrill Lynch International | USD | 2,260,699 | CNY | 16,112,000 | 7,338 |
09/20/2023 | Merrill Lynch International | USD | 74,757 | SGD | 99,970 | 597 |
09/20/2023 | Morgan Stanley and Co. International PLC | USD | 29,159 | CHF | 26,250 | 1,098 |
09/20/2023 | Morgan Stanley and Co. International PLC | USD | 292,439 | EUR | 266,800 | 1,606 |
09/20/2023 | Morgan Stanley and Co. International PLC | USD | 4,916 | MXN | 85,370 | 138 |
09/20/2023 | Morgan Stanley and Co. International PLC | USD | 13,052 | NOK | 139,400 | 724 |
09/20/2023 | Morgan Stanley and Co. International PLC | USD | 352,790 | NZD | 574,660 | 4,153 |
09/20/2023 | Morgan Stanley and Co. International PLC | USD | 99,704 | SEK | 1,074,000 | 2,566 |
09/20/2023 | Royal Bank of Canada | USD | 218,175 | EUR | 200,000 | 2,249 |
Subtotal—Appreciation | 268,721 | |||||
Currency Risk | ||||||
09/20/2023 | Barclays Bank PLC | NOK | 328,711 | USD | 30,749 | (1,735) |
09/20/2023 | BNP Paribas S.A. | NOK | 14,660,312 | USD | 1,361,231 | (87,520) |
09/20/2023 | BNP Paribas S.A. | NZD | 2,908,655 | USD | 1,778,809 | (27,871) |
09/20/2023 | BNP Paribas S.A. | SEK | 2,593,000 | USD | 240,110 | (6,805) |
09/20/2023 | BNP Paribas S.A. | USD | 7,463 | HUF | 2,594,000 | (177) |
09/20/2023 | BNP Paribas S.A. | USD | 993,789 | JPY | 136,747,860 | (25,215) |
09/20/2023 | Citibank, N.A. | CZK | 318,000 | USD | 14,363 | (244) |
09/20/2023 | Citibank, N.A. | PLN | 625,221 | USD | 150,986 | (4,720) |
09/20/2023 | Citibank, N.A. | THB | 995,501 | USD | 29,045 | (172) |
09/20/2023 | Citibank, N.A. | USD | 21,982 | CLP | 17,759,000 | (923) |
09/20/2023 | Citibank, N.A. | USD | 18,362 | IDR | 274,827,310 | (175) |
09/20/2023 | Citibank, N.A. | ZAR | 1,231,643 | USD | 66,430 | (2,135) |
08/02/2023 | Goldman Sachs International | BRL | 203,690 | USD | 42,627 | (449) |
09/20/2023 | Goldman Sachs International | USD | 117,812 | KRW | 149,385,000 | (577) |
08/02/2023 | HSBC Bank USA | BRL | 62,210 | USD | 13,102 | (53) |
09/20/2023 | HSBC Bank USA | MXN | 5,352,500 | USD | 303,051 | (13,784) |
09/20/2023 | HSBC Bank USA | USD | 33,396 | HUF | 11,737,150 | (426) |
09/20/2023 | HSBC Bank USA | USD | 16,657 | INR | 1,369,720 | (25) |
09/20/2023 | HSBC Bank USA | ZAR | 847,357 | USD | 46,217 | (954) |
09/20/2023 | J.P. Morgan Chase Bank, N.A. | EUR | 7,562,305 | USD | 8,171,491 | (163,071) |
09/20/2023 | J.P. Morgan Chase Bank, N.A. | USD | 2,309,832 | AUD | 3,415,476 | (11,825) |
09/20/2023 | Merrill Lynch International | AUD | 272,510 | USD | 181,783 | (1,567) |
09/20/2023 | Merrill Lynch International | CAD | 587,000 | USD | 439,628 | (5,822) |
09/20/2023 | Merrill Lynch International | EUR | 215,414 | USD | 235,543 | (1,869) |
09/20/2023 | Merrill Lynch International | USD | 80,881 | INR | 6,628,000 | (401) |
09/20/2023 | Morgan Stanley and Co. International PLC | CAD | 61,945 | USD | 46,876 | (131) |
09/20/2023 | Morgan Stanley and Co. International PLC | CHF | 798,521 | USD | 887,001 | (33,407) |
09/20/2023 | Morgan Stanley and Co. International PLC | EUR | 87,800 | USD | 96,238 | (528) |
09/20/2023 | Morgan Stanley and Co. International PLC | GBP | 39,430 | USD | 50,164 | (448) |
09/20/2023 | Morgan Stanley and Co. International PLC | MXN | 180,700 | USD | 10,405 | (292) |
09/20/2023 | Morgan Stanley and Co. International PLC | NOK | 339,190 | USD | 31,758 | (1,761) |
09/20/2023 | Morgan Stanley and Co. International PLC | NZD | 5,000 | USD | 3,077 | (29) |
09/20/2023 | Morgan Stanley and Co. International PLC | SEK | 5,727,434 | USD | 531,702 | (13,686) |
09/20/2023 | Morgan Stanley and Co. International PLC | USD | 39,256 | TRY | 1,067,530 | (763) |
09/20/2023 | Royal Bank of Canada | CAD | 285,000 | USD | 215,625 | (650) |
09/20/2023 | Royal Bank of Canada | CHF | 169,660 | USD | 191,171 | (4,386) |
09/20/2023 | Royal Bank of Canada | JPY | 14,507,380 | USD | 101,678 | (1,077) |
Open Forward Foreign Currency Contracts—(continued) | ||||||
Settlement Date | Counterparty | Contract to | Unrealized Appreciation (Depreciation) | |||
Deliver | Receive | |||||
09/20/2023 | Royal Bank of Canada | SEK | 2,360,760 | USD | 219,420 | $(5,380) |
09/20/2023 | State Street Bank & Trust Co. | SGD | 7,400 | USD | 5,486 | (92) |
09/20/2023 | UBS AG | COP | 38,678,356 | USD | 9,032 | (698) |
09/20/2023 | UBS AG | USD | 107,121 | TRY | 2,728,600 | (8,734) |
Subtotal—Depreciation | (430,577) | |||||
Total Forward Foreign Currency Contracts | $(161,856) |
Open Centrally Cleared Interest Rate Swap Agreements | ||||||||||
Pay/ Receive Floating Rate | Floating Rate Index | Payment Frequency | (Pay)/ Receive Fixed Rate | Payment Frequency | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Interest Rate Risk | ||||||||||
Receive | 3 Month NDBB | Quarterly | (4.69)% | Semi-Annually | 01/06/2028 | NZD | 18,733 | $(143) | $67 | $210 |
Receive | 6 Month ADBB | Semi-Annually | (4.34) | Semi-Annually | 07/05/2033 | AUD | 60,000 | — | 301 | 301 |
Receive | 6 Month ADBB | Semi-Annually | (4.30) | Semi-Annually | 11/01/2027 | AUD | 295,000 | (1,459) | (698) | 761 |
Receive | 3 Month CDOR | Semi-Annually | (3.43) | Semi-Annually | 04/03/2028 | CAD | 40,000 | (433) | 1,196 | 1,629 |
Pay | 3 Month CNRR007 | Quarterly | 2.47 | Quarterly | 07/29/2027 | CNY | 4,000,000 | — | 1,950 | 1,950 |
Receive | 3 Month NDBB | Quarterly | (4.44) | Semi-Annually | 07/05/2033 | NZD | 506,000 | — | 3,962 | 3,962 |
Receive | 3 Month STIBOR | Quarterly | (2.60) | Annually | 07/05/2032 | SEK | 1,920,000 | 634 | 6,959 | 6,325 |
Receive | SOFR | Annually | (3.46) | Annually | 02/16/2033 | USD | 1,132,000 | 8,189 | 22,551 | 14,362 |
Receive | 3 Month STIBOR | Quarterly | (1.15) | Annually | 02/02/2032 | SEK | 1,956,000 | 511 | 26,724 | 26,213 |
Receive | SONIA | Annually | (1.18) | Annually | 09/30/2031 | GBP | 110,000 | (4,350) | 30,072 | 34,422 |
Pay | 3 Month CNRR007 | Quarterly | 2.86 | Quarterly | 02/03/2028 | CNY | 14,056,000 | (565) | 35,578 | 36,143 |
Receive | 3 Month NDBB | Quarterly | (1.46) | Semi-Annually | 08/03/2026 | NZD | 473,000 | (7,003) | 29,789 | 36,792 |
Pay | TONAR | Annually | 0.06 | Annually | 03/01/2024 | JPY | 41,000,000 | (64,607) | 164 | 64,771 |
Subtotal — Appreciation | (69,226) | 158,615 | 227,841 | |||||||
Interest Rate Risk | ||||||||||
Receive | SONIA | Annually | (5.18) | Annually | 07/03/2028 | GBP | 127,000 | 1 | (2,416) | (2,417) |
Total Centrally Cleared Interest Rate Swap Agreements | $(69,225) | $156,199 | $225,424 |
Abbreviations: | |
ADBB | —Australian Dollar Bank Bill |
AUD | —Australian Dollar |
BRL | —Brazilian Real |
CAD | —Canadian Dollar |
CDOR | —Canadian Dealer Offered Rate |
CHF | —Swiss Franc |
CLP | —Chile Peso |
CNRR007 | —China 7-Day Reverse Repo Rate |
CNY | —Chinese Yuan Renminbi |
COP | —Colombia Peso |
CZK | —Czech Koruna |
EUR | —Euro |
GBP | —British Pound Sterling |
HUF | —Hungarian Forint |
IDR | —Indonesian Rupiah |
INR | —Indian Rupee |
JPY | —Japanese Yen |
KRW | —South Korean Won |
MXN | —Mexican Peso |
NDBB | —New Zealand Dollar Bank Bill |
NOK | —Norwegian Krone |
NZD | —New Zealand Dollar |
PLN | —Polish Zloty |
SEK | —Swedish Krona |
SGD | —Singapore Dollar |
SOFR | —Secured Overnight Financing Rate |
SONIA | —Sterling Overnight Index Average |
STIBOR | —Stockholm Interbank Offered Rate |
THB | —Thai Baht |
TONAR | —Tokyo Overnight Average Rate |
TRY | —Turkish Lira |
USD | —U.S. Dollar |
ZAR | —South African Rand |
Level 1 | Level 2 | Level 3 | Total | |
Investments in Securities | ||||
Non-U.S. Dollar Denominated Bonds & Notes | $— | $14,078,293 | $— | $14,078,293 |
U.S. Dollar Denominated Bonds & Notes | — | 5,774,587 | — | 5,774,587 |
U.S. Government Sponsored Agency Mortgage-Backed Securities | — | 2,837,862 | — | 2,837,862 |
U.S. Treasury Securities | — | 2,598,450 | — | 2,598,450 |
Exchange-Traded Funds | 381,150 | — | — | 381,150 |
Money Market Funds | 788,644 | 22,751 | — | 811,395 |
Total Investments in Securities | 1,169,794 | 25,311,943 | — | 26,481,737 |
Other Investments - Assets* | ||||
Futures Contracts | 4,281 | — | — | 4,281 |
Forward Foreign Currency Contracts | — | 268,721 | — | 268,721 |
Swap Agreements | — | 227,841 | — | 227,841 |
4,281 | 496,562 | — | 500,843 | |
Other Investments - Liabilities* | ||||
Futures Contracts | (20,590) | — | — | (20,590) |
Forward Foreign Currency Contracts | — | (430,577) | — | (430,577) |
Swap Agreements | — | (2,417) | — | (2,417) |
(20,590) | (432,994) | — | (453,584) | |
Total Other Investments | (16,309) | 63,568 | — | 47,259 |
Total Investments | $1,153,485 | $25,375,511 | $— | $26,528,996 |
* | Unrealized appreciation (depreciation). |