Conv. | – Convertible |
Ctfs. | – Certificates |
EUR | – Euro |
IO | – Interest Only |
Pfd. | – Preferred |
PO | – Principal Only |
RB | – Revenue Bonds |
Ref. | – Refunding |
REIT | – Real Estate Investment Trust |
REMICs | – Real Estate Mortgage Investment Conduits |
SOFR | – Secured Overnight Financing Rate |
STACR® | – Structured Agency Credit Risk |
STRIPS | – Separately Traded Registered Interest and Principal Security |
TBA | – To Be Announced |
(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) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at March 31, 2024 was $53,991,025, which represented 40.61% 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 March 31, 2024. |
(f) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on March 31, 2024. |
(g) | Security valued using significant unobservable inputs (Level 3). See Note 1. |
(h) | Step coupon bond. The interest rate represents the coupon rate at which the bond will accrue at a specified future date. |
(i) | Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on March 31, 2024. |
(j) | Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on March 31, 2024. |
(k) | Zero coupon bond issued at a discount. |
(l) | Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. |
(m) | Security purchased on a forward commitment basis. This security is subject to dollar roll transactions. |
(n) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. |
(o) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. |
(p) | Foreign denominated security. Principal amount is denominated in the currency indicated. |
(q) | Affiliated holding. Affiliated holdings are investments in entities which are under common ownership or control of Invesco Ltd. or are investments in entities in which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the three months ended March 31, 2024. |
Value December 31, 2023 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value March 31, 2024 | Dividend Income | |
Investments in Affiliated Money Market Funds: | |||||||
Invesco Government & Agency Portfolio, Institutional Class | $4,138,168 | $6,437,011 | $(5,407,285) | $- | $- | $5,167,894 | $67,923 |
Invesco Liquid Assets Portfolio, Institutional Class | 2,974,042 | 4,597,864 | (3,862,347) | (902) | (203) | 3,708,454 | 50,212 |
Invesco Treasury Portfolio, Institutional Class | 4,729,334 | 7,356,584 | (6,179,754) | - | - | 5,906,164 | 77,426 |
Investments Purchased with Cash Collateral from Securities on Loan: | |||||||
Invesco Private Government Fund | 1,741,006 | 17,038,715 | (16,636,019) | - | - | 2,143,702 | 22,708* |
Invesco Private Prime Fund | 4,449,580 | 33,367,018 | (32,339,059) | (1,118) | 985 | 5,477,406 | 61,405* |
Total | $18,032,130 | $68,797,192 | $(64,424,464) | $(2,020) | $782 | $22,403,620 | $279,674 |
* | 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. |
(r) | The rate shown is the 7-day SEC standardized yield as of March 31, 2024. |
(s) | 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 | |||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Interest Rate Risk | |||||
U.S. Treasury 2 Year Notes | 82 | June-2024 | $16,767,719 | $(20,489) | $(20,489) |
U.S. Treasury 10 Year Notes | 63 | June-2024 | 6,980,203 | 36,113 | 36,113 |
U.S. Treasury Long Bonds | 40 | June-2024 | 4,817,500 | 60,148 | 60,148 |
U.S. Treasury Ultra Bonds | 28 | June-2024 | 3,612,000 | 66,211 | 66,211 |
Subtotal—Long Futures Contracts | 141,983 | 141,983 | |||
Short Futures Contracts | |||||
Interest Rate Risk | |||||
U.S. Treasury 5 Year Notes | 49 | June-2024 | (5,243,766) | 4,232 | 4,232 |
U.S. Treasury 10 Year Ultra Notes | 107 | June-2024 | (12,263,203) | (49,552) | (49,552) |
Subtotal—Short Futures Contracts | (45,320) | (45,320) | |||
Total Futures Contracts | $96,663 | $96,663 |
Open Forward Foreign Currency Contracts | ||||||
Settlement Date | Counterparty | Contract to | Unrealized Appreciation (Depreciation) | |||
Deliver | Receive | |||||
Currency Risk | ||||||
05/15/2024 | Goldman Sachs International | EUR | 159,000 | USD | 171,618 | $(207) |
Abbreviations: | |
EUR | —Euro |
USD | —U.S. Dollar |
Level 1 | Level 2 | Level 3 | Total | |
Investments in Securities | ||||
U.S. Dollar Denominated Bonds & Notes | $— | $63,053,898 | $683,789 | $63,737,687 |
Asset-Backed Securities | — | 30,318,178 | — | 30,318,178 |
U.S. Government Sponsored Agency Mortgage-Backed Securities | — | 21,170,733 | — | 21,170,733 |
U.S. Treasury Securities | — | 19,217,669 | — | 19,217,669 |
Agency Credit Risk Transfer Notes | — | 857,754 | — | 857,754 |
Preferred Stocks | 494,407 | 234,498 | — | 728,905 |
Municipal Obligations | — | 454,021 | — | 454,021 |
Non-U.S. Dollar Denominated Bonds & Notes | — | 110,465 | — | 110,465 |
Money Market Funds | 14,782,512 | 7,621,108 | — | 22,403,620 |
Total Investments in Securities | 15,276,919 | 143,038,324 | 683,789 | 158,999,032 |
Other Investments - Assets* | ||||
Futures Contracts | 166,704 | — | — | 166,704 |
Other Investments - Liabilities* | ||||
Futures Contracts | (70,041) | — | — | (70,041) |
Forward Foreign Currency Contracts | — | (207) | — | (207) |
(70,041) | (207) | — | (70,248) | |
Total Other Investments | 96,663 | (207) | — | 96,456 |
Total Investments | $15,373,582 | $143,038,117 | $683,789 | $159,095,488 |
* | Unrealized appreciation (depreciation). |