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  • Invesco Trust Company
    Financial Professional

    Quarterly Portfolio Holdings

    as of 03/31/2020

    Invesco Macro Allocation Strategy Trust

    CUSIP Security Name Share/Par Market Value %TNA Moody Rating Coupon/Div Yield Maturity Date
    IRTGOVTT8 IRT GOVT TRUST 134400000 $134,400,000.00 42.89% N/A
    CASHUSD00 USD CURRENCY CASH 87035792 $87,035,791.99 27.78% 0.00
    FUTURES CASH COLLATERAL & VM 28870000 $28,870,000.00 9.21% N/A
    912796TX7 UNITED STATES TREASURY BILL B 06/04/20 24100000 $24,095,501.25 7.69% Aaa 0.00 06/04/2020
    912796XG9 TREASURY BILL 0 8/27/2020 0 8/27/2020 24100000 $24,088,209.80 7.69% Aaa 0.00 08/27/2020
    OPTIONS CASH COLLATERAL 15250000 $15,250,000.00 4.87% N/A
    Aluminum MS GSCI Dynamic Roll Swap (Short) (Leg A) -286000 $1,484,703.22 0.47% N/A 02/25/2021
    SWAP COLLATERAL USD 1110000 $1,110,000.00 0.35% N/A
    Copper BAML Optim Idx ER Swap (Short) (Leg A) -12300 $810,237.90 0.26% N/A 03/02/2021
    LXM0 LME ZINC FUTURE Jun20LXM0 -126 $394,475.00 0.13% N/A 06/15/2020
    PTM0 S&P/TSX 60 IX FUT Jun20PTM0 98 $300,161.57 0.10% N/A 06/18/2020
    LXJ0 LME ZINC FUTURE Apr20LXJ0 0 $247,470.25 0.08% N/A 04/09/2020
    MFSM0 MSCI EAFE Jun20MFSM0 -189 $252,249.12 0.08% N/A 06/19/2020
    VGM0 EURO STOXX 50 Jun20VGM0 498 $180,223.46 0.06% N/A 06/19/2020
    XMM0 AUST 10Y BOND FUT Jun20XMM0 COMB 1128 $168,718.23 0.05% N/A 06/15/2020
    HIJ0 HANG SENG IDX FUT Apr20HIJ0 COMB 30 $136,624.01 0.04% N/A 04/28/2020
    Z M0 FTSE 100 IDX FUT Jun20Z M0 96 $96,465.17 0.03% N/A 06/19/2020
    CASHJPY06 JPY CURRENCY CASH 9120000 $84,448.35 0.03% 0.00
    SIK0 SILVER FUTURE May20SIK0 COMB 156 $47,947.85 0.02% N/A 05/27/2020
    CASHGBP00 GBP CURRENCY CASH 55740 $69,147.98 0.02% 0.00
    CNM0 CAN 10YR BOND FUT Jun20CNM0 515 $69,855.74 0.02% N/A 06/19/2020
    W N0 WHEAT FUTURE(CBT) Jul20W N0 COMB 197 $35,030.16 0.01% N/A 07/14/2020
    HOM0 NY Harb ULSD Fut Jun20HOM0 COMB -78 $36,019.88 0.01% N/A 05/29/2020
    KWN0 KC HRW WHEAT FUT Jul20KWN0 COMB 33 $17,950.48 0.01% N/A 07/14/2020
    Sugar CARG GSCI Mar-Mar ER Swap (Long) 15250 $0.00 0.00% N/A 06/19/2020
    Sugar CARG GSCI Mar-Mar ER Swap (Long) (Leg B) -2014176 -$939.06 0.00% 0.41 06/19/2020
    Sugar CARG GSCI Mar-Mar ER Swap (Long) (Leg A) 15250 $0.01 0.00% 0.00 06/19/2020
    Soymeal GSCI 1-2 month ER Swap (Long) 0 $0.00 0.00% N/A 06/24/2020
    Soymeal GSCI 1-2 month ER Swap (Long) (Leg B) 0 $0.00 0.00% 0.42 06/24/2020
    Soymeal GSCI 1-2 month ER Swap (Long) (Leg A) 0 $0.00 0.00% 0.00 06/24/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Long) 11700 $0.00 0.00% N/A 06/24/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Long) (Leg B) -7291900 -$59.93 0.00% 0.30 06/24/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Long) (Leg A) 11700 $0.00 0.00% 0.00 06/24/2020
    HIH0 HANG SENG IDX FUT Mar20HIH0 COMB 0 $0.00 0.00% N/A 03/30/2020
    Sugar BARC GSCI Mar-Mar ER Swap (Long) (Leg B) -3785049 -$680.28 0.00% 0.41 01/28/2021
    Sugar BARC GSCI Mar-Mar ER Swap (Long) 22750 $0.00 0.00% N/A 01/28/2021
    Aluminum MS GSCI Dynamic Roll Swap (Short) (Leg B) 22397135 -$3,730.81 0.00% -0.38 02/25/2021
    Aluminum MS GSCI Dynamic Roll Swap (Short) 286000 $0.00 0.00% N/A 02/25/2021
    Copper BAML Optim Idx ER Swap (Short) (Leg B) 5751945 -$537.14 0.00% -0.10 03/02/2021
    Copper BAML Optim Idx ER Swap (Short) 12300 $0.00 0.00% N/A 03/02/2021
    April 20 Puts on XSPXSP US 04/17/20 P270 0 $0.00 0.00% N/A 04/17/2020
    April 20 Puts on MXEAMXEA US 04/17/20 P1700 0 $0.00 0.00% N/A 04/17/2020
    April 20 Puts on MXEFMXEF US 04/17/20 P950 0 $0.00 0.00% N/A 04/17/2020
    KCK0 COFFEE 'C' FUTURE May20KCK0 76 $10,331.20 0.00% N/A 05/18/2020
    C N0 CORN FUTURE Jul20C N0 COMB -447 $3,195.54 0.00% N/A 07/14/2020
    NGZ20 NATURAL GAS FUTR Dec20NGZ20 COMB -540 $15,078.00 0.00% N/A 11/25/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Short) (Leg B) 0 $0.00 0.00% -0.05 08/28/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Short) (Leg A) 0 $0.00 0.00% N/A 08/28/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Short) 0 $0.00 0.00% N/A 08/28/2020
    Live Cattle BARC OY ER Swap (Short) 20000 $0.00 0.00% N/A 05/01/2020
    Live Cattle BARC OY ER Swap (Short) (Leg B) 1725318 -$355.46 0.00% -0.47 05/01/2020
    COM0 BRENT CRUDE FUTR Jun20COM0 69 -$6,832.40 0.00% N/A 04/30/2020
    COX0 BRENT CRUDE FUTR Nov20COX0 -55 -$2,165.30 0.00% N/A 09/30/2020
    CLV0 WTI CRUDE FUTURE Oct20CLV0 COMB -71 $3,070.25 0.00% N/A 09/22/2020
    CLX0 WTI CRUDE FUTURE Nov20CLX0 COMB -75 -$13,112.93 0.00% N/A 10/20/2020
    HOK0 NY Harb ULSD Fut May20HOK0 COMB -22 $13,848.23 0.00% N/A 04/30/2020
    S N0 SOYBEAN FUTURE Jul20S N0 COMB -93 -$17,059.34 -0.01% N/A 07/14/2020
    CTZ0 COTTON NO.2 FUTR Dec20CTZ0 28 -$27,622.20 -0.01% N/A 12/08/2020
    CASH SECURITY USD 0 -$19,916.88 -0.01% N/A
    MESM0 MSCI EmgMkt Jun20MESM0 -304 -$36,015.26 -0.01% N/A 06/19/2020
    RTYM0 E-Mini Russ 2000 Jun20RTYM0 131 -$44,540.00 -0.01% N/A 06/19/2020
    QSJ0 Low Su Gasoil G Apr20QSJ0 -71 -$74,991.67 -0.02% N/A 04/08/2020
    BON0 SOYBEAN OIL FUTR Jul20BON0 COMB -761 -$49,879.27 -0.02% N/A 07/14/2020
    CCN0 COCOA FUTURE Jul20CCN0 618 -$74,160.00 -0.02% N/A 07/16/2020
    ESM0 S&P500 EMINI FUT Jun20ESM0 -126 -$58,686.05 -0.02% N/A 06/19/2020
    Sugar BARC GSCI Mar-Mar ER Swap (Long) (Leg A) 22750 -$109,618.60 -0.03% 0.00 01/28/2021
    XBK0 GASOLINE RBOB FUT May20XBK0 COMB 53 -$81,011.77 -0.03% N/A 04/30/2020
    TPM0 TOPIX INDX FUTR Jun20TPM0 COMB 76 -$84,448.35 -0.03% N/A 06/11/2020
    HKD CURRENCY CASH -1059000 -$136,624.01 -0.04% N/A
    Live Cattle BARC OY ER Swap (Short) (Leg A) -20000 -$138,126.00 -0.04% N/A 05/01/2020
    CASHAUD07 AUD CURRENCY CASH -275886 -$168,718.08 -0.05% 0.00
    G M0 LONG GILT FUTURE Jun20G M0 267 -$165,613.42 -0.05% N/A 06/26/2020
    CASHEUR08 EUR CURRENCY CASH -164340 -$180,224.01 -0.06% 0.00
    USM0 US LONG BOND(CBT) Jun20USM0 COMB 138 -$231,852.60 -0.07% N/A 06/19/2020
    May 20 Puts on MXEAMXEA US 05/15/20 P1410 -93 -$388,740.00 -0.12% N/A 05/15/2020
    CASHCAD09 CAD CURRENCY CASH -526720 -$370,017.31 -0.12% 0.00
    May 20 Puts on MXEFMXEF US 05/15/20 P770 -174 -$465,450.00 -0.15% N/A 05/15/2020
    May 20 Puts on XSPXSP US 05/15/20 P232 -550 -$481,525.00 -0.15% N/A 05/15/2020
    LHZ0 LEAN HOGS FUTURE Dec20LHZ0 COMB -558 -$725,461.06 -0.23% N/A 12/14/2020
    LNK0 LME NICKEL FUTURE May20LNK0 111 -$865,654.74 -0.28% N/A 05/18/2020
    GCM0 GOLD 100 OZ FUTR Jun20GCM0 COMB 163 -$960,923.65 -0.31% N/A 06/26/2020

    ** Not Annualized if less than one year. Since Inception performance is as of the first full month the fund was open.

    Total return assumes reinvestment of dividends and capital gains for the periods indicated. Past performance is no guarantee of future results.

    The monthly adjusted returns are compounded and then annualized to compute the long-term results. Individual Plan performance may vary depending upon the timing of contributions and withdrawals. Investment return and principal value will fluctuate so that, when redeemed, an investor's shares may be worth more or less than when originally purchased.

    As with all investments, there are associated risks. Please obtain and read all information carefully before making investment decisions.

    Indices presented for comparison are unmanaged and considered to be representative of the stock or bond markets in general. Investors cannot invest directly in an index.

    The Invesco Collective Trust Funds are bank collective trust funds for which Invesco Trust Company serves as trustee and investment manager. The funds are not FDIC-insured or registered with the Securities and Exchange Commission. Fund investors and potential investors are strongly encouraged to review the funds' Declaration of Trust for additional information regarding the operation and investment objectives of the funds.

    All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is not to be construed as an offer to buy or sell any financial instruments. It is not our intention to state, indicate or imply in any manner that current or past results are indicative of future profitability or expectations. As with all investments there are associated inherent risks. Please obtain and review all financial material carefully before investing.

    When evaluating whether a fund is appropriate for your investment goals, fund performance, fees and expenses are only a few of the criteria you should consider. You may also consider the investment objective, strategy and risks.

    Invesco Custom Intermediate Index, consisting of the following percentages of the Bloomberg Barclays US bond indices (the "Underlying Benchmark Indices"): 30% Intermediate US Treasury, 25% US MBS, 5% CMBS ERISA eligible AAA, 30% USD Corporate 1-5 Year, and 10% Intermediate Corporate (the "Index"). The Underlying Benchmark Indices, including percentages, may be changed from time to time when the investment manager and sub-adviser believe that such changes will benefit the Fund and its investors, without prior notice to investors. Information about the Index and the Underlying Benchmark Indices is available upon request.