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  • Invesco Trust Company
    Financial Professional

    Quarterly Portfolio Holdings

    as of 09/30/2019

    Invesco Macro Allocation Strategy Trust

    CUSIP Security Name Share/Par Market Value %TNA Moody Rating Coupon/Div Yield Maturity Date
    IRTGOVTT8 IRT GOVT TRUST 127100000 $127,100,000.00 43.63% N/A
    CASHUSD00 USD CURRENCY CASH 90198949 $90,198,949.31 30.96% 0.00
    912796RN1 UNITED STATES TREASURY BILL B 12/05/19 21500000 $21,430,852.78 7.36% Aaa 0.00 12/05/2019
    912796SU4 UNITED STATES TREASURY BILL B 11/29/19 21000000 $20,937,963.90 7.19% Aaa 0.00 11/29/2019
    FUTURES CASH COLLATERAL & VM 19460000 $19,460,000.00 6.68% N/A
    OPTIONS CASH COLLATERAL 12400000 $12,400,000.00 4.26% N/A
    LNX9 LME NICKEL FUTURE Nov19LNX9 43 $920,034.00 0.32% N/A 11/18/2019
    Aluminum MS GSCI Dynamic Roll Swap (Short) (Leg A) -270500 $868,699.92 0.30% N/A 03/05/2020
    CASHAUD07 AUD CURRENCY CASH 721796 $486,887.46 0.17% 0.00
    SWAP COLLATERAL USD 300000 $300,000.00 0.10% N/A
    NGZ19 NATURAL GAS FUTR Dec19NGZ19 COMB -400 $244,000.00 0.08% N/A 11/26/2019
    VGZ9 EURO STOXX 50 Dec19VGZ9 696 $189,694.80 0.07% N/A 12/20/2019
    CASHCAD09 CAD CURRENCY CASH 234220 $176,923.37 0.06% 0.00
    CASHJPY06 JPY CURRENCY CASH 14940000 $138,275.72 0.05% 0.00
    QSZ9 Low Su Gasoil G Dec19QSZ9 -65 $68,250.00 0.02% N/A 12/12/2019
    HOH0 NY Harb ULSD Fut Mar20HOH0 COMB -42 $69,148.80 0.02% N/A 02/28/2020
    CLF0 WTI CRUDE FUTURE Jan20CLF0 COMB -35 $60,550.00 0.02% N/A 12/19/2019
    COF0 BRENT CRUDE FUTR Jan20COF0 -10 $17,100.00 0.01% N/A 11/29/2019
    ESZ9 S&P500 EMINI FUT Dec19ESZ9 54 $39,690.00 0.01% N/A 12/20/2019
    BOZ9 SOYBEAN OIL FUTR Dec19BOZ9 COMB 147 $21,168.00 0.01% N/A 12/13/2019
    G Z9 LONG GILT FUTURE Dec19G Z9 162 $31,945.10 0.01% N/A 12/27/2019
    HIV9 HANG SENG IDX FUT Oct19HIV9 COMB 83 $28,586.37 0.01% N/A 10/30/2019
    Wheatkc MS F0 Swap (Short) 76300 $0.00 0.00% N/A 01/02/2020
    CTZ9 COTTON NO.2 FUTR Dec19CTZ9 -98 $3,430.00 0.00% N/A 12/06/2019
    CASH SECURITY USD 0 -$5,803.90 0.00% N/A
    RTYZ9 E-Mini Russ 2000 Dec19RTYZ9 68 $3,060.00 0.00% N/A 12/20/2019
    Live Cattle BARC OY ER Swap (Short) (Leg B) 13566865 -$2,620.45 0.00% -0.47 05/01/2020
    Live Cattle BARC OY ER Swap (Short) 124500 $0.00 0.00% N/A 05/01/2020
    Wheatkc MS F0 Swap (Short) (Leg B) 11624610 -$238.87 0.00% -0.05 01/02/2020
    Aluminum MS GSCI Dynamic Roll Swap (Short) (Leg B) 23389380 -$3,652.58 0.00% -0.38 03/05/2020
    Aluminum MS GSCI Dynamic Roll Swap (Short) 270500 $0.00 0.00% N/A 03/05/2020
    Copper CIBC Optim ExtdRoll Idx ER Swap (Short) 2000 $0.00 0.00% N/A 09/08/2020
    Copper CIBC Optim ExtdRoll Idx ER Swap (Short) (Leg A) -2000 $3,055.00 0.00% N/A 09/08/2020
    Copper CIBC Optim ExtdRoll Idx ER Swap (Short) (Leg B) 144959 -$30.98 0.00% -0.30 09/08/2020
    Sugar CARG GSCI Mar-Mar ER Swap (Short) 19500 $0.00 0.00% N/A 09/03/2020
    Sugar CARG GSCI Mar-Mar ER Swap (Short) (Leg A) -19500 $0.00 0.00% N/A 09/03/2020
    Sugar CARG GSCI Mar-Mar ER Swap (Short) (Leg B) 2914450 -$881.71 0.00% -0.41 09/03/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Short) 10400 $0.00 0.00% N/A 08/28/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Short) (Leg A) -10400 $0.00 0.00% N/A 08/28/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Short) (Leg B) 6313098 -$292.80 0.00% -0.05 08/28/2020
    Z Z9 FTSE 100 IDX FUT Dec19Z Z9 213 -$13,125.59 0.00% N/A 12/20/2019
    USZ9 US LONG BOND(CBT) Dec19USZ9 COMB 154 -$4,812.50 0.00% N/A 12/19/2019
    PTZ9 S&P/TSX 60 IX FUT Dec19PTZ9 229 -$24,217.25 -0.01% N/A 12/19/2019
    S X9 SOYBEAN FUTURE Nov19S X9 COMB -18 -$20,700.00 -0.01% N/A 11/14/2019
    XBX9 GASOLINE RBOB FUT Nov19XBX9 COMB 19 -$31,920.00 -0.01% N/A 10/31/2019
    October 19 Puts on SPXSPX US 10/18/19 P2795 -44 -$25,300.00 -0.01% N/A 10/18/2019
    October 19 Puts on MXEFMXEF US 10/18/19 P925 -130 -$19,175.00 -0.01% N/A 10/18/2019
    CASHGBP00 GBP CURRENCY CASH -15259 -$18,806.48 -0.01% 0.00
    HKD CURRENCY CASH -224100 -$28,586.37 -0.01% N/A
    KCZ9 COFFEE 'C' FUTURE Dec19KCZ9 -282 -$26,437.50 -0.01% N/A 12/18/2019
    MESZ9 MSCI EmgMkt Dec19MESZ9 -103 -$25,235.00 -0.01% N/A 12/20/2019
    MFSZ9 MSCI EAFE Dec19MFSZ9 -139 -$45,870.00 -0.02% N/A 12/20/2019
    CCZ9 COCOA FUTURE Dec19CCZ9 133 -$63,840.00 -0.02% N/A 12/13/2019
    LXX9 LME ZINC FUTURE Nov19LXX9 -63 -$86,256.25 -0.03% N/A 11/18/2019
    October 19 Calls on SPXSPX US 10/18/19 C3005 -44 -$92,620.00 -0.03% N/A 10/18/2019
    CNZ9 CAN 10YR BOND FUT Dec19CNZ9 532 -$152,706.12 -0.05% N/A 12/18/2019
    TPZ9 TOPIX INDX FUTR Dec19TPZ9 COMB 166 -$138,275.72 -0.05% N/A 12/12/2019
    October 19 Calls on MXEFMXEF US 10/18/19 C1010 -130 -$133,900.00 -0.05% N/A 10/18/2019
    W Z9 WHEAT FUTURE(CBT) Dec19W Z9 COMB -362 -$153,850.00 -0.05% N/A 12/13/2019
    Wheatkc MS F0 Swap (Short) (Leg A) -76300 -$170,530.50 -0.06% N/A 01/02/2020
    LHZ9 LEAN HOGS FUTURE Dec19LHZ9 COMB -155 -$170,500.00 -0.06% N/A 12/13/2019
    CASHEUR08 EUR CURRENCY CASH -174000 -$189,695.34 -0.07% 0.00
    October 19 Calls on MXEAMXEA US 10/18/19 C1880 -69 -$201,135.00 -0.07% N/A 10/18/2019
    C Z9 CORN FUTURE Dec19C Z9 COMB -337 -$278,025.00 -0.10% N/A 12/13/2019
    GCZ9 GOLD 100 OZ FUTR Dec19GCZ9 COMB 105 -$351,750.00 -0.12% N/A 12/27/2019
    SIZ9 SILVER FUTURE Dec19SIZ9 COMB 114 -$372,780.00 -0.13% N/A 12/27/2019
    XMZ9 AUST 10Y BOND FUT Dec19XMZ9 COMB 862 -$486,887.29 -0.17% N/A 12/16/2019
    Live Cattle BARC OY ER Swap (Short) (Leg A) -124500 -$557,511.00 -0.19% N/A 05/01/2020

    ** 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.