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  • Invesco Trust Company
    Financial Professional

    Quarterly Portfolio Holdings

    as of 12/31/2019

    Invesco Macro Allocation Strategy Trust

    CUSIP Security Name Share/Par Market Value %TNA Moody Rating Coupon/Div Yield Maturity Date
    IRTGOVTT8 IRT GOVT TRUST 191400000 $191,400,000.00 43.17% N/A
    CASHUSD00 USD CURRENCY CASH 148013009 $148,013,009.31 33.39% 0.00
    912796TH2 UNITED STATES TREASURY BILL B 03/05/20 32100000 $32,015,596.90 7.22% Aaa 0.00 03/05/2020
    912796TX7 UNITED STATES TREASURY BILL B 06/04/20 32100000 $31,889,012.80 7.19% Aaa 0.00 06/04/2020
    FUTURES CASH COLLATERAL & VM 28930000 $28,930,000.00 6.53% N/A
    OPTIONS CASH COLLATERAL 12400000 $12,400,000.00 2.80% N/A
    SWAP COLLATERAL USD 1190000 $1,190,000.00 0.27% N/A
    CASHAUD07 AUD CURRENCY CASH 668117 $469,585.76 0.11% 0.00
    CCH0 COCOA FUTURE Mar20CCH0 445 $342,650.00 0.08% N/A 03/16/2020
    BOH0 SOYBEAN OIL FUTR Mar20BOH0 COMB -565 $230,520.00 0.05% N/A 03/13/2020
    CASHCAD09 CAD CURRENCY CASH 280440 $216,197.05 0.05% 0.00
    CASHGBP00 GBP CURRENCY CASH 134210 $177,700.46 0.04% 0.00
    LHJ0 LEAN HOGS FUTURE Apr20LHJ0 COMB -692 $193,760.00 0.04% N/A 04/15/2020
    Live Cattle BARC OY ER Swap (Long) (Leg A) 46500 $77,631.75 0.02% 0.00 12/10/2020
    G H0 LONG GILT FUTURE Mar20G H0 93 $70,187.89 0.02% N/A 03/27/2020
    GCG0 GOLD 100 OZ FUTR Feb20GCG0 COMB 77 $34,650.00 0.01% N/A 02/26/2020
    ESH0 S&P500 EMINI FUT Mar20ESH0 157 $60,445.00 0.01% N/A 03/20/2020
    MESH0 MSCI EmgMkt Mar20MESH0 286 $44,330.00 0.01% N/A 03/20/2020
    HKD CURRENCY CASH 319800 $41,041.57 0.01% N/A
    HOJ0 NY Harb ULSD Fut Apr20HOJ0 COMB -52 $45,208.80 0.01% N/A 03/31/2020
    RTYH0 E-Mini Russ 2000 Mar20RTYH0 452 $49,720.00 0.01% N/A 03/20/2020
    Copper CIBC Optim ExtdRoll Idx ER Swap (Long) 47000 $0.00 0.00% N/A 04/13/2020
    Copper CIBC Optim ExtdRoll Idx ER Swap (Long) (Leg B) -3571337 -$614.73 0.00% 0.30 04/13/2020
    Copper CIBC Optim ExtdRoll Idx ER Swap (Long) (Leg A) 47000 $9,155.60 0.00% 0.00 04/13/2020
    Sugar CARG GSCI Mar-Mar ER Swap (Long) 34500 $0.00 0.00% N/A 06/19/2020
    Sugar CARG GSCI Mar-Mar ER Swap (Long) (Leg B) -5470203 -$1,957.22 0.00% 0.41 06/19/2020
    Sugar CARG GSCI Mar-Mar ER Swap (Long) (Leg A) 34500 $0.00 0.00% 0.00 06/19/2020
    Live Cattle BARC OY ER Swap (Long) (Leg B) -5517104 -$1,558.66 0.00% 0.47 12/10/2020
    Live Cattle BARC OY ER Swap (Long) 46500 $0.00 0.00% N/A 12/10/2020
    Kansas Wheat MS F0 Swap (Short) (Leg B) 7804224 -$234.55 0.00% -0.05 12/10/2020
    Kansas Wheat MS F0 Swap (Short) 49500 $0.00 0.00% N/A 12/10/2020
    January 20 Puts on XSPXSP US 01/17/20 P300 -453 -$14,496.00 0.00% N/A 01/17/2020
    January 20 Puts on MXEAMXEA US 01/17/20 P1910 -72 -$10,260.00 0.00% N/A 01/17/2020
    CASHJPY06 JPY CURRENCY CASH -2327000 -$21,417.40 0.00% 0.00
    CASHEUR08 EUR CURRENCY CASH -0 -$0.56 0.00% 0.00
    CASH SECURITY USD 0 $11,643.11 0.00% N/A
    W N0 WHEAT FUTURE(CBT) Jul20W N0 COMB -170 -$21,250.00 0.00% N/A 07/14/2020
    C N0 CORN FUTURE Jul20C N0 COMB -525 $13,125.00 0.00% N/A 07/14/2020
    VGH0 EURO STOXX 50 Mar20VGH0 1228 $0.00 0.00% N/A 03/20/2020
    BJH0 10YR MINI JGB FUT Mar20BJH0 COMB -179 $21,417.40 0.00% N/A 03/12/2020
    TPH0 TOPIX INDX FUTR Mar20TPH0 COMB 464 $0.00 0.00% N/A 03/12/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Short) (Leg B) 8191610 -$361.11 0.00% -0.05 08/28/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Short) (Leg A) -13600 $0.00 0.00% N/A 08/28/2020
    Soymeal BAML GSCI 1-2 month ER Swap (Short) 13600 $0.00 0.00% N/A 08/28/2020
    Aluminum MS GSCI Dynamic Roll Swap (Short) 22000 $0.00 0.00% N/A 03/05/2020
    Aluminum MS GSCI Dynamic Roll Swap (Short) (Leg B) 1877151 -$311.83 0.00% -0.38 03/05/2020
    LXF0 LME ZINC FUTURE Jan20LXF0 -2 -$1,483.50 0.00% N/A 01/13/2020
    CTH0 COTTON NO.2 FUTR Mar20CTH0 50 -$12,750.00 0.00% N/A 03/09/2020
    KCH0 COFFEE 'C' FUTURE Mar20KCH0 -1 $918.75 0.00% N/A 03/19/2020
    USH0 US LONG BOND(CBT) Mar20USH0 COMB 92 -$31,625.00 -0.01% N/A 03/20/2020
    S N0 SOYBEAN FUTURE Jul20S N0 COMB -249 -$28,012.50 -0.01% N/A 07/14/2020
    CLN0 WTI CRUDE FUTURE Jul20CLN0 COMB 33 -$23,100.00 -0.01% N/A 06/22/2020
    QSM0 Low Su Gasoil G Jun20QSM0 65 -$56,875.00 -0.01% N/A 06/11/2020
    COJ0 BRENT CRUDE FUTR Apr20COJ0 33 -$23,100.00 -0.01% N/A 02/28/2020
    Aluminum MS GSCI Dynamic Roll Swap (Short) (Leg A) -22000 -$34,235.52 -0.01% N/A 03/05/2020
    SIH0 SILVER FUTURE Mar20SIH0 COMB 105 -$42,000.00 -0.01% N/A 03/27/2020
    HIF0 HANG SENG IDX FUT Jan20HIF0 COMB 41 -$41,041.57 -0.01% N/A 01/30/2020
    PTH0 S&P/TSX 60 IX FUT Mar20PTH0 285 -$74,702.23 -0.02% N/A 03/19/2020
    MFSH0 MSCI EAFE Mar20MFSH0 -144 -$73,440.00 -0.02% N/A 03/20/2020
    NGZ20 NATURAL GAS FUTR Dec20NGZ20 COMB -610 -$79,300.00 -0.02% N/A 11/25/2020
    CNH0 CAN 10YR BOND FUT Mar20CNH0 322 -$141,494.82 -0.03% N/A 03/20/2020
    XBG0 GASOLINE RBOB FUT Feb20XBG0 COMB 142 -$199,794.00 -0.05% N/A 01/31/2020
    Z H0 FTSE 100 IDX FUT Mar20Z H0 506 -$247,888.64 -0.06% N/A 03/20/2020
    January 20 Calls on MXEAMXEA US 01/17/20 C2010 -72 -$265,320.00 -0.06% N/A 01/17/2020
    January 20 Calls on XSPXSP US 01/17/20 C320 -453 -$243,940.50 -0.06% N/A 01/17/2020
    XMH0 AUST 10Y BOND FUT Mar20XMH0 COMB 891 -$469,585.58 -0.11% N/A 03/16/2020
    January 20 Calls on MXEFMXEF US 01/17/20 C1075 -137 -$632,255.00 -0.14% N/A 01/17/2020
    LNG0 LME NICKEL FUTURE Feb20LNG0 68 -$822,330.00 -0.19% N/A 02/17/2020
    Kansas Wheat MS F0 Swap (Short) (Leg A) -49500 -$990,796.95 -0.22% N/A 12/10/2020

    ** 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.