N-Q - VLT
|
|
|
|
|
|
OMB APPROVAL |
| OMB Number: |
|
3235-0578 |
| Expires: |
|
March 31, 2019 |
| Estimated average burden |
| hours per response: |
|
10.5 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-05769
Invesco High
Income Trust II
(Exact name of registrant as specified in charter)
1555 Peachtree Street, N.E., Atlanta, Georgia 30309
(Address of principal executive offices) (Zip code)
Sheri Morris
1555
Peachtree Street, N.E., Atlanta, Georgia 30309
(Name and address of agent for service)
Registrant’s telephone number, including area code: (713) 626-1919
Date of fiscal year end: 2/28
Date of reporting period: 5/31/16
Item 1. Schedule of Investments.
|
| |
| Invesco High Income Trust II |
| Quarterly Schedule of Portfolio Holdings |
| May 31, 2016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| invesco.com/us |
|
VK-CE-HINC2-QTR-1 |
|
05/16 |
|
Invesco Advisers, Inc. |
Schedule of Investments(a)
May 31, 2016
(Unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
| U.S. Dollar Denominated Bonds and Notes–128.62% (b) |
|
|
|
|
| Advertising–0.41% |
|
|
|
|
|
|
|
|
|
|
|
| Lamar Media Corp., Sr. Unsec.
Gtd. Notes, 5.75%,
02/01/2026(c) |
|
$ |
494,000 |
|
|
$ |
522,405 |
|
|
|
| Aerospace & Defense–3.75% |
|
|
|
|
|
|
|
|
| Bombardier Inc. (Canada),
Sr. Unsec. Notes,
7.50%,
03/15/2018(c) |
|
|
365,000 |
|
|
|
375,950 |
|
| 7.75%, 03/15/2020(c) |
|
|
682,000 |
|
|
|
680,295 |
|
| KLX Inc., Sr. Unsec. Gtd. Notes,
5.88%, 12/01/2022(c) |
|
|
853,000 |
|
|
|
838,072 |
|
| Moog Inc., Sr. Unsec. Gtd. Notes,
5.25%, 12/01/2022(c) |
|
|
825,000 |
|
|
|
842,531 |
|
| Orbital ATK Inc., Sr. Unsec. Gtd.
Global Notes,
5.50%, 10/01/2023 |
|
|
457,000 |
|
|
|
480,993 |
|
| TransDigm Inc.,
Sr. Unsec. Gtd. Sub. Global
Notes,
6.50%, 05/15/2025 |
|
|
1,198,000 |
|
|
|
1,221,960 |
|
| Sr. Unsec. Sub. Gtd. Notes,
6.38%, 06/15/2026(c) |
|
|
290,000 |
|
|
|
292,175 |
|
| |
|
|
|
|
|
|
4,731,976 |
|
|
|
| Agricultural & Farm Machinery–0.60% |
|
|
|
|
|
|
|
|
| Titan International Inc., Sr. Sec.
Gtd. First Lien
Global Notes,
6.88%, 10/01/2020 |
|
|
892,000 |
|
|
|
755,970 |
|
|
|
|
| Airlines–1.01% |
|
|
|
|
|
|
|
|
|
|
|
| Air Canada (Canada),
Sec. Gtd. Second Lien
Notes,
8.75%, 04/01/2020(c) |
|
|
350,000 |
|
|
|
380,188 |
|
| Sr. Unsec. Gtd. Notes,
7.75%, 04/15/2021(c) |
|
|
840,000 |
|
|
|
888,300 |
|
| |
|
|
|
|
|
|
1,268,488 |
|
|
|
|
| Alternative Carriers–1.74% |
|
|
|
|
|
|
|
|
|
|
|
| EarthLink Holdings Corp., Sr. Sec.
Gtd. First Lien
Global Notes,
7.38%, 06/01/2020 |
|
|
633,000 |
|
|
|
667,815 |
|
| Level 3 Financing, Inc.,
Sr. Unsec. Gtd. Global
Notes,
5.38%, 05/01/2025 |
|
|
495,000 |
|
|
|
507,375 |
|
| Sr. Unsec. Gtd. Notes,
5.25%, 03/15/2026(c) |
|
|
516,000 |
|
|
|
518,580 |
|
| 5.38%, 01/15/2024(c) |
|
|
488,000 |
|
|
|
497,150 |
|
| |
|
|
|
|
|
|
2,190,920 |
|
|
|
|
| Aluminum–0.26% |
|
|
|
|
|
|
|
|
|
|
|
| Kaiser Aluminum Corp., Sr. Unsec.
Gtd. Notes, 5.88%,
05/15/2024(c) |
|
|
320,000 |
|
|
|
329,920 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
|
|
| Apparel Retail–1.57% |
|
|
|
|
|
|
|
|
|
|
|
| Hot Topic, Inc., Sr. Sec. Gtd. First
Lien Notes,
9.25%, 06/15/2021(c) |
|
$ |
1,189,000 |
|
|
$ |
1,203,862 |
|
| Men’s Wearhouse, Inc. (The), Sr.
Unsec. Gtd.
Global Notes,
7.00%, 07/01/2022 |
|
|
903,000 |
|
|
|
768,679 |
|
| |
|
|
|
|
|
|
1,972,541 |
|
|
| Apparel, Accessories & Luxury Goods–0.24% |
|
|
|
|
| Hanesbrands Inc.,
Sr. Unsec. Gtd. Notes,
4.63%,
05/15/2024(c) |
|
|
147,000 |
|
|
|
147,092 |
|
| 4.88%, 05/15/2026(c) |
|
|
152,000 |
|
|
|
152,475 |
|
| |
|
|
|
|
|
|
299,567 |
|
|
| Asset Management & Custody Banks–1.18% |
|
|
|
|
| Prime Security Services Borrower,
LLC/Prime Finance,
Inc., Sec.
Gtd. Second Lien Notes,
9.25%, 05/15/2023(c) |
|
|
1,196,000 |
|
|
|
1,252,810 |
|
| RegionalCare Hospital Partners
Holdings Inc., Sr.
Sec. Gtd. First
Lien Notes, 8.25%, 05/01/2023(c) |
|
|
225,000 |
|
|
|
233,438 |
|
| |
|
|
|
|
|
|
1,486,248 |
|
|
|
| Auto Parts & Equipment–1.09% |
|
|
|
|
|
|
|
|
| CTP Transportation Products
LLC/CTP Finance Inc., Sr.
Sec.
Notes, 8.25%, 12/15/2019(c) |
|
|
884,000 |
|
|
|
859,690 |
|
| Dana Holding Corp.,
Sr. Unsec. Notes,
5.38%,
09/15/2021 |
|
|
279,000 |
|
|
|
288,067 |
|
| 5.50%, 12/15/2024 |
|
|
229,000 |
|
|
|
221,558 |
|
| |
|
|
|
|
|
|
1,369,315 |
|
|
|
|
| Broadcasting–3.46% |
|
|
|
|
|
|
|
|
|
|
|
| iHeartCommunications, Inc.,
Series B,
Sr. Unsec.
Gtd. Global Notes,
6.50%, 11/15/2022 |
|
|
520,000 |
|
|
|
525,200 |
|
| Sr. Unsec. Gtd. Sub. Global Notes,
7.63%, 03/15/2020 |
|
|
297,000 |
|
|
|
286,605 |
|
| Netflix, Inc., Sr. Unsec. Global
Notes, 5.75%,
03/01/2024 |
|
|
639,000 |
|
|
|
670,950 |
|
| Sinclair Television Group Inc.,
Sr. Unsec. Gtd.
Notes,
5.63%, 08/01/2024(c) |
|
|
615,000 |
|
|
|
633,450 |
|
| Sr. Unsec. Notes,
5.88%, 03/15/2026(c) |
|
|
325,000 |
|
|
|
337,188 |
|
| Sirius XM Radio Inc., Sr. Unsec.
Notes, 5.38%,
07/15/2026(c) |
|
|
585,000 |
|
|
|
585,000 |
|
| TEGNA, Inc., Sr. Unsec. Gtd.
Notes, 5.50%, 09/15/2024(c) |
|
|
425,000 |
|
|
|
443,062 |
|
See accompanying notes which are an
integral part of this schedule.
Invesco High Income Trust II
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
|
|
| Broadcasting–(continued) |
|
|
|
|
|
|
|
|
|
|
|
| Tribune Media Co., Sr. Unsec. Gtd.
Global Notes,
5.88%, 07/15/2022 |
|
$ |
860,000 |
|
|
$ |
875,050 |
|
| |
|
|
|
|
|
|
4,356,505 |
|
|
|
|
| Building Products–5.61% |
|
|
|
|
|
|
|
|
|
|
|
| Allegion PLC, Sr. Unsec. Gtd.
Notes, 5.88%,
09/15/2023 |
|
|
496,000 |
|
|
|
529,480 |
|
| BMC Stock Holdings, Inc., Sr. Sec.
First Lien
Notes,
9.00%, 09/15/2018(c) |
|
|
891,000 |
|
|
|
935,550 |
|
| Builders FirstSource, Inc.,
Sr. Sec. First Lien
Notes,
7.63%, 06/01/2021(c) |
|
|
1,019,000 |
|
|
|
1,072,497 |
|
| Sr. Unsec. Gtd. Notes,
10.75%, 08/15/2023(c) |
|
|
507,000 |
|
|
|
553,898 |
|
| Gibraltar Industries Inc., Sr. Unsec.
Gtd. Sub.
Global Notes,
6.25%, 02/01/2021 |
|
|
1,137,000 |
|
|
|
1,162,582 |
|
| Hardwoods Acquisition, Inc., Sr.
Sec. Gtd. First Lien
Notes,
7.50%, 08/01/2021 (Acquired
03/02/2015-03/03/2015;
Cost $196,800)(c) |
|
|
205,000 |
|
|
|
152,725 |
|
| HD Supply, Inc., Sr. Unsec. Gtd.
Notes, 5.75%,
04/15/2024(c) |
|
|
191,000 |
|
|
|
198,879 |
|
| NCI Building Systems, Inc., Sr.
Unsec. Gtd.
Notes,
8.25%, 01/15/2023(c) |
|
|
180,000 |
|
|
|
193,950 |
|
| Norbord Inc. (Canada),
Sr. Sec. First Lien
Notes,
5.38%, 12/01/2020(c) |
|
|
537,000 |
|
|
|
562,507 |
|
| Sr. Sec. Gtd. First Lien Notes,
6.25%, 04/15/2023(c) |
|
|
503,000 |
|
|
|
516,204 |
|
| Standard Industries Inc.,
Sr. Unsec. Notes,
5.38%,
11/15/2024(c) |
|
|
683,000 |
|
|
|
703,490 |
|
| 6.00%, 10/15/2025(c) |
|
|
464,000 |
|
|
|
495,320 |
|
| |
|
|
|
|
|
|
7,077,082 |
|
|
|
|
| Cable & Satellite–10.81% |
|
|
|
|
|
|
|
|
|
|
|
| AMC Networks Inc., Sr. Unsec.
Gtd. Global
Notes,
5.00%, 04/01/2024 |
|
|
461,000 |
|
|
|
464,457 |
|
| CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr.
Unsec. Notes,
5.13%, 05/01/2023(c) |
|
|
980,000 |
|
|
|
995,925 |
|
| 5.75%, 02/15/2026(c) |
|
|
2,390,000 |
|
|
|
2,461,700 |
|
| CSC Holdings LLC, Sr. Unsec.
Global Notes, 6.75%,
11/15/2021 |
|
|
540,000 |
|
|
|
557,550 |
|
| DISH DBS Corp., Sr. Unsec. Gtd.
Global Notes, 5.88%,
11/15/2024 |
|
|
1,770,000 |
|
|
|
1,646,100 |
|
| Hughes Satellite Systems Corp., Sr.
Unsec. Gtd.
Global Notes,
7.63%, 06/15/2021 |
|
|
619,000 |
|
|
|
673,162 |
|
| Mediacom Broadband LLC/Corp.,
Sr. Unsec. Gtd. Global
Notes,
5.50%, 04/15/2021 |
|
|
725,000 |
|
|
|
752,187 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
|
|
| Cable & Satellite–(continued) |
|
|
|
|
|
|
|
|
|
|
|
| Neptune Finco Corp.,
Sr. Unsec. Notes,
6.63%,
10/15/2025(c) |
|
$ |
215,000 |
|
|
$ |
231,663 |
|
| 10.13%, 01/15/2023(c) |
|
|
295,000 |
|
|
|
331,138 |
|
| Numericable-SFR S.A. (France),
Sr. Sec. Gtd. First
Lien Bonds,
6.00%, 05/15/2022(c) |
|
|
1,530,000 |
|
|
|
1,530,000 |
|
| Sr. Sec. Gtd. Notes,
7.38%, 05/01/2026(c) |
|
|
503,000 |
|
|
|
508,659 |
|
| Unitymedia Hessen GmbH & Co.
KG/Unitymedia NRW
GmbH
(Germany), Sr. Sec. Gtd. First Lien
Bonds, 5.00%, 01/15/2025(c) |
|
|
1,215,000 |
|
|
|
1,233,832 |
|
| Virgin Media Secured Finance PLC (United
Kingdom),
Sr. Sec. Gtd. First Lien Notes, 5.50%, 08/15/2026(c) |
|
|
319,000 |
|
|
|
322,988 |
|
| REGS,
Sr. Sec. Gtd. First Lien Euro Bonds,
5.50%, 01/15/2025(c) |
|
|
830,000 |
|
|
|
847,119 |
|
| VTR Finance B.V. (Netherlands), Sr. Sec.
First Lien
Notes,
6.88%, 01/15/2024(c) |
|
|
620,000 |
|
|
|
620,775 |
|
| Ziggo Bond Finance B.V.
(Netherlands), REGS, Sr.
Unsec.
Euro Notes, 5.88%, 01/15/2025(c) |
|
|
450,000 |
|
|
|
447,187 |
|
| |
|
|
|
|
|
|
13,624,442 |
|
|
|
|
| Casinos & Gaming–3.28% |
|
|
|
|
|
|
|
|
|
|
|
| Boyd Gaming Corp.,
Sr. Unsec. Gtd. Global
Notes,
6.88%, 05/15/2023 |
|
|
890,000 |
|
|
|
934,500 |
|
| Sr. Unsec. Gtd. Notes,
6.38%, 04/01/2026(c) |
|
|
230,000 |
|
|
|
237,475 |
|
| MGM Growth Properties Operating
Partnership LP/ MGP
Escrow
Co-Issuer Inc., Sr. Unsec. Gtd.
Notes, 5.63%, 05/01/2024(c) |
|
|
249,000 |
|
|
|
262,695 |
|
| MGM Resorts International,
Sr. Unsec. Gtd. Global
Notes,
6.63%, 12/15/2021 |
|
|
525,000 |
|
|
|
567,656 |
|
| Sr. Unsec. Gtd. Notes,
6.00%, 03/15/2023 |
|
|
165,000 |
|
|
|
172,838 |
|
| 7.75%, 03/15/2022 |
|
|
327,000 |
|
|
|
370,327 |
|
| Mohegan Tribal Gaming Authority,
Sr. Unsec. Gtd.
Global Notes,
9.75%, 09/01/2021 |
|
|
494,000 |
|
|
|
519,935 |
|
| Pinnacle Entertainment, Inc., Sr.
Unsec.
Bonds,
5.63%, 05/01/2024(c) |
|
|
577,000 |
|
|
|
569,788 |
|
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
Sr.
Unsec. Global Notes,
5.38%, 03/15/2022 |
|
|
88,000 |
|
|
|
89,540 |
|
| Sr. Unsec. Gtd. Notes,
5.50%, 03/01/2025(c) |
|
|
425,000 |
|
|
|
412,781 |
|
| |
|
|
|
|
|
|
4,137,535 |
|
|
|
|
| Commercial Printing–0.90% |
|
|
|
|
|
|
|
|
|
|
|
| Multi-Color Corp., Sr. Unsec. Gtd.
Notes, 6.13%,
12/01/2022(c) |
|
|
1,094,000 |
|
|
|
1,132,290 |
|
See accompanying notes which are an
integral part of this schedule.
Invesco High Income Trust II
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
|
|
| Commodity Chemicals–0.46% |
|
|
|
|
|
|
|
|
|
|
|
| Koppers Inc., Sr. Unsec. Gtd.
Global Notes, 7.88%,
12/01/2019 |
|
$ |
560,000 |
|
|
$ |
575,400 |
|
|
| Communications Equipment–0.33% |
|
|
|
|
| CommScope Technologies Finance
LLC, Sr. Unsec.
Notes,
6.00%, 06/15/2025(c) |
|
|
405,000 |
|
|
|
415,125 |
|
|
| Construction & Engineering–0.68% |
|
|
|
|
| AECOM, Sr. Unsec. Gtd. Global
Notes, 5.75%,
10/15/2022 |
|
|
820,000 |
|
|
|
854,876 |
|
|
| Construction Machinery & Heavy Trucks–4.49% |
|
|
|
|
| Allied Specialty Vehicles, Inc., Sr.
Sec. Notes,
8.50%, 11/01/2019(c) |
|
|
677,000 |
|
|
|
695,617 |
|
| Commercial Vehicle Group Inc.,
Sec. Gtd. Second Lien
Global
Notes, 7.88%, 04/15/2019 |
|
|
1,457,000 |
|
|
|
1,440,609 |
|
| Meritor Inc.,
Sr. Unsec. Gtd. Notes,
6.25%,
02/15/2024 |
|
|
305,000 |
|
|
|
265,350 |
|
| 6.75%, 06/15/2021 |
|
|
528,000 |
|
|
|
497,640 |
|
| Navistar International Corp., Sr.
Unsec. Gtd.
Notes,
8.25%, 11/01/2021 |
|
|
1,390,000 |
|
|
|
993,850 |
|
| Oshkosh Corp.,
Sr. Unsec. Gtd. Global
Notes,
5.38%, 03/01/2022 |
|
|
1,345,000 |
|
|
|
1,398,800 |
|
| 5.38%, 03/01/2025 |
|
|
354,000 |
|
|
|
365,505 |
|
| |
|
|
|
|
|
|
5,657,371 |
|
|
|
|
| Consumer Finance–1.50% |
|
|
|
|
|
|
|
|
|
|
|
| Ally Financial Inc.,
Sr. Unsec. Global
Notes,
4.63%, 03/30/2025 |
|
|
954,000 |
|
|
|
959,963 |
|
| 5.13%, 09/30/2024 |
|
|
900,000 |
|
|
|
932,625 |
|
| |
|
|
|
|
|
|
1,892,588 |
|
|
| Data Processing & Outsourced Services–1.62% |
|
|
|
|
| First Data Corp.,
Sec. Second Lien Notes,
5.75%,
01/15/2024(c) |
|
|
272,000 |
|
|
|
273,360 |
|
| Sr. Sec. Gtd. First Lien Notes,
5.00%, 01/15/2024(c) |
|
|
400,000 |
|
|
|
403,000 |
|
| Sr. Unsec. Gtd. Notes,
7.00%, 12/01/2023(c) |
|
|
1,342,000 |
|
|
|
1,362,130 |
|
| |
|
|
|
|
|
|
2,038,490 |
|
|
|
|
| Diversified Banks–0.53% |
|
|
|
|
|
|
|
|
|
|
|
| Royal Bank of Scotland Group
PLC (The) (United
Kingdom),
Unsec. Sub. Global Notes,
6.13%, 12/15/2022 |
|
|
625,000 |
|
|
|
666,689 |
|
|
|
|
| Diversified Chemicals–1.02% |
|
|
|
|
|
|
|
|
|
|
|
| Chemours Co. (The), Sr. Unsec.
Gtd. Global
Notes,
6.63%, 05/15/2023 |
|
|
988,000 |
|
|
|
896,610 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
| Diversified Chemicals–(continued) |
|
|
|
|
| Compass Minerals International,
Inc., Sr. Unsec. Gtd.
Notes,
4.88%, 07/15/2024(c) |
|
$ |
401,000 |
|
|
$ |
384,960 |
|
| |
|
|
|
|
|
|
1,281,570 |
|
|
| Diversified Metals & Mining–1.70% |
|
|
|
|
| Freeport-McMoRan Inc., Sr.
Unsec. Gtd. Global
Notes,
3.10%, 03/15/2020 |
|
|
803,000 |
|
|
|
739,764 |
|
| Lundin Mining Corp. (Canada),
Sr. Sec. Gtd. First
Lien Notes,
7.50%, 11/01/2020(c) |
|
|
53,000 |
|
|
|
54,325 |
|
| 7.88%, 11/01/2022(c) |
|
|
440,000 |
|
|
|
448,800 |
|
| Teck Resources Ltd. (Canada),
Sr. Unsec. Gtd.
Notes,
4.50%, 01/15/2021 |
|
|
872,000 |
|
|
|
749,920 |
|
| 8.00%, 06/01/2021(c) |
|
|
145,000 |
|
|
|
148,625 |
|
| |
|
|
|
|
|
|
2,141,434 |
|
|
| Electrical Components & Equipment–1.45% |
|
|
|
|
| EnerSys, Sr. Unsec. Gtd. Notes,
5.00%, 04/30/2023(c) |
|
|
1,087,000 |
|
|
|
1,085,641 |
|
| Sensata Technologies B.V.,
Sr. Unsec. Gtd.
Notes,
4.88%, 10/15/2023(c) |
|
|
320,000 |
|
|
|
324,000 |
|
| 5.00%, 10/01/2025(c) |
|
|
415,000 |
|
|
|
419,843 |
|
| |
|
|
|
|
|
|
1,829,484 |
|
|
| Environmental & Facilities Services–1.49% |
|
|
|
|
| Advanced Disposal Services, Inc.,
Sr. Unsec. Gtd.
Global Notes,
8.25%, 10/01/2020 |
|
|
1,225,000 |
|
|
|
1,270,937 |
|
| GFL Environmental Inc. (Canada),
Sr. Unsec.
Notes,
9.88%, 02/01/2021(c) |
|
|
569,000 |
|
|
|
610,253 |
|
| |
|
|
|
|
|
|
1,881,190 |
|
|
|
|
| Food Distributors–0.54% |
|
|
|
|
|
|
|
|
|
|
|
| US Foods, Inc., Sr. Unsec. Gtd.
Global Notes, 8.50%,
06/30/2019 |
|
|
661,000 |
|
|
|
679,178 |
|
|
|
|
| Food Retail–0.67% |
|
|
|
|
|
|
|
|
|
|
|
| 1011778 BC ULC/ New Red
Finance, Inc. (Canada), Sec.
Gtd.
Second Lien Notes,
6.00%, 04/01/2022(c) |
|
|
821,000 |
|
|
|
850,761 |
|
|
|
|
| Forest Products–0.00% |
|
|
|
|
|
|
|
|
|
|
|
| Sino-Forest Corp. (Hong Kong),
Sr. Unsec. Gtd.
Notes,
6.25%, 10/21/2017(c)(d)(e) |
|
|
60,000 |
|
|
|
300 |
|
|
|
|
| Gas Utilities–1.55% |
|
|
|
|
|
|
|
|
|
|
|
| AmeriGas Finance LLC/Corp., Sr.
Unsec. Gtd. Global
Notes,
7.00%, 05/20/2022 |
|
|
407,000 |
|
|
|
430,911 |
|
See accompanying notes which are an
integral part of this schedule.
Invesco High Income Trust II
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
|
|
| Gas Utilities–(continued) |
|
|
|
|
|
|
|
|
|
|
|
| Ferrellgas L.P./Ferrellgas Finance Corp.,
Sr. Unsec.
Global Notes,
6.50%, 05/01/2021 |
|
$ |
731,000 |
|
|
$ |
692,622 |
|
| Sr. Unsec. Gtd. Notes,
6.75%, 06/15/2023(c) |
|
|
342,000 |
|
|
|
317,205 |
|
| Suburban Propane Partners,
L.P./Suburban Energy
Finance
Corp., Sr. Unsec. Gtd. Global
Notes, 5.50%, 06/01/2024 |
|
|
513,000 |
|
|
|
509,153 |
|
| |
|
|
|
|
|
|
1,949,891 |
|
|
| General Merchandise Stores–0.46% |
|
|
|
|
| Dollar Tree, Inc., Sr. Unsec. Gtd.
Notes, 5.75%,
03/01/2023(c) |
|
|
552,000 |
|
|
|
585,810 |
|
|
|
|
| Health Care Facilities–6.77% |
|
|
|
|
|
|
|
|
|
|
|
| Acadia Healthcare Co., Inc., Sr.
Unsec. Gtd.
Notes,
6.50%, 03/01/2024(c) |
|
|
265,000 |
|
|
|
277,588 |
|
| Community Health Systems, Inc.,
Sr. Unsec. Gtd.
Global Notes,
6.88%, 02/01/2022 |
|
|
883,260 |
|
|
|
762,916 |
|
| HCA Holdings, Inc., Sr. Unsec.
Notes, 6.25%,
02/15/2021 |
|
|
610,000 |
|
|
|
658,800 |
|
| HCA, Inc.,
Sr. Sec. Gtd. First Lien Global
Notes,
5.88%, 03/15/2022 |
|
|
742,000 |
|
|
|
806,461 |
|
| Sr. Sec. Gtd. First Lien Notes,
5.25%, 04/15/2025 |
|
|
913,000 |
|
|
|
945,526 |
|
| Sr. Unsec. Gtd. Global Notes,
7.50%, 02/15/2022 |
|
|
283,000 |
|
|
|
322,266 |
|
| Sr. Unsec. Gtd. Notes,
5.38%, 02/01/2025 |
|
|
540,000 |
|
|
|
550,800 |
|
| 5.88%, 02/15/2026 |
|
|
360,000 |
|
|
|
374,400 |
|
| HealthSouth Corp., Sr. Unsec. Gtd.
Global Notes,
5.75%, 09/15/2025 |
|
|
364,000 |
|
|
|
369,460 |
|
| LifePoint Health, Inc., Sr. Unsec.
Gtd. Notes, 5.38%,
05/01/2024(c) |
|
|
430,000 |
|
|
|
433,762 |
|
| Surgical Care Affiliates, Inc., Sr.
Unsec. Gtd.
Notes,
6.00%, 04/01/2023(c) |
|
|
1,060,000 |
|
|
|
1,094,450 |
|
| Tenet Healthcare Corp.,
Sr. Unsec. Global
Notes,
6.75%, 02/01/2020 |
|
|
785,000 |
|
|
|
776,169 |
|
| 6.75%, 06/15/2023 |
|
|
352,000 |
|
|
|
333,520 |
|
| 8.00%, 08/01/2020 |
|
|
382,000 |
|
|
|
391,550 |
|
| 8.13%, 04/01/2022 |
|
|
425,000 |
|
|
|
429,781 |
|
| |
|
|
|
|
|
|
8,527,449 |
|
|
|
|
| Health Care Services–2.19% |
|
|
|
|
|
|
|
|
|
|
|
| DaVita HealthCare Partners Inc.,
Sr. Unsec. Gtd.
Global Notes,
5.00%, 05/01/2025 |
|
|
870,000 |
|
|
|
866,737 |
|
| MEDNAX, Inc., Sr. Unsec. Gtd.
Notes, 5.25%,
12/01/2023(c) |
|
|
848,000 |
|
|
|
867,080 |
|
| MPH Acquisition Holdings LLC,
Sr. Unsec. Gtd.
Notes,
6.63%, 04/01/2022(c) |
|
|
215,000 |
|
|
|
234,995 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
|
| Health Care Services–(continued) |
|
|
|
|
|
|
|
|
| Sr. Unsec. Notes,
7.13%, 06/01/2024(c) |
|
$ |
767,000 |
|
|
$ |
791,928 |
|
| |
|
|
|
|
|
|
2,760,740 |
|
|
|
| Home Improvement Retail–0.66% |
|
|
|
|
|
|
|
|
| Hillman Group Inc. (The), Sr.
Unsec. Notes,
6.38%,
07/15/2022(c) |
|
|
933,000 |
|
|
|
837,368 |
|
|
|
|
| Homebuilding–4.60% |
|
|
|
|
|
|
|
|
|
|
|
| Ashton Woods USA LLC/Ashton
Woods Finance Co., Sr.
Unsec.
Notes, 6.88%, 02/15/2021(c) |
|
|
1,732,000 |
|
|
|
1,534,985 |
|
| AV Homes, Inc., Sr. Unsec. Gtd.
Global Notes, 8.50%,
07/01/2019 |
|
|
240,000 |
|
|
|
240,000 |
|
| Beazer Homes USA Inc., Sr.
Unsec. Gtd. Global
Notes,
7.50%, 09/15/2021 |
|
|
1,188,000 |
|
|
|
1,032,075 |
|
| CalAtlantic Group Inc., Sr. Unsec.
Gtd. Notes, 5.38%,
10/01/2022 |
|
|
640,000 |
|
|
|
664,800 |
|
| K. Hovnanian Enterprises Inc.,
Sr. Sec. Gtd. First
Lien Notes,
7.25%, 10/15/2020(c) |
|
|
281,000 |
|
|
|
250,090 |
|
| Sr. Unsec. Gtd. Notes,
8.00%, 11/01/2019(c) |
|
|
1,066,000 |
|
|
|
746,200 |
|
| Meritage Homes Corp.,
Sr. Unsec. Gtd. Global
Notes,
6.00%, 06/01/2025 |
|
|
433,000 |
|
|
|
443,825 |
|
| 7.15%, 04/15/2020 |
|
|
300,000 |
|
|
|
327,375 |
|
| Taylor Morrison Communities Inc./
Monarch Communities
Inc., Sr.
Unsec. Gtd. Notes,
5.88%, 04/15/2023(c) |
|
|
548,000 |
|
|
|
552,795 |
|
| |
|
|
|
|
|
|
5,792,145 |
|
|
| Hotels, Resorts & Cruise Lines–0.14% |
|
|
|
|
| Royal Caribbean Cruises Ltd., Sr.
Unsec. Global
Notes,
5.25%, 11/15/2022 |
|
|
172,000 |
|
|
|
182,320 |
|
|
|
|
| Household Products–2.55% |
|
|
|
|
|
|
|
|
|
|
|
| Reynolds Group Issuer Inc./LLC (New Zealand), Sr. Sec.
Gtd. First Lien Global Notes, 5.75%, 10/15/2020 |
|
|
287,000 |
|
|
|
297,404 |
|
| Sr. Unsec. Gtd. Global Notes,
8.25%, 02/15/2021 |
|
|
1,086,000 |
|
|
|
1,137,585 |
|
| 9.88%, 08/15/2019 |
|
|
500,000 |
|
|
|
520,625 |
|
| Spectrum Brands, Inc., Sr. Unsec.
Gtd. Global
Notes,
5.75%, 07/15/2025 |
|
|
463,000 |
|
|
|
485,571 |
|
| Springs Industries, Inc., Sr. Sec.
Global Notes,
6.25%, 06/01/2021 |
|
|
764,000 |
|
|
|
777,370 |
|
| |
|
|
|
|
|
|
3,218,555 |
|
|
| Independent Power Producers & Energy Traders–1.52% |
|
|
|
|
| AES Corp. (The),
Sr. Unsec. Global Notes,
7.38%,
07/01/2021 |
|
|
594,000 |
|
|
|
681,615 |
|
See accompanying notes which are an
integral part of this schedule.
Invesco High Income Trust II
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
| Independent Power Producers & Energy Traders–(continued) |
|
|
|
|
| Sr. Unsec. Notes,
6.00%, 05/15/2026 |
|
$ |
51,000 |
|
|
$ |
51,956 |
|
| Calpine Corp.,
Sr. Sec. Gtd. First Lien
Notes,
5.88%, 01/15/2024(c) |
|
|
88,000 |
|
|
|
92,620 |
|
| Sr. Unsec. Global Notes,
5.38%, 01/15/2023 |
|
|
582,000 |
|
|
|
573,270 |
|
| 5.50%, 02/01/2024 |
|
|
432,000 |
|
|
|
420,120 |
|
| Red Oak Power LLC, Series A, Sr.
Sec. First Lien
Bonds,
8.54%, 11/30/2019 |
|
|
100,267 |
|
|
|
100,518 |
|
| |
|
|
|
|
|
|
1,920,099 |
|
|
| Industrial Conglomerates–0.57% |
|
|
|
|
| Unifrax I LLC/Unifrax Holding Co., Sr. Unsec. Gtd.
Notes,
7.50%, 02/15/2019 (Acquired 02/01/2013-07/28/2014;
Cost $903,538)(c) |
|
|
885,000 |
|
|
|
712,425 |
|
|
|
|
| Industrial Machinery–0.59% |
|
|
|
|
|
|
|
|
|
|
|
| Optimas OE Solutions Holding, LLC/Optimas OE Solutions,
Inc.,
Sr. Sec. Notes,
8.63%, 06/01/2021(c) |
|
|
620,000 |
|
|
|
465,000 |
|
| Waterjet Holdings, Inc., Sr. Sec.
Gtd. Notes, 7.63%,
02/01/2020(c) |
|
|
286,000 |
|
|
|
281,353 |
|
| |
|
|
|
|
|
|
746,353 |
|
|
|
|
| Integrated Oil & Gas–0.39% |
|
|
|
|
|
|
|
|
|
|
|
| California Resources Corp., Sec.
Gtd. Second Lien
Notes,
8.00%, 12/15/2022(c) |
|
|
670,000 |
|
|
|
489,100 |
|
|
| Integrated Telecommunication Services–3.50% |
|
|
|
|
| CenturyLink, Inc., Series Y, Sr.
Unsec. Global
Notes,
7.50%, 04/01/2024 |
|
|
535,000 |
|
|
|
533,611 |
|
| Cequel Communications Holdings I, LLC/ Capital Corp.,
Sr. Sec.
First Lien Notes,
7.75%, 07/15/2025(c) |
|
|
200,000 |
|
|
|
208,250 |
|
| Frontier Communications Corp.,
Sr. Unsec.
Notes,
8.88%, 09/15/2020(c) |
|
|
130,000 |
|
|
|
138,938 |
|
| 10.50%, 09/15/2022(c) |
|
|
320,000 |
|
|
|
334,400 |
|
| 11.00%, 09/15/2025(c) |
|
|
809,000 |
|
|
|
827,202 |
|
| GCI, Inc., Sr. Unsec. Global Notes,
6.88%,
04/15/2025 |
|
|
505,000 |
|
|
|
515,100 |
|
| GTH Finance B.V. (Netherlands),
Sr. Unsec. Gtd.
Notes,
7.25%, 04/26/2023(c) |
|
|
429,000 |
|
|
|
436,079 |
|
| Telecom Italia S.p.A. (Italy), Sr.
Unsec.
Notes,
5.30%, 05/30/2024(c) |
|
|
1,409,000 |
|
|
|
1,416,045 |
|
| |
|
|
|
|
|
|
4,409,625 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
| Internet Software & Services–1.94% |
|
|
|
|
| CyrusOne L.P./CyrusOne Finance Corp., Sr. Unsec. Gtd.
Global Notes,
6.38%, 11/15/2022 |
|
$ |
1,049,000 |
|
|
$ |
1,117,185 |
|
| Equinix Inc.,
Sr. Unsec. Notes,
5.38%,
04/01/2023 |
|
|
240,000 |
|
|
|
248,700 |
|
| 5.75%, 01/01/2025 |
|
|
250,000 |
|
|
|
261,875 |
|
| 5.88%, 01/15/2026 |
|
|
536,000 |
|
|
|
560,120 |
|
| Match Group, Inc., Sr. Unsec.
Notes, 6.38%,
06/01/2024(c) |
|
|
255,000 |
|
|
|
261,375 |
|
| |
|
|
|
|
|
|
2,449,255 |
|
|
|
|
| Leisure Facilities–0.47% |
|
|
|
|
|
|
|
|
|
|
|
| Cedar Fair L.P./Canada’s Wonderland Co./Magnum
Management Corp., Sr. Unsec. Gtd. Global Notes,
5.38%, 06/01/2024 |
|
|
565,000 |
|
|
|
590,425 |
|
|
|
|
| Leisure Products–0.73% |
|
|
|
|
|
|
|
|
|
|
|
| Vista Outdoor Inc., Sr. Unsec. Gtd.
Notes, 5.88%,
10/01/2023(c) |
|
|
881,000 |
|
|
|
925,050 |
|
|
|
|
| Marine–0.90% |
|
|
|
|
|
|
|
|
|
|
|
| Navios Maritime Acquisition Corp./Navios Acquisition
Finance U.S. Inc., Sr. Sec. Gtd. First Lien Mortgage Notes,
8.13%, 11/15/2021 (Acquired 10/29/2013-07/16/2015;
Cost $1,372,233)(c) |
|
|
1,359,000 |
|
|
|
1,127,970 |
|
|
| Metal & Glass Containers–1.91% |
|
|
|
|
| Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc.
(Ireland), Sr. Unsec. Gtd. Notes,
7.25%, 05/15/2024(c) |
|
|
335,000 |
|
|
|
342,537 |
|
| Ball Corp., Sr. Unsec. Gtd. Global
Bonds, 5.00%,
03/15/2022 |
|
|
290,000 |
|
|
|
304,138 |
|
| Berry Plastics Corp., Sec. Gtd.
Second Lien
Notes,
6.00%, 10/15/2022(c) |
|
|
333,000 |
|
|
|
344,239 |
|
| Sr. Sec. Gtd. Second Lien Notes,
5.50%, 05/15/2022 |
|
|
765,000 |
|
|
|
788,906 |
|
| Coveris Holdings Corp., Sr. Unsec. Gtd.
Notes,
10.00%, 06/01/2018(c) |
|
|
321,000 |
|
|
|
326,617 |
|
| Coveris Holdings S.A. (Luxembourg), Sr. Unsec. Gtd.
Notes,
7.88%, 11/01/2019(c) |
|
|
303,000 |
|
|
|
297,698 |
|
| |
|
|
|
|
|
|
2,404,135 |
|
|
| Oil & Gas Equipment & Services–0.25% |
|
|
|
|
| Weatherford International Ltd., Sr. Unsec. Gtd. Global
Notes, 5.13%, 09/15/2020 |
|
|
390,000 |
|
|
|
317,850 |
|
See accompanying notes which are an
integral part of this schedule.
Invesco High Income Trust II
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
| Oil & Gas Exploration & Production–9.45% |
|
|
|
|
| Antero Resources Corp.,
Sr. Unsec. Gtd. Global
Notes,
5.38%, 11/01/2021 |
|
$ |
233,000 |
|
|
$ |
228,340 |
|
| 6.00%, 12/01/2020 |
|
|
1,286,000 |
|
|
|
1,286,000 |
|
| Chaparral Energy, Inc., Sr. Unsec. Gtd. Global
Notes,
9.88%, 10/01/2020(e) |
|
|
866,000 |
|
|
|
411,350 |
|
| Cimarex Energy Co., Sr. Unsec. Gtd. Notes, 4.38%,
06/01/2024 |
|
|
276,000 |
|
|
|
281,368 |
|
| Concho Resources Inc.,
Sr. Unsec. Gtd. Global
Notes,
5.50%, 10/01/2022 |
|
|
368,000 |
|
|
|
370,760 |
|
| 5.50%, 04/01/2023 |
|
|
1,114,000 |
|
|
|
1,119,570 |
|
| Continental Resources Inc., Sr.
Unsec. Gtd. Global
Notes,
7.13%, 04/01/2021 |
|
|
781,000 |
|
|
|
810,287 |
|
| Denbury Resources Inc., Sr. Unsec.
Gtd. Sub.
Notes,
5.50%, 05/01/2022 |
|
|
476,000 |
|
|
|
342,720 |
|
| Diamondback Energy, Inc., Sr.
Unsec. Gtd. Global
Notes,
7.63%, 10/01/2021 |
|
|
1,079,000 |
|
|
|
1,149,135 |
|
| Newfield Exploration Co., Sr.
Unsec. Global
Notes,
5.63%, 07/01/2024 |
|
|
816,000 |
|
|
|
818,040 |
|
| Oasis Petroleum Inc.,
Sr. Unsec. Gtd. Global
Notes,
6.88%, 03/15/2022(c) |
|
|
177,000 |
|
|
|
162,840 |
|
| 6.88%, 01/15/2023 |
|
|
478,000 |
|
|
|
434,980 |
|
| Parsley Energy LLC/Parsley
Finance Corp., Sr. Unsec.
Notes,
7.50%, 02/15/2022(c) |
|
|
604,000 |
|
|
|
640,240 |
|
| Range Resources Corp.,
Sr. Unsec. Gtd. Sub. Global
Notes,
5.00%, 03/15/2023 |
|
|
1,053,000 |
|
|
|
984,555 |
|
| Sr. Unsec. Gtd. Sub. Notes,
5.00%, 08/15/2022 |
|
|
225,000 |
|
|
|
211,500 |
|
| RSP Permian, Inc., Sr. Unsec. Gtd.
Global Notes,
6.63%, 10/01/2022 |
|
|
1,137,000 |
|
|
|
1,181,059 |
|
| SM Energy Co.,
Sr. Unsec. Global Notes,
6.13%,
11/15/2022 |
|
|
172,000 |
|
|
|
158,240 |
|
| 6.50%, 01/01/2023 |
|
|
300,000 |
|
|
|
276,000 |
|
| Whiting Petroleum Corp., Sr. Unsec.
Gtd. Global
Notes, 6.25%, 04/01/2023 |
|
|
470,000 |
|
|
|
390,100 |
|
| WPX Energy Inc., Sr. Unsec.
Global Notes, 6.00%,
01/15/2022 |
|
|
728,000 |
|
|
|
660,660 |
|
| |
|
|
|
|
|
|
11,917,744 |
|
|
| Oil & Gas Refining & Marketing–0.88% |
|
|
|
|
| MPLX LP,
Sr. Unsec. Gtd. Notes,
4.88%, 06/01/2025(c) |
|
|
665,000 |
|
|
|
631,750 |
|
| 5.50%, 02/15/2023(c) |
|
|
487,000 |
|
|
|
482,130 |
|
| |
|
|
|
|
|
|
1,113,880 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
| Oil & Gas Storage & Transportation–3.53% |
|
|
|
|
| Energy Transfer Equity, L.P., Sr.
Sec. First Lien
Notes,
5.88%, 01/15/2024 |
|
$ |
509,000 |
|
|
$ |
474,642 |
|
| Sabine Pass Liquefaction LLC,
Sr. Sec. First Lien
Global Notes,
5.63%, 04/15/2023 |
|
|
250,000 |
|
|
|
251,875 |
|
| 5.63%, 03/01/2025 |
|
|
736,000 |
|
|
|
737,840 |
|
| Targa Resources Partners L.P./Targa Resources Partners
Finance Corp., Sr. Unsec. Gtd. Global Notes,
6.88%, 02/01/2021 |
|
|
753,000 |
|
|
|
766,177 |
|
| Teekay Corp. (Bermuda),
Sr. Unsec. Global
Notes,
8.50%, 01/15/2020 |
|
|
370,000 |
|
|
|
297,850 |
|
| Tesoro Logistics L.P./Tesoro Logistics Finance Corp.,
Sr. Unsec. Gtd. Global Notes,
5.88%, 10/01/2020 |
|
|
971,000 |
|
|
|
1,000,130 |
|
| 6.13%, 10/15/2021 |
|
|
165,000 |
|
|
|
169,950 |
|
| 6.38%, 05/01/2024 |
|
|
330,000 |
|
|
|
341,550 |
|
| Williams Partners L.P., Sr. Unsec.
Notes, 4.00%,
11/15/2021 |
|
|
444,000 |
|
|
|
410,423 |
|
| |
|
|
|
|
|
|
4,450,437 |
|
|
| Other Diversified Financial Services–0.44% |
|
|
|
|
| Lincoln Finance Ltd.
(Netherlands), Sr. Sec.
Gtd.
Notes, 7.38%, 04/15/2021(c) |
|
|
521,000 |
|
|
|
560,532 |
|
|
|
|
| Packaged Foods & Meats–2.89% |
|
|
|
|
|
|
|
|
|
|
|
| FAGE Dairy Industry S.A./FAGE USA Dairy Industry, Inc.
(Greece), Sr. Unsec. Gtd. Notes,
9.88%, 02/01/2020(c) |
|
|
1,161,000 |
|
|
|
1,203,144 |
|
| JBS Investments GmbH (Brazil),
Sr. Unsec. Gtd.
Notes,
7.25%, 04/03/2024(c) |
|
|
355,000 |
|
|
|
366,981 |
|
| REGS,
Sr. Unsec. Gtd. Euro Notes,
7.25%, 04/03/2024(c) |
|
|
205,000 |
|
|
|
210,638 |
|
| Pinnacle Foods Finance LLC /
Corp., Sr. Unsec. Gtd.
Notes,
5.88%, 01/15/2024(c) |
|
|
254,000 |
|
|
|
268,605 |
|
| Smithfield Foods Inc., Sr. Unsec.
Notes, 6.63%,
08/15/2022 |
|
|
722,000 |
|
|
|
759,905 |
|
| TreeHouse Foods, Inc., Sr. Unsec.
Gtd. Notes, 6.00%,
02/15/2024(c) |
|
|
790,000 |
|
|
|
835,425 |
|
| |
|
|
|
|
|
|
3,644,698 |
|
|
|
|
| Paper Packaging–0.39% |
|
|
|
|
|
|
|
|
|
|
|
| Graphic Packaging International
Inc., Sr. Unsec. Gtd.
Notes,
4.88%, 11/15/2022 |
|
|
477,000 |
|
|
|
496,080 |
|
|
|
|
| Paper Products–0.88% |
|
|
|
|
|
|
|
|
|
|
|
| Clearwater Paper Corp., Sr. Unsec. Gtd.
Global Notes,
4.50%, 02/01/2023 |
|
|
479,000 |
|
|
|
474,210 |
|
| PH Glatfelter Co., Sr. Unsec. Gtd. Global Notes, 5.38%,
10/15/2020 |
|
|
631,000 |
|
|
|
640,465 |
|
| |
|
|
|
|
|
|
1,114,675 |
|
See accompanying notes which are an
integral part of this schedule.
Invesco High Income Trust II
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
|
|
| Personal Products–0.19% |
|
|
|
|
|
|
|
|
|
|
|
| NBTY, Inc., Sr. Unsec. Notes,
7.63%, 05/15/2021(c) |
|
$ |
230,000 |
|
|
$ |
235,750 |
|
|
|
|
| Pharmaceuticals–3.04% |
|
|
|
|
|
|
|
|
|
|
|
| Concordia Healthcare Corp. (Canada),
Sr. Unsec. Gtd.
Notes,
7.00%, 04/15/2023(c) |
|
|
946,000 |
|
|
|
886,875 |
|
| 9.50%, 10/21/2022(c) |
|
|
240,000 |
|
|
|
240,600 |
|
| Endo Ltd./Endo Finance LLC/Endo
Finco Inc., Sr.
Unsec. Gtd.
Notes, 6.00%, 07/15/2023(c) |
|
|
275,000 |
|
|
|
243,719 |
|
| Mallinckrodt International Finance
S.A./Mallinckrodt
CB LLC, Sr.
Unsec. Gtd. Notes,
5.63%, 10/15/2023(c) |
|
|
215,000 |
|
|
|
203,175 |
|
| Quintiles Transnational Corp., Sr.
Unsec. Gtd.
Notes,
4.88%, 05/15/2023(c) |
|
|
272,000 |
|
|
|
275,400 |
|
| Valeant Pharmaceuticals International, Inc.,
Sr.
Unsec. Gtd. Notes,
5.50%, 03/01/2023(c) |
|
|
469,000 |
|
|
|
392,787 |
|
| 5.63%, 12/01/2021(c) |
|
|
1,136,000 |
|
|
|
971,280 |
|
| 5.88%, 05/15/2023(c) |
|
|
227,000 |
|
|
|
192,383 |
|
| 6.75%, 08/15/2018(c) |
|
|
385,000 |
|
|
|
378,262 |
|
| REGS,
Sr. Unsec. Gtd. Euro Notes,
6.13%, 04/15/2025(c) |
|
|
50,000 |
|
|
|
41,938 |
|
| |
|
|
|
|
|
|
3,826,419 |
|
|
|
|
| Restaurants–0.71% |
|
|
|
|
|
|
|
|
|
|
|
| Carrols Restaurant Group, Inc.,
Sec. Gtd. Second Lien
Global
Notes, 8.00%, 05/01/2022 |
|
|
825,000 |
|
|
|
896,156 |
|
|
|
|
| Semiconductors–0.97% |
|
|
|
|
|
|
|
|
|
|
|
| Micron Technology, Inc.,
Sr. Unsec. Notes,
5.25%,
08/01/2023(c) |
|
|
540,000 |
|
|
|
461,700 |
|
| 5.25%, 01/15/2024(c) |
|
|
135,000 |
|
|
|
114,075 |
|
| NXP B.V./NXP Funding LLC (Netherlands),
Sr. Unsec.
Gtd. Notes,
4.63%, 06/01/2023(c) |
|
|
200,000 |
|
|
|
202,000 |
|
| 5.75%, 03/15/2023(c) |
|
|
420,000 |
|
|
|
441,000 |
|
| |
|
|
|
|
|
|
1,218,775 |
|
|
|
| Specialized Consumer Services–0.83% |
|
|
|
|
|
|
|
|
| ServiceMaster Co., LLC (The), Sr.
Unsec. Notes,
7.45%, 08/15/2027 |
|
|
992,000 |
|
|
|
1,041,600 |
|
|
|
|
| Specialized Finance–5.90% |
|
|
|
|
|
|
|
|
|
|
|
| Aircastle Ltd.,
Sr. Unsec. Notes,
5.00%,
04/01/2023 |
|
|
840,000 |
|
|
|
863,100 |
|
| 5.50%, 02/15/2022 |
|
|
1,093,000 |
|
|
|
1,161,312 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
|
|
| Specialized Finance–(continued) |
|
|
|
|
|
|
|
|
|
|
|
| CIT Group Inc.,
Sr. Unsec. Global Notes,
5.00%,
08/15/2022 |
|
$ |
1,500,000 |
|
|
$ |
1,537,500 |
|
| 5.00%, 08/01/2023 |
|
|
415,000 |
|
|
|
424,338 |
|
| Fly Leasing Ltd. (Ireland), Sr.
Unsec. Global
Notes,
6.75%, 12/15/2020 |
|
|
1,022,000 |
|
|
|
1,039,885 |
|
| International Lease Finance Corp.,
Sr. Unsec. Global
Notes,
5.88%, 08/15/2022 |
|
|
205,000 |
|
|
|
223,386 |
|
| Sr. Unsec. Notes,
8.25%, 12/15/2020 |
|
|
1,127,000 |
|
|
|
1,326,338 |
|
| MSCI Inc., Sr. Unsec. Gtd. Notes.,
5.25%, 11/15/2024(c) |
|
|
830,000 |
|
|
|
859,050 |
|
| |
|
|
|
|
|
|
7,434,909 |
|
|
|
|
| Specialized REIT’s–0.44% |
|
|
|
|
|
|
|
|
|
|
|
| GLP Capital LP/GLP Financing II
Inc., Sr. Unsec. Gtd.
Notes,
5.38%, 04/15/2026 |
|
|
535,000 |
|
|
|
559,075 |
|
|
|
|
| Specialty Chemicals–2.30% |
|
|
|
|
|
|
|
|
|
|
|
| GCP Applied Technologies Inc.,
Sr. Unsec. Gtd. Notes,
9.50%,
02/01/2023(c) |
|
|
630,000 |
|
|
|
701,662 |
|
| Kraton Polymers LLC/Kraton
Polymers Capital
Corp.,
Sr. Unsec. Gtd. Notes, 10.50%,
04/15/2023(c) |
|
|
726,000 |
|
|
|
773,190 |
|
| PolyOne Corp., Sr. Unsec. Global
Notes, 5.25%,
03/15/2023 |
|
|
940,000 |
|
|
|
961,150 |
|
| PQ Corp., Sr. Sec. Gtd. First Lien
Notes, 6.75%,
11/15/2022(c) |
|
|
448,000 |
|
|
|
467,600 |
|
| |
|
|
|
|
|
|
2,903,602 |
|
|
|
|
| Steel–1.66% |
|
|
|
|
|
|
|
|
|
|
|
| ArcelorMittal (Luxembourg), Sr.
Unsec. Global
Notes,
6.25%, 08/05/2020 |
|
|
745,000 |
|
|
|
778,525 |
|
| Steel Dynamics, Inc., Sr. Unsec.
Gtd. Global
Notes,
5.50%, 10/01/2024 |
|
|
1,031,000 |
|
|
|
1,069,663 |
|
| United States Steel Corp., Sr. Sec.
First Lien
Notes,
8.38%, 07/01/2021(c) |
|
|
236,000 |
|
|
|
244,260 |
|
| |
|
|
|
|
|
|
2,092,448 |
|
|
| Technology Hardware, Storage & Peripherals–0.37% |
|
|
|
|
| Western Digital Corp., Sr. Sec.
Gtd. Notes, 7.38%,
04/01/2023(c) |
|
|
445,000 |
|
|
|
464,886 |
|
|
|
| Trading Companies & Distributors–2.01% |
|
|
|
|
|
|
|
|
| Avis Budget Car Rental LLC/Avis Budget Finance
Inc.,
Sr. Unsec. Gtd. Notes,
5.13%, 06/01/2022(c) |
|
|
448,000 |
|
|
|
418,880 |
|
| 6.38%, 04/01/2024(c) |
|
|
650,000 |
|
|
|
627,250 |
|
See accompanying notes which are an
integral part of this schedule.
Invesco High Income Trust II
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
| Trading Companies & Distributors–(continued) |
|
|
|
|
| Hertz Corp. (The), Sr. Unsec. Gtd.
Global Notes,
6.75%, 04/15/2019 |
|
$ |
420,000 |
|
|
$ |
426,825 |
|
| United Rentals North America Inc.,
Sr. Unsec. Gtd.
Global Notes, 5.50%, 07/15/2025 |
|
|
469,000 |
|
|
|
462,551 |
|
| Sr. Unsec. Gtd. Notes,
6.13%, 06/15/2023 |
|
|
581,000 |
|
|
|
602,788 |
|
| |
|
|
|
|
|
|
2,538,294 |
|
|
|
|
| Trucking–0.69% |
|
|
|
|
|
|
|
|
|
|
|
| OPE KAG Finance Sub Inc., Sr.
Unsec. Notes,
7.88%,
07/31/2023(c) |
|
|
857,000 |
|
|
|
869,855 |
|
|
| Wireless Telecommunication Services–6.97% |
|
|
|
|
| Altice Luxembourg S.A. (Luxembourg),
Sr. Unsec. Gtd.
Notes,
7.75%, 05/15/2022(c) |
|
|
1,376,000 |
|
|
|
1,401,800 |
|
| REGS,
Sr. Unsec. Gtd. Euro Notes,
7.75%, 05/15/2022(c) |
|
|
430,000 |
|
|
|
442,094 |
|
| Digicel Group Ltd. (Jamaica), Sr.
Unsec.
Notes,
8.25%, 09/30/2020(c) |
|
|
225,000 |
|
|
|
196,313 |
|
| Digicel Ltd. (Jamaica), Sr.
Unsec. Gtd.
Notes,
6.75%, 03/01/2023(c) |
|
|
800,000 |
|
|
|
708,000 |
|
| SBA Communications Corp., Sr.
Unsec. Global
Notes,
4.88%, 07/15/2022 |
|
|
995,000 |
|
|
|
1,004,950 |
|
| Sprint Communications Inc., Sr.
Unsec. Gtd.
Notes,
9.00%, 11/15/2018(c) |
|
|
660,000 |
|
|
|
702,900 |
|
| T-Mobile USA, Inc.,
Sr. Unsec. Gtd. Global
Bonds,
6.50%, 01/15/2026 |
|
|
351,000 |
|
|
|
372,937 |
|
| 6.84%, 04/28/2023 |
|
|
443,000 |
|
|
|
471,795 |
|
| Sr. Unsec. Gtd. Global Notes,
6.38%, 03/01/2025 |
|
|
1,660,000 |
|
|
|
1,751,300 |
|
| 6.63%, 04/01/2023 |
|
|
405,000 |
|
|
|
430,312 |
|
| Sr. Unsec. Gtd. Notes,
6.00%, 04/15/2024 |
|
|
180,000 |
|
|
|
188,100 |
|
| Wind Acquisition Finance S.A. (Italy),
Sec. Gtd.
Second Lien Notes,
7.38%, 04/23/2021(c) |
|
|
500,000 |
|
|
|
476,250 |
|
| Sr. Sec. Gtd. First Lien Notes,
4.75%, 07/15/2020(c) |
|
|
435,000 |
|
|
|
428,475 |
|
| REGS,
Sr. Sec. Gtd. First Lien Euro Notes,
6.50%, 04/30/2020(c) |
|
|
200,000 |
|
|
|
206,500 |
|
| |
|
|
|
|
|
|
8,781,726 |
|
| Total U.S. Dollar Denominated Bonds and Notes
(Cost
$161,991,566) |
|
|
|
|
|
|
162,127,766 |
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
| Non-U.S. Dollar Denominated Bonds & Notes–4.05%(f) |
|
|
|
|
| Auto Parts & Equipment–0.14% |
|
|
|
|
|
|
|
|
|
|
|
| Alliance Automotive Finance PLC
(United Kingdom), Sr.
Sec. Gtd.
First Lien Notes,
6.25%, 12/01/2021(c) |
|
|
EUR 150,000 |
|
|
$ |
179,148 |
|
|
|
|
| Cable & Satellite–0.16% |
|
|
|
|
|
|
|
|
|
|
|
| Virgin Media Secured Finance PLC
(United Kingdom),
Sr. Sec. Gtd.
First Lien Notes,
4.88%, 01/15/2027(c) |
|
|
GBP 150,000 |
|
|
|
206,651 |
|
|
|
|
| Casinos & Gaming–0.30% |
|
|
|
|
|
|
|
|
|
|
|
| Gala Electric Casinos PLC
(United Kingdom),
REGS,
Sec. Gtd.
Second Lien Euro Notes,
11.50%, 06/01/2019(c) |
|
|
GBP 159,091 |
|
|
|
240,212 |
|
| Gala Group Finance PLC
(United Kingdom),
REGS, Sr.
Sec. Gtd.
First Lien Euro Notes,
8.88%, 09/01/2018(c) |
|
|
GBP 94,286 |
|
|
|
141,136 |
|
| |
|
|
|
|
|
|
381,348 |
|
|
|
| Diversified Support Services–0.42% |
|
|
|
|
|
|
|
|
| AA Bond Co. Ltd. (United Kingdom),
Sec. Second Lien
Notes,
5.50%, 07/31/2022(c) |
|
|
GBP 200,000 |
|
|
|
285,687 |
|
| La Financière Atalian S.A.
(France), Sr.
Unsec. Gtd. Bonds,
7.25%, 01/15/2020(c) |
|
|
EUR 200,000 |
|
|
|
239,093 |
|
| |
|
|
|
|
|
|
524,780 |
|
|
|
|
| Food Retail–0.19% |
|
|
|
|
|
|
|
|
|
|
|
| Labeyrie Fine Foods S.A.S.
(France), Sr. Sec. Gtd.
First Lien
Notes, 5.63%, 03/15/2021(c) |
|
|
EUR 200,000 |
|
|
|
234,414 |
|
|
|
|
| Health Care Services–0.29% |
|
|
|
|
|
|
|
|
|
|
|
| Synlab Bondco PLC (United Kingdom),
REGS, Sr. Sec.
Gtd.
First Lien Euro Notes,
6.25%, 07/01/2022(c) |
|
|
EUR 195,000 |
|
|
|
229,422 |
|
| Synlab Unsecured Bondco PLC
(United Kingdom), REGS,
Sr.
Unsec. Euro Bonds,
8.25%, 07/01/2023(c) |
|
|
EUR 115,000 |
|
|
|
131,781 |
|
| |
|
|
|
|
|
|
361,203 |
|
|
| Hotels, Resorts & Cruise Lines–0.56% |
|
|
|
|
| Thomas Cook Finance PLC
(United Kingdom), Sr.
Unsec.
Gtd. Bonds,
6.75%, 06/15/2021(c) |
|
|
EUR 278,000 |
|
|
|
315,555 |
|
| Thomas Cook Group PLC (United Kingdom),
Sr. Unsec.
Gtd.
Medium-Term Euro Notes,
7.75%, 06/22/2017 |
|
|
GBP 255,000 |
|
|
|
391,508 |
|
| |
|
|
|
|
|
|
707,063 |
|
See accompanying notes which are an
integral part of this schedule.
Invesco High Income Trust II
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Value |
|
|
|
| Industrial Machinery–0.28% |
|
|
|
|
|
|
|
|
| SIG Combibloc Holdings S.C.A. (Luxembourg),
Sr. Sec.
Gtd. Bonds,
7.75%, 02/15/2023(c) |
|
|
EUR 100,000 |
|
|
$ |
119,439 |
|
| REGS,
Sr. Sec. Euro Bonds,
7.75%, 02/15/2023(c) |
|
|
EUR 200,000 |
|
|
|
238,879 |
|
| |
|
|
|
|
|
|
358,318 |
|
|
|
| IT Consulting & Other Services–0.09% |
|
|
|
|
|
|
|
|
| Interxion Holding N.V.
(Netherlands), Sr. Sec.
Gtd.
First Lien Notes,
6.00%, 07/15/2020(c) |
|
|
EUR 100,000 |
|
|
|
117,352 |
|
|
|
|
| Leisure Facilities–0.41% |
|
|
|
|
|
|
|
|
|
|
|
| Cirsa Funding Luxembourg S.A. (Spain),
Sr. Unsec.
Gtd. Bonds,
5.75%, 05/15/2021(c) |
|
|
EUR 250,000 |
|
|
|
287,351 |
|
| REGS,
Sr. Unsec. Gtd. Euro Notes,
5.88%, 05/15/2023(c) |
|
|
EUR 200,000 |
|
|
|
227,872 |
|
| |
|
|
|
|
|
|
515,223 |
|
|
|
| Movies & Entertainment–0.73% |
|
|
|
|
|
|
|
|
| Entertainment One Ltd. (Canada),
Sr. Sec. Gtd. First
Lien Bonds,
6.88%, 12/15/2022(c) |
|
|
GBP 420,000 |
|
|
|
643,297 |
|
| Odeon & UCI Finco PLC (United Kingdom), REGS, Sr.
Sec. Gtd. First Lien Medium-Term Euro Notes,
9.00%, 08/01/2018(c) |
|
|
GBP 182,000 |
|
|
|
274,078 |
|
| |
|
|
|
|
|
|
917,375 |
|
|
|
| Packaged Foods & Meats–0.48% |
|
|
|
|
|
|
|
|
| Moy Park (Bondco) PLC (United Kingdom), Sr. Unsec.
Gtd.
Notes, 6.25%, 05/29/2021(c) |
|
|
GBP 400,000 |
|
|
|
598,965 |
|
| Total Non-U.S. Dollar Denominated
Bonds
& Notes (Cost $5,146,337) |
|
|
|
5,101,840 |
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
| Common Stocks & Other Equity Interests–0.59% |
|
|
|
| Automobile Manufacturers–0.59% |
|
|
|
|
|
|
|
|
| General Motors Co. (g) |
|
|
15,905 |
|
|
|
497,508 |
|
| General Motors Co. -Wts. expiring
07/10/16(g)(h) |
|
|
6,555 |
|
|
|
138,901 |
|
| General Motors Co. -Wts. expiring
07/10/19(g)(h) |
|
|
6,555 |
|
|
|
86,329 |
|
| Motors Liquidation Co. GUC Trust |
|
|
1,673 |
|
|
|
19,240 |
|
| Total Common Stocks & Other
Equity
Interests (Cost $861,046) |
|
|
|
741,978 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
|
|
| Money Market Funds–3.41% |
|
|
|
|
|
|
|
|
|
|
|
| Liquid Assets Portfolio –Institutional
Class,
0.44% (i) |
|
|
2,151,097 |
|
|
$ |
2,151,097 |
|
| Premier Portfolio –Institutional
Class, 0.39% (i) |
|
|
2,151,097 |
|
|
|
2,151,097 |
|
| Total Money Market Funds
(Cost $4,302,194) |
|
|
|
|
|
|
4,302,194 |
|
| TOTAL INVESTMENTS–136.67%
(Cost
$172,301,143) |
|
|
|
|
|
|
172,273,778 |
|
| OTHER ASSETS LESS
LIABILITIES–1.05% |
|
|
|
1,325,736 |
|
| BORROWINGS–(37.72)% |
|
|
|
|
|
|
(47,550,000 |
) |
| NET ASSETS–100.00% |
|
|
|
|
|
$ |
126,049,514 |
|
Investment Abbreviations:
|
|
|
| EUR |
|
—Euro |
| GBP |
|
—British Pound |
| Gtd. |
|
—Guaranteed |
| REGS |
|
—Regulation S |
| REIT |
|
—Real Estate Investment Trust |
| Sec. |
|
—Secured |
| Sr. |
|
—Senior |
| Sub. |
|
—Subordinated |
| Unsec. |
|
—Unsecured |
| Wts. |
|
—Warrants |
See accompanying notes which are an
integral part of this schedule.
Invesco High Income Trust II
Notes to Schedule of Investments:
| (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) |
Calculated as a percentage of net assets. Amounts in excess of 100% are due to the Trust’s use of leverage. |
| (c) |
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 May 31, 2016 was $79,915,088, which represented 63.40% of the Trust’s Net Assets. |
| (d) |
Acquired as part of the Sino-Forest Corp. reorganization. |
| (e) |
Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The aggregate value of these securities at May 31, 2016 was $411,650, which represented less than
1% of the Trust’s Net Assets. |
| (f) |
Foreign denominated security. Principal amount is denominated in the currency indicated. |
| (g) |
Acquired as part of the General Motors reorganization. |
| (h) |
Non-income producing security. |
| (i) |
The money market fund and the Trust are affiliated by having the same investment adviser. The rate shown is the 7-day SEC standardized yield as of May 31, 2016. |
See accompanying notes which are an
integral part of this schedule.
Invesco High Income Trust II
Notes to Quarterly Schedule of Portfolio Holdings
May 31, 2016
(Unaudited)
NOTE 1 — Significant Accounting Policies
| A. |
Security Valuations – Securities, including restricted securities, are valued according to the following policy. |
Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by
an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of
securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading
characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.
Senior secured floating rate loans and senior secured floating rate debt securities are fair valued using an evaluated quote
provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, tranche type, industry, company performance, spread, individual trading characteristics, institution-size
trading in similar groups of securities and other market data.
A security listed or traded on an exchange (except
convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a
particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities
are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean
between the last bid and asked prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and asked prices. For purposes of
determining net asset value (“NAV”) per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the
end-of-day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session
on the exchange where the security is principally traded.
Foreign securities’ (including foreign exchange contracts)
prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the
market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the
customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the
security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service
to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the
approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in
determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate
changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and
standards.
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes
furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.
Invesco High Income Trust II
| A. |
Security Valuations – (Continued) |
Securities for which market quotations are not readily available or became
unreliable are valued at fair value as determined in good faith by or under the supervision of the Fund’s officers following procedures approved by the Board of Directors. Issuer
specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of
making a good faith determination of a security’s fair value.
The Trust may invest in securities that are subject to
interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates
depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Trust investments.
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the
issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the
value received upon actual sale of those investments.
| B. |
Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of
the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and
discounts are amortized and/or accreted for financial reporting purposes. |
The Trust may periodically
participate in litigation related to Trust investments. As such, the Trust may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer
held and as unrealized gain (loss) for investments still held.
Brokerage commissions and mark ups are considered
transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain
(loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are
included in the calculation of the Trust’s net asset value and, accordingly, they reduce the Trust’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported
in the Statement of Operations and the Statement of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense
limitation arrangements between the Trust and the investment adviser.
| C. |
Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is
located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more
of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer
maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United
States of America, unless otherwise noted. |
| D. |
Securities Purchased on a When-Issued and Delayed Delivery Basis – The Trust may purchase and sell interests in corporate loans and corporate debt securities and other portfolio securities on a when-issued
and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Trust on such interests or securities in connection with such transactions prior to the date the Trust actually takes delivery of such
interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Trust will generally purchase these
securities with the intention of acquiring such securities, they may sell such securities prior to the settlement date. |
| E. |
Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on
quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio
securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not separately account for the
portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and
the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency
gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of
|
Invesco High Income Trust II
| E. |
Foreign Currency Translations – (Continued) |
| |
dividends, interest, and foreign withholding taxes recorded on the Trust’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise
from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. |
The Trust may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency
repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Trust invests and are shown in the Statement of Operations.
| F. |
Forward Foreign Currency Contracts – The Trust may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis, or through forward foreign currency contracts, to
manage or minimize currency or exchange rate risk. |
The Trust may also enter into forward foreign currency
contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Trust may also enter into forward foreign currency contracts that do not provide for
physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable
forwards). The Trust will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.
A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a
specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Trust owns or intends to acquire but establishes a rate of
exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When
the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure
of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.
| G. |
Leverage Risk – The Trust may utilize leverage to seek to enhance the yield of the Trust by borrowing or issuing preferred shares. There are risks associated with borrowing or issuing preferred shares
in an effort to increase the yield and distributions on the common shares, including that the costs of the financial leverage may exceed the income from investments made with such leverage, the higher volatility of the net asset value of the common
shares, and that fluctuations in the interest rates on the borrowing or dividend rates on preferred shares may affect the yield and distributions to the common shareholders. There can be no assurance that the Trust’s leverage strategy will
be successful. |
NOTE 2 — Additional Valuation Information
Generally Accepted Accounting Principles (“GAAP”) defines fair value as the price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available
unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation
inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:
|
|
|
| Level 1 – |
|
Prices are determined using quoted prices in an active market for identical assets. |
| Level 2 – |
|
Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. |
| Level 3 – |
|
Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the
period), unobservable inputs may be used. Unobservable inputs reflect the Trust’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best
available information. |
Invesco High Income Trust II
The following is a summary of the tiered valuation input levels, as of May 31, 2016. The
level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements
may materially differ from the value received upon actual sale of those investments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Equity
Securities |
|
$ |
5,044,172 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,044,172 |
|
| Corporate Debt Securities |
|
|
— |
|
|
|
162,127,466 |
|
|
|
300 |
|
|
|
162,127,766 |
|
| Foreign Debt Securities |
|
|
— |
|
|
|
5,101,840 |
|
|
|
— |
|
|
|
5,101,840 |
|
| |
|
|
5,044,172 |
|
|
|
167,229,306 |
|
|
|
300 |
|
|
|
172,273,778 |
|
| Forward Foreign Currency
Contracts* |
|
|
— |
|
|
|
(79,286) |
|
|
|
— |
|
|
|
(79,286) |
|
| Total Investments |
|
$ |
5,044,172 |
|
|
$ |
167,150,020 |
|
|
$ |
300 |
|
|
$ |
172,194,492 |
|
| * |
Unrealized appreciation (depreciation). |
NOTE 3 — Derivative Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Open Forward Foreign Currency Contracts at Period-End |
|
| |
|
|
|
|
|
|
Unrealized |
|
| Settlement |
|
|
|
Contract to |
|
|
Notional |
|
|
Appreciation |
|
| Date |
|
Counterparty |
|
Deliver |
|
|
Receive |
|
|
Value |
|
|
(Depreciation) |
|
| 06/10/2016 |
|
CIBC World Markets Corp. |
|
|
EUR |
|
|
|
351,876 |
|
|
|
USD |
|
|
|
397,905 |
|
|
$ |
391,630 |
|
|
$ |
6,275 |
|
| 06/10/2016 |
|
Citigroup Global Markets Inc. |
|
|
GBP |
|
|
|
2,299,439 |
|
|
|
USD |
|
|
|
3,261,639 |
|
|
|
3,330,658 |
|
|
|
(69,019) |
|
| 06/10/2016 |
|
Citigroup Global Markets Inc. |
|
|
USD |
|
|
|
492,579 |
|
|
|
GBP |
|
|
|
346,400 |
|
|
|
501,748 |
|
|
|
9,169 |
|
| 06/10/2016 |
|
Deutsche Bank Securities Inc. |
|
|
EUR |
|
|
|
103,269 |
|
|
|
USD |
|
|
|
116,942 |
|
|
|
114,936 |
|
|
|
2,006 |
|
| 06/10/2016 |
|
Deutsche Bank Securities Inc. |
|
|
USD |
|
|
|
93,562 |
|
|
|
EUR |
|
|
|
82,000 |
|
|
|
91,264 |
|
|
|
(2,298) |
|
| 06/10/2016 |
|
Deutsche Bank Securities Inc. |
|
|
USD |
|
|
|
587,291 |
|
|
|
GBP |
|
|
|
412,146 |
|
|
|
596,979 |
|
|
|
9,688 |
|
| 06/10/2016 |
|
Goldman Sachs International |
|
|
EUR |
|
|
|
2,291,726 |
|
|
|
USD |
|
|
|
2,521,086 |
|
|
|
2,550,639 |
|
|
|
(29,553) |
|
| 06/10/2016 |
|
Goldman Sachs International |
|
|
USD |
|
|
|
317,173 |
|
|
|
EUR |
|
|
|
279,987 |
|
|
|
311,619 |
|
|
|
(5,554) |
|
|
Total Open Forward Foreign Currency Contracts—Currency
Risk |
|
|
$ |
(79,286) |
|
Currency Abbreviations:
|
|
|
|
|
|
|
|
|
| EUR — Euro |
|
GBP — British Pound Sterling |
|
|
|
USD — U.S. Dollar |
|
|
NOTE 4 — Investment Securities
The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold
by the Trust during the three months ended May 31, 2016 was $41,972,223 and $41,500,105, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income
tax reporting period-end.
|
|
|
|
|
| Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis |
|
| Aggregate unrealized appreciation of investment
securities |
|
$ |
4,642,322 |
|
| Aggregate unrealized (depreciation) of investment
securities |
|
|
(5,322,047) |
|
| Net unrealized appreciation (depreciation) of
investment securities |
|
$ |
(679,725) |
|
| Cost of investments for tax purposes is $172,953,503. |
|
|
|
|
Invesco High Income Trust II
| Item 2. |
Controls and Procedures. |
| |
(a) |
As of May 25, 2016, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the Principal
Executive Officer (“PEO”) and Principal Financial Officer (“PFO”), to assess the effectiveness of the Registrant’s disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act
of 1940 (“Act”), as amended. Based on that evaluation, the Registrant’s officers, including the PEO and PFO, concluded that, as of May 25, 2016, the Registrant’s disclosure controls and procedures were reasonably designed so
as to ensure: (1) that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission; and
(2) that material information relating to the Registrant is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure. |
| |
(b) |
There have been no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Certifications of PEO and PFO as required by Rule 30a-2(a) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: Invesco High Income Trust II
|
|
|
| By: |
|
/s/ Sheri Morris |
|
|
Sheri Morris |
|
|
Principal Executive Officer |
|
|
| Date: |
|
July 29, 2016 |
Pursuant to the requirements of the Securities and Exchange Act of 1934 and the Investment Company Act of 1940, this report
has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
|
|
|
| By: |
|
/s/ Sheri Morris |
|
|
Sheri Morris |
|
|
Principal Executive Officer |
|
|
| Date: |
|
July 29, 2016 |
|
|
|
| By: |
|
/s/ Kelli Gallegos |
|
|
Kelli Gallegos |
|
|
Principal Financial Officer |
|
|
| Date: |
|
July 29, 2016 |
EXHIBIT INDEX
Certifications of Principal Executive Officer (“PEO”) and Principal Financial Officer (“PFO”) as required by Rule 30a-2(a)
under the Investment Company Act of 1940, as amended.