LOGO      

 

Invesco Annual Report to Shareholders

August 31, 2023

 

 

BSCN

   Invesco BulletShares 2023 Corporate Bond ETF
   

BSCO

   Invesco BulletShares 2024 Corporate Bond ETF
   

BSCP

   Invesco BulletShares 2025 Corporate Bond ETF
   

BSCQ

   Invesco BulletShares 2026 Corporate Bond ETF
   

BSCR

   Invesco BulletShares 2027 Corporate Bond ETF
   

BSCS

   Invesco BulletShares 2028 Corporate Bond ETF
   

BSCT

   Invesco BulletShares 2029 Corporate Bond ETF
   

BSCU

   Invesco BulletShares 2030 Corporate Bond ETF
   

BSCV

   Invesco BulletShares 2031 Corporate Bond ETF
   

BSCW

   Invesco BulletShares 2032 Corporate Bond ETF
   

BSJN

   Invesco BulletShares 2023 High Yield Corporate Bond ETF
   

BSJO

   Invesco BulletShares 2024 High Yield Corporate Bond ETF
   

BSJP

   Invesco BulletShares 2025 High Yield Corporate Bond ETF
   

BSJQ

   Invesco BulletShares 2026 High Yield Corporate Bond ETF
   

BSJR

   Invesco BulletShares 2027 High Yield Corporate Bond ETF
   

BSJS

   Invesco BulletShares 2028 High Yield Corporate Bond ETF
   

BSJT

   Invesco BulletShares 2029 High Yield Corporate Bond ETF
   

BSJU

   Invesco BulletShares 2030 High Yield Corporate Bond ETF
   

BSMN

   Invesco BulletShares 2023 Municipal Bond ETF
   

BSMO

   Invesco BulletShares 2024 Municipal Bond ETF
   

BSMP

   Invesco BulletShares 2025 Municipal Bond ETF
   

BSMQ

   Invesco BulletShares 2026 Municipal Bond ETF
   

BSMR

   Invesco BulletShares 2027 Municipal Bond ETF
   

BSMS

   Invesco BulletShares 2028 Municipal Bond ETF
   

BSMT

   Invesco BulletShares 2029 Municipal Bond ETF
   

BSMU

   Invesco BulletShares 2030 Municipal Bond ETF
   

BSMV

   Invesco BulletShares 2031 Municipal Bond ETF
   

BSMW

   Invesco BulletShares 2032 Municipal Bond ETF


 

 

Table of Contents

 

The Market Environment

     3  

Management’s Discussion of Fund Performance

     4  

Liquidity Risk Management Program

     88  

Schedules of Investments

  

Invesco BulletShares 2023 Corporate Bond ETF (BSCN)

     89  

Invesco BulletShares 2024 Corporate Bond ETF (BSCO)

     92  

Invesco BulletShares 2025 Corporate Bond ETF (BSCP)

     99  

Invesco BulletShares 2026 Corporate Bond ETF (BSCQ)

     107  

Invesco BulletShares 2027 Corporate Bond ETF (BSCR)

     115  

Invesco BulletShares 2028 Corporate Bond ETF (BSCS)

     123  

Invesco BulletShares 2029 Corporate Bond ETF (BSCT)

     130  

Invesco BulletShares 2030 Corporate Bond ETF (BSCU)

     136  

Invesco BulletShares 2031 Corporate Bond ETF (BSCV)

     142  

Invesco BulletShares 2032 Corporate Bond ETF (BSCW)

     148  

Invesco BulletShares 2023 High Yield Corporate Bond ETF (BSJN)

     153  

Invesco BulletShares 2024 High Yield Corporate Bond ETF (BSJO)

     155  

Invesco BulletShares 2025 High Yield Corporate Bond ETF (BSJP)

     158  

Invesco BulletShares 2026 High Yield Corporate Bond ETF (BSJQ)

     162  

Invesco BulletShares 2027 High Yield Corporate Bond ETF (BSJR)

     167  

Invesco BulletShares 2028 High Yield Corporate Bond ETF (BSJS)

     172  

Invesco BulletShares 2029 High Yield Corporate Bond ETF (BSJT)

     179  

Invesco BulletShares 2030 High Yield Corporate Bond ETF (BSJU)

     186  

Invesco BulletShares 2023 Municipal Bond ETF (BSMN)

     189  

Invesco BulletShares 2024 Municipal Bond ETF (BSMO)

     196  

Invesco BulletShares 2025 Municipal Bond ETF (BSMP)

     213  

Invesco BulletShares 2026 Municipal Bond ETF (BSMQ)

     230  

Invesco BulletShares 2027 Municipal Bond ETF (BSMR)

     252  

Invesco BulletShares 2028 Municipal Bond ETF (BSMS)

     271  

Invesco BulletShares 2029 Municipal Bond ETF (BSMT)

     287  

Invesco BulletShares 2030 Municipal Bond ETF (BSMU)

     299  

Invesco BulletShares 2031 Municipal Bond ETF (BSMV)

     310  

Invesco BulletShares 2032 Municipal Bond ETF (BSMW)

     319  

Statements of Assets and Liabilities

     326  

Statements of Operations

     332  

Statements of Changes in Net Assets

     338  

Financial Highlights

     348  

Notes to Financial Statements

     376  

Report of Independent Registered Public Accounting Firm

     394  

Fund Expenses

     396  

Tax Information

     399  

Trustees and Officers

     401  

Approval of Investment Advisory Contracts

     411  

 

   2   

 

 

 

 


 

 

The Market Environment

Fixed Income

The beginning of the fiscal year was headlined by the US Federal Reserve (the Fed) continuing its rapid tightening of monetary policy in an effort to combat inflation via higher interest rates while simultaneously engineering a soft landing to not push the economy into a recession. The Fed aggressively raised its federal funds rate at the beginning of the fiscal year: a 0.75% hike in November, its largest hike since 1994, a 0.50% hike in December and a 0.25% hike in January, to a target federal funds rate of 4.50% to 4.75%.1

A January rally gave way to a February selloff as higher-than-expected inflation, a tight labor market and solid economic growth indicated that the Fed’s monetary policy would remain tight for the foreseeable future, raising the risk of a deeper than expected recession. In March, significant volatility plagued fixed income markets as the failure of two US regional banks, Silicon Valley Bank and Signature Bank, prompted steep losses in the banking sector. The subsequent takeover of Credit Suisse and ongoing fear that bank troubles would spread pushed overall corporate spread premiums wider over the fiscal year. However, issues did not seem to be systemic as policymakers responded swiftly which calmed markets. The Fed, aiming to further stabilize markets, continued course with their hawkish policy with two 0.25% hikes in March and May to a target federal funds rate of 5.00% to 5.25%. Markets stabilized due to milder inflation data and better-than-expected corporate earnings.

Through the second quarter of 2023, global economic growth remained resilient but bifurcated as emerging markets and Asian economies showed robust growth while developed western economies had sluggish yet positive growth. US labor markets maintained momentum with unemployment still at historic lows despite a slight uptick at the end of May. Inflation generally eased in developed economies, largely driven by moderation in the goods component of inflation. However, core inflation remained more stubborn and led to developed central banks to continue tightening, showcased by another 0.25% hike by the Fed in July, bringing the target rate from 5.25% to 5.50%, its highest level since June 2006.1 While rates remained elevated across all maturities on the yield curve, the two-year Treasury rates increased from 3.45% to 4.85% during the fiscal year, while 10-year Treasury rates increased from 3.53% to 4.48%.2 At the end of the fiscal year, the yield curve remained inverted. Additionally, in August, US debt was downgraded by the Fitch credit rating agency from AAA to AA on the premise of expected fiscal deterioration over the next three years.3

We believe markets have priced in that the Fed is near the end or has finished its interest rate hiking cycle, with the expectations that the US is likely to avoid a substantial broad-based recession. We expect some weakness in the

second half of the calendar year as policymakers accomplish a bumpy landing. We anticipate economic activity will remain relatively resilient. In the US, we believe rate hikes are ending and inflation will continue to fall significantly, albeit imperfectly. As we enter 2024, we expect a more positive growth outlook to unfold as the US economy recovers.

 

1 

Source: Federal Reserve of Economic Data

2 

Source: US Department of the Treasury

3 

Source: Fitch Ratings

A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations, including specific securities, money market instruments or other debts. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest); ratings are subject to change without notice.

 

 

   3   

 

 

 

 


 

 

BSCN    Management’s Discussion of Fund Performance
   Invesco BulletShares 2023 Corporate Bond ETF (BSCN)

 

As an index fund, the Invesco BulletShares 2023 Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD Corporate Bond 2023 Index (the “2023 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The 2023 Index seeks to measure the performance of a portfolio of U.S. dollar- denominated investment grade corporate bonds with maturities or, in some cases, “effective maturities” in the year 2023. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2023. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index rebalances only through June. In the last six months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 4.09%. On a net asset value (“NAV”) basis, the Fund returned 4.04%. During the same time period, the Index returned 4.21%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned 0.90%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 7,300 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure

for investors as a representation of fixed-rate investment-grade taxable debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the pharmaceuticals industry and most underweight in the banking industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the banks industry contributed most significantly to the Fund’s return, followed by the consumer finance industry. The passenger airlines industry detracted most significantly from the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Sprint LLC, 7.88% coupon, due 09/15/2023, a wireless telecommunication services company (portfolio average weight of 3.62%), and Oracle Corp., 2.40% coupon, due 09/15/2023, a software company (portfolio average weight of 2.08%). The only position that detracted from the Fund’s return during the period was Delta Air Lines, Inc., 3.80% coupon, due 4/19/2023, a passenger airlines company (no longer held at fiscal year-end).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
U.S. Treasury Securities      35.96  
Financials      15.06  
Health Care      12.42  
Energy      7.27  
Information Technology      6.36  
Utilities      4.93  
Communication Services      4.19  
Consumer Staples      4.17  
Industrials      3.91  
Sector Types Each Less Than 3%      4.19  
Money Market Funds Plus Other Assets Less Liabilities      1.54  

 

 

  4  

 


 

Invesco BulletShares 2023 Corporate Bond ETF (BSCN) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
U.S. Treasury Bills, 5.30%–5.32%, 10/19/2023      22.00  
U.S. Treasury Bills, 5.21%–5.27%, 09/21/2023      13.96  
Sprint LLC, 7.88%, 09/15/2023      3.49  
Oracle Corp., 2.40%, 09/15/2023      2.05  
Goldman Sachs Group, Inc. (The), 1.22%, 12/06/2023      1.57  
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.15%, 10/29/2023      1.51  
Schlumberger Investment S.A., 3.65%, 12/01/2023      1.32  
Bristol-Myers Squibb Co., 0.54%, 11/13/2023      1.28  
Gilead Sciences, Inc., 0.75%, 09/29/2023      1.25  
Microsoft Corp., 3.63%, 12/15/2023      1.23  
Total      49.66  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index   Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2023 Index     4.21     1.17     3.54     3.52     18.86       3.47     35.72
Bloomberg U.S. Corporate Index     0.90       (4.17     (11.98     1.41       7.24         2.09       20.37  
Fund                
NAV Return     4.04       1.05       3.19       3.36       17.97         3.34       34.15  
Market Price Return     4.09       1.02       3.10       3.32       17.73         3.32       33.94  

 

 

  5  

 


 

Invesco BulletShares 2023 Corporate Bond ETF (BSCN) (continued)

 

Guggenheim BulletShares 2023 Corporate Bond ETF (the “Predecessor Fund”) Inception: September 17, 2014

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Predecessor Fund.

 

-

Effective after the close of business on April 6, 2018, the Predecessor Fund was reorganized into the Fund. Fund returns shown are blended returns of the Predecessor Fund and the Fund.

 

 

  6  

 


 

 

BSCO    Management’s Discussion of Fund Performance
   Invesco BulletShares 2024 Corporate Bond ETF (BSCO)

 

As an index fund, the Invesco BulletShares 2024 Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD Corporate Bond 2024 Index (the “2024 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The 2024 Index seeks to measure the performance of a portfolio of U.S. dollar- denominated investment grade corporate bonds with maturities or, in some cases, “effective maturities” in the year 2024. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2024. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index rebalances only through June. In the last six months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 2.81%. On a net asset value (“NAV”) basis, the Fund returned 2.67%. During the same time period, the Index returned 2.77%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned 0.90%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 7,300 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure

for investors as a representation of fixed-rate investment-grade taxable debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the consumer finance industry and most underweight in the electric utilities industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the banks industry contributed most significantly to the Fund’s return, followed by the consumer finance industry. There were no industries that detracted from the Fund’s return during the period.

Positions that contributed the most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 1.65% coupon, due 10/29/2024, a financial services company (portfolio average weight of 0.95%), and Sprint LLC, 7.13% coupon, due 6/15/2024, a wireless telecommunication services company (portfolio average weight of 0.79%). No positions detracted from the Fund’s return during the period.

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Financials      35.91  
Health Care      10.61  
Information Technology      9.55  
Industrials      8.22  
Consumer Discretionary      8.13  
Energy      7.61  
Consumer Staples      6.69  
Communication Services      4.47  
Utilities      4.16  
Sector Types Each Less Than 3%      3.31  
Money Market Funds Plus Other Assets Less Liabilities      1.34  

 

 

  7  

 


 

Invesco BulletShares 2024 Corporate Bond ETF (BSCO) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
AbbVie, Inc., 2.60%, 11/21/2024      1.11  
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/2024      0.95  
Goldman Sachs Group, Inc. (The), 4.00%, 03/03/2024      0.91  
Morgan Stanley, Series F, 3.88%, 04/29/2024      0.91  
Bank of America Corp., 4.20%, 08/26/2024      0.90  
Boeing Co. (The), 1.43%, 02/04/2024      0.90  
Morgan Stanley, 3.70%, 10/23/2024      0.90  
JPMorgan Chase & Co., 3.88%, 09/10/2024      0.90  
Credit Suisse AG, 3.63%, 09/09/2024      0.84  
Sprint LLC, 7.13%, 06/15/2024      0.77  
Total      9.09  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index   Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2024 Index     2.77     (0.13 )%      (0.38 )%      3.27     17.45       3.41     35.02
Bloomberg U.S. Corporate Index     0.90       (4.17     (11.98     1.41       7.24         2.09       20.37  
Fund                
NAV Return     2.67       (0.22     (0.67     3.12       16.63         3.22       32.86  
Market Price Return     2.81       (0.24     (0.71     3.09       16.45         3.22       32.86  

 

 

  8  

 


 

Invesco BulletShares 2024 Corporate Bond ETF (BSCO) (continued)

 

Guggenheim BulletShares 2024 Corporate Bond ETF (the “Predecessor Fund”) Inception: September 17, 2014

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Predecessor Fund.

 

-

Effective after the close of business on April 6, 2018, the Predecessor Fund was reorganized into the Fund. Fund returns shown are blended returns of the Predecessor Fund and the Fund.

 

 

  9  

 


 

 

BSCP    Management’s Discussion of Fund Performance
   Invesco BulletShares 2025 Corporate Bond ETF (BSCP)

 

As an index fund, the Invesco BulletShares 2025 Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD Corporate Bond 2025 Index (the “2025 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The 2025 Index seeks to measure the performance of a portfolio of U.S. dollar- denominated investment grade corporate bonds with maturities or, in some cases, “effective maturities” in the year 2025. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2025. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index rebalances only through June. In the last six months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 2.19%. On a net asset value (“NAV”) basis, the Fund returned 1.99%. During the same time period, the Index returned 2.10%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned 0.90%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 7,300 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure

for investors as a representation of fixed-rate investment-grade taxable debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the consumer finance industry and most underweight in the electric utilities industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the banks industry contributed most significantly to the Fund’s return, followed by the consumer finance industry. There were no industries that detracted from the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Charter Communications Operating LLC, 4.91% coupon, due 7/23/2025, a media company (portfolio average weight of 1.01%), and Banco Santander S.A., 5.15% coupon, due 8/18/2025, a banks company (portfolio average weight of 0.39%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included QVC Inc., 4.45% coupon, due 2/15/2025, a broadline retail company (no longer held at fiscal year-end), and Valero Energy Corp., 2.85% coupon, due 4/15/2025, an oil, gas & consumable fuels company (no longer held at fiscal year-end).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Financials      34.10  
Health Care      11.39  
Industrials      8.99  
Consumer Discretionary      8.90  
Information Technology      8.67  
Energy      8.08  
Consumer Staples      5.48  
Communication Services      4.79  
Utilities      4.05  
Real Estate      3.00  
Materials      1.59  
Money Market Funds Plus Other Assets Less Liabilities      0.96  

 

 

  10  

 


 

Invesco BulletShares 2025 Corporate Bond ETF (BSCP) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.91%, 07/23/2025      1.01  
Visa, Inc., 3.15%, 12/14/2025      0.88  
AbbVie, Inc., 3.60%, 05/14/2025      0.83  
Boeing Co. (The), 4.88%, 05/01/2025      0.79  
Goldman Sachs Group, Inc. (The), 3.50%, 04/01/2025      0.77  
Oracle Corp., 2.50%, 04/01/2025      0.76  
Microsoft Corp., 3.13%, 11/03/2025      0.66  
Morgan Stanley, 4.00%, 07/23/2025      0.66  
CVS Health Corp., 3.88%, 07/20/2025      0.63  
Exxon Mobil Corp., 2.99%, 03/19/2025      0.61  
Total      7.60  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index   Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2025 Index     2.10     (1.11 )%      (3.31 )%      3.09     16.41       3.13     27.53
Bloomberg U.S. Corporate Index     0.90       (4.17     (11.98     1.41       7.24         2.07       17.56  
Fund                
NAV Return     1.99       (1.21     (3.58     2.98       15.84         2.93       25.60  
Market Price Return     2.19       (1.21     (3.58     2.92       15.48         2.93       25.62  

 

 

  11  

 


 

Invesco BulletShares 2025 Corporate Bond ETF (BSCP) (continued)

 

Guggenheim BulletShares 2025 Corporate Bond ETF (the “Predecessor Fund”) Inception: October 7, 2015

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Predecessor Fund.

 

-

Effective after the close of business on April 6, 2018, the Predecessor Fund was reorganized into the Fund. Fund returns shown are blended returns of the Predecessor Fund and the Fund.

 

 

  12  

 


 

 

BSCQ    Management’s Discussion of Fund Performance
   Invesco BulletShares 2026 Corporate Bond ETF (BSCQ)

 

As an index fund, the Invesco BulletShares 2026 Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD Corporate Bond 2026 Index (the “2026 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The 2026 Index seeks to measure the performance of a portfolio of U.S. dollar-denominated investment grade corporate bonds with maturities or, in some cases, “effective maturities” in the year 2026. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2026. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index rebalances only through June. In the last six months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 1.95%. On a net asset value (“NAV”) basis, the Fund returned 1.64%. During the same time period, the Index returned 1.80%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned 0.90%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 7,300 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure

for investors as a representation of fixed-rate investment-grade taxable debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the consumer finance industry and most underweight in the electric utilities industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the banks industry contributed most significantly to the Fund’s return. The textiles, apparel & luxury goods industry detracted most significantly from the Fund’s return.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Boeing Co. (The), 2.20% coupon, due 2/4/2026, an aerospace & defense company (portfolio average weight of 1.22%), and Aercap Ireland Capital DAC / Aercap Global Aviation Trust, 2.45% coupon, due 10/29/2026, a financial services company (portfolio average weight of 0.82%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included SVB Financial Group, 10/28/26, a banks company (no longer held at fiscal year-end), and MPT Operating Partnership LP, 5.25% coupon, due 08/01/2026, a diversified REITs company (no longer held at fiscal year-end).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Financials      33.32  
Health Care      10.18  
Information Technology      9.97  
Industrials      8.07  
Consumer Discretionary      7.51  
Energy      6.93  
Consumer Staples      6.46  
Communication Services      6.08  
Utilities      4.65  
Real Estate      4.55  
Materials      1.38  
Money Market Funds Plus Other Assets Less Liabilities      0.90  

 

 

  13  

 


 

Invesco BulletShares 2026 Corporate Bond ETF (BSCQ) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Boeing Co. (The), 2.20%, 02/04/2026      1.22  
Dell International LLC/EMC Corp., 6.02%, 06/15/2026      1.09  
Microsoft Corp., 2.40%, 08/08/2026      0.92  
AbbVie, Inc., 2.95%, 11/21/2026      0.89  
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026      0.81  
Wells Fargo & Co., 3.00%, 04/22/2026      0.81  
Wells Fargo & Co., 3.00%, 10/23/2026      0.77  
Apple, Inc., 3.25%, 02/23/2026      0.74  
Morgan Stanley, 3.88%, 01/27/2026      0.71  
HSBC Holdings PLC, 4.30%, 03/08/2026      0.71  
Total      8.67  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index   Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2026 Index     1.80     (2.00 )%      (5.89 )%      3.01     15.98       2.20     16.36
Bloomberg U.S. Corporate Index     0.90       (4.17     (11.98     1.41       7.24         1.35       9.77  
Fund                
NAV Return     1.64       (2.12     (6.22     2.89       15.33         2.12       15.70  
Market Price Return     1.95       (2.15     (6.31     2.87       15.18         2.12       15.72  

 

 

  14  

 


 

Invesco BulletShares 2026 Corporate Bond ETF (BSCQ) (continued)

 

Guggenheim BulletShares 2026 Corporate Bond ETF (the “Predecessor Fund”) Inception: September 14, 2016

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Predecessor Fund.

 

-

Effective after the close of business on April 6, 2018, the Predecessor Fund was reorganized into the Fund. Fund returns shown are blended returns of the Predecessor Fund and the Fund.

 

 

  15  

 


 

 

BSCR

   Management’s Discussion of Fund Performance
   Invesco BulletShares 2027 Corporate Bond ETF (BSCR)

 

As an index fund, the Invesco BulletShares 2027 Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD Corporate Bond 2027 Index (the “2027 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The 2027 Index seeks to measure the performance of a portfolio of U.S. dollar- denominated investment grade corporate bonds with maturities or, in some cases, “effective maturities” in the year 2027. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2027. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index rebalances only through June. In the last six months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 2.01%. On a net asset value (“NAV”) basis, the Fund returned 1.53%. During the same time period, the Index returned 1.58%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned 0.90%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 7,300 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure

for investors as a representation of fixed-rate investment-grade taxable debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the consumer finance industry and most underweight in the banks industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the banks industry contributed most significantly to the Fund’s return, followed by the capital markets industry. There were no industries that detracted from the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Banco Santander S.A., 5.29% coupon, due 8/18/2027, a banks company (portfolio average weight of 0.48%), and Celanese US Holdings LLC, 6.17% coupon, due 7/15/2027, a chemicals company (portfolio average weight of 0.56%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included MPT Operating Partnership LP, 5.00% coupon, due 10/15/2027, a diversified REITs company (no longer held at fiscal year-end), and KeyBank N.A., 5.85% coupon, due 11/15/2027, a banks company (portfolio average weight of 0.28%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Financials      27.39  
Health Care      10.61  
Information Technology      10.57  
Consumer Discretionary      9.31  
Consumer Staples      8.07  
Industrials      7.95  
Communication Services      6.72  
Energy      6.62  
Utilities      5.71  
Real Estate      3.29  
Materials      2.75  
Money Market Funds Plus Other Assets Less Liabilities      1.01  

 

 

  16  

 


 

Invesco BulletShares 2027 Corporate Bond ETF (BSCR) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Microsoft Corp., 3.30%, 02/06/2027      1.06  
Warnermedia Holdings, Inc., 3.76%, 03/15/2027      1.03  
Citigroup, Inc., 4.45%, 09/29/2027      1.02  
Amazon.com, Inc., 3.15%, 08/22/2027      0.91  
Verizon Communications, Inc., 4.13%, 03/16/2027      0.86  
Goldman Sachs Group, Inc. (The), 3.85%, 01/26/2027      0.79  
Morgan Stanley, 3.63%, 01/20/2027      0.79  
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/2027      0.76  
Oracle Corp., 3.25%, 11/15/2027      0.71  
Meta Platforms, Inc., 3.50%, 08/15/2027      0.71  
Total      8.64  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index   Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2027 Index     1.58     (2.26 )%      (6.63 )%      2.91     15.42       2.24     14.02
Bloomberg U.S. Corporate Index     0.90       (4.17     (11.98     1.41       7.24         1.08       6.58  
Fund                
NAV Return     1.53       (2.33     (6.84     2.81       14.85         2.08       12.97  
Market Price Return     2.01       (2.33     (6.83     2.78       14.70         2.08       13.00  

 

 

 

  17  

 


 

Invesco BulletShares 2027 Corporate Bond ETF (BSCR) (continued)

 

Guggenheim BulletShares 2027 Corporate Bond ETF (the “Predecessor Fund”) Inception: September 27, 2017

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Predecessor Fund.

 

-

Effective after the close of business on April 6, 2018, the Predecessor Fund was reorganized into the Fund. Fund returns shown are blended returns of the Predecessor Fund and the Fund.

 

 

  18  

 


 

 

BSCS    Management’s Discussion of Fund Performance
   Invesco BulletShares 2028 Corporate Bond ETF (BSCS)

 

As an index fund, the Invesco BulletShares 2028 Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD Corporate Bond 2028 Index (the “2028 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The 2028 Index seeks to measure the performance of a portfolio of U.S. dollar- denominated investment grade corporate bonds with maturities or, in some cases, “effective maturities” in the year 2028. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2028. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index rebalances only through June. In the last six months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 2.38%. On a net asset value (“NAV”) basis, the Fund returned 1.97%. During the same time period, the Index returned 2.11%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses incurred by the Fund during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned 0.90%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 7,300 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure

for investors as a representation of fixed-rate investment-grade taxable debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the consumer finance industry and most underweight in the banks industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the health care providers & services industry contributed most significantly to the Fund’s return, followed by the consumer finance industry. The biotechnology industry detracted most significantly from the Fund’s return, followed by the broadline retail industry.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Aercap Ireland Capital DAC/Aercap Global Aviation Trust, 3.00% coupon, due 10/29/2028, a financial services company (portfolio average weight of 1.16%), and Netflix, Inc., 5.88% coupon, due 11/15/2028, an entertainment company (portfolio average weight of 0.69%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included KeyCorp, 4.10% coupon, due 4/30/2028, a banks company (portfolio average weight of 0.24%), and Amgen, Inc., 5.15% coupon, due 3/2/2028, a biotechnology company (portfolio average weight of 1.35%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Financials      20.87  
Health Care      14.01  
Industrials      9.58  
Information Technology      9.49  
Utilities      9.08  
Consumer Staples      8.52  
Communication Services      7.95  
Consumer Discretionary      6.03  
Energy      6.01  
Real Estate      5.96  
Materials      1.37  
Money Market Funds Plus Other Assets Less Liabilities      1.13  

 

 

  19  

 


 

Invesco BulletShares 2028 Corporate Bond ETF (BSCS) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)

as of August 31, 2023

 
Security   
CVS Health Corp., 4.30%, 03/25/2028      1.69  
Amgen, Inc., 5.15%, 03/02/2028      1.32  
Cigna Group (The), 4.38%, 10/15/2028      1.29  
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, 10/29/2028      1.14  
RTX Corp., 4.13%, 11/16/2028      1.01  
Credit Suisse AG, 7.50%, 02/15/2028      0.95  
Sprint Capital Corp., 6.88%, 11/15/2028      0.92  
Verizon Communications, Inc., 2.10%, 03/22/2028      0.87  
Anheuser-Busch InBev Worldwide, Inc., 4.00%, 04/13/2028      0.85  
Apple, Inc., 1.20%, 02/08/2028      0.76  
Total      10.8  

 

*

Excluding money market fund holdings. 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index   Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2028 Index     2.11     (2.68 )%      (7.81 )%      2.78     14.71       2.83     15.17
Bloomberg U.S. Corporate Index     0.90       (4.17     (11.98     1.41       7.24         1.47       7.65  
Fund                
NAV Return     1.97       (2.80     (8.17     2.61       13.73         2.65       14.14  
Market Price Return     2.38       (2.79     (8.12     2.59       13.65         2.62       14.00  

 

 

 

  20  

 


 

Invesco BulletShares 2028 Corporate Bond ETF (BSCS) (continued)

 

Fund Inception: August 9, 2018

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  21  

 


 

 

BSCT    Management’s Discussion of Fund Performance
   Invesco BulletShares 2029 Corporate Bond ETF (BSCT)

 

As an index fund, the Invesco BulletShares 2029 Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD Corporate Bond 2029 Index (the “2029 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The 2029 Index seeks to measure the performance of a portfolio of U.S. dollar- denominated investment grade corporate bonds with maturities or, in some cases, “effective maturities” in the year 2029. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2029. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index rebalances only through June. In the last six months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 2.29%. On a net asset value (“NAV”) basis, the Fund returned 1.79%. During the same time period, the Index returned 1.93%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned 0.90%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 7,300 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure

for investors as a representation of fixed-rate investment-grade taxable debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the health care providers & services industry and most underweight in the banks industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the oil, gas & consumable fuels industry contributed most significantly to the Fund’s return, followed by the health care providers & services industry. The real estate management & development industry detracted most significantly from the Fund’s return, followed by the personal care products industry.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Cheniere Energy Partners LP, 4.50% coupon, due 10/1/2029, an oil, gas & consumable fuels company (portfolio average weight of 0.70%), and Centene Corp., 4.63% coupon, due 12/15/2029, a health care providers & services company (portfolio average weight of 1.50%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included Hudson Pacific Properties LP, 4.65% coupon, due 4/1/2029, a diversified REIT company (portfolio average weight of 0.19%), and KeyCorp, 2.55% coupon, due 10/1/2029, a banks company (portfolio average weight of 0.30%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Financials      17.83  
Health Care      13.48  
Information Technology      9.82  
Communication Services      9.46  
Consumer Staples      9.30  
Energy      8.16  
Consumer Discretionary      7.85  
Industrials      7.25  
Real Estate      6.48  
Utilities      5.38  
Materials      3.76  
Money Market Funds Plus Other Assets Less Liabilities      1.23  

 

 

  22  

 


 

Invesco BulletShares 2029 Corporate Bond ETF (BSCT) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
AbbVie, Inc., 3.20%, 11/21/2029      2.43  
Anheuser-Busch InBev Worldwide, Inc., 4.75%, 01/23/2029      2.08  
Verizon Communications, Inc., 4.02%, 12/03/2029      1.82  
Centene Corp., 4.63%, 12/15/2029      1.49  
International Business Machines Corp., 3.50%, 05/15/2029      1.49  
AT&T, Inc., 4.35%, 03/01/2029      1.41  
Fiserv, Inc., 3.50%, 07/01/2029      1.36  
Wells Fargo & Co., 4.15%, 01/24/2029      1.17  
Sumitomo Mitsui Financial Group, Inc., 3.04%, 07/16/2029      1.08  
T-Mobile USA, Inc., 3.38%, 04/15/2029      1.04  
Total      15.37  

 

*

Excluding money market fund holdings. 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2029 Index     1.93     (3.37 )%      (9.78 )%        0.07     0.28
Bloomberg U.S. Corporate Index     0.90       (4.17     (11.98       (0.94     (3.68
Fund            
NAV Return     1.79       (3.49     (10.11       (0.07     (0.26
Market Price Return     2.29       (3.47     (10.06       (0.17     (0.67

 

 

 

  23  

 


 

Invesco BulletShares 2029 Corporate Bond ETF (BSCT) (continued)

 

Fund Inception: September 12, 2019

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See

invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  24  

 


 

 

BSCU    Management’s Discussion of Fund Performance
   Invesco BulletShares 2030 Corporate Bond ETF (BSCU)

 

As an index fund, the Invesco BulletShares 2030 Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD Corporate Bond 2030 Index (the “2030 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The 2030 Index seeks to measure the performance of a portfolio of U.S. dollar- denominated investment grade corporate bonds with maturities or, in some cases, “effective maturities” in the year 2030. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2030. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index rebalances only through June. In the last six months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 1.82%. On a net asset value (“NAV”) basis, the Fund returned 1.27%. During the same time period, the Index returned 1.35%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned 0.90%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 7,300 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure

for investors as a representation of fixed-rate investment-grade taxable debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the pharmaceuticals industry and most underweight in the aerospace & defense industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the aerospace & defense industry.

For the fiscal year ended August 31, 2023, the aerospace & defense industries contributed most significantly to the Fund’s return, followed by the oil, gas & consumable fuels industry. The banks industry detracted most significantly from the Fund’s return, followed by the pharmaceuticals industry.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Boeing Co., 5.15% coupon, due 5/1/2030, an aerospace & defense company (portfolio average weight of 2.29%), and Pacific Gas and Electric, Co., 4.55% coupon, due 7/1/2030, an electric utilities company (portfolio average weight of 0.30%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included SVB Financial Group, due 6/5/2030, a banks company (no longer held at fiscal year-end), and Amgen, Inc., 5.25% coupon, due 3/2/2030, a biotechnology company (portfolio average weight of 1.46%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Health Care      19.09  
Financials      15.72  
Energy      10.55  
Consumer Staples      9.16  
Industrials      9.13  
Consumer Discretionary      8.88  
Utilities      7.61  
Information Technology      7.10  
Materials      4.71  
Real Estate      3.92  
Communication Services      3.22  
Money Market Funds Plus Other Assets Less Liabilities      0.91  

 

 

 

  25  

 


 

Invesco BulletShares 2030 Corporate Bond ETF (BSCU) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Boeing Co. (The), 5.15%, 05/01/2030      2.27  
Pacific Gas and Electric Co., 4.55%, 07/01/2030      1.45  
Amgen, Inc., 5.25%, 03/02/2030      1.43  
Philip Morris International, Inc., 5.13%, 02/15/2030      1.13  
Takeda Pharmaceutical Co. Ltd., 2.05%, 03/31/2030      1.06  
Centene Corp., 3.00%, 10/15/2030      0.95  
Alphabet, Inc., 1.10%, 08/15/2030      0.94  
Exxon Mobil Corp., 2.61%, 10/15/2030      0.90  
Centene Corp., 3.38%, 02/15/2030      0.87  
NextEra Energy Capital Holdings, Inc., 2.25%, 06/01/2030      0.86  
Total      11.86  

 

*

Excluding money market fund holdings. 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year           Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2030 Index     1.35       (4.61 )%      (13.01 )% 
Bloomberg U.S. Corporate Index     0.90         (4.35     (12.32
Fund        
NAV Return     1.27         (4.64     (13.11
Market Price Return     1.82         (4.70     (13.26

 

 

 

  26  

 


 

Invesco BulletShares 2030 Corporate Bond ETF (BSCU) (continued)

 

Fund Inception: September 16, 2020

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  27  

 


 

 

BSCV    Management’s Discussion of Fund Performance
   Invesco BulletShares 2031 Corporate Bond ETF (BSCV)

 

As an index fund, the Invesco BulletShares 2031 Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD Corporate Bond 2031 Index (the “2031 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The 2031 Index seeks to measure the performance of a portfolio of U.S. dollar- denominated investment grade corporate bonds with maturities or, in some cases, “effective maturities” in the year 2031. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2031. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index rebalances only through June. In the last six months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 1.10%. On a net asset value (“NAV”) basis, the Fund returned 0.73%. During the same time period, the Index returned 0.83%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned 0.90%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 7,300 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure

for investors as a representation of fixed-rate investment-grade taxable debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the diversified telecommunication services industry and most underweight in the banks industry during the fiscal year ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the diversified REITs industry.

For the fiscal year ended August 31, 2023, the oil, gas & consumable fuels industry contributed most significantly to the Fund’s return followed by the software industry. The diversified REITs industry detracted most significantly from the Fund’s return, followed by the pharmaceuticals industry.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Oracle Corp., 2.88% coupon, due 3/25/2031, a software company (portfolio average weight of 1.53%), and Kyndryl Holdings Inc., 3.15% coupon, due 10/15/2031, an IT services company (portfolio average weight of 0.28%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included Amazon.com, Inc., 2.10% coupon, due 5/12/2031, a broadline retail company (portfolio average weight of 1.38%), and Merck & Co., Inc., 2.15% coupon, due 12/10/2031, a pharmaceuticals company (portfolio average weight of 2.15%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Financials      12.48  
Communication Services      12.24  
Health Care      11.20  
Information Technology      11.16  
Real Estate      9.76  
Utilities      8.61  
Consumer Staples      8.38  
Industrials      8.36  
Consumer Discretionary      7.79  
Energy      7.51  
Materials      1.58  
Money Market Funds Plus Other Assets Less Liabilities      0.93  

 

 

  28  

 


 

Invesco BulletShares 2031 Corporate Bond ETF (BSCV) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Verizon Communications, Inc., 2.55%, 03/21/2031      1.85  
Orange S.A., 9.00%, 03/01/2031      1.64  
Oracle Corp., 2.88%, 03/25/2031      1.51  
Amazon.com, Inc., 2.10%, 05/12/2031      1.36  
AT&T, Inc., 2.75%, 06/01/2031      1.36  
Apple, Inc., 1.65%, 02/08/2031      1.24  
T-Mobile USA, Inc., 3.50%, 04/15/2031      1.18  
Walt Disney Co. (The), 2.65%, 01/13/2031      1.17  
Ally Financial, Inc., 8.00%, 11/01/2031      1.12  
Mercedes-Benz Finance North America LLC, 8.50%, 01/18/2031      1.01  
Total      13.44  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year           Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2031 Index     0.83       (8.21 )%      (15.45 )% 
Bloomberg U.S. Corporate Index     0.90         (7.73     (14.57
Fund        
NAV Return     0.73         (8.32     (15.64
Market Price Return     1.10         (8.34     (15.68

 

 

 

  29  

 


 

Invesco BulletShares 2031 Corporate Bond ETF (BSCV) (continued)

 

Fund Inception: September 15, 2021

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  30  

 


 

 

BSCW    Management’s Discussion of Fund Performance
   Invesco BulletShares 2032 Corporate Bond ETF (BSCW)

 

As an index fund, the Invesco BulletShares 2032 Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD Corporate Bond 2032 Index (the “2032 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The 2032 Index seeks to measure the performance of a portfolio of U.S. dollar- denominated investment grade corporate bonds with maturities or, in some cases, “effective maturities” in the year 2032.

The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2032. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index rebalances only through June. In the last six months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

During the fiscal period from the Fund’s inception (September 8, 2022, the first day of trading on the exchange) through August 31, 2023, on a market price basis, the Fund returned 3.43%. On a net asset value (“NAV”) basis, the Fund returned 3.40%. During the same time period, the Index returned 2.20%. During the fiscal period, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to the positive effects of the sampling approach employed by the portfolio management team, which were partially offset by the fees and operating expenses incurred by the Fund and costs associated with portfolio rebalancing during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned 1.98%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 7,300 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a representation of fixed-rate investment-grade taxable debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the diversified telecommunication services industry and most underweight in the banks industry during the fiscal period ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the oil, gas & consumable fuels industry.

For the fiscal period ended August 31, 2023, the oil, gas & consumable fuels industry contributed most significantly to the Fund’s return, followed by the financial services industry. The pharmaceuticals industry detracted most significantly from the Fund’s return, followed by the electrical equipment industry.

Positions that contributed most significantly to the Fund’s return for the fiscal period ended August 31, 2023, included Sprint Capital Corp., 8.75% coupon, due 3/15/2032, a wireless telecommunications services company (portfolio average weight of 1.28%), and International Business Machines Co., 4.40% coupon, due 7/27/2032, an IT services company (portfolio average weight of 0.37%). Positions that detracted most significantly from the Fund’s return for the fiscal period ended August 31, 2023, included Keybank N.A., 4.90% coupon, due 8/8/2032, a banks company (portfolio average weight of 0.36%), and Citizens Financial Group, Inc., 2.64% coupon, due 9/30/2032, a banks company (portfolio average weight of 0.23%).

 

 

  31  

 


 

Invesco BulletShares 2032 Corporate Bond ETF (BSCW) (continued)

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Financials      17.07  
Communication Services      12.18  
Utilities      10.83  
Consumer Staples      10.18  
Information Technology      9.36  
Consumer Discretionary      8.77  
Industrials      7.23  
Health Care      7.21  
Real Estate      7.09  
Energy      5.55  
Materials      3.18  
Money Market Funds Plus Other Assets Less Liabilities      1.35  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Warnermedia Holdings, Inc., 4.28%, 03/15/2032      2.33  
Verizon Communications, Inc., 2.36%, 03/15/2032      1.94  
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 01/30/2032      1.74  
Meta Platforms, Inc., 3.85%, 08/15/2032      1.44  
Oracle Corp., 6.25%, 11/09/2032      1.24  
Sprint Capital Corp., 8.75%, 03/15/2032      1.23  
Amazon.com, Inc., 3.60%, 04/13/2032      1.22  
Amazon.com, Inc., 4.70%, 12/01/2032      1.18  
AT&T, Inc., 2.25%, 02/01/2032      1.03  
Toronto-Dominion Bank (The), 4.46%, 06/08/2032      0.98  
Total      14.33  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    Fund Inception  
Index   Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2032 Index     2.20
Bloomberg U.S. Corporate Index     1.98  
Fund  
NAV Return     3.40  
Market Price Return     3.43  

 

 

 

  32  

 


 

Invesco BulletShares 2032 Corporate Bond ETF (BSCW) (continued)

 

Fund Inception: September 8, 2022

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.10% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  33  

 


 

 

BSJN    Management’s Discussion of Fund Performance
   Invesco BulletShares 2023 High Yield Corporate Bond ETF (BSJN)

 

As an index fund, the Invesco BulletShares 2023 High Yield Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD High Yield Corporate Bond 2023 Index (the “High Yield 2023 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The High Yield 2023 Index seeks to measure the performance of a portfolio of U.S. dollar-denominated high yield corporate bonds (commonly known as “junk bonds”) with maturities or, in some cases, “effective maturities” in the year 2023. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2023. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 6.39%. On a net asset value (“NAV”) basis, the Fund returned 6.16%. During the same time period, the Index returned 6.62%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to costs associated with portfolio rebalancing, as well as fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate High Yield Index (the “Benchmark Index”) returned 7.16%. The Benchmark Index is an unmanaged index weighted by market

capitalization based on the average performance of approximately 2,100 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a representation of fixed-rate non-investment-grade debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the containers & packaging industry and most underweight in the hotels, restaurants & leisure industry during the fiscal year ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the IT services industry.

For the fiscal year ended August 31, 2023, the hotels, restaurants & leisure industry contributed most significantly to the Fund’s return, followed by the oil, gas & consumable fuels and consumer finance industries, respectively. The IT services industry detracted most significantly from the Fund’s return during the period, followed by the machinery and wireless telecommunication services industries, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Verscend Escrow Corp., 9.75% coupon, due 8/15/2026, a financial services company (portfolio average weight of 4.17%), and Dish DBS Corp., 5.00% coupon, due 3/15/2023, a media company (no longer held at fiscal year-end). Positions that detracted most significantly from the Fund’s return during the period included Sensata Technologies BV, 4.88% coupon, due 10/15/2023, an electrical equipment company (no longer held at fiscal year-end) and Sprint Corp., 7.88% coupon, due 9/15/2023, a wireless telecommunication services company (no longer held at fiscal year-end).

 

 

  34  

 


 

Invesco BulletShares 2023 High Yield Corporate Bond ETF (BSJN) (continued)

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
U.S. Treasury Securities      76.15  
Financials      7.24  
Consumer Discretionary      4.58  
Materials      3.77  
Sector Types Each Less Than 3%      5.90  
Money Market Funds Plus Other Assets Less Liabilities      2.36  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
U.S. Treasury Bills, 5.26%, 09/21/2023      41.93  
U.S. Treasury Bills, 5.30%-5.32%, 10/19/2023      34.22  
Verscend Escrow Corp., 9.75%, 08/15/2026      4.15  
Ball Corp., 4.00%, 11/15/2023      3.77  
Ford Motor Credit Co. LLC, 3.37%, 11/17/2023      2.40  
Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/2027      1.36  
Encompass Health Corp., 5.75%, 09/15/2025      1.30  
Yum! Brands, Inc., 3.88%, 11/01/2023      1.23  
Southwestern Energy Co., 8.38%, 09/15/2028      1.17  
Navient Corp., 7.25%, 09/25/2023      1.13  
Total      92.66  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2023 Index     6.62     3.21     9.93     3.55     19.03       5.08     47.94
Bloomberg US Corporate High Yield Index     7.16       1.81       5.53       3.32       17.74         4.91       46.01  
Fund                
NAV Return     6.16       2.41       7.39       2.60       13.69         4.17       38.03  
Market Price Return     6.39       2.45       7.53       2.56       13.48         4.17       38.09  

 

 

  35  

 


 

Invesco BulletShares 2023 High Yield Corporate Bond ETF (BSJN) (continued)

 

Guggenheim BulletShares 2023 High Yield Corporate Bond ETF (the “Predecessor Fund”) Inception: October 7, 2015

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.42% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Predecessor Fund.

 

-

Effective after the close of business on April 6, 2018, the Predecessor Fund was reorganized into the Fund. Fund returns shown are blended returns of the Predecessor Fund and the Fund.

 

 

  36  

 


 

 

BSJO    Management’s Discussion of Fund Performance
   Invesco BulletShares 2024 High Yield Corporate Bond ETF (BSJO)

 

As an index fund, the Invesco BulletShares 2024 High Yield Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD High Yield Corporate Bond 2024 Index (the “High Yield 2024 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The High Yield 2024 Index seeks to measure the performance of a portfolio of U.S. dollar-denominated high yield corporate bonds (commonly known as “junk bonds”) with maturities or, in some cases, “effective maturities” in the year 2024. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2024. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 8.13%. On a net asset value (“NAV”) basis, the Fund returned 7.70%. During the same time period, the Index returned 8.18%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to costs associated with portfolio rebalancing and sampling, as well as fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate High Yield Index (the “Benchmark Index”) returned 7.16%. The Benchmark Index is an unmanaged index weighted by market

capitalization based on the average performance of approximately 2,100 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a representation of fixed-rate non-investment-grade debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the consumer finance industry and most underweight in the health care providers & services industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the industrial conglomerates industry contributed most significantly to the Fund’s return, followed by the oil, gas & consumable fuels and consumer finance industries, respectively. The construction & engineering industry detracted most significantly from the Fund’s return.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Dish DBS Corp., 5.88% coupon, due 11/15/2024, a media company (portfolio average weight of 5.15%) and Intesa Sanpaolo SpA, 5.02% coupon, due 6/26/2024, a banks company (portfolio average weight of 4.88%). Positions that detracted most significantly from the Fund’s return during the period included Cheniere Energy Partners LP, 4.50% coupon, due 10/1/2029, an oil, gas & consumable fuels company (no longer held at fiscal year-end) and Cornerstone Chemical Co., 10.25% coupon, due 9/1/2027, a chemicals company (no longer held at fiscal year-end).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Consumer Discretionary      25.10  
Financials      19.07  
Industrials      16.71  
Communication Services      13.29  
Energy      11.96  
Health Care      3.04  
Sector Types Each Less Than 3%      5.61  
Money Market Funds Plus Other Assets Less Liabilities      5.22  

 

 

  37  

 


 

Invesco BulletShares 2024 High Yield Corporate Bond ETF (BSJO) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
DISH DBS Corp., 5.88%, 11/15/2024      5.09  
Intesa Sanpaolo S.p.A., 5.02%, 06/26/2024      4.88  
WESCO Distribution, Inc., 7.13%, 06/15/2025      4.86  
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 4.75%, 09/15/2024      3.51  
Uber Technologies, Inc., 7.50%, 05/15/2025      3.43  
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/2025      3.27  
Rakuten Group, Inc., 10.25%, 11/30/2024      3.17  
Navient Corp., 6.13%, 03/25/2024      2.78  
Goodyear Tire & Rubber Co. (The), 9.50%, 05/31/2025      2.71  
Ford Motor Credit Co. LLC, 4.06%, 11/01/2024      2.46  
Total      36.16  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2024 Index     8.18     2.93     9.05     3.65     19.61       4.26     33.72
Bloomberg US Corporate High Yield Index     7.16       1.81       5.53       3.32       17.74         4.18       32.95  
Fund                
NAV Return     7.70       2.25       6.90       3.09       16.46         3.54       27.37  
Market Price Return     8.13       2.29       7.02       3.07       16.34         3.55       27.52  

 

 

 

  38  

 


 

Invesco BulletShares 2024 High Yield Corporate Bond ETF (BSJO) (continued)

 

Guggenheim BulletShares 2024 High Yield Corporate Bond ETF (the “Predecessor Fund”) Inception: September 14, 2016

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.42% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Predecessor Fund.

 

-

Effective after the close of business on April 6, 2018, the Predecessor Fund was reorganized into the Fund. Fund returns shown are blended returns of the Predecessor Fund and the Fund.

 

 

  39  

 


 

 

BSJP    Management’s Discussion of Fund Performance
   Invesco BulletShares 2025 High Yield Corporate Bond ETF (BSJP)

 

As an index fund, the Invesco BulletShares 2025 High Yield Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD High Yield Corporate Bond 2025 Index (the “High Yield 2025 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The High Yield 2025 Index seeks to measure the performance of a portfolio of U.S. dollar-denominated high yield corporate bonds (commonly known as “junk bonds”) with maturities or, in some cases, “effective maturities” in the year 2025. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2025. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 8.41%. On a net asset value (“NAV”) basis, the Fund returned 7.79%. During the same time period, the Index returned 8.86%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period, as well as negative impacts from the Fund’s sampling methodology, and costs associated with portfolio rebalancing and trading.

During this same time period, the Bloomberg U.S. Corporate High Yield Index (the “Benchmark Index”) returned 7.16%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately

2,100 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a representation of fixed-rate non-investment-grade debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the hotels, restaurants & leisure industry and most underweight in the media industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the hotels, restaurants & leisure industry contributed most significantly to the Fund’s return, followed by the oil, gas & consumable fuels and the consumer finance industries, respectively. The health care providers & services industry detracted most significantly from the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included American Airlines Inc., 11.75% coupon, due 7/15/2025, a passenger airlines company (portfolio average weight of 3.10%), and Caesars Entertainment, Inc., 6.25% coupon, due 7/1/2025, a hotels, restaurants & leisure company (portfolio average weight of 4.18%). Positions that detracted most significantly from the Fund’s return during the period included RP Escrow Issuer LLC, 5.25% coupon, due 12/15/2025, a health care providers & services company (portfolio average weight of 0.74%), and Venator Finance Sarl/Venator Materials, 5.75% coupon, due 7/15/2025, a chemicals company (no longer held at fiscal year-end).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Consumer Discretionary      25.66  
Industrials      15.09  
Energy      11.30  
Financials      10.35  
Information Technology      7.37  
Materials      5.53  
Consumer Staples      5.34  
Health Care      5.18  
Communication Services      4.78  
Sector Types Each Less Than 3%      4.30  
Money Market Funds Plus Other Assets Less Liabilities      5.10  

 

 

  40  

 


 

Invesco BulletShares 2025 High Yield Corporate Bond ETF (BSJP) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Caesars Entertainment, Inc., 6.25%, 07/01/2025      4.13  
American Airlines, Inc., 11.75%, 07/15/2025      3.06  
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 03/01/2025      2.11  
Aramark Services, Inc., 6.38%, 05/01/2025      1.81  
Bausch Health Cos., Inc., 5.50%, 11/01/2025      1.81  
Univision Communications, Inc., 5.13%, 02/15/2025      1.76  
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/2025      1.73  
OneMain Finance Corp., 6.88%, 03/15/2025      1.49  
New Fortress Energy, Inc., 6.75%, 09/15/2025      1.45  
Spirit AeroSystems, Inc., 7.50%, 04/15/2025      1.43  
Total      20.78  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2025 Index     8.86     4.39     13.74     4.93     27.21       4.50     29.79
Bloomberg US Corporate High Yield Index     7.16       1.81       5.53       3.32       17.74         3.25       20.83  
Fund                
NAV Return     7.79       3.59       11.17       4.06       21.99         3.70       24.01  
Market Price Return     8.41       3.69       11.50       4.09       22.17         3.73       24.25  

 

 

  41  

 


 

Invesco BulletShares 2025 High Yield Corporate Bond ETF (BSJP) (continued)

 

Guggenheim BulletShares 2025 High Yield Corporate Bond ETF (the “Predecessor Fund”) Inception: September 27, 2017

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.42% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Predecessor Fund.

 

-

Effective after the close of business on May 18, 2018, the Predecessor Fund was reorganized into the Fund. Fund returns shown are blended returns of the Predecessor Fund and the Fund.

 

 

  42  

 


 

 

BSJQ    Management’s Discussion of Fund Performance
   Invesco BulletShares 2026 High Yield Corporate Bond ETF (BSJQ)

 

As an index fund, the Invesco BulletShares 2026 High Yield Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD High Yield Corporate Bond 2026 Index (the “High Yield 2026 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The High Yield 2026 Index seeks to measure the performance of a portfolio of U.S. dollar-denominated high yield corporate bonds (commonly known as “junk bonds”) with maturities or, in some cases, “effective maturities” in the year 2026. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2026. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 8.04%. On a net asset value (“NAV”) basis, the Fund returned 7.29%. During the same time period, the Index returned 7.83%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period, as well as costs associated with portfolio rebalancing, sampling, and trading.

During this same time period, the Bloomberg US Corporate High Yield Index (the “Benchmark Index”) returned 7.16%. The Benchmark Index is an unmanaged index weighted by market

capitalization based on the average performance of approximately 2,100 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a representation of fixed-rate non-investment-grade debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the oil, gas & consumable fuels industry and most underweight in the hotels, restaurants & leisure industry during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the oil, gas & consumable fuels industry.

For the fiscal year ended August 31, 2023, the oil, gas & consumable fuels industry contributed most significantly to the Fund’s return, followed by the hotels, restaurants & leisure and the gas utilities industries, respectively. The consumer staples distribution & retail industry detracted most significantly from the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Wolverine Escrow LLC, 9.00% coupon, due 11/15/2026, an aerospace & defense company (no longer held at fiscal year-end), and NGL Energy Operating LLC, 7.50% coupon, due 2/1/2026, an energy equipment & services company (portfolio average weight of 1.88%). Positions that detracted most significantly from the Fund’s return during the period included Cimpress NV, 7.00% coupon, due 6/15/2026, a commercial services & supplies company (no longer held at fiscal year-end), and Cumulus Media New Holdings Inc., 6.75% coupon, due 7/1/2026, an interactive media & services company (portfolio average weight of 0.24%).

 

 

  43  

 


 

Invesco BulletShares 2026 High Yield Corporate Bond ETF (BSJQ) (continued)

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Consumer Discretionary      20.20  
Energy      17.41  
Industrials      11.19  
Communication Services      10.73  
Financials      10.34  
Materials      9.40  
Health Care      4.67  
Information Technology      3.86  
Utilities      3.83  
Consumer Staples      3.15  
Real Estate      2.12  
Money Market Funds Plus Other Assets Less Liabilities      3.10  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Mauser Packaging Solutions Holding Co., 7.88%, 08/15/2026      2.48  
DISH DBS Corp., 5.25%, 12/01/2026      2.12  
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/2026      1.87  
Tenet Healthcare Corp., 4.88%, 01/01/2026      1.86  
Connect Finco S.a.r.l./Connect US Finco LLC, 6.75%, 10/01/2026      1.81  
Newell Brands, Inc., 4.70%, 04/01/2026      1.74  
United Airlines, Inc., 4.38%, 04/15/2026      1.73  
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/2026      1.69  
HUB International Ltd., 7.00%, 05/01/2026      1.53  
OneMain Finance Corp., 7.13%, 03/15/2026      1.44  
Total      18.27  

 

*

Excluding money market fund holdings. 

 

 

  44  

 


 

Invesco BulletShares 2026 High Yield Corporate Bond ETF (BSJQ) (continued)

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2026 Index     7.83     3.01     9.31     4.36     23.80       4.41     24.40
Bloomberg US Corporate High Yield Index     7.16       1.81       5.53       3.32       17.74         3.35       18.13  
Fund                
NAV Return     7.29       2.36       7.23       3.55       19.07         3.62       19.73  
Market Price Return     8.04       2.47       7.59       3.59       19.30         3.66       19.96  

 

Fund Inception: August 9, 2018

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.42% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  45  

 


 

 

BSJR    Management’s Discussion of Fund Performance
   Invesco BulletShares 2027 High Yield Corporate Bond ETF (BSJR)

 

As an index fund, the Invesco BulletShares 2027 High Yield Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD High Yield Corporate Bond 2027 Index (the “High Yield 2027 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The High Yield 2027 Index seeks to measure the performance of a portfolio of U.S. dollar-denominated high yield corporate bonds (commonly known as “junk bonds”) with maturities or, in some cases, “effective maturities” in the year 2027. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2027. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

During the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 7.78%. On a net asset value (“NAV”) basis, the Fund returned 6.95%. During the same time period, the Index returned 7.41%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to costs associated with portfolio rebalancing and sampling, as well as fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate High Yield Index (the “Benchmark Index”) returned 7.16%. The Benchmark Index is an unmanaged index weighted by market

capitalization based on the average performance of approximately 2,100 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a representation of fixed-rate non-investment-grade debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the media industry and most underweight in the oil, gas & consumable fuels industry during the fiscal year ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the diversified telecommunication services industry followed by the communications equipment industry.

For the fiscal year ended August 31, 2023, the hotels, restaurants & leisure industry contributed most significantly to the Fund’s return, followed by the media and oil, gas & consumable fuels industries, respectively. The diversified telecommunication services industry detracted most significantly from the Fund’s return during the period, followed by the communications equipment and IT services industries, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Carnival Corp., 5.75% coupon, due 3/1/2027, a hotels, restaurants & leisure company (portfolio average weight of 2.80%), and Dish Network Corp., 11.75% coupon, due 11/15/2027, a media company (portfolio average weight of 3.13%). Positions that detracted most significantly from the Fund’s return during this period included CommScope Technologies LLC, 5.00% coupon, due 3/15/2027, a communications equipment company (portfolio average weight of 0.35%), and Zayo Group Holdings, Inc., 4.00% coupon, due 3/1/2027, a diversified telecommunication services company (portfolio average weight of 0.94%).

 

 

  46  

 


 

Invesco BulletShares 2027 High Yield Corporate Bond ETF (BSJR) (continued)

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Consumer Discretionary      21.56  
Communication Services      18.27  
Industrials      11.11  
Energy      9.90  
Financials      8.54  
Materials      8.17  
Health Care      6.77  
Real Estate      4.34  
Information Technology      4.08  
Sector Types Each Less Than 3%      4.86  
Money Market Funds Plus Other Assets Less Liabilities      2.40  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
DISH Network Corp., 11.75%, 11/15/2027      3.02  
Carnival Corp., 5.75%, 03/01/2027      2.80  
CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 05/01/2027      2.60  
Community Health Systems, Inc., 5.63%, 03/15/2027      1.42  
Caesars Entertainment, Inc., 8.13%, 07/01/2027      1.40  
Ford Motor Credit Co. LLC, 7.35%, 11/04/2027      1.39  
Nexstar Media, Inc., 5.63%, 07/15/2027      1.37  
Tenet Healthcare Corp., 6.25%, 02/01/2027      1.26  
Altice France S.A., 8.13%, 02/01/2027      1.24  
Tenet Healthcare Corp., 5.13%, 11/01/2027      1.21  
Total      17.71  

 

*

Excluding money market fund holdings. 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2027 Index     7.41     1.42     4.31       2.72     11.24
Bloomberg US Corporate High Yield Index     7.16       1.81       5.53         2.41       9.93  
Fund            
NAV Return     6.95       0.65       1.95         1.57       6.35  
Market Price Return     7.78       0.80       2.43         1.57       6.36  

 

 

  47  

 


 

Invesco BulletShares 2027 High Yield Corporate Bond ETF (BSJR) (continued)

 

Fund Inception: September 12, 2019

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.42% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  48  

 


 

 

BSJS    Management’s Discussion of Fund Performance
   Invesco BulletShares 2028 High Yield Corporate Bond ETF (BSJS)

 

As an index fund, the Invesco BulletShares 2028 High Yield Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD High Yield Corporate Bond 2028 Index (the “High Yield 2028 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The High Yield 2028 Index seeks to measure the performance of a portfolio of U.S. dollar-denominated high yield corporate bonds (commonly known as “junk bonds”) with maturities or, in some cases, “effective maturities” in the year 2028. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2028. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

During the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 6.23%. On a net asset value (“NAV”) basis, the Fund returned 5.70%. During the same time period, the Index returned 5.75%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses incurred by the Fund during the period, which were partially offset by the positive effects of the sampling approach employed by the portfolio management team.

During this same time period, the Bloomberg U.S. Corporate High Yield Index (the “Benchmark Index”) returned 7.16%. The

Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 2,100 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a representation of fixed-rate non-investment-grade debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the diversified telecommunication services industry and most underweight in the hotels, restaurants & leisure industry during the fiscal year ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the communications equipment industry.

For the fiscal year ended August 31, 2023, the commercial services & supplies industry contributed most significantly to the Fund’s return, followed by the hotels, restaurants & leisure industry. The communications equipment industry detracted most significantly from the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included NFP Corp., 6.88% coupon, due 8/15/2028, a capital markets company (portfolio average weight of 1.09%), and Carnival Corp., 4.00% coupon, due 8/1/2028, a hotels, restaurants & leisure company (portfolio average weight of 1.28%). Positions that detracted most significantly from the Fund’s return during this period included Level 3 Financing Inc., 4.25% coupon, due 7/1/2028, a diversified telecommunication services company (portfolio average weight of 0.47%), and Cano Health LLC, 6.25% coupon, due 10/1/2028, a health care providers & services company (portfolio average weight of 0.06%).

 

 

  49  

 


 

Invesco BulletShares 2028 High Yield Corporate Bond ETF (BSJS) (continued)

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Industrials      16.60  
Communication Services      14.41  
Consumer Discretionary      13.76  
Materials      11.30  
Energy      8.40  
Health Care      8.11  
Financials      6.52  
Information Technology      5.65  
Real Estate      4.52  
Consumer Staples      4.35  
Utilities      3.71  
Money Market Funds Plus Other Assets Less Liabilities      2.67  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/2028      1.49  
Tenet Healthcare Corp., 6.13%, 10/01/2028      1.44  
CCO Holdings LLC/CCO Holdings Capital Corp., 5.00%, 02/01/2028      1.38  
Venture Global LNG, Inc., 8.13%, 06/01/2028      1.29  
Carnival Corp., 4.00%, 08/01/2028      1.28  
TransDigm, Inc., 6.75%, 08/15/2028      1.25  
DISH DBS Corp., 5.75%, 12/01/2028      1.16  
NFP Corp., 6.88%, 08/15/2028      1.08  
Sirius XM Radio, Inc., 4.00%, 07/15/2028      1.03  
Organon & Co./Organon Foreign Debt Co-Issuer B.V., 4.13%, 04/30/2028      1.01  
Total      12.41  

 

*

Excluding money market fund holdings. 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year           Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2028 Index     5.75       (0.06 )%      (0.16 )% 
Bloomberg US Corporate High Yield Index     7.16         1.87       5.64  
Fund        
NAV Return     5.70         (0.48     (1.41
Market Price Return     6.23         (0.39     (1.16

 

 

  50  

 


 

Invesco BulletShares 2028 High Yield Corporate Bond ETF (BSJS) (continued)

 

Fund Inception: September 16, 2020

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.42% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  51  

 


 

 

BSJT    Management’s Discussion of Fund Performance
   Invesco BulletShares 2029 High Yield Corporate Bond ETF (BSJT)

 

As an index fund, the Invesco BulletShares 2029 High Yield Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD High Yield Corporate Bond 2029 Index (the “High Yield 2029 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The High Yield 2029 Index seeks to measure the performance of a portfolio of U.S. dollar-denominated high yield corporate bonds (commonly known as “junk bonds”) with maturities or, in some cases, “effective maturities” in the year 2029. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2029. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

For the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 6.32%. On a net asset value (“NAV”) basis, the Fund returned 5.87%. During the same time period, the Index returned 6.38%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period, as well as costs associated with portfolio rebalancing, sampling, and trading.

During this same time period, the Bloomberg U.S. Corporate High Yield Index (the “Benchmark Index”) returned 7.16%. The Benchmark Index is an unmanaged index weighted by market

capitalization based on the average performance of approximately 2,100 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a representation of fixed-rate non-investment-grade debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the financial services industry and most underweight in the hotels, restaurants & leisure industry during the fiscal year ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the diversified telecommunication services industry.

For the fiscal year ended August 31, 2023, the hotels, restaurants & leisure industry contributed most significantly to the Fund’s return. The diversified telecommunication services industry detracted most significantly from the Fund’s return, followed by the entertainment industry.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Carnival Corp., 6.00% coupon, due 5/1/2029, a hotels, restaurants & leisure company (portfolio average weight of 1.00%), and Cloud Software Group, Inc., 6.50% coupon, due 3/31/2029, a software company (portfolio average weight of 1.99%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included AMC Entertainment Holdings, Inc., 7.50% coupon, due 2/15/2029, an entertainment company (portfolio average weight of 0.30%), and Level 3 Financing, Inc., 3.75% coupon, due 7/15/2029, a diversified telecommunication services company (portfolio average weight of 0.21%).

 

 

  52  

 


 

Invesco BulletShares 2029 High Yield Corporate Bond ETF (BSJT) (continued)

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Consumer Discretionary      17.65  
Industrials      13.46  
Communication Services      13.06  
Information Technology      10.19  
Health Care      8.51  
Energy      8.38  
Materials      8.15  
Financials      6.95  
Consumer Staples      4.70  
Real Estate      4.32  
Utilities      2.35  
Money Market Funds Plus Other Assets Less Liabilities      2.28  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Medline Borrower L.P., 3.88%, 04/01/2029      2.11  
Cloud Software Group, Inc., 6.50%, 03/31/2029      1.94  
Cloud Software Group, Inc., 9.00%, 09/30/2029      1.85  
Neptune Bidco US, Inc., 9.29%, 04/15/2029      1.29  
Medline Borrower L.P., 5.25%, 10/01/2029      1.18  
Carnival Corp., 6.00%, 05/01/2029      0.98  
Imola Merger Corp., 4.75%, 05/15/2029      0.95  
United Airlines, Inc., 4.63%, 04/15/2029      0.94  
Ford Motor Credit Co. LLC, 5.11%, 05/03/2029      0.91  
Virgin Media Secured Finance PLC, 5.50%, 05/15/2029      0.90  
Total      13.05  

 

*

Excluding money market fund holdings. 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year           Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2029 Index     6.38       (4.60 )%      (8.81 )% 
Bloomberg US Corporate High Yield Index     7.16         (2.39     (4.63
Fund        
NAV Return     5.87         (4.94     (9.44
Market Price Return     6.32         (4.96     (9.49

 

 

 

  53  

 


 

Invesco BulletShares 2029 High Yield Corporate Bond ETF (BSJT) (continued)

 

Fund Inception: September 15, 2021

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.42% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  54  

 


 

 

BSJU    Management’s Discussion of Fund Performance
   Invesco BulletShares 2030 High Yield Corporate Bond ETF (BSJU)

 

As an index fund, the Invesco BulletShares 2030 High Yield Corporate Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Nasdaq BulletShares® USD High Yield Corporate Bond 2030 Index (the “High Yield 2030 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The High Yield 2030 Index seeks to measure the performance of a portfolio of U.S. dollar-denominated high yield corporate bonds (commonly known as “junk bonds”) with maturities or, in some cases, “effective maturities” in the year 2030. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date.

The Fund will terminate on or about December 15, 2030. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature, the Fund’s portfolio will transition to cash and cash equivalents, including without limitation U.S. Treasury Bills and investment grade commercial paper.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

During the fiscal period from the Fund’s inception (September 8, 2022, the first day of trading on the exchange) through August 31, 2023, on a market price basis, the Fund returned 4.76%. On a net asset value (“NAV”) basis, the Fund returned 5.19%. During the same time period, the Index returned 5.62%. During the fiscal period, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period, as well as costs associated with portfolio rebalancing, sampling, and trading.

During this same time period, the Bloomberg U.S. Corporate High Yield Index (the “Benchmark Index”) returned 6.68%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 2,100 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a representation of fixed-rate non-investment-grade debt.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the oil, gas & consumable fuels industry and most underweight in the commercial services & supplies industry during the fiscal period ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the specialty retail industry.

For the fiscal period ended August 31, 2023, the oil, gas & consumable fuels industry contributed most significantly to the Fund’s return. The specialty retail industry detracted most significantly from the Fund’s return, followed by the health care equipment & supplies industry.

Positions that contributed most significantly to the Fund’s return for the fiscal period ended August 31, 2023, included Weatherford International Ltd., 8.63% coupon, due 4/30/2030, an energy equipment & services company (portfolio average weight of 1.78%), and Davita Inc., 4.63% coupon, due 6/1/2030, a health care providers & services company (portfolio average weight of 2.56%). Positions that detracted most significantly from the Fund’s return for the fiscal period ended August 31, 2023, included Gray Television Inc., 4.75% coupon, due 10/15/2030, a media company (portfolio average weight of 0.62%), and Sinclair Television Group Inc., 4.13% coupon, due 12/1/2030, a media company (portfolio average weight of 0.53%).

 

 

  55  

 


 

Invesco BulletShares 2030 High Yield Corporate Bond ETF (BSJU) (continued)

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Consumer Discretionary      17.81  
Energy      16.38  
Communication Services      14.35  
Health Care      12.69  
Information Technology      7.88  
Industrials      6.91  
Financials      6.10  
Materials      5.97  
Consumer Staples      4.19  
Real Estate      3.28  
Utilities      2.29  
Money Market Funds Plus Other Assets Less Liabilities      2.15  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Intelsat Jackson Holdings S.A., 6.50%, 03/15/2030      3.00  
1011778 BC ULC/New Red Finance, Inc., 4.00%, 10/15/2030      2.68  
DaVita, Inc., 4.63%, 06/01/2030      2.54  
Emerald Debt Merger Sub LLC, 6.63%, 12/15/2030      2.40  
Caesars Entertainment, Inc., 7.00%, 02/15/2030      2.20  
athenahealth Group, Inc., 6.50%, 02/15/2030      2.18  
McAfee Corp., 7.38%, 02/15/2030      1.95  
Weatherford International Ltd., 8.63%, 04/30/2030      1.74  
Chart Industries, Inc., 7.50%, 01/01/2030      1.66  
Ford Motor Credit Co. LLC, 7.35%, 03/06/2030      1.65  
Total      22.00  

 

*

Excluding money market fund holdings. 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    Fund Inception  
Index   Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2030 Index     5.62
Bloomberg US Corporate High Yield Index     6.68  
Fund  
NAV Return     5.19  
Market Price Return     4.76  

 

 

 

  56  

 


 

Invesco BulletShares 2030 High Yield Corporate Bond ETF (BSJU) (continued)

 

Fund Inception: September 8, 2022

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.42% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  57  

 


 

 

BSMN    Management’s Discussion of Fund Performance
   Invesco BulletShares 2023 Municipal Bond ETF (BSMN)

 

As an index fund, the Invesco BulletShares 2023 Municipal Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Invesco BulletShares® Municipal Bond 2023 Index (the “Municipal Bond 2023 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The Municipal Bond 2023 Index is designed to measure the performance of a portfolio of U.S. dollar-denominated investment- grade municipal bonds with maturities in the year 2023 or, in some cases, “effective maturities” in the year 2023. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date. The effective maturity of eligible pre-refunded municipal bonds with a known pre-refunding date shall be the year of the pre-refunded date.

The Fund will terminate on or about December 15, 2023. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature or are called, the proceeds are not reinvested. Instead, the Fund will invest such proceeds in any combination of variable rate demand obligations, certain derivatives (i.e., exchange-traded futures on fixed income securities, fixed income security indices, interest rates and currencies; exchange-traded and over-the-counter (“OTC”) options on fixed income securities, interest rates, currencies, interest rate futures contracts, and fixed income security indices; exchange-traded and OTC interest rate and inflation swaps; and OTC total return swaps and forwards on fixed income securities, fixed income security indices, and fixed income security futures), exchange-traded funds (“ETFs”), including affiliated ETFs, affiliated money market funds, cash or cash equivalents and investment-grade short-term commercial paper, as well as municipal bonds not included in the Index, but which the investment adviser believes will help the Fund track the Index.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

During the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 2.01%. On a net asset value (“NAV”) basis, the Fund returned 2.50%. During the same time period, the Index returned 2.48%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to the positive effects of the sampling approach employed by the portfolio management team, which were partially offset by the fees and operating expenses incurred by the Fund and costs associated with portfolio rebalancing during the period.

During this same time period, the Bloomberg Municipal Bond Index (the “Benchmark Index”) returned 1.70%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 55,600 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a broad representation of U.S. dollar-denominated bonds issued by U.S. states and territories.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the state of North Carolina and most underweight in the state of Texas during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the state of New York contributed most significantly to the Fund’s return. The state of Montana detracted most significantly from the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Hillsborough (County of) FL Industrial Development Authority, 4.00% coupon, due 10/1/2023 (portfolio average weight of 0.42%) and Chicago (City of), IL (O’Hare International Airport), 5.75% coupon, due 1/1/2043 (portfolio average weight of 2.69%). Positions that detracted most significantly from the Fund’s return during this period were Northwest Local School District, 4.00% coupon, due 12/1/2050 (portfolio average weight of 0.32%) and California (State of) Health Facilities Financing Authority, 4.00% coupon, due 3/1/2033 (portfolio average weight of 0.34%).

 

 

  58  

 


 

Invesco BulletShares 2023 Municipal Bond ETF (BSMN) (continued)

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Ad Valorem Property Tax      20.23  
Health, Hospital, Nursing Home Revenue      15.58  
Water Revenue      14.47  
Sewer Revenue      7.24  
Electric Power Revenue      5.30  
Income Tax Revenue      4.79  
Port, Airport & Marina Revenue      4.06  
Miscellaneous Revenue      4.01  
College & University Revenue      3.74  
Lease Revenue      3.44  
Revenue Types Each Less Than 3%      10.93  
Other Assets Less Liabilities      6.21  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
North Carolina (State of) Medical Care Commission (Novant Health Obligated Group), Series 2004 A, VRD RB, 3.45%, 11/01/2034      7.10  
Ohio (State of) Water Development Authority (Water Pollution Control Loan Fund), Series 2016 A, VRD RB, 3.28%, 12/01/2036      7.10  
Chelan County Public Utility District No. 1, Series 2008 B, Ref. VRD RB, 3.40%, 07/01/2032      7.10  
Bay Area Toll Authority (San Francisco Bay Area), Series 2019 C, Ref. VRD RB, 2.35%, 04/01/2053      4.26  
Allegheny (County of), PA Higher Education Building Authority (Carnegie Mellon University), Series 2008 A, Ref. VRD RB, 3.10%, 12/01/2037      3.55  
Clark (County of), NV Department of Aviation, Series 2008 D-2B, Ref. RB, 3.47%, 07/01/2040      3.55  
Los Angeles (City of), CA Department of Water & Power, Subseries 2001 B-5, Ref. VRD RB, 2.80%, 07/01/2034      3.55  
Wyoming (State of) Community Development Authority, Series 2023-2, Ref. VRD RB, 4.01%, 12/01/2050      3.55  
Colorado Springs (City of), CO, Series 2007 A, VRD RB, 4.03%, 11/01/2037      2.86  
Houston (City of), TX, Series 2012 B, Ref. RB, 4.08%, 05/15/2034      2.84  
Total      45.46  

 

 

  59  

 


 

Invesco BulletShares 2023 Municipal Bond ETF (BSMN) (continued)

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2023 Index     2.48     0.91     2.75       1.56     6.26
Bloomberg Municipal Bond Index     1.70       (1.32     (3.92       0.00       (0.01
Fund            
NAV Return     2.50       0.62       1.88         1.24       4.95  
Market Price Return     2.01       0.46       1.39         1.15       4.58  

 

Fund Inception: September 25, 2019

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.18% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  60  

 


 

 

BSMO    Management’s Discussion of Fund Performance
   Invesco BulletShares 2024 Municipal Bond ETF (BSMO)

 

As an index fund, the Invesco BulletShares 2024 Municipal Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Invesco BulletShares® Municipal Bond 2024 Index (the “Municipal Bond 2024 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The Municipal Bond 2024 Index is designed to measure the performance of a portfolio of U.S. dollar-denominated investment- grade municipal bonds with maturities in the year 2024 or, in some cases, “effective maturities” in the year 2024. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date. The effective maturity of eligible pre-refunded municipal bonds with a known pre-refunding date shall be the year of the pre-refunded date.

The Fund will terminate on or about December 15, 2024. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature or are called, the proceeds are not reinvested. Instead, the Fund will invest such proceeds in any combination of variable rate demand obligations, certain derivatives (i.e., exchange-traded futures on fixed income securities, fixed income security indices, interest rates and currencies; exchange-traded and over-the-counter (“OTC”) options on fixed income securities, interest rates, currencies, interest rate futures contracts, and fixed income security indices; exchange-traded and OTC interest rate and inflation swaps; and OTC total return swaps and forwards on fixed income securities, fixed income security indices, and fixed income security futures), exchange-traded funds (“ETFs”), including affiliated ETFs, affiliated money market funds, cash or cash equivalents and investment-grade short-term commercial paper, as well as municipal bonds not included in the Index, but which the investment adviser believes will help the Fund track the Index.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

During the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 1.58%. On a net asset value (“NAV”) basis, the Fund returned 1.76%. During the same time period, the Index returned 1.94%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to costs associated with rebalancing and sampling, as well as fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg Municipal Bond Index (the “Benchmark Index”) returned 1.70%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 55,600 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a broad representation of U.S. dollar-denominated bonds issued by U.S. states and territories.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the state of California and most underweight in the state of Virginia during the fiscal year ended August 31, 2023. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal year ended August 31, 2023, the state of New York contributed most significantly to the Fund’s return. The state of South Dakota detracted most significantly from the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Metropolitan Transportation Authority, 5.25% coupon, due 11/15/2044 (portfolio average weight of 0.70%) and New Jersey (State of) Transportation Trust Fund Authority, 5.00% coupon, due 6/15/2038 (portfolio average weight of 0.42%). Positions that detracted most significantly from the Fund’s return during this period were Pennsylvania Economic Development Financing Authority, 4.00% coupon, due 2/1/2040 (portfolio average weight of 0.48%) and Camino Real Regional Mobility Authority, 4.00% coupon, due 6/1/2044 (portfolio average weight of 0.09%).

 

 

  61  

 


 

Invesco BulletShares 2024 Municipal Bond ETF (BSMO) (continued)

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Ad Valorem Property Tax      22.91  
Miscellaneous Revenue      9.44  
Water Revenue      9.18  
Sales Tax Revenue      8.08  
Health, Hospital, Nursing Home Revenue      7.91  
General Fund      6.38  
Income Tax Revenue      5.59  
Highway Tolls Revenue      4.79  
Electric Power Revenue      3.95  
Port, Airport & Marina Revenue      3.69  
College & University Revenue      3.66  
Lease Revenue      3.40  
Appropriations      3.00  
Revenue Types Each Less Than 3%      6.38  
Other Assets Less Liabilities      1.64  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
California (State of) Department of Water Resources (Central Valley), Series 2014 AS, RB, 5.00%, 12/01/2024      1.05  
California (State of), Series 2019, Ref. GO Bonds, 5.00%, 04/01/2024      0.91  
Maryland (State of), Series 2017 B, Ref. GO Bonds, 5.00%, 08/01/2024      0.85  
California (State of), Series 2014, GO Bonds, 5.00%, 10/01/2039      0.83  
Orange (County of), CA Sanitation District, Series 2015 A, Ref. RB, 5.00%, 02/01/2030      0.78  
Illinois (State of) Finance Authority (The University of Chicago), Series 2014 A, Ref. RB, 5.00%, 10/01/2027      0.78  
New York (State of) Thruway Authority, Series 2014 J, RB, 5.00%, 01/01/2041      0.74  

Washington (State of),

Series 2017 D, Ref. GO Bonds, 5.00%, 08/01/2024

     0.73  

New York (City of), NY,

Series 2014 J, Ref. GO Bonds, 5.00%, 08/01/2030

     0.73  

New York (City of), NY Transitional Finance Authority,

Subseries 2014 B-1, RB, 5.00%, 11/01/2029

     0.71  
Total      8.11  

 

 

  62  

 


 

Invesco BulletShares 2024 Municipal Bond ETF (BSMO) (continued)

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2024 Index     1.94     0.26     0.78       1.17     4.68
Bloomberg Municipal Bond Index     1.70       (1.32     (3.92       0.00       (0.01
Fund            
NAV Return     1.76       0.01       0.03         0.84       3.34  
Market Price Return     1.58       (0.08     (0.24       0.87       3.46  

 

Fund Inception: September 25, 2019

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.18% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  63  

 


 

 

BSMP    Management’s Discussion of Fund Performance
   Invesco BulletShares 2025 Municipal Bond ETF (BSMP)

 

As an index fund, the Invesco BulletShares 2025 Municipal Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Invesco BulletShares® Municipal Bond 2025 Index (the “Municipal Bond 2025 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The Municipal Bond 2025 Index is designed to measure the performance of a portfolio of U.S. dollar-denominated investment- grade municipal bonds with maturities in the year 2025 or, in some cases, “effective maturities” in the year 2025. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date. The effective maturity of eligible pre-refunded municipal bonds with a known pre-refunding date shall be the year of the pre-refunded date.

The Fund will terminate on or about December 15, 2025. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature or are called, the proceeds are not reinvested. Instead, the Fund will invest such proceeds in any combination of variable rate demand obligations, certain derivatives (i.e., exchange-traded futures on fixed income securities, fixed income security indices, interest rates and currencies; exchange-traded and over-the-counter (“OTC”) options on fixed income securities, interest rates, currencies, interest rate futures contracts, and fixed income security indices; exchange-traded and OTC interest rate and inflation swaps; and OTC total return swaps and forwards on fixed income securities, fixed income security indices, and fixed income security futures), exchange-traded funds (“ETFs”), including affiliated ETFs, affiliated money market funds, cash or cash equivalents and investment-grade short-term commercial paper, as well as municipal bonds not included in the Index, but which the investment adviser believes will help the Fund track the Index.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

During the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 1.45%. On a net asset value (“NAV”) basis, the Fund returned 1.34%. During the same time period, the Index returned 1.48%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg Municipal Bond Index (the “Benchmark Index”) returned 1.70%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 55,600 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a broad representation of U.S. dollar-denominated bonds issued by U.S. states and territories.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the state of Washington and most underweight in the state of Colorado during the fiscal year ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the state of Kentucky.

For the fiscal year ended August 31, 2023, the state of New York contributed most significantly to the Fund’s return. The state of Kentucky detracted most significantly from the Fund’s return, followed by the state of Iowa.

Positions that contributed the most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Omaha (City of), NE Public Power District, 5.00% coupon, due 2/1/2043, (portfolio average weight of 0.61%) and Maryland (State of) Health & Higher Educational Facilities Authority, 5.00% coupon, due 7/1/2045 (portfolio average weight of 0.26%). Positions that detracted the most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included Kentucky Municipal Power Agency, 4.00% coupon, due 9/1/2039, (portfolio average weight of 0.13%) and Louisville (City of) & Jefferson (County of), 3.00% coupon, due 5/15/2047 (portfolio average weight of 0.05%).

 

 

  64  

 


 

Invesco BulletShares 2025 Municipal Bond ETF (BSMP) (continued)

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Ad Valorem Property Tax      23.62  
Sales Tax Revenue      8.34  
Water Revenue      7.22  
Highway Tolls Revenue      6.96  
Miscellaneous Revenue      6.75  
Electric Power Revenue      6.33  
College & University Revenue      5.75  
Income Tax Revenue      5.51  
Lease Revenue      5.48  
Appropriations      5.13  
Health, Hospital, Nursing Home Revenue      4.33  
Port, Airport & Marina Revenue      4.13  
General Fund      3.59  
Revenue Types Each Less Than 3%      5.56  
Other Assets Less Liabilities      1.30  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
New York (State of) Dormitory Authority, Series 2015 B, RB, 5.00%, 02/15/2044      0.95  
Illinois (State of), Series 2021 A, GO Bonds, 5.00%, 03/01/2025      0.91  
Pennsylvania (Commonwealth of), First Series 2015-1, GO Bonds, 5.00%, 03/15/2031      0.83  
New Jersey (State of) Turnpike Authority, Series 2015 E, RB, 5.00%, 01/01/2045      0.78  
Pennsylvania (Commonwealth of) Turnpike Commission, Series 2015 A-1, Ref. RB, 5.00%, 12/01/2045      0.76  
New York (City of), NY Transitional Finance Authority, Series 2015 S, RB, 5.00%, 07/15/2040      0.73  
California (State of), Series 2015, Ref. GO Bonds, 5.00%, 08/01/2035      0.71  
Louisiana (State of), Series 2015 A, Ref. RB, 4.50%, 05/01/2025      0.71  
California (State of), Series 2022, GO Bonds, 5.00%, 09/01/2025      0.68  
San Joaquin Hills Transportation Corridor Agency, Series 2014 A, Ref. RB, 5.00%, 01/15/2025      0.68  
Total      7.74  

 

 

  65  

 


 

Invesco BulletShares 2025 Municipal Bond ETF (BSMP) (continued)

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2025 Index     1.48     (0.35 )%      (1.05 )%        0.78     3.11
Bloomberg Municipal Bond Index     1.70       (1.32     (3.92       0.00       (0.01
Fund            
NAV Return     1.34       (0.76     (2.27       0.46       1.83  
Market Price Return     1.45       (0.76     (2.26       0.52       2.08  

 

Fund Inception: September 25, 2019

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.18% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  66  

 


 

 

BSMQ    Management’s Discussion of Fund Performance
   Invesco BulletShares 2026 Municipal Bond ETF (BSMQ)

 

As an index fund, the Invesco BulletShares 2026 Municipal Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Invesco BulletShares® Municipal Bond 2026 Index (the “Municipal Bond 2026 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The Municipal Bond 2026 Index is designed to measure the performance of a portfolio of U.S. dollar-denominated investment- grade municipal bonds with maturities in the year 2026 or, in some cases, “effective maturities” in the year 2026. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date. The effective maturity of eligible pre-refunded municipal bonds with a known pre-refunding date shall be the year of the pre-refunded date.

The Fund will terminate on or about December 15, 2026. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature or are called, the proceeds are not reinvested. Instead, the Fund will invest such proceeds in any combination of variable rate demand obligations, certain derivatives (i.e., exchange-traded futures on fixed income securities, fixed income security indices, interest rates and currencies; exchange-traded and over-the-counter (“OTC”) options on fixed income securities, interest rates, currencies, interest rate futures contracts, and fixed income security indices; exchange-traded and OTC interest rate and inflation swaps; and OTC total return swaps and forwards on fixed income securities, fixed income security indices, and fixed income security futures), exchange-traded funds (“ETFs”), including affiliated ETFs, affiliated money market funds, cash or cash equivalents and investment-grade short-term commercial paper, as well as municipal bonds not included in the Index, but which the investment adviser believes will help the Fund track the Index.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

During the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 1.33%. On a net asset value (“NAV”) basis, the Fund returned 1.16%. During the same time period, the Index returned 1.34%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses incurred by the Fund during the period.

During this same time period, the Bloomberg Municipal Bond Index (the “Benchmark Index”) returned 1.70%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 55,600 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a broad representation of U.S. dollar-denominated bonds issued by U.S. states and territories.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the state of Michigan and most underweight in the state of Texas during the fiscal year ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the state of Nebraska.

For the fiscal year ended August 31, 2023, the state of California contributed most significantly to the Fund’s return. The state of Nebraska detracted most significantly from the Fund’s return, followed by the states of Minnesota and Indiana, respectively.

Positions that contributed the most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included California (State of), Series 2016, 4.00% coupon, due 9/1/2034, (portfolio average weight of 0.66%) and Metropolitan Transportation Authority, 5.00% coupon, due 11/15/2037 (portfolio average weight of 0.68%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included New Hope Cultural Education Facilities Finance Corp., 5.00% coupon, due 7/1/2051 (portfolio average weight of 0.12%) and Sarpy (County of), NE Hospital Authority No. 1 (NE Medicine), 3.00% coupon due 5/15/2046 (portfolio average weight of 0.20%).

 

 

  67  

 


 

Invesco BulletShares 2026 Municipal Bond ETF (BSMQ) (continued)

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Ad Valorem Property Tax      20.95  
Health, Hospital, Nursing Home Revenue      9.21  
Water Revenue      8.66  
General Fund      7.56  
Miscellaneous Revenue      7.05  
College & University Revenue      6.52  
Sales Tax Revenue      6.24  
Highway Tolls Revenue      6.05  
Income Tax Revenue      5.35  
Electric Power Revenue      4.27  
Lease Revenue      3.89  
Appropriations      3.52  
Revenue Types Each Less Than 3%      9.33  
Other Assets Less Liabilities      1.40  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Hampton (City of), VA Roads Transportation Accountability Commission, Series 2021 A, RB, 5.00%, 07/01/2026      0.71  
Metropolitan Transportation Authority, Series 2016 B, Ref. RB, 5.00%, 11/15/2037      0.67  
California (State of), Series 2016, Ref. GO Bonds, 4.00%, 09/01/2034      0.66  
California (State of), Series 2016, Ref. GO Bonds, 5.00%, 09/01/2029      0.65  
New York (City of), NY Transitional Finance Authority, Subseries 2016 B-1, RB, 5.00%, 08/01/2030      0.60  
District of Columbia, Series 2016 D, GO Bonds, 5.00%, 06/01/2036      0.58  
Pearland (City of), TX, Series 2021 B, Ctfs. of Obligations, 5.00%, 03/01/2030      0.58  
Indiana (State of) Municipal Power Agency, Series 2016 A, Ref. RB, 5.00%, 01/01/2042      0.55  
New York State Urban Development Corp., Series 2016 A, Ref. RB, 5.00%, 03/15/2026      0.53  
Grand River Dam Authority, Series 2016 A, Ref. RB, 4.00%, 06/01/2033      0.53  
Total      6.06  

 

 

  68  

 


 

Invesco BulletShares 2026 Municipal Bond ETF (BSMQ) (continued)

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2026 Index     1.34     (0.91 )%      (2.72 )%        0.37     1.47
Bloomberg Municipal Bond Index     1.70       (1.32     (3.92       0.00       (0.01
Fund            
NAV Return     1.16       (1.37     (4.06       (0.16     (0.62
Market Price Return     1.33       (1.36     (4.01       0.00       0.02  

 

Fund Inception: September 25, 2019

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.18% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

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BSMR    Management’s Discussion of Fund Performance
   Invesco BulletShares 2027 Municipal Bond ETF (BSMR)

 

As an index fund, the Invesco BulletShares 2027 Municipal Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Invesco BulletShares® Municipal Bond 2027 Index (the “Municipal Bond 2027 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The Municipal Bond 2027 Index is designed to measure the performance of a portfolio of U.S. dollar-denominated investment- grade municipal bonds with maturities in the year 2027 or, in some cases, “effective maturities” in the year 2027. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date. The effective maturity of eligible pre-refunded municipal bonds with a known pre- refunding date shall be the year of the pre-refunded date.

The Fund will terminate on or about December 15, 2027. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature or are called, the proceeds are not reinvested. Instead, the Fund will invest such proceeds in any combination of variable rate demand obligations, certain derivatives (i.e., exchange-traded futures on fixed income securities, fixed income security indices, interest rates and currencies; exchange-traded and over-the-counter (“OTC”) options on fixed income securities, interest rates, currencies, interest rate futures contracts, and fixed income security indices; exchange-traded and OTC interest rate and inflation swaps; and OTC total return swaps and forwards on fixed income securities, fixed income security indices, and fixed income security futures), exchange-traded funds (“ETFs”), including affiliated ETFs, affiliated money market funds, cash or cash equivalents and investment-grade short-term commercial paper, as well as municipal bonds not included in the Index, but which the investment adviser believes will help the Fund track the Index.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

During the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 1.50%. On a net asset value (“NAV”) basis, the Fund returned 1.37%. During the same time period, the Index returned 1.44%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to fees and operating expenses incurred by the Fund during the period.

During this same time period, the Bloomberg Municipal Bond Index (the “Benchmark Index”) returned 1.70%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 55,600 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a broad representation of U.S. dollar-denominated bonds issued by U.S. states and territories.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the state of Illinois and most underweight in the state of Texas during the fiscal year ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the state of Ohio.

For the fiscal year ended August 31, 2023, the state of California contributed most significantly to the Fund’s return, followed by the states of New York and Pennsylvania, respectively. The state of Ohio detracted most significantly from the Fund’s return, followed by the states of Georgia and Missouri, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included District Columbia, 5.00% coupon, due 6/1/2032, (portfolio average weight of 0.59%) and Bay Area Toll Authority, 4.00% coupon, due 4/1/2035, (portfolio average weight of 0.31%). Positions that detracted most significantly from the Fund’s return during this period were Cuyahoga (County of), OH, (MetroHealth System), 5.00% coupon, due 2/15/2052, (portfolio average weight of 0.53%) and East Central Regional Wastewater Treatment Facilities Operation Board, 5.00% coupon, due 10/1/2044 (portfolio average weight of 0.33%).

 

 

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Invesco BulletShares 2027 Municipal Bond ETF (BSMR) (continued)

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Ad Valorem Property Tax      17.02  
Health, Hospital, Nursing Home Revenue      11.56  
Miscellaneous Revenue      9.55  
Water Revenue      8.84  
College & University Revenue      7.24  
Income Tax Revenue      7.20  
Highway Tolls Revenue      6.14  
General Fund      6.11  
Sales Tax Revenue      5.93  
Electric Power Revenue      4.75  
Lease Revenue      3.23  
Port, Airport & Marina Revenue      3.06  
Revenue Types Each Less Than 3%      8.07  
Other Assets Less Liabilities      1.30  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Maryland (State of) (Bidding Group 1), Second Series 2019 A, GO Bonds, 5.00%, 08/01/2027      0.73  
California (State of), Series 2017, Ref. GO Bonds, 5.00%, 08/01/2030      0.71  
New York (City of), NY Transitional Finance Authority, Series 2017 A-E-1, RB, 5.00%, 02/01/2039      0.71  
Chicago (City of), IL, Series 2017-2, Ref. RB, 5.00%, 11/01/2033      0.69  
Washington Metropolitan Area Transit Authority, Series 2017 B, RB, 5.00%, 07/01/2035      0.69  
New York (State of) Dormitory Authority (New York University), Series 2017 A, Ref. RB, 5.00%, 07/01/2042      0.68  
California (State of) Health Facilities Financing Authority (Children’s Hospital Los Angeles), Series 2017 A, Ref. RB, 5.00%, 08/15/2047      0.66  
Georgia (State of), Series 2016 F, Ref. GO Bonds, 5.00%, 01/01/2027      0.63  
Illinois (State of) Finance Authority (Ascension Health), Series 2016 C, Ref. RB, 4.00%, 02/15/2033      0.60  
Santa Clara Valley Transportation Authority, Series 2023 A, Ref. RB, 5.00%, 04/01/2027      0.59  
Total      6.69  

 

 

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Invesco BulletShares 2027 Municipal Bond ETF (BSMR) (continued)

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2027 Index     1.44     (1.08 )%      (3.19 )%        0.21     0.81
Bloomberg Municipal Bond Index     1.70       (1.32     (3.92       0.00       (0.01
Fund            
NAV Return     1.37       (1.24     (3.67       (0.19     (0.76
Market Price Return     1.50       (1.27     (3.78       (0.11     (0.44

 

Fund Inception: September 25, 2019

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information.

According to the Fund’s current prospectus, the Fund’s expense ratio of 0.18% is expressed as a unitary management fee to cover operating expenses and expenses incurred in connection with managing the portfolio. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Index and Benchmark Index performance results are based upon a hypothetical investment in their respective constituent securities. Index and Benchmark Index returns do not represent Fund returns. An investor cannot invest directly in an index. The Index and Benchmark Index do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund, Index and Benchmark Index are based on the inception date of the Fund.

 

 

  72  

 


 

 

BSMS    Management’s Discussion of Fund Performance
   Invesco BulletShares 2028 Municipal Bond ETF (BSMS)

 

As an index fund, the Invesco BulletShares 2028 Municipal Bond ETF (the “Fund”) is passively managed and seeks to track the investment results (before fees and expenses) of the Invesco BulletShares® Municipal Bond 2028 Index (the “Municipal Bond 2028 Index” or the “Index”). The Fund generally will invest at least 80% of its total assets in securities that comprise the Index. Strictly in accordance with its guidelines and mandated procedures, Invesco Indexing LLC (the “Index Provider”) compiles and maintains the Index. The Index Provider is affiliated with Invesco Capital Management LLC, the Fund’s investment adviser. The Municipal Bond 2028 Index is designed to measure the performance of a portfolio of U.S. dollar-denominated investment- grade municipal bonds with maturities in the year 2028 or, in some cases, “effective maturities” in the year 2028. The effective maturity date reflects an assessment of when a bond is likely to be called by the issuer, or in the alternate, the bond’s stated maturity date (if it is not called by the issuer). With respect to establishing the effective maturity of a bond, the effective maturity is the actual year of maturity (i) if no embedded issuer call option exists for a bond; (ii) if a bond contains an embedded issuer call option, with the first call date within 13 months of maturity and a par call price; and (iii) unless the yield to next call date is less than the yield to maturity, in which case the bond’s effective maturity is deemed to be the year of the next call date. The effective maturity of eligible pre-refunded municipal bonds with a known pre- refunding date shall be the year of the pre-refunded date.

The Fund will terminate on or about December 15, 2028. In connection with the termination of the Fund, the Fund will make a cash distribution of its net assets to then-current shareholders after making appropriate provisions for any liabilities of the Fund. The Fund does not seek to distribute any predetermined amount of cash at maturity. During the maturing year of the Index, no new constituents are added and the Index does not rebalance. In the last twelve months of operation, when the bonds held by the Fund mature or are called, the proceeds are not reinvested. Instead, the Fund will invest such proceeds in any combination of variable rate demand obligations, certain derivatives (i.e., exchange-traded futures on fixed income securities, fixed income security indices, interest rates and currencies; exchange-traded and over-the-counter (“OTC”) options on fixed income securities, interest rates, currencies, interest rate futures contracts, and fixed income security indices; exchange-traded and OTC interest rate and inflation swaps; and OTC total return swaps and forwards on fixed income securities, fixed income security indices, and fixed income security futures), exchange-traded funds (“ETFs”), including affiliated ETFs, affiliated money market funds, cash or cash equivalents and investment-grade short-term commercial paper, as well as municipal bonds not included in the Index, but which the investment adviser believes will help the Fund track the Index.

The Fund does not purchase all of the securities in the Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.

During the fiscal year ended August 31, 2023, on a market price basis, the Fund returned 1.70%. On a net asset value (“NAV”) basis, the Fund returned 1.40%. During the same time period, the Index returned 1.61%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to costs associated with portfolio rebalancing and sampling, as well as fees and operating expenses that the Fund incurred during the period.

During this same time period, the Bloomberg Municipal Bond Index (the “Benchmark Index”) returned 1.70%. The Benchmark Index is an unmanaged index weighted by market capitalization based on the average performance of approximately 55,600 securities. The Benchmark Index was selected for its recognition in the marketplace, and its performance comparison is a useful measure for investors as a broad representation of U.S. dollar-denominated bonds issued by U.S. states and territories.

The performance of the Fund differed from the Benchmark Index because the Fund seeks to track an Index that employs a proprietary bond selection and weighting methodology, whereas the Benchmark Index selects and weights bonds based on market capitalization.

Relative to the Benchmark Index, the Fund was most overweight in the state of New York and most underweight in the state of Texas during the fiscal year ended August 31, 2023. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection within the state of Georgia.

For the fiscal year ended August 31, 2023, the state of New York contributed most significantly to the Fund’s return. The state of Georgia detracted most significantly from the Fund’s return, followed by the states of Tennessee and Mississippi, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2023, included Illinois St, 5.00% coupon, due 10/1/2028, (portfolio average weight of 0.85%) and Maryland St, 5.00% coupon, due 8/1/2028, (portfolio average weight of 0.54%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2023, included Bucks (County of), PA Industrial Development Authority, 3.00% coupon, due 8/15/2050 (portfolio average weight of 0.17%) and Georgia (State of), 3.25% coupon, due 7/1/2037 (portfolio average weight of 0.28%).

 

 

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Invesco BulletShares 2028 Municipal Bond ETF (BSMS) (continued)

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Ad Valorem Property Tax      19.74  
Sales Tax Revenue      11.83  
Water Revenue      8.11  
General Fund      7.50  
Miscellaneous Revenue      7.00  
Highway Tolls Revenue      6.82  
Health, Hospital, Nursing Home Revenue      6.51  
Income Tax Revenue      6.49  
College & University Revenue      6.15  
Appropriations      5.87  
Lease Revenue      3.04  
Revenue Types Each Less Than 3%      9.69  
Other Assets Less Liabilities      1.25  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2023
 
Security   
Massachusetts (Commonwealth of), Series 2021, RB, 5.00%, 06/01/2041      1.13  
Metropolitan Transportation Authority, Series 2012 A, Ref. RB, 3.00%, 11/15/2028      1.09  
Illinois (State of), Series 2020 B, GO Bonds, 5.00%, 10/01/2028      0.83  

New York (City of), NY,

Subseries 2018 D-1, GO Bonds, 5.00%, 12/01/2033

     0.78  
New Jersey (State of) Transportation Trust Fund Authority, Series 2018 A, Ref. RB, 5.00%, 12/15/2033      0.77  
New York (City of), NY Transitional Finance Authority, Subseries 2018 A-1, RB, 5.00%, 08/01/2042      0.76  
Michigan (State of) Finance Authority (Charter County of Wayne Criminal Justice Center), Series 2018, RB, 5.00%, 11/01/2043