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Invesco Annual Report to Shareholders

 

 

August 31, 2022

 

  BSCM   Invesco BulletShares 2022 Corporate Bond ETF
  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
  BSJM   Invesco BulletShares 2022 High Yield 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
  BSMM   Invesco BulletShares 2022 Municipal 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
  BSBE   Invesco BulletShares 2022 USD Emerging Markets Debt ETF
  BSCE   Invesco BulletShares 2023 USD Emerging Markets Debt ETF
  BSDE   Invesco BulletShares 2024 USD Emerging Markets Debt ETF


 

Table of Contents

 

The Market Environment      3  
Management’s Discussion of Fund Performance      4  
Liquidity Risk Management Program      97  
Schedules of Investments   

Invesco BulletShares 2022 Corporate Bond ETF (BSCM)

     98  

Invesco BulletShares 2023 Corporate Bond ETF (BSCN)

     101  

Invesco BulletShares 2024 Corporate Bond ETF (BSCO)

     108  

Invesco BulletShares 2025 Corporate Bond ETF (BSCP)

     115  

Invesco BulletShares 2026 Corporate Bond ETF (BSCQ)

     123  

Invesco BulletShares 2027 Corporate Bond ETF (BSCR)

     130  

Invesco BulletShares 2028 Corporate Bond ETF (BSCS)

     137  

Invesco BulletShares 2029 Corporate Bond ETF (BSCT)

     142  

Invesco BulletShares 2030 Corporate Bond ETF (BSCU)

     147  

Invesco BulletShares 2031 Corporate Bond ETF (BSCV)

     152  

Invesco BulletShares 2022 High Yield Corporate Bond ETF (BSJM)

     157  

Invesco BulletShares 2023 High Yield Corporate Bond ETF (BSJN)

     159  

Invesco BulletShares 2024 High Yield Corporate Bond ETF (BSJO)

     163  

Invesco BulletShares 2025 High Yield Corporate Bond ETF (BSJP)

     166  

Invesco BulletShares 2026 High Yield Corporate Bond ETF (BSJQ)

     171  

Invesco BulletShares 2027 High Yield Corporate Bond ETF (BSJR)

     176  

Invesco BulletShares 2028 High Yield Corporate Bond ETF (BSJS)

     180  

Invesco BulletShares 2029 High Yield Corporate Bond ETF (BSJT)

     185  

Invesco BulletShares 2022 Municipal Bond ETF (BSMM)

     191  

Invesco BulletShares 2023 Municipal Bond ETF (BSMN)

     195  

Invesco BulletShares 2024 Municipal Bond ETF (BSMO)

     208  

Invesco BulletShares 2025 Municipal Bond ETF (BSMP)

     222  

Invesco BulletShares 2026 Municipal Bond ETF (BSMQ)

     233  

Invesco BulletShares 2027 Municipal Bond ETF (BSMR)

     244  

Invesco BulletShares 2028 Municipal Bond ETF (BSMS)

     251  

Invesco BulletShares 2029 Municipal Bond ETF (BSMT)

     258  

Invesco BulletShares 2030 Municipal Bond ETF (BSMU)

     265  

Invesco BulletShares 2031 Municipal Bond ETF (BSMV)

     270  

Invesco BulletShares 2022 USD Emerging Markets Debt ETF (BSBE)

     275  

Invesco BulletShares 2023 USD Emerging Markets Debt ETF (BSCE)

     277  

Invesco BulletShares 2024 USD Emerging Markets Debt ETF (BSDE)

     280  
Statements of Assets and Liabilities      284  
Statements of Operations      290  
Statements of Changes in Net Assets      296  
Financial Highlights      307  
Notes to Financial Statements      338  
Report of Independent Registered Public Accounting Firm      360  
Fund Expenses      362  
Tax Information      365  
Trustees and Officers      367  
Approval of Investment Advisory Contracts      377  

 

 

  2  

 


 

The Market Environment

 

 

 

Fixed Income

In the fourth quarter of 2021, concerns about inflation heightened as US inflation rose 7%,1 its highest level in nearly 40 years. Though the US Federal Reserve (the Fed) left policy rates unchanged in the quarter, the Fed indicated its accommodative policies were coming to an end in 2022 through a willingness to raise interest rates to combat inflation and the announced reduction of its monthly bond purchase program. Additionally, US interest rate moves and inflation risk significantly affected fixed income valuations during the quarter. The two-year Treasury yield rose moderately from 0.27% to 0.73%, while the 10-year increased slightly from 1.48% to 1.52% during the quarter.2 The yield curve, as measured by the yield differential between two- and 10-year Treasuries, flattened during the quarter.

At the beginning of 2022, geopolitical and economic tensions between Ukraine and Russia culminated with the latter invading Ukrainian territory. World leaders levied sanctions against Russia that had material effects on its fixed income markets, particularly sovereign debt, corporates and levels of liquidity. The Russia-Ukraine war exacerbated inflationary pressures while also exerting downward pressure on economic growth through a surge in commodity/energy prices. Additionally, surges of COVID-19 in China exacerbated supply chain issues and aggravated inflation. During the second quarter of 2022, the two-year Treasury yield rose significantly from 0.78% to 2.28%, while the 10-year increased moderately from 1.63% to 2.32%.2

In the second quarter of 2022, the macro backdrop of tightening financial conditions and slowing economic growth was negative for credit asset classes. Inflation, as measured by the Consumer Price Index, increased further to 9.1%1 and fixed income markets felt the impact of rising interest rates. Bond sectors experienced negative performance ranging from -0.9% (Bloomberg Asset-Backed Securities) to -9.8% (Bloomberg US Corporate High Yield).3 Credit spreads increased across all major credit-sensitive sectors, reflecting anticipation of an economic slowdown and increasing concerns about recession risk, with corporate spreads ending the second quarter above their long-term historical average. The Fed continued its rapid tightening of monetary policy in an effort to combat inflation via higher interest rates while simultaneously engineering a soft landing so as to not push the economy into a recession. The Fed aggressively raised its key fed funds rate during the period, including a 0.50% hike in May, a 0.75% hike in June (the largest since 1994), and an additional 0.75% hike in July to a target range of 2.25-2.50%. We believe that the Fed is unlikely to pivot from its hawkish policies, and we expect the Fed will increase the target range to 3.50-3.75% by the end of the year followed by a 0.50% cut in 2023. While rates remained elevated across all maturities on the yield curve, the two-year Treasury rates increased from 2.92% to 3.45% during the last 2-month period in the fiscal year, while 10-year Treasury rates increased

from 3.04% to 3.15%2 over the same period. At the end of the fiscal year, the yield curve remained inverted, which historically has been an indicator of a potential recession.

 

1 

Source: US Bureau of Labor Statistics

2 

Source: US Department of the Treasury

3 

Source: Bloomberg

 

 

  3  

 


 

 

BSCM    Management’s Discussion of Fund Performance
   Invesco BulletShares 2022 Corporate Bond ETF (BSCM)

 

As an index fund, the Invesco BulletShares 2022 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 2022 Index (the “2022 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 2022 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 2022. 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, 2022. 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, 2022, on a market price basis, the Fund returned (0.02)%. On a net asset value (“NAV”) basis, the Fund returned 0.02%. During the same time period, the Index returned 0.21%. 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 as well as costs associated with portfolio rebalancing and sampling.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned (14.91)%. 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 tobacco industry and most underweight in the capital markets industry during the fiscal year ended August 31, 2022. 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, 2022, the banks industry contributed most significantly to the Fund’s return, followed by the electric utilities industry. The equity REITs 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, 2022, included JPMorgan Chase & Co., 3.25% coupon, due 09/23/2022, a banks company (portfolio average weight of 1.38%), and Pacific Gas and Electric Co., 1.75% coupon, due 06/16/2022, an electric utilities company (no longer held at fiscal year-end). Positions that detracted most significantly from the Fund’s return during the period included MPT Operating Partnership L.P./MPT Finance Corp., 5.00% coupon, due 10/15/2027, an equity REITs company (portfolio average weight of 0.59%), and Centene Corp., 4.25% coupon, due 12/15/2027, a health care providers & services company (portfolio average weight of 1.04%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
U.S. Treasury Securities      31.87  
Financials      19.52  
Health Care      13.47  
Information Technology      11.28  
Industrials      7.10  
Consumer Discretionary      3.85  
Sector Types Each Less Than 3%      11.37  
Money Market Funds Plus Other Assets Less Liabilities      1.54  

 

 

 

  4  

 


 

Invesco BulletShares 2022 Corporate Bond ETF (BSCM) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
       
Security   
U.S. Treasury Bills, 2.26%–2.41%, 10/20/2022      27.54  
U.S. Treasury Bills, 2.14%, 09/22/2022      4.33  
AbbVie, Inc., 2.90%, 11/06/2022      2.60  
AbbVie, Inc., 2.30%, 11/21/2022      2.57  
JPMorgan Chase & Co., 3.25%, 09/23/2022      2.40  
Oracle Corp., 2.50%, 10/15/2022      2.17  
Visa, Inc., 2.80%, 12/14/2022      1.95  
Morgan Stanley, 4.88%, 11/01/2022      1.74  
Chevron Corp., 2.36%, 12/05/2022      1.73  
Citigroup, Inc., 2.70%, 10/27/2022      1.55  
Total      48.58  

 

*

Excluding money market fund holdings.    

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    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 2022 Index     0.21     1.86     5.68     2.34     12.28       3.44     36.08
Bloomberg U.S. Corporate Index     (14.91     (2.12     (6.22     1.02       5.22         2.63       26.68  
Fund                
NAV Return     0.02       1.71       5.20       2.21       11.55         3.27       34.09  
Market Price Return     (0.02     1.63       4.96       2.15       11.21         3.26       34.04  

 

 

  5  

 


 

Invesco BulletShares 2022 Corporate Bond ETF (BSCM) (continued)

 

Guggenheim BulletShares 2022 Corporate Bond ETF (the “Predecessor Fund”) Inception: July 17, 2013

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  

 


 

 

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, 2022, on a market price basis, the Fund returned (1.95)%. On a net asset value (“NAV”) basis, the Fund returned (1.81)%. During the same time period, the Index returned (1.75)%. 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 that the Fund incurred during the period.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned (14.91)%. 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 biotechnology industry during the fiscal year ended August 31, 2022. 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, 2022, the containers & packaging and household durables industries contributed most significantly to the Fund’s return. The banks 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, 2022, included Jefferies Financial Group, Inc., 5.50% coupon, due 10/18/2023, a capital markets company (portfolio average weight of 0.10%), and Newell Brands, Inc., 4.10% coupon, due 04/01/2023, a household durables company (portfolio average weight of 0.15%). Positions that detracted most significantly from the Fund’s return during the period included NatWest Group PLC (United Kingdom), 3.88% coupon, due 09/12/2023, a banks company (portfolio average weight of 0.79%), and NatWest Group PLC (United Kingdom), 6.00% coupon, due 12/19/2023, a banks company (portfolio average weight of 0.48%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Financials      31.60  
Health Care      11.71  
Consumer Discretionary      11.19  
Information Technology      10.48  
Energy      8.96  
Industrials      8.73  
Consumer Staples      5.97  
Utilities      5.41  
Sector Types Each Less Than 3%      4.29  
Money Market Funds Plus Other Assets Less Liabilities      1.66  

 

 

  7  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
       
Security   
Apple, Inc., 2.40%, 05/03/2023      1.73  
Bank of America Corp., 3.30%, 01/11/2023      1.35  
Boeing Co. (The), 4.51%, 05/01/2023      0.95  
JPMorgan Chase & Co., 3.20%, 01/25/2023      0.87  
Exxon Mobil Corp., 1.57%, 04/15/2023      0.86  
NatWest Group PLC, 3.88%, 09/12/2023      0.82  
Morgan Stanley, 3.75%, 02/25/2023      0.79  
Morgan Stanley, 3.13%, 01/23/2023      0.79  
Oracle Corp., 2.40%, 09/15/2023      0.78  
Walmart, Inc., 3.40%, 06/26/2023      0.72  
Total      9.66  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    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     (1.75 )%      1.66     5.07     2.48     13.03       3.38     30.24
Bloomberg U.S. Corporate Index     (14.91     (2.12     (6.22     1.02       5.22         2.24       19.30  
Fund                
NAV Return     (1.81     1.50       4.56       2.33       12.18         3.25       28.94  
Market Price Return     (1.95     1.40       4.27       2.26       11.80         3.22       28.68  

 

 

  8  

 


 

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.

 

 

  9  

 


 

 

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, 2022, on a market price basis, the Fund returned (4.93)%. On a net asset value (“NAV”) basis, the Fund returned (4.76)%. During the same time period, the Index returned (4.66)%. 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 (14.91)%. 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 insurance industry and most underweight in the capital markets industry during the fiscal year ended August 31, 2022. 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, 2022, the banks industry detracted most significantly from the Fund’s return, followed by the oil, gas & consumable fuels industry. There were no industries which contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Baxter International, Inc., 1.32% coupon, due 11/29/2024, a health care equipment & supplies company (portfolio average weight of 0.44%), and Celanese US Holdings LLC, 5.90% coupon, due 07/05/2024, a chemicals company (portfolio average weight of 0.67%). Positions that detracted the most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included Credit Suisse AG (Switzerland), 3.63% coupon, due 09/09/2024, a capital markets company (portfolio average weight of 1.02%), and Bank of America Corp., 4.20% coupon, due 08/26/2024, a banks company (portfolio average weight of 1.03%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Financials      32.97  
Information Technology      11.24  
Health Care      10.33  
Consumer Discretionary      9.31  
Energy      8.81  
Industrials      8.45  
Consumer Staples      6.05  
Utilities      4.14  
Communication Services      3.81  
Sector Types Each Less Than 3%      3.85  
Money Market Funds Plus Other Assets Less Liabilities      1.04  

 

 

  10  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
       
Security   
AbbVie, Inc., 2.60%, 11/21/2024      1.20  
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/2024      1.00  
Goldman Sachs Group, Inc. (The), 4.00%, 03/03/2024      0.97  
Bank of America Corp., 4.20%, 08/26/2024      0.97  
Morgan Stanley, Series F, 3.88%, 04/29/2024      0.97  
Credit Suisse AG, 3.63%, 09/09/2024      0.97  
JPMorgan Chase & Co., 3.88%, 09/10/2024      0.96  
Morgan Stanley, 3.70%, 10/23/2024      0.96  
Boeing Co. (The), 1.43%, 02/04/2024      0.93  
Apple, Inc., 3.45%, 05/06/2024      0.83  
Total      9.76  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    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     (4.66 )%      1.23     3.73     2.48     13.03       3.49     31.39
Bloomberg U.S. Corporate Index     (14.91     (2.12     (6.22     1.02       5.22         2.24       19.30  
Fund                
NAV Return     (4.76     1.06       3.20       2.35       12.32         3.29       29.41  
Market Price Return     (4.93     0.94       2.86       2.25       11.76         3.28       29.22  

 

 

  11  

 


 

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.

 

 

  12  

 


 

 

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, 2022, on a market price basis, the Fund returned (6.81)%. On a net asset value (“NAV”) basis, the Fund returned (6.63)%. During the same time period, the Index returned (6.55)%. 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 (14.91)%. 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 energy equipment & services industry and most underweight in the banks industry during the fiscal year ended August 31, 2022. 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, 2022, the banks industry detracted most significantly from the Fund’s return, followed by the oil, gas & consumable fuels industry. There were no industries which contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Celanese US Holdings LLC, 6.05% coupon, due 03/15/2025, a chemicals company (portfolio average weight of 0.45%), and DCP Midstream Operating L.P., 5.38% coupon, due 07/15/2025, an oil, gas & consumable fuels company (portfolio average weight of 0.21%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included Wells Fargo & Co., 3.55% coupon, due 09/29/2025, a banks company (portfolio average weight of 0.65%), and Sumitomo Mitsui Financial Group, Inc. (Japan), 1.47% coupon, due 07/08/2025, a banks company (portfolio average weight of 0.57%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Financials      30.09  
Health Care      11.52  
Information Technology      11.21  
Consumer Discretionary      10.67  
Energy      9.25  
Industrials      8.62  
Communication Services      4.48  
Consumer Staples      4.24  
Utilities      3.77  
Real Estate      3.36  
Materials      1.51  
Money Market Funds Plus Other Assets Less Liabilities      1.28  

 

 

  13  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
       
Security   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.91%, 07/23/2025      1.14  
Visa, Inc., 3.15%, 12/14/2025      1.00  
AbbVie, Inc., 3.60%, 05/14/2025      0.94  
Boeing Co. (The), 4.88%, 05/01/2025      0.90  
Goldman Sachs Group, Inc. (The), 3.50%, 04/01/2025      0.87  
Oracle Corp., 2.50%, 04/01/2025      0.85  
Morgan Stanley, 4.00%, 07/23/2025      0.76  
Microsoft Corp., 3.13%, 11/03/2025      0.75  
CVS Health Corp., 3.88%, 07/20/2025      0.72  
Shell International Finance B.V., 3.25%, 05/11/2025      0.69  
Total      8.62  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    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     (6.55 )%      0.76     2.29     2.38     12.46       3.28     24.91
Bloomberg U.S. Corporate Index     (14.91     (2.12     (6.22     1.02       5.22         2.24       16.52  
Fund                
NAV Return     (6.63     0.64       1.93       2.28       11.91         3.07       23.16  
Market Price Return     (6.81     0.56       1.68       2.17       11.35         3.04       22.93  

 

 

  14  

 


 

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.

 

 

  15  

 


 

 

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, 2022, on a market price basis, the Fund returned (9.11)%. On a net asset value (“NAV”) basis, the Fund returned (8.79)%. During the same time period, the Index returned (8.73)%. 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 (14.91)%. 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 capital markets industry during the fiscal year ended August 31, 2022. 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, 2022, the banks industry detracted most significantly from the Fund’s return, followed by the capital markets industry. No industry contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included CGI, Inc. (Canada), 1.45% coupon, due 09/14/2026, an IT services company (portfolio average weight of 0.14%), and Citrix Systems, Inc., 1.25% coupon, due 03/01/2026, a software company (portfolio average weight of 0.20%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included Wells Fargo & Co., 3.00% coupon, due 10/23/2026, a banks company (portfolio average weight of 0.90%), and included Wells Fargo & Co., 3.00% coupon, due 04/22/2026, a banks company (portfolio average weight of 0.91%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Financials      31.20  
Information Technology      12.14  
Health Care      10.26  
Consumer Discretionary      8.92  
Industrials      7.51  
Energy      6.85  
Communication Services      5.80  
Consumer Staples      5.79  
Real Estate      4.84  
Utilities      4.40  
Materials      1.25  
Money Market Funds Plus Other Assets Less Liabilities      1.04  

 

 

  16  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
       
Security   
Boeing Co. (The), 2.20%, 02/04/2026      1.36  
Dell International LLC/EMC Corp., 6.02%, 06/15/2026      1.25  
Microsoft Corp., 2.40%, 08/08/2026      1.03  
AbbVie, Inc., 2.95%, 11/21/2026      1.02  
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026      0.90  
Wells Fargo & Co., 3.00%, 10/23/2026      0.89  
Wells Fargo & Co., 3.00%, 04/22/2026      0.89  
Apple, Inc., 3.25%, 02/23/2026      0.86  
HSBC Holdings PLC, 4.30%, 03/08/2026      0.81  
Morgan Stanley, 3.88%, 01/27/2026      0.80  
Total      9.81  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    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     (8.73 )%      0.25     0.75     2.26     11.83       2.27     14.30
Bloomberg U.S. Corporate Index     (14.91     (2.12     (6.22     1.02       5.22         1.42       8.80  
Fund                
NAV Return     (8.79     0.14       0.43       2.16       11.26         2.20       13.83  
Market Price Return     (9.11     (0.03     (0.08     2.10       10.94         2.15       13.50  

 

 

  17  

 


 

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.

 

 

  18  

 


 

 

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, 2022, on a market price basis, the Fund returned (10.48)%. On a net asset value (“NAV”) basis, the Fund returned (9.99)%. During the same time period, the Index returned (9.96)%. 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 (14.91)%. 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 semiconductors & semiconductor equipment industry and most underweight in the banks industry during the fiscal year ended August 31, 2022. 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, 2022, the banks industry detracted most significantly from the Fund’s return, followed by the capital markets industry. There were no industries which contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included DCP Midstream Operating L.P., 5.63% coupon, due 07/15/2027, an oil, gas & consumable fuels company (portfolio average weight of 0.16%), and Toyota Motor Credit Corp. 3.05% coupon, due 03/22/2027, an automobiles company (portfolio average weight of 0.44%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included Citigroup, Inc., 4.45% coupon, due 09/29/2027, a banks company (portfolio average weight of 1.39%), and Wells Fargo & Co., 4.30% coupon, due 07/22/2027, a banks company (portfolio average weight of 0.91%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Financials      23.79  
Information Technology      13.85  
Consumer Discretionary      11.24  
Health Care      10.52  
Industrials      7.80  
Energy      7.77  
Consumer Staples      7.05  
Communication Services      5.67  
Utilities      4.90  
Real Estate      3.66  
Materials      2.74  
Money Market Funds Plus Other Assets Less Liabilities      1.01  

 

 

  19  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
       
Security   
Microsoft Corp., 3.30%, 02/06/2027      1.26  
Citigroup, Inc., 4.45%, 09/29/2027      1.20  
Amazon.com, Inc., 3.15%, 08/22/2027      1.09  
Verizon Communications, Inc., 4.13%, 03/16/2027      1.04  
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/2027      0.99  
Morgan Stanley, 3.63%, 01/20/2027      0.93  
Goldman Sachs Group, Inc. (The), 3.85%, 01/26/2027      0.93  
Oracle Corp., 3.25%, 11/15/2027      0.82  
Wells Fargo & Co., 4.30%, 07/22/2027      0.78  
Bank of America Corp., 3.25%, 10/21/2027      0.75  
Total      9.79  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2027 Index     (9.96 )%      (0.13 )%      (0.38 )%        2.37     12.24
Bloomberg U.S. Corporate Index     (14.91     (2.12     (6.22       1.12       5.64  
Fund            
NAV Return     (9.99     (0.22     (0.66       2.19       11.27  
Market Price Return     (10.48     (0.46     (1.36       2.10       10.78  

 

 

  20  

 


 

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.

 

 

  21  

 


 

 

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, 2022, on a market price basis, the Fund returned (11.96)%. On a net asset value (“NAV”) basis, the Fund returned (11.62)%. During the same time period, the Index returned (11.59)%. 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 (14.91)%. 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 oil, gas & consumable fuels industry and most underweight in the food & staples retailing industry during the fiscal year ended August 31, 2022. 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, 2022, the banks industry detracted most significantly from the Fund’s return, followed by the health care providers & services industry. No industry contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included BAT International Finance PLC (United Kingdom), 4.45% coupon, due 03/16/2028, a tabacco company (portfolio average weight of 0.48%), and Freeport-McMoRan, Inc., 4.13% coupon, due 03/01/2028, a metals & mining company (portfolio average weight of 0.32%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included Citigroup Inc., 4.13% coupon, due 07/25/2028, a banks company (portfolio average weight of 1.08%), and CVS Health Corp., 4.30% coupon, due 03/25/2028, a health care providers & services company (portfolio average weight of 2.80%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Financials      17.61  
Health Care      15.43  
Information Technology      10.23  
Industrials      9.68  
Communication Services      9.22  
Consumer Discretionary      8.66  
Consumer Staples      8.54  
Energy      6.75  
Real Estate      6.05  
Utilities      5.19  
Materials      1.46  
Money Market Funds Plus Other Assets Less Liabilities      1.18  

 

 

  22  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
       
Security   
CVS Health Corp., 4.30%, 03/25/2028      2.47  
Cigna Corp., 4.38%, 10/15/2028      1.87  
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, 10/29/2028      1.59  
Raytheon Technologies Corp., 4.13%, 11/16/2028      1.46  
Vodafone Group PLC, 4.38%, 05/30/2028      1.46  
Verizon Communications, Inc., 2.10%, 03/22/2028      1.28  
Anheuser-Busch InBev Worldwide, Inc., 4.00%, 04/13/2028      1.24  
Apple, Inc., 1.20%, 02/08/2028      1.09  
Apple, Inc., 1.40%, 08/05/2028      1.00  
Amazon.com, Inc., 1.65%, 05/12/2028      1.00  
Total      14.46  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2028 Index     (11.59 )%      (0.69 )%      (2.06 )%        3.01     12.79
Bloomberg U.S. Corporate Index     (14.91     (2.12     (6.22       1.61       6.70  
Fund            
NAV Return     (11.62     (0.83     (2.48       2.82       11.94  
Market Price Return     (11.96     (1.03     (3.05       2.68       11.35  

 

 

  23  

 


 

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.

 

 

  24  

 


 

 

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, 2022, on a market price basis, the Fund returned (13.30)%. On a net asset value (“NAV”) basis, the Fund returned (12.84)%. During the same time period, the Index returned (12.76)%. 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 (14.91)%. 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 oil, gas & consumable fuels industry and most underweight in the health care providers & services industry during the fiscal year ended August 31, 2022. 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, 2022, the banks industry detracted most significantly from the Fund’s return, followed by the IT services industry. There were no industries which contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Qorvo, Inc., 4.38% coupon, due 10/15/2029, a semiconductors & semiconductor equipment company (portfolio average weight of 0.18%), and Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 6.88% coupon, due 01/15/2029, an oil, gas & consumable fuels company (portfolio average weight of 0.36%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included Sumitomo Mitsui Financial Group, Inc. (Japan), 3.04% coupon, due 07/16/2029, a banks company (portfolio average weight of 1.37%), and Wells Fargo & Co., 4.15% coupon, due 01/24/2029, a banks company (portfolio average weight of 1.48%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Financials      14.96  
Information Technology      12.63  
Health Care      12.18  
Communication Services      9.74  
Energy      9.25  
Consumer Staples      8.58  
Consumer Discretionary      7.93  
Real Estate      7.78  
Industrials      6.55  
Utilities      5.31  
Materials      3.78  
Money Market Funds Plus Other Assets Less Liabilities      1.31  

 

 

  25  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
AbbVie, Inc., 3.20%, 11/21/2029      2.93  
Anheuser-Busch InBev Worldwide, Inc., 4.75%, 01/23/2029      2.56  
Verizon Communications, Inc., 4.02%, 12/03/2029      2.25  
International Business Machines Corp., 3.50%, 05/15/2029      1.83  
AT&T, Inc., 4.35%, 03/01/2029      1.73  
Fiserv, Inc., 3.50%, 07/01/2029      1.58  
Wells Fargo & Co., 4.15%, 01/24/2029      1.43  
Sumitomo Mitsui Financial Group, Inc., 3.04%, 07/16/2029      1.33  
HCA, Inc., 4.13%, 06/15/2029      1.08  
Altria Group, Inc., 4.80%, 02/14/2029      1.06  
Total      17.78  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year           Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2029 Index     (12.76 )%        (0.55 )%      (1.62 )% 
Bloomberg U.S. Corporate Index     (14.91       (1.55     (4.53
Fund        
NAV Return     (12.84       (0.68     (2.02
Market Price Return     (13.30       (0.99     (2.90

 

 

  26  

 


 

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.

 

 

  27  

 


 

 

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, 2022, on a market price basis, the Fund returned (15.27)%. On a net asset value (“NAV”) basis, the Fund returned (14.67)%. During the same time period, the Index returned (14.72)%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to the positive effect of the sampling methodology employed by the portfolio management team which was partially offset by 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 (14.91)%. 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 financial services industry and most underweight in the oil, gas & consumable fuels industry during the fiscal year ended August 31, 2022. 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, 2022, the banks industry detracted most significantly from the Fund’s return, followed by oil, gas & consumable fuels industry. There were no industries which contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included VICI Properties L.P., 4.95% coupon, due 02/15/2030, an equity REITs company (portfolio average weight of 0.17%), and Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.50% coupon, due 03/01/2030, an oil, gas & consumable fuels company (portfolio average weight of 0.14%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included Exxon Mobil Corp., 2.61% coupon, due 10/15/2030, an oil, gas & consumable fuels company (portfolio average weight of 1.10%), and Sumitomo Mitsui Financial Group, Inc. (Japan), 2.13% coupon, due 07/08/2030, a banks company (portfolio average weight of 0.69%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Health Care      16.87  
Financials      12.75  
Energy      10.82  
Consumer Discretionary      9.98  
Industrials      9.13  
Information Technology      9.05  
Consumer Staples      9.00  
Utilities      7.93  
Materials      5.69  
Real Estate      4.16  
Communication Services      3.64  
Money Market Funds Plus Other Assets Less Liabilities      0.98  

 

 

  28  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Boeing Co. (The), 5.15%, 05/01/2030      2.63  
Pacific Gas and Electric Co., 4.55%, 07/01/2030      1.64  
Takeda Pharmaceutical Co. Ltd., 2.05%, 03/31/2030      1.24  
Alphabet, Inc., 1.10%, 08/15/2030      1.21  
Centene Corp., 3.00%, 10/15/2030      1.08  
Exxon Mobil Corp., 2.61%, 10/15/2030      1.06  
Centene Corp., 3.38%, 02/15/2030      1.02  
NextEra Energy Capital Holdings, Inc., 2.25%, 06/01/2030      1.00  
Amazon.com, Inc., 1.50%, 06/03/2030      0.98  
Apple, Inc., 1.65%, 05/11/2030      0.93  
Total      12.79  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year           Fund Inception  
Index   Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2030 Index     (14.72 )%        (7.52 )%      (14.17 )% 
Bloomberg U.S. Corporate Index     (14.91       (6.93     (13.10
Fund        
NAV Return     (14.67       (7.53     (14.20
Market Price Return     (15.27       (7.87     (14.81

 

 

 

  29  

 


 

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.

 

 

  30  

 


 

 

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.

During the fiscal period from the Fund’s inception (September 15, 2021, the first day of trading on the exchange) through August 31, 2022, on a market price basis, the Fund returned (16.60)%. On a net asset value (“NAV”) basis, the Fund returned (16.25)%. During the same time period, the Index returned (16.14)%. 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.

During this same time period, the Bloomberg U.S. Corporate Index (the “Benchmark Index”) returned (15.33)%. 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 banks industry and most underweight in the health care equipment & supplies industry during the fiscal period ended August 31, 2022. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s shorter duration.

For the fiscal period ended August 31, 2022, the equity REITs industry detracted most significantly from the Fund’s return, followed by diversified telecommunication services industry. There were no industries which contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included HP, Inc., 2.65% coupon, due 06/17/2031, a technology hardware, storage & peripherals company (portfolio average weight of 0.40%), and Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 4.88% coupon, due 02/01/2031, an oil, gas & consumable fuels company (portfolio average weight of 0.40%). Positions that detracted most significantly from the Fund’s return for the fiscal period ended August 31, 2022, included Verizon Communications, Inc., 2.55% coupon, due 03/21/2031, a diversified telecommunication services company (portfolio average weight of 2.15%), and Orange S.A. (France), 9.00% coupon, due 03/01/2031, a diversified telecommunication services company (portfolio average weight of 1.88%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Information Technology      13.29  
Communication Services      12.96  
Health Care      11.19  
Real Estate      10.30  
Financials      9.99  
Consumer Discretionary      9.53  
Utilities      8.51  
Industrials      8.23  
Consumer Staples      7.97  
Energy      5.48  
Materials      1.65  
Money Market Funds Plus Other Assets Less Liabilities      0.90  

 

 

  31  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Verizon Communications, Inc., 2.55%, 03/21/2031      2.05  
Orange S.A., 9.00%, 03/01/2031      1.79  
Oracle Corp., 2.88%, 03/25/2031      1.52  
Amazon.com, Inc., 2.10%, 05/12/2031      1.47  
AT&T, Inc., 2.75%, 06/01/2031      1.46  
Apple, Inc., 1.65%, 02/08/2031      1.30  
Walt Disney Co. (The), 2.65%, 01/13/2031      1.26  
Ally Financial, Inc., 8.00%, 11/01/2031      1.25  
T-Mobile USA, Inc., 3.50%, 04/15/2031      1.19  
Mercedes-Benz Finance North America LLC, 8.50%, 01/18/2031      1.13  
Total      14.42  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    Fund Inception  
Index   Cumulative  
Nasdaq BulletShares® USD Corporate Bond 2031 Index     (16.14 )% 
Bloomberg U.S. Corporate Index     (15.33
Fund  
NAV Return     (16.25
Market Price Return     (16.60

 

 

 

  32  

 


 

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

 

Fund Inception: September 15, 2021

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  

 


 

 

BSJM    Management’s Discussion of Fund Performance
   Invesco BulletShares 2022 High Yield Corporate Bond ETF (BSJM)

 

As an index fund, the Invesco BulletShares 2022 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 2022 Index (the “High Yield 2022 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 2022 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 2022. 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, 2022. 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, 2022, on a market price basis, the Fund returned (2.39)%. On a net asset value (“NAV”) basis, the Fund returned (2.43)%. During the same time period, the Index returned (2.38)%. 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 incurred by the Fund during the period which were partially offset by the positive effect 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 (10.60)%. 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 telecommunications industry and most underweight in the commercial services & supplies industry during the fiscal year ended August 31, 2022. 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, 2022, the consumer finance industry contributed most significantly to the Fund’s return, followed by the aerospace & defense and food & staples retailing industries, respectively. The diversified telecommunication services industry detracted most significantly from the Fund’s return during the period, followed by media and pharmaceuticals, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Ford Motor Credit Co. LLC, 4.25% coupon, due 09/20/2022, an automobiles company (portfolio average weight of 1.19%), and Mountain Province Diamonds, Inc., 8.00% coupon, due 12/15/2022 a materials company (portfolio average weight of 0.4%). Positions that detracted most significantly from the Fund’s return during this period included Altice France S.A. (France), 8.13% coupon, due 02/01/2027, a diversified telecommunication services company (no longer held at fiscal year-end), and CCO Holdings LLC/CCO Holdings Capital Corp., 5.00% coupon, due 02/01/2028, a media company (portfolio average weight of 2.11%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
U.S. Treasury Securities      54.05  
Communication Services      10.98  
Consumer Discretionary      8.55  
Industrials      5.98  
Sector Types Each Less Than 3%      10.93  
Money Market Funds Plus Other Assets Less Liabilities      9.51  

 

 

  34  

 


 

Invesco BulletShares 2022 High Yield Corporate Bond ETF (BSJM) (continued)

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
U.S. Treasury Bills, 2.30%–2.41%, 10/20/2022      34.62  
U.S. Treasury Bills, 1.77%–2.14%, 09/22/2022      19.43  
Sprint Communications LLC, 6.00%, 11/15/2022      3.67  
CCO Holdings LLC/CCO Holdings Capital Corp., 5.00%, 02/01/2028      2.45  
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/2026      2.36  
Ford Motor Credit Co. LLC, 4.25%, 09/20/2022      2.17  
Sirius XM Radio, Inc., 5.00%, 08/01/2027      1.99  
WESCO Distribution, Inc., 7.13%, 06/15/2025      1.59  
C&W Senior Financing DAC, 6.88%, 09/15/2027      1.53  
Vistra Operations Co. LLC, 5.50%, 09/01/2026      1.36  
Total      71.17  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    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 2022 Index     (2.38 )%      1.44     4.38     2.53     13.33       3.54     31.92
Bloomberg US Corporate High Yield Index     (10.60     1.03       3.11       2.58       13.60         3.57       32.14  
Fund                
NAV Return     (2.43     0.44       1.33       1.76       9.13         3.10       27.45  
Market Price Return     (2.39     0.38       1.14       1.72       8.88         3.07       27.14  

 

 

  35  

 


 

Invesco BulletShares 2022 High Yield Corporate Bond ETF (BSJM) (continued)

 

Guggenheim BulletShares 2022 High Yield 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 0.42% 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  

 


 

 

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, 2022, on a market price basis, the Fund returned (5.11)%. On a net asset value (“NAV”) basis, the Fund returned (4.95)%. During the same time period, the Index returned (4.09)%. 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 (10.60)%. 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 commercial services & supplies industry and most underweight in the hotels, restaurants & leisure industry during the fiscal year ended August 31, 2022. 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, 2022, the gas utilities industry contributed most significantly to the Fund’s return, followed by the diversified financial services and oil, gas & consumable fuels industries, respectively. The health care providers & services industry detracted most significantly from the Fund’s return during the period, followed by the commercial services & supplies and communications equipment, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included NGL Energy Partners L.P./NGL Energy Finance Corp., 7.50% coupon, due 11/01/2023, an oil, gas & consumable fuels company (portfolio average weight of 0.51%), and TMX Finance LLC/TitleMax Finance Corp., 11.13% coupon, due 04/01/2023, a consumer finance company (portfolio average weight of 0.22%). Positions that detracted most significantly from the Fund’s return during the period included CHS/Community Health Systems, Inc., 5.63% coupon, due 03/15/2027, a health care equipment & supplies company (no longer held at fiscal year-end) and Tenet Healthcare Corp., 6.13% coupon, due 10/01/2028, a health care equipment & supplies company (portfolio average weight of 1.99%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Consumer Discretionary      22.55  
Communication Services      17.18  
Industrials      12.07  
Energy      10.67  
Materials      7.87  
Health Care      7.63  
Real Estate      7.00  
Financials      6.70  
Sector Types Each Less Than 3%      5.76  
Money Market Funds Plus Other Assets Less Liabilities      2.57  

 

 

  37  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Sprint Corp., 7.88%, 09/15/2023      4.94  
Tenet Healthcare Corp., 6.13%, 10/01/2028      3.34  
Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 02/15/2025      3.24  
Caesars Entertainment, Inc., 8.13%, 07/01/2027      2.44  
Altice France S.A., 8.13%, 02/01/2027      2.42  
Community Health Systems, Inc., 5.63%, 03/15/2027      2.35  
DISH DBS Corp., 5.00%, 03/15/2023      2.14  
WESCO Distribution, Inc., 7.25%, 06/15/2028      1.95  
MGM Resorts International, 6.00%, 03/15/2023      1.82  
MEG Energy Corp., 7.13%, 02/01/2027      1.76  
Total      26.40  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    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
    (4.09 )%      1.92     5.88     3.01     16.00       4.86     38.75
Bloomberg US Corporate High Yield Index     (10.60     1.03       3.11       2.58       13.60         4.59       36.25  
Fund                
NAV Return     (4.95     0.65       1.97       2.09       10.92         3.88       30.00  
Market Price Return     (5.11     0.53       1.61       2.00       10.42         3.85       29.79  

 

 

  38  

 


 

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.

 

 

  39  

 


 

 

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, 2022, on a market price basis, the Fund returned (8.04)%. On a net asset value (“NAV”) basis, the Fund returned (7.76)%. During the same time period, the Index returned (6.97)%. 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 (10.60)%. 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 capital markets industry and most underweight in the equity REITs industry during the fiscal year ended August 31, 2022. 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, 2022, the IT services industry contributed most significantly to the Fund’s return, followed by the containers & packaging and entertainment industries, respectively. The media 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, 2022, included Mauser Packaging Solutions Holding Co., 5.50% coupon, due 04/15/2024, a containers & packaging company (portfolio average weight of 1.89%) and Bombardier, Inc., 7.50% coupon, due 12/01/2024, an aerospace & defense (portfolio average weight of 1.00%). Positions that detracted most significantly from the Fund’s return during the period included Clear Channel Outdoor Holdings, Inc., 7.50% coupon, due 06/01/2029, a media company (no longer held at fiscal year-end) and Clear Channel Outdoor Holdings, Inc.,7.75% coupon, due 04/15/2028, a media company (no longer held at fiscal year-end).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Consumer Discretionary      24.09  
Energy      19.90  
Communication Services      15.65  
Financials      10.23  
Materials      8.71  
Industrials      6.73  
Health Care      4.19  
Sector Types Each Less Than 3%      6.42  
Money Market Funds Plus Other Assets Less Liabilities      4.08  

 

 

  40  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Sprint Corp., 7.13%, 06/15/2024      4.85  
Intesa Sanpaolo S.p.A., 5.02%, 06/26/2024      3.61  
DISH DBS Corp., 5.88%, 11/15/2024      3.38  
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/2024      2.67  
Cheniere Energy Partners L.P., 4.50%, 10/01/2029      2.59  
Ford Motor Credit Co. LLC, 4.06%, 11/01/2024      2.48  
Carnival Corp., 7.63%, 03/01/2026      2.33  
Comstock Resources, Inc., 6.75%, 03/01/2029      2.24  
Sirius XM Radio, Inc., 5.50%, 07/01/2029      2.20  
Post Holdings, Inc., 5.50%, 12/15/2029      2.13  
Total      28.48  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    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     (6.97 )%      1.05     3.18     2.47     12.98       3.62     23.61
Bloomberg US Corporate High Yield Index     (10.60     1.03       3.11       2.58       13.60         3.68       24.06  
Fund                
NAV Return     (7.76     0.23       0.69       1.96       10.22         2.85       18.26  
Market Price Return     (8.04     0.12       0.35       1.84       9.55         2.81       17.94  

 

 

  41  

 


 

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.

 

 

  42  

 


 

 

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, 2022, on a market price basis, the Fund returned (5.29)%. On a net asset value (“NAV”) basis, the Fund returned (4.84)%. During the same time period, the Index returned (4.16)%. 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 incurred by the Fund during the period.

During this same time period, the Bloomberg U.S. Corporate High Yield Index (the “Benchmark Index”) returned (10.60)%. 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 automobiles industry and most underweight in the hotels, restaurants & leisure industry during the fiscal year ended August 31, 2022. 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, 2022, the energy equipment & services industry contributed most significantly to the Fund’s return, followed by the road & rail and the entertainment industries, respectively. The consumer finance 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, 2022, included Exterran Energy Solutions L.P./EES Finance Corp., 8.13% coupon, due 05/01/2025, an energy equipment & services company (portfolio average weight of 0.41%), and Uber Technologies, Inc., 7.50% coupon, due 05/15/2025, a road & rail company (portfolio average weight of 0.19%). Positions that detracted most significantly from the Fund’s return during the period included Ford Motor Credit Co. LLC, 3.38% coupon, due 11/13/2025, an automobiles company (portfolio average weight of 1.17%), and Artera Services LLC, 9.03% coupon, due 12/04/2025, a construction & engineering company (portfolio average weight of 0.35%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Consumer Discretionary      24.26  
Energy      15.21  
Industrials      15.15  
Financials      8.65  
Materials      7.82  
Health Care      6.13  
Information Technology      5.72  
Communication Services      5.52  
Consumer Staples      5.01  
Sector Types Each Less Than 3%      3.99  
Money Market Funds Plus Other Assets Less Liabilities      2.54  

 

 

  43  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Caesars Entertainment, Inc., 6.25%, 07/01/2025      3.11  
American Airlines, Inc., 11.75%, 07/15/2025      2.61  
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 03/01/2025      1.64  
WESCO Distribution, Inc., 7.13%, 06/15/2025      1.43  
Aramark Services, Inc., 6.38%, 05/01/2025      1.42  
Bausch Health Cos., Inc., 5.50%, 11/01/2025      1.39  
Univision Communications, Inc., 5.13%, 02/15/2025      1.34  
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/2025      1.25  
Sprint Corp., 7.63%, 02/15/2025      1.23  
Ford Motor Credit Co. LLC, 3.38%, 11/13/2025      1.21  
Total      16.63  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
    3 Years
Cumulative
          Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2025 Index     (4.16 )%      2.88     8.90       3.63     19.22
Bloomberg US Corporate High Yield Index     (10.60     1.03       3.11         2.47       12.75  
Fund            
NAV Return     (4.84     1.89       5.79         2.89       15.05  
Market Price Return     (5.29     1.69       5.17         2.81       14.62  

 

 

  44  

 


 

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.

 

 

  45  

 


 

 

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, 2022, on a market price basis, the Fund returned (7.89)%. On a net asset value (“NAV”) basis, the Fund returned (7.33)%. During the same time period, the Index returned (6.73)%. 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 US Corporate High Yield Index (the “Benchmark Index”) returned (10.60)%. 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 health care providers & services industry and most underweight in the industrial conglomerates industry during the fiscal year ended August 31, 2022. The majority of the Fund’s outperformance relative to the Benchmark Index during the period can be attributed to the Fund’s security selection in the oil, gas & consumable fuels industries.

For the fiscal year ended August 31, 2022, the auto components industry contributed most significantly to the Fund’s return, followed by the insurance and construction materials industries, respectively. The media industry detracted most significantly from the Fund’s return during the period, followed by the consumer finance and hotels, restaurants & leisure industries, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, were Goodyear Tire & Rubber Co. (The), 5.00% coupon, due 05/31/2026, an auto components company (portfolio average weight of 0.38%), and HUB International Ltd., 7.00% coupon, due 05/01/2026, an insurance company (portfolio average weight of 1.51%). Positions that detracted most significantly from the Fund’s return during the period included DISH DBS Corp., 7.75% coupon, due 07/01/2026, a media company (portfolio average weight of 1.72%), and DISH DBS Corp., 5.25% coupon, due 12/01/2026, a media company (portfolio average weight of 1.67%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Consumer Discretionary      18.41  
Energy      18.05  
Communication Services      15.53  
Industrials      10.74  
Financials      8.36  
Materials      7.58  
Information Technology      5.39  
Health Care      5.02  
Consumer Staples      3.71  
Utilities      3.25  
Real Estate      1.12  
Money Market Funds Plus Other Assets Less Liabilities      2.84  

 

 

  46  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
DISH DBS Corp., 5.25%, 12/01/2026      2.25  
Tenet Healthcare Corp., 4.88%, 01/01/2026      1.99  
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/2026      1.84  
United Airlines, Inc., 4.38%, 04/15/2026      1.81  
Connect Finco S.a.r.l./Connect US Finco LLC, 6.75%, 10/01/2026      1.77  
HUB International Ltd., 7.00%, 05/01/2026      1.62  
Sprint Corp., 7.63%, 03/01/2026      1.51  
OneMain Finance Corp., 7.13%, 03/15/2026      1.49  
DISH DBS Corp., 7.75%, 07/01/2026      1.47  
Ford Motor Co., 4.35%, 12/08/2026      1.46  
Total      17.21  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    1 Year     3 Years
Average
Annualized
    3 Years
Cumulative
          Fund Inception  
Index         Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2026 Index     (6.73 )%      1.76     5.37       3.58     15.37
Bloomberg US Corporate High Yield Index     (10.60     1.03       3.11         2.43       10.23  
Fund            
NAV Return     (7.33     0.73       2.21         2.74       11.59  
Market Price Return     (7.89     0.49       1.49         2.61       11.04  

 

 

  47  

 


 

Invesco BulletShares 2026 High Yield Corporate Bond ETF (BSJQ) (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 0.42% 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  

 


 

 

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, 2022, on a market price basis, the Fund returned (11.75)%. On a net asset value (“NAV”) basis, the Fund returned (11.14)%. During the same time period, the Index returned (10.37)%. 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 (10.60)%. 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 chemicals industry and most underweight in the equity REITs industry during the fiscal year ended August 31, 2022. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s overweight allocation to the containers & packaging industry followed by the pharmaceuticals industry.

For the fiscal year ended August 31, 2022, the thrifts & mortgage finance industry contributed most significantly to the Fund’s return, followed by the construction materials industries, respectively. The pharmaceuticals industry detracted most significantly from the Fund’s return during the period, followed by the hotels, restaurants & leisure and media industries, respectively.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Nationstar Mortgage Holdings, Inc., 6.00% coupon, due 01/15/2027, a thrifts & mortgage finance company (portfolio average weight of 0.30%), and Eco Material Technologies, Inc., 7.88% coupon, due 01/31/2027, a construction materials company (portfolio average weight of 0.13%). Positions that detracted most significantly from the Fund’s return during this period included Carnival Corp., 5.75% coupon, due 03/01/2027, a hotels, restaurants & leisure company (portfolio average weight of 3.52%), and Bausch Health Americas, Inc., 8.50% coupon, due 01/31/2027, a pharmaceuticals company (portfolio average weight of 1.13%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Consumer Discretionary      19.20  
Communication Services      15.78  
Industrials      15.49  
Energy      10.68  
Financials      8.16  
Materials      7.25  
Health Care      5.05  
Consumer Staples      4.32  
Real Estate      4.06  
Information Technology      3.98  
Utilities      3.85  
Money Market Funds Plus Other Assets Less Liabilities      2.18  

 

 

  49  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 05/01/2027      3.17  
Carnival Corp., 5.75%, 03/01/2027      2.80  
Nexstar Media, Inc., 5.63%, 07/15/2027      1.75  
TK Elevator US Newco, Inc., 5.25%, 07/15/2027      1.75  
FirstEnergy Corp., Series B, 4.40%, 07/15/2027      1.47  
CSC Holdings LLC, 5.50%, 04/15/2027      1.46  
Tenet Healthcare Corp., 5.13%, 11/01/2027      1.42  
SBA Communications Corp., 3.88%, 02/15/2027      1.41  
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 5.25%, 05/15/2027      1.35  
Ford Motor Credit Co. LLC, 4.95%, 05/28/2027      1.35  
Total      17.93  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2027 Index     (10.37 )%        1.19     3.56
Bloomberg US Corporate High Yield Index     (10.60       0.86       2.58  
Fund        
NAV Return     (11.14       (0.19     (0.55
Market Price Return     (11.75       (0.45     (1.32

 

 

  50  

 


 

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.

 

 

  51  

 


 

 

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, 2022, on a market price basis, the Fund returned (12.99)%. On a net asset value (“NAV”) basis, the Fund returned (12.60)%. During the same time period, the Index returned (12.13)%. 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 (10.60)%. 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 paper & forest products industry during the fiscal year ended August 31, 2022. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s overweight allocation to the diversified telecommunication services industry followed by the pharmaceuticals industry.

For the fiscal year ended August 31, 2022, the electric utilities industry contributed most significantly to the Fund’s return, followed by the personal products industry. The media 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, 2022, included PG&E Corp., 5.00% coupon, due 07/01/2028, an electric utilities company (portfolio average weight of 0.41%), and Clearway Energy Operating LLC, 4.75% coupon, due 03/15/2028, an independent power and renewable electricity producers company (portfolio average weight of 0.53%). Positions that detracted most significantly from the Fund’s return during this period included DISH DBS Corp., 7.38% coupon, due 07/01/2028, a media company (portfolio average weight of 0.73%), and Altice France Holdings S.A. (Luxemburg), 6.00% coupon, due 02/15/2028, a diversified telecommunication services company (portfolio average weight of 0.93%).

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Communication Services      21.70  
Industrials      14.25  
Consumer Discretionary      13.26  
Materials      10.39  
Health Care      7.74  
Information Technology      7.61  
Financials      5.83  
Energy      5.29  
Consumer Staples      4.58  
Utilities      4.11  
Real Estate      3.17  
Money Market Funds Plus Other Assets Less Liabilities      2.07  

 

 

  52  

 


 

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

 

Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Sprint Capital Corp., 6.88%, 11/15/2028      2.14  
DISH DBS Corp., 5.75%, 12/01/2028      1.72  
Carnival Corp., 4.00%, 08/01/2028      1.64  
Organon & Co./Organon Foreign Debt Co-Issuer B.V., 4.13%, 04/30/2028      1.64  
Sirius XM Radio, Inc., 4.00%, 07/15/2028      1.40  
NFP Corp., 6.88%, 08/15/2028      1.38  
United Rentals North America, Inc., 4.88%, 01/15/2028      1.28  
Avantor Funding, Inc., 4.63%, 07/15/2028      1.17  
Frontier Communications Holdings LLC, 5.00%, 05/01/2028      1.12  
Calpine Corp., 5.13%, 03/15/2028      1.01  
Total      14.50  

 

*

Excluding money market fund holdings.

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2028 Index     (12.13 )%        (2.90 )%      (5.59 )% 
Bloomberg US Corporate High Yield Index     (10.60       (0.73     (1.43
Fund        
NAV Return     (12.60       (3.50     (6.72
Market Price Return     (12.99       (3.62     (6.96

 

 

 

  53  

 


 

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.

 

 

  54  

 


 

 

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.

During the fiscal period from the Fund’s inception (September 15, 2021, the first day of trading on the exchange) through August 31, 2022, on a market price basis, the Fund returned (14.87)%. On a net asset value (“NAV”) basis, the Fund returned (14.46)%. During the same time period, the Index returned (14.28)%. 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 which were partially offset by the positive effect of the sampling methodology employed by the portfolio management team.

During this same time period, the Bloomberg U.S. Corporate High Yield Index (the “Benchmark Index”) returned (11.01)%. 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 health care providers & services industry and most underweight in the media industry during the fiscal period ended August 31, 2022. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the Fund’s overweight allocation to the commercial services & supplies industry followed by the diversified telecommunication services industry.

For the fiscal period ended August 31, 2022, the diversified telecommunication services industry detracted most significantly from the Fund’s return, followed by the hotels, restaurants & leisure industry. No industry contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Sotheby’s/Bidfair Holdings, Inc., 5.88% coupon, due 06/01/2029, a diversified consumer services company (portfolio average weight of 1.47%), and Clear Channel Outdoor Holdings, Inc., 7.50% coupon, due 06/01/2029, a media company (portfolio average weight of 0.46%). Positions that detracted most significantly from the Fund’s return for the fiscal period ended August 31, 2022, included Altice France S.A. (France), 5.13% coupon, due 07/15/2029, a diversified telecommunication services company (portfolio average weight of 1.44%), and Carnival Corp., 6.00% coupon, due 05/01/2029, a hotels, restaurants & leisure company (portfolio average weight of 0.93%).

 

 

  55  

 


 

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

 

Sector Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Consumer Discretionary      22.31  
Communication Services      14.52  
Industrials      12.48  
Health Care      7.78  
Materials      7.46  
Financials      7.38  
Energy      7.33  
Information Technology      7.30  
Consumer Staples      4.98  
Real Estate      4.44  
Utilities      2.10  
Money Market Funds Plus Other Assets Less Liabilities      1.92  
Top Ten Fund Holdings*
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Ford Motor Credit Co. LLC,
5.11%, 05/03/2029
     2.28  
Sotheby’s/Bidfair Holdings, Inc.,
5.88%, 06/01/2029
     2.15  
Medline Borrower L.P.,
3.88%, 04/01/2029
     2.08  
Altice France S.A., 5.50%, 10/15/2029      1.93  
Altice France S.A., 5.13%, 07/15/2029      1.86  
Medline Borrower L.P.,
5.25%, 10/01/2029
     1.13  
Imola Merger Corp., 4.75%, 05/15/2029      1.10  
United Airlines, Inc., 4.63%, 04/15/2029      1.02  
Compass Group Diversified Holdings LLC, 5.25%, 04/15/2029      0.86  
News Corp., 3.88%, 05/15/2029      0.85  
Total      15.26  

 

*

Excluding money market fund holdings.

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

    Fund Inception  
Index   Cumulative  
Nasdaq BulletShares® USD High Yield Corporate Bond 2029 Index     (14.28 )% 
Bloomberg US Corporate High Yield Index     (11.01
Fund  
NAV Return     (14.46
Market Price Return     (14.87

 

 

  56  

 


 

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

 

Fund Inception: September 15, 2021

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  

 


 

 

BSMM    Management’s Discussion of Fund Performance
   Invesco BulletShares 2022 Municipal Bond ETF (BSMM)

 

As an index fund, the Invesco BulletShares 2022 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 2022 Index (the “Municipal Bond 2022 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 2022 Index is designed to measure the performance of a portfolio of U.S. dollar-denominated investment- grade municipal bonds with maturities in the year 2022 or, in some cases, “effective maturities” in the year 2022. 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, 2022. 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, 2022, on a market price basis, the Fund returned (0.22)%. On a net asset value (“NAV”) basis, the Fund returned (0.06)%. During the same time period, the Index returned 0.19%. 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 related to portfolio rebalancing and sampling.

During this same time period, the Bloomberg Municipal Bond Index (the “Benchmark Index”) returned (8.63)%. 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 Guam bonds and most underweight in the state of New York during the fiscal year ended August 31, 2022. 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, 2022, the state of Florida contributed most significantly to the Fund’s return. The state of Pennsylvania bonds 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, 2022, included Miami-Dade (County of), FL Expressway Authority, 5.00% coupon, due 07/01/2029 (portfolio average weight of 1.54%) and University of Massachusetts Building Authority, 5.00% coupon, due 11/01/2022 (portfolio average weight of 0.46%). Positions that detracted most significantly from the Fund’s return during this period were Pennsylvania (Commonwealth of) Higher Educational Facilities Authority (La Salle University), 5.00% coupon, due 05/01/2037 (portfolio average weight of 0.61%) and University of Virginia, 5.00% coupon, due 12/01/2022 (portfolio average weight of 1.82%).

 

 

  58  

 


 

Invesco BulletShares 2022 Municipal Bond ETF (BSMM) (continued)

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Ad Valorem Property Tax      17.94  
College & University Revenue      10.00  
Highway Tolls Revenue      9.80  
Income Tax Revenue      7.94  
Electric Power Revenue      7.50  
Local or GTD Housing      6.80  
Miscellaneous Revenue      6.60  
General Fund      5.54  
Sales Tax Revenue      5.45  
Water Revenue      5.24  
Health, Hospital, Nursing Home Revenue      4.52  
Transit Revenue      4.04  
Port, Airport & Marina Revenue      3.99  
Revenue Types Each Less Than 3%      6.63  
Other Assets Less Liabilities      (1.99)  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Cook (County of), IL, Series 2021 A, Ref. GO Bonds, 5.00%, 11/15/2022      5.49  
Wisconsin (State of) Housing & Economic Development Authority (Social Bonds), Series 2021 B, VRD RB, 1.49%, 03/01/2041      4.94  
Metropolitan Transportation Authority, Series 2012 A, Ref. RB, 5.00%, 11/15/2031      4.04  
San Diego (County of), CA Regional Transportation Commission, Series 2021 A, Ref. RB, 5.00%, 10/01/2022      3.74  
Pennsylvania (Commonwealth of) Turnpike Commission, Series 2012 B, RB, 5.00%, 12/01/2022      3.73  
Minneapolis (City of), MN, Series 2022, GO Bonds, 5.00%, 12/01/2022      3.73  
Kaukauna (City of), WI, Series 2012 A, RB, 5.00%, 12/15/2022      3.72  
San Diego (County of), CA Water Authority, Series 2013, Ref. RB, 5.00%, 11/01/2022      3.41  
Pennsylvania (Commonwealth of) Turnpike Commission, Series 2013 A, RB, 5.00%, 12/01/2022      3.11  
Metropolitan Transportation Authority, Series 2012 E, RB, 5.00%, 11/15/2022      3.11  
Total      39.02  

 

 

  59  

 


 

Invesco BulletShares 2022 Municipal Bond ETF (BSMM) (continued)

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2022 Index     0.19       1.45     4.32
Bloomberg Municipal Bond Index     (8.63       (0.58     (1.68
Fund        
NAV Return     (0.06       1.01       2.99  
Market Price Return     (0.22       1.02       3.02  

 

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.

 

 

  60  

 


 

 

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, 2022, on a market price basis, the Fund returned (1.77)%. On a net asset value (“NAV”) basis, the Fund returned (1.70)%. 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, as well as costs associated with portfolio rebalancing and sampling.

During this same time period, the Bloomberg Municipal Bond Index (the “Benchmark Index”) returned (8.63)%. 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 Ohio and most underweight in the state of Illinois during the fiscal year ended August 31, 2022. 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, 2022, the state of Montana contributed most significantly to the Fund’s return. The state of California detracted most significantly from the Fund’s return during the period.

Position that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, was Forsyth (City of), MT (Puget Sound Energy), 3.90% coupon, due 03/01/2031 (portfolio average weight of 0.15%). Positions that detracted most significantly from the Fund’s return during this period were California (State of) Department of Water Resources, 5.00% coupon, due 12/01/2023 (portfolio average weight of 1.08%) and Battery Park (City of), NY Authority, 5.00% coupon, due 11/01/2025 (portfolio average weight of 0.95%).

 

 

  61  

 


 

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

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Ad Valorem Property Tax      26.89  
Health, Hospital, Nursing Home Revenue      11.78  
Miscellaneous Revenue      11.19  
Lease Revenue      7.80  
College & University Revenue      6.06  
Water Revenue      5.36  
Income Tax Revenue      4.65  
Sales Tax Revenue      3.58  
Highway Tolls Revenue      3.36  
General Fund      3.32  
Electric Power Revenue      3.08  
Revenue Types Each Less Than 3%      11.52  
Other Assets Less Liabilities      1.41  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
North Carolina (State of), Series 2013 C, Ref. GO Bonds, 4.00%, 05/01/2023      2.13  
California (State of), Series 2013, Ref. GO Bonds, 5.00%, 09/01/2031      1.72  
New York (City of), NY Transitional Finance Authority, Series 2021, Ref. RB, 5.00%, 11/01/2023      1.56  
Jefferson (County of), AL, Series 2018 A, Ref. GO Wts., 5.00%, 04/01/2023      1.47  
North Carolina (State of) Medical Care Commission (United Methodist Retirement), Series 2017 A, Ref. RB, 5.00%, 10/01/2023      1.11  
Mississippi (State of), Series 2013 B, GO Bonds, 5.00%, 12/01/2023      1.08  
California (State of), Series 2013, GO Bonds, 5.00%, 11/01/2029      1.08  
Tarrant County Cultural Education Facilities Finance Corp. (Methodist Hospitals of Dallas), Series 2013, RB, 5.00%, 10/01/2023      1.08  
Maryland (State of), Series 2017 C, Ref. GO Bonds, 5.00%, 08/01/2023      1.08  
Wisconsin (State of) Health & Educational Facilities Authority (St. John’s Communities, Inc.), Series 2018 A, RB, 5.00%, 09/15/2023      1.08  
Total      13.39  

 

 

  62  

 


 

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

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2023 Index     (1.48 )%        1.24     3.69
Bloomberg Municipal Bond Index     (8.63       (0.58     (1.68
Fund        
NAV Return     (1.70       0.81       2.40  
Market Price Return     (1.77       0.85       2.53  

 

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  

 


 

 

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, 2022, 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 (3.51)%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to the positive effect of the sampling methodology employed by the portfolio management team, which was partially offset by 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 (8.63)%. 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 Pennsylvania and most underweight in the state of California during the fiscal year ended August 31, 2022. 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, 2022, the state of Arkansas contributed most significantly to the Fund’s return. The state of California detracted most significantly from the Fund’s return during the period.

Position that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, was Pulaski (County of), AR Public Facilities Board, 5.00% coupon, due 12/01/2024 (portfolio average weight of 0.3%). Positions that detracted most significantly from the Fund’s return during this period were California (State of), 5.00% coupon, due 10/01/2024 (portfolio average weight of 0.85%) and California (State of) Statewide Communities Development Authority, 5.00% coupon, due 11/15/2024 (portfolio average weight of 0.72%).

 

 

  64  

 


 

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

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Ad Valorem Property Tax      19.58  
Miscellaneous Revenue      11.91  
Health, Hospital, Nursing Home Revenue      10.44  
Water Revenue      7.26  
Sales Tax Revenue      7.23  
Highway Tolls Revenue      6.49  
General Fund      5.81  
Lease Revenue      5.55  
Port, Airport & Marina Revenue      5.02  
Income Tax Revenue      4.89  
Sewer Revenue      3.18  
Electric Power Revenue      3.10  
Revenue Types Each Less Than 3%      8.35  
Other Assets Less Liabilities      1.19  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Maryland (State of), Series 2017 B, Ref. GO Bonds, 5.00%, 08/01/2024      1.82  
New York (State of) Thruway Authority, Series 2014 J, RB, 5.00%, 01/01/2041      1.56  
Pennsylvania (Commonwealth of) Turnpike Commission, Series 2014 C, RB, 5.00%, 12/01/2039      1.40  
Colorado (State of) Health Facilities Authority (SCL Health System), Series 2013 A, RB, 5.00%, 01/01/2024      1.26  
Maryland (State of), Second Series 2018 B, GO Bonds, 5.00%, 08/01/2024      1.15  
Wisconsin (State of), Series 2017 2, Ref. GO Bonds, 5.00%, 11/01/2024      1.12  
Jacksonville (City of), FL, Series 2022 A, Ref. RB, 5.00%, 10/01/2024      1.12  
Pennsylvania (Commonwealth of), First Series 2015, Ref. GO Bonds, 5.00%, 08/15/2024      1.12  
Arizona (State of) Transportation Board, Series 2018, RB, 5.00%, 07/01/2024      1.11  
North Slope (Borough of), AK, Series 2020 A, GO Bonds, 5.00%, 06/30/2024      1.11  
Total      12.77  

 

 

  65  

 


 

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

 

Growth of a $10,000 Investment Since Inception

 

 

LOGO

Fund Performance History as of August 31, 2022

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2024 Index     (3.51 )%        0.91     2.69
Bloomberg Municipal Bond Index     (8.63       (0.58     (1.68
Fund        
NAV Return     (3.40       0.53       1.56  
Market Price Return     (3.43       0.63       1.85  

 

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  

 


 

 

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, 2022, on a market price basis, the Fund returned (5.62)%. On a net asset value (“NAV”) basis, the Fund returned (5.56)%. During the same time period, the Index returned (5.37)%. 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 (8.63)%. 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 Nevada and most underweight in the state of New York during the fiscal year ended August 31, 2022. 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, 2022, the state of New York detracted most significantly from the Fund’s return, followed by the states of California and Texas, respectively. There were no states that contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included California (State of) Health Facilities Financing Authority (Cedars-Sinai Medical Center), 5.00% coupon, due 11/15/2029, (portfolio average weight of 0.72%) and Harris (County of), TX, 5.00% coupon, due 08/15/2025 (portfolio average weight of 0.54%). Positions that detracted the most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included Triborough Bridge & Tunnel Authority, 5.00% coupon, due 11/15/2034, (portfolio average weight of 0.88%) and California (State of), 5.00% coupon, due 08/01/2034 (portfolio average weight of 0.68%).

 

 

  67  

 


 

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

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Ad Valorem Property Tax      23.95  
Sales Tax Revenue      9.82  
Health, Hospital, Nursing Home Revenue      9.15  
Miscellaneous Revenue      8.22  
Lease Revenue      7.73  
Water Revenue      5.61  
College & University Revenue      5.37  
Appropriations      5.07  
Highway Tolls Revenue      4.99  
Electric Power Revenue      4.59  
Income Tax Revenue      4.01  
Revenue Types Each Less Than 3%      10.31  
Other Assets Less Liabilities      1.18  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Illinois (State of), Series 2021 A, GO Bonds, 5.00%, 03/01/2025      2.04  
Chicago (City of), IL Metropolitan Water Reclamation District, Series 2016 A, Ref. GO Bonds, 5.00%, 12/01/2025      1.45  
Washington (State of), Series 2015 A-1, GO Bonds, 5.00%, 08/01/2035      1.40  
Louisiana (State of), Series 2015 A, Ref. RB, 4.50%, 05/01/2025      1.20  
New York (City of), NY, Series 2015 C, Ref. GO Bonds, 5.00%, 08/01/2026      0.97  
New York (State of) Dormitory Authority, Series 2015 B, RB, 5.00%, 02/15/2044      0.79  
New Jersey (State of) Turnpike Authority, Series 2015 E, RB, 5.00%, 01/01/2045      0.73  
Indiana (State of) Finance Authority (Indiana University Health Obligated Group), Series 2015 A, Ref. RB, 4.00%, 12/01/2040      0.72  
California (State of) Health Facilities Financing Authority (Sutter Health), Series 2016 A, RB, 5.00%, 11/15/2025      0.72  
Oregon (State of) Department of Transportation, Series 2017 A, RB, 5.00%, 11/15/2025      0.72  
Total      10.74  

 

 

  68  

 


 

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

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2025 Index     (5.37 )%        0.54     1.60
Bloomberg Municipal Bond Index     (8.63       (0.58     (1.68
Fund        
NAV Return     (5.56       0.17       0.49  
Market Price Return     (5.62       0.21       0.61  

 

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.

 

 

  69  

 


 

 

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, 2022, on a market price basis, the Fund returned (8.32)%. On a net asset value (“NAV”) basis, the Fund returned (8.16)%. During the same time period, the Index returned (7.48)%. 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 (8.63)%. 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 Missouri during the fiscal year ended August 31, 2022. 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, 2022, the state of California detracted most significantly from the Fund’s return, followed by the states of New York and Texas, respectively. There were no states that contributed positively to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included Long Island (City of), NY Power Authority, 5.00% coupon, due 09/01/2036, (portfolio average weight of 0.41%) and New York (City of), NY, 4.00% coupon, due 08/01/2036 (portfolio average weight of 1.19%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included New York (City of), NY Municipal Water Finance Authority, 5.00% coupon, due 06/15/2026 (portfolio average weight of 1.56%) and Massachusetts (Commonwealth of), 3.00% coupon due 09/01/2046 (portfolio average weight of 0.7%).

 

 

  70  

 


 

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

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Ad Valorem Property Tax      17.60  
Health, Hospital, Nursing Home Revenue      12.24  
Water Revenue      9.55  
Miscellaneous Revenue      9.46  
College & University Revenue      7.80  
Lease Revenue      6.21  
Electric Power Revenue      5.67  
General Fund      5.66  
Highway Tolls Revenue      5.29  
Sales Tax Revenue      5.19  
Income Tax Revenue      4.32  
Port, Airport & Marina Revenue      3.14  
Revenue Types Each Less Than 3%      6.71  
Other Assets Less Liabilities      1.16  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Indiana (State of) Municipal Power Agency, Series 2016 A, Ref. RB, 5.00%, 01/01/2042      1.53  
Indianapolis (City of), IN Department of Public Utilities, Series 2018 A, Ref. RB, 5.00%, 10/01/2026      1.41  
Dallas (City of), TX, Series 2017, Ref. GO Bonds, 5.00%, 02/15/2026      1.27  
Triborough Bridge & Tunnel Authority, Series 2016 A, Ref. RB, 5.00%, 11/15/2041      1.25  
Pennsylvania (Commonwealth of) Higher Educational Facilities Authority (Trustees University of Pennsylvania), Series 2016 A, Ref. RB, 4.00%, 08/15/2031      1.23  
Michigan (State of) Finance Authority (Henry Ford Health System), Series 2016, Ref. RB, 5.00%, 11/15/2037      1.23  
New York (City of), NY, Series 2016 A-1, GO Bonds, 4.00%, 08/01/2036      1.19  
California (State of), Series 2016, Ref. GO Bonds, 5.00%, 09/01/2032      1.08  
New York (City of), NY, Subseries 2016, Ref. RB, 5.00%, 06/15/2037      1.06  
Illinois (State of), Series 2017 D, GO Bonds, 5.00%, 11/01/2026      1.00  
Total      12.25  

 

 

  71  

 


 

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

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2026 Index     (7.48 )%        0.04     0.12
Bloomberg Municipal Bond Index     (8.63       (0.58     (1.68
Fund        
NAV Return     (8.16       (0.60     (1.76
Market Price Return     (8.32       (0.44     (1.29

 

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  

 


 

 

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, 2022, on a market price basis, the Fund returned (8.09)%. On a net asset value (“NAV”) basis, the Fund returned (8.03)%. During the same time period, the Index returned (8.56)%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to the positive effect of the sampling methodology employed by the portfolio management team, which was partially offset by 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 (8.63)%. 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 Georgia and most underweight in the state of Pennsylvania during the fiscal year ended August 31, 2022. 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, 2022, the state of California detracted most significantly from the Fund’s return, followed by the states of New York and Texas, respectively. The state of Kentucky contributed most significantly to the Fund’s return during the period.

Position that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, was Kentucky (Commonwealth of) Economic Development Finance Authority (Owensboro Health, Inc.), 4.00% coupon, due 06/01/2037, (portfolio average weight of 0.12%). Positions that detracted most significantly from the Fund’s return during this period were California (State of), 3.00% coupon, due 03/01/2027, (portfolio average weight of 1.95%) and Hudson Yards Infrastructure Corp., 5.00% coupon, due 02/15/2042 (portfolio average weight of 2.51%).

 

 

  73  

 


 

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

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Ad Valorem Property Tax      14.92  
Miscellaneous Revenue      13.49  
Health, Hospital, Nursing Home Revenue      12.85  
Sales Tax Revenue      9.55  
Water Revenue      8.76  
Electric Power Revenue      5.78  
Income Tax Revenue      5.70  
General Fund      5.11  
College & University Revenue      4.52  
Transit Revenue      3.57  
Appropriations      3.22  
Revenue Types Each Less Than 3%      11.45  
Other Assets Less Liabilities      1.08  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
Washington Metropolitan Area Transit Authority, Series 2017 B, RB, 5.00%, 07/01/2035      2.51  
Georgia (State of), Series 2016 F, Ref. GO Bonds, 5.00%, 01/01/2027      2.31  
Cuyahoga (County of), OH (MetroHealth System), Series 2017, Ref. RB, 5.00%, 02/15/2052      1.95  
Massachusetts (State of) Development Finance Agency (Caregroup), Series 2016 I, Ref. RB, 5.00%, 07/01/2027      1.94  
Illinois (State of), Series 2017 D, GO Bonds, 5.00%, 11/01/2027      1.86  
Hudson Yards Infrastructure Corp., Series 2017 A, Ref. RB, 5.00%, 02/15/2042      1.84  
New York (City of), NY Transitional Finance Authority, Series 2017 A-E-1, RB, 5.00%, 02/01/2039      1.54  
California (State of), Series 2020, GO Bonds, 3.00%, 03/01/2027      1.46  
Mount Pleasent (Town of), SC, Series 2017 A, RB, 4.00%, 06/01/2044      1.41  
Massachusetts (Commonwealth of), Series 2016 B, Ref. GO Bonds, 5.00%, 07/01/2027      1.29  
Total      18.11  

 

 

  74  

 


 

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

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2027 Index     (8.56 )%        (0.21 )%      (0.62 )% 
Bloomberg Municipal Bond Index     (8.63       (0.58     (1.68
Fund        
NAV Return     (8.03       (0.72     (2.10
Market Price Return     (8.09       (0.65     (1.91

 

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.

 

 

  75  

 


 

 

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, 2022, on a market price basis, the Fund returned (10.41)%. On a net asset value (“NAV”) basis, the Fund returned (10.23)%. During the same time period, the Index returned (9.86)%. 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 (8.63)%. 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 West Virginia and most underweight in the state of Michigan during the fiscal year ended August 31, 2022. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the fund overweight allocation to the states of New York and New Jersey.

For the fiscal year ended August 31, 2022, the state of New York detracted most significantly from the Fund’s return, followed by the states of California and Texas, respectively. There were no states that contributed to the Fund’s return during the period.

Position that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, was Energy Northwest (No. 1), 5.00% coupon, due 07/01/2028, (portfolio average weight of 0.55%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included New York (State of) Dormitory Authority, 5.00% coupon, due 03/15/2039 (portfolio average weight of 1.63%) and Santa Ana Unified School District, 2.13% coupon, due 08/01/2050 (portfolio average weight of 0.39%).

 

 

  76  

 


 

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

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Ad Valorem Property Tax      20.23  
Sales Tax Revenue      11.41  
College & University Revenue      8.49  
Water Revenue      8.10  
General Fund      7.94  
Miscellaneous Revenue      7.17  
Highway Tolls Revenue      5.92  
Income Tax Revenue      4.94  
Health, Hospital, Nursing Home Revenue      4.77  
Transit Revenue      3.61  
Port, Airport & Marina Revenue      3.32  
Appropriations      3.27  
Electric Power Revenue      3.01  
Revenue Types Each Less Than 3%      6.63  
Other Assets Less Liabilities      1.19  
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
New York (City of), NY, Series 2020 B-1, Ref. GO Bonds, 5.00%, 11/01/2028      1.90  
New York (State of) Dormitory Authority, Series 2018 E, Ref. RB, 5.00%, 03/15/2039      1.42  
New York (State of) Dormitory Authority (Bid Group 4), Series 2018 C, Ref. RB, 5.00%, 03/15/2038      1.28  
California (State of), Series 2020, Ref. GO Bonds, 5.00%, 11/01/2028      1.28  
Illinois (State of) Toll Highway Authority, Series 2017 A, RB, 5.00%, 01/01/2039      1.28  
Texas Municipal Gas Acquisition & Supply Corp. III, Series 2021, Ref. RB, 5.00%, 12/15/2028      1.27  
New York (State of) Dormitory Authority (Columbia University), Series 2018 B, Ref. RB, 5.00%, 10/01/2038      1.24  
Connecticut (State of), Series 2021 A, GO Bonds, 4.00%, 01/15/2028      1.18  
Massachusetts (Commonwealth of), Series 2019 F, GO Bonds, 5.00%, 05/01/2028      1.14  
University of Colorado, Series 2017 A-2, Ref. RB, 4.00%, 06/01/2038      1.11  
Total      13.10  

 

 

  77  

 


 

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

 

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of August 31, 2022

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
Invesco BulletShares® Municipal Bond 2028 Index     (9.86 )%        (0.56 )%      (1.62 )% 
Bloomberg Municipal Bond Index     (8.63       (0.58     (1.68
Fund        
NAV Return     (10.23       (0.87     (2.51
Market Price Return     (10.41       (0.88     (2.55

 

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.

 

 

  78  

 


 

 

BSMT    Management’s Discussion of Fund Performance
   Invesco BulletShares 2029 Municipal Bond ETF (BSMT)

 

As an index fund, the Invesco BulletShares 2029 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 2029 Index (the “Municipal Bond 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 Municipal Bond 2029 Index is designed to measure the performance of a portfolio of U.S. dollar-denominated investment-grade municipal bonds with maturities in the year 2029 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 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, 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 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, 2022, on a market price basis, the Fund returned (11.41)%. On a net asset value (“NAV”) basis, the Fund returned (11.28)%. During the same time period, the Index returned (12.25)%. During the fiscal year, the Fund’s performance, on a NAV basis, differed from the return of the Index primarily due to the positive impact of the sampling methodology employed by the portfolio management team, which were partially offset by the 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 (8.63)%. 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 Vermont and most underweight in the state of Colorado during the fiscal year ended August 31, 2022. The majority of the Fund’s underperformance relative to the Benchmark Index during the period can be attributed to the fund overweight allocation to the District of Colombia followed by the security selection in the state of California.

For the fiscal year ended August 31, 2022, the state of California detracted most significantly from the Fund’s return, followed by the states of New York and Texas, respectively. There were no states that contributed to the Fund’s return during the period.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended August 31, 2022, included New York (City of), NY Transitional Finance Authority, 5.00% coupon, due 07/15/2029, (portfolio average weight of 0.59%) and New York State Urban Development Corp., 5.00% coupon, due 03/15/2029 (portfolio average weight of 0.76%). Positions that detracted most significantly from the Fund’s return for the fiscal year ended August 31, 2022, included California (State of), 4.00% coupon, due 10/01/2044, (portfolio average weight of 1.13%) and New York (State of) Dormitory Authority, 5.00% coupon, due 07/01/2039, (portfolio average weight of 2.28%).

 

 

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Invesco BulletShares 2029 Municipal Bond ETF (BSMT) (continued)

 

Revenue Type Breakdown
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Ad Valorem Property Tax      19.41  
Water Revenue      11.18  
General Fund      11.07  
Highway Tolls Revenue      8.23  
Miscellaneous Revenue      6.57  
Lease Revenue      6.52  
Income Tax Revenue      6.36  
College & University Revenue      5.72  
Health, Hospital, Nursing Home Revenue      5.22  
Appropriations      4.58  
Electric Power Revenue      4.07  
Revenue Types Each Less Than 3%      9.09  
Other Assets Less Liabilities      1.98  
<
Top Ten Fund Holdings
(% of the Fund’s Net Assets)
as of August 31, 2022
 
Security   
New York (State of) Dormitory Authority, Series 2019, RB, 5.00%, 07/01/2039      1.91  
Pennsylvania (Commonwealth of) Turnpike Commission, Series 2019 A, RB, 5.00%, 12/01/2044      1.83  
Illinois (State of) Toll Highway Authority, Series 2019 A, RB, 5.00%, 01/01/2044      1.73  
New York (City of), NY Transitional Finance Authority, Subseries 2019 A-2, RB, 5.00%, 05/01/2037      1.69  
Massachusetts (Commonwealth of), Series 2018 B, Ref. GO Bonds, 5.00%, 07/01/2029      1.55  
Private Colleges & Universities Authority (Emory University), Series 2022 A, Ref. RB, 5.00%, 09/01/2029      1.26  
Washington (State of), Series 2019 A, GO Bonds, 5.00%, 08/01/2039