UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-22148
Invesco Actively Managed Exchange-Traded Fund Trust
(Exact name of registrant as specified in charter)
3500 Lacey Road
Downers Grove, IL 60515
(Address of principal executive offices) (Zip code)
Daniel E. Draper
President
3500 Lacey Road
Downers Grove, IL 60515
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-983-0903
Date of fiscal year end: October 31
Date of reporting period: April 30, 2019
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 is as follows:
Invesco Semi-Annual Report to Shareholders
April 30, 2019
PSR | Invesco Active U.S. Real Estate ETF | |
PSMB | Invesco Balanced Multi-Asset Allocation ETF | |
PSMC | Invesco Conservative Multi-Asset Allocation ETF | |
PSMG | Invesco Growth Multi-Asset Allocation ETF | |
PSMM | Invesco Moderately Conservative Multi-Asset Allocation ETF | |
PHDG | Invesco S&P 500® Downside Hedged ETF | |
GTO | Invesco Total Return Bond ETF | |
GSY | Invesco Ultra Short Duration ETF | |
VRIG | Invesco Variable Rate Investment Grade ETF |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you hold accounts through a financial intermediary, you may contact your financial intermediary to enroll in electronic delivery. Please note that not all financial intermediaries may offer this service.
You may elect to receive all future reports in paper free of charge. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds held with your financial intermediary.
Actively Managed Portfolios | ||||
Schedules of Investments | ||||
3 | ||||
5 | ||||
6 | ||||
7 | ||||
Invesco Moderately Conservative Multi-Asset Allocation ETF (PSMM) | 8 | |||
9 | ||||
15 | ||||
23 | ||||
31 | ||||
Statements of Assets and Liabilities | 38 | |||
Statements of Operations | 40 | |||
Statements of Changes in Net Assets | 42 | |||
Financial Highlights | 46 | |||
Notes to Financial Statements | 54 | |||
Fund Expenses | 75 | |||
Board Considerations Regarding Continuation of Investment Advisory Agreement andSub-Advisory Agreement | 77 |
| 2 |
|
Invesco Active U.S. Real Estate ETF (PSR)
April 30, 2019
(Unaudited)
Portfolio Composition | ||||
Property Type andSub-Industry Breakdown (% of the Fund’s Net Assets) as of April 30, 2019 | ||||
Specialized | 32.7 | |||
Residential | 15.3 | |||
Retail | 14.5 | |||
Office | 10.5 | |||
Health Care | 10.3 | |||
Industrial | 9.2 | |||
Hotel & Resort | 4.2 | |||
Diversified | 3.3 | |||
Money Market Funds Plus Other Assets Less Liabilities | 0.0 |
Schedule of Investments(a)
Number of Shares | Value | |||||||
Real Estate Investment Trusts—100.0% | ||||||||
Diversified—3.3% | ||||||||
14,807 | Empire State Realty Trust, Inc., Class A | $ | 228,916 | |||||
8,599 | Liberty Property Trust | 426,854 | ||||||
7,394 | STORE Capital Corp. | 246,368 | ||||||
52,979 | VEREIT, Inc. | 437,607 | ||||||
10,369 | Washington Real Estate Investment Trust | 292,821 | ||||||
|
| |||||||
1,632,566 | ||||||||
|
| |||||||
Health Care—10.3% | ||||||||
12,027 | CareTrust REIT, Inc. | 291,655 | ||||||
28,711 | HCP, Inc. | 855,014 | ||||||
9,497 | Healthcare Realty Trust, Inc. | 293,267 | ||||||
3,082 | LTC Properties, Inc. | 138,875 | ||||||
17,414 | Medical Properties Trust, Inc. | 304,048 | ||||||
3,904 | National Health Investors, Inc. | 294,479 | ||||||
13,703 | Omega Healthcare Investors, Inc.(b) | 484,949 | ||||||
11,678 | Physicians Realty Trust | 210,905 | ||||||
15,122 | Ventas, Inc. | 924,105 | ||||||
16,269 | Welltower, Inc. | 1,212,528 | ||||||
|
| |||||||
5,009,825 | ||||||||
|
| |||||||
Hotel & Resort—4.2% | ||||||||
50,895 | Host Hotels & Resorts, Inc. | 979,220 | ||||||
17,481 | Park Hotels & Resorts, Inc. | 560,790 | ||||||
5,405 | Ryman Hospitality Properties, Inc. | 430,238 | ||||||
5,997 | Sunstone Hotel Investors, Inc. | 86,357 | ||||||
|
| |||||||
2,056,605 | ||||||||
|
| |||||||
Industrial—9.2% | ||||||||
9,291 | Americold Realty Trust | 297,405 | ||||||
19,538 | Duke Realty Corp. | 608,023 | ||||||
3,650 | EastGroup Properties, Inc. | 417,305 | ||||||
18,011 | Industrial Logistics Properties Trust | 357,518 |
Number of Shares | Value | |||||||
Real Estate Investment Trusts (continued) | ||||||||
Industrial (continued) | ||||||||
27,064 | Prologis, Inc. | $ | 2,074,997 | |||||
6,879 | Rexford Industrial Realty, Inc. | 260,645 | ||||||
5,044 | STAG Industrial, Inc. | 145,166 | ||||||
7,512 | Terreno Realty Corp. | 335,411 | ||||||
|
| |||||||
4,496,470 | ||||||||
|
| |||||||
Office—10.5% | ||||||||
5,844 | Alexandria Real Estate Equities, Inc. | 832,127 | ||||||
8,449 | Boston Properties, Inc. | 1,162,752 | ||||||
7,755 | Columbia Property Trust, Inc. | 176,116 | ||||||
5,386 | Corporate Office Properties Trust | 150,162 | ||||||
10,402 | Douglas Emmett, Inc. | 428,458 | ||||||
8,466 | Highwoods Properties, Inc. | 377,414 | ||||||
5,570 | Hudson Pacific Properties, Inc. | 194,170 | ||||||
2,356 | Kilroy Realty Corp. | 181,200 | ||||||
9,615 | Paramount Group, Inc. | 139,321 | ||||||
15,758 | Piedmont Office Realty Trust, Inc., Class A | 328,082 | ||||||
6,424 | SL Green Realty Corp. | 567,496 | ||||||
8,556 | Vornado Realty Trust | 591,562 | ||||||
|
| |||||||
5,128,860 | ||||||||
|
| |||||||
Residential—15.3% | ||||||||
4,059 | American Campus Communities, Inc. | 191,585 | ||||||
14,142 | American Homes 4 Rent, Class A | 339,125 | ||||||
9,633 | Apartment Investment & Management Co., Class A | 475,485 | ||||||
6,689 | AvalonBay Communities, Inc. | 1,344,021 | ||||||
5,144 | Camden Property Trust | 517,744 | ||||||
4,589 | Equity LifeStyle Properties, Inc. | 535,536 | ||||||
17,653 | Equity Residential | 1,349,042 | ||||||
3,566 | Essex Property Trust, Inc. | 1,007,395 | ||||||
6,345 | Mid-America Apartment Communities, Inc. | 694,207 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 3 |
|
Invesco Active U.S. Real Estate ETF (PSR)(continued)
April 30, 2019
(Unaudited)
Number of Shares | Value | |||||||
Real Estate Investment Trusts (continued) | ||||||||
Residential (continued) | ||||||||
3,655 | Sun Communities, Inc. | $ | 449,857 | |||||
13,240 | UDR, Inc. | 595,138 | ||||||
|
| |||||||
7,499,135 | ||||||||
|
| |||||||
Retail—14.5% | ||||||||
2,259 | Agree Realty Corp. | 147,897 | ||||||
5,323 | Federal Realty Investment Trust | 712,484 | ||||||
28,723 | Kimco Realty Corp. | 499,493 | ||||||
10,383 | National Retail Properties, Inc. | 546,353 | ||||||
12,715 | Realty Income Corp. | 890,177 | ||||||
8,762 | Regency Centers Corp. | 588,543 | ||||||
19,256 | Retail Properties of America, Inc., Class A | 236,656 | ||||||
15,014 | Simon Property Group, Inc. | 2,607,932 | ||||||
9,145 | Spirit Realty Capital, Inc. | 370,007 | ||||||
5,225 | Taubman Centers, Inc. | 257,592 | ||||||
7,120 | Weingarten Realty Investors | 206,053 | ||||||
|
| |||||||
7,063,187 | ||||||||
|
| |||||||
Specialized—32.7% | ||||||||
18,828 | American Tower Corp. | 3,677,108 | ||||||
13,841 | CatchMark Timber Trust, Inc., Class A | 138,410 | ||||||
2,110 | CoreSite Realty Corp. | 230,855 | ||||||
16,224 | Crown Castle International Corp. | 2,040,655 | ||||||
6,392 | CubeSmart | 203,969 | ||||||
7,460 | Digital Realty Trust, Inc. | 878,117 | ||||||
8,093 | EPR Properties | 638,214 | ||||||
2,697 | Equinix, Inc. | 1,226,326 | ||||||
6,227 | Extra Space Storage, Inc. | 645,678 | ||||||
11,504 | Gaming and Leisure Properties, Inc. | 464,532 | ||||||
5,704 | Iron Mountain, Inc. | 185,266 | ||||||
9,387 | Lamar Advertising Co., Class A | 776,023 | ||||||
4,111 | Life Storage, Inc. | 391,737 | ||||||
12,548 | National Storage Affiliates Trust | 367,154 | ||||||
22,589 | Outfront Media, Inc. | 538,296 | ||||||
6,762 | Public Storage | 1,495,619 | ||||||
10,792 | Rayonier, Inc. | 343,078 | ||||||
5,239 | SBA Communications Corp.(c) | 1,067,341 | ||||||
25,028 | Weyerhaeuser Co. | 670,750 | ||||||
|
| |||||||
15,979,128 | ||||||||
|
| |||||||
Total Real Estate Investment Trusts (Cost $43,658,817) | 48,865,776 | |||||||
|
| |||||||
Money Market Funds—0.0% | ||||||||
2,671 | Invesco Premier U.S. Government Money Portfolio—Institutional Class, 2.32%(d) (Cost $2,671) | 2,671 | ||||||
|
| |||||||
Total Investments in Securities (excluding investments purchased with cash collateral from securities on loan) (Cost $43,661,488)—100.0% | 48,868,447 | |||||||
|
|
Number of Shares | Value | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds—0.9% | ||||||||
330,652 | Invesco Government & Agency Portfolio—Institutional Class, 2.34%(d)(e) | $ | 330,652 | |||||
110,184 | Invesco Liquid Assets Portfolio—Institutional Class, 2.48%(d)(e) | 110,217 | ||||||
|
| |||||||
Total Investments Purchased with Cash Collateral from Securities on Loan (Cost $440,869) | 440,869 | |||||||
|
| |||||||
Total Investments in Securities (Cost $44,102,357)—100.9% | 49,309,316 | |||||||
Other assets less liabilities—(0.9)% | (422,798 | ) | ||||||
|
| |||||||
Net Assets—100.0% | $ | 48,886,518 | ||||||
|
|
Abbreviations:
REIT—Real Estate Investment Trust
Notes to Schedule of Investments:
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. |
(b) | All or a portion of this security was out on loan at April 30, 2019. |
(c) | Non-income producing security. |
(d) | The security and the Fund are advised by wholly-owned subsidiaries of Invesco Ltd. and are therefore considered to be affiliated. The rate shown is the7-day SEC standardized yield as of April 30, 2019. |
(e) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 2J. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 4 |
|
Invesco Balanced Multi-Asset Allocation ETF (PSMB)
April 30, 2019
(Unaudited)
Portfolio Composition | ||||
Market Segment Breakdown (% of the Fund’s Net Assets)* as of April 30, 2019 | ||||
US Equities | 43.2 | |||
Fixed Income | 39.9 | |||
International and Developed Equities | 15.8 | |||
Emerging Markets Equities | 1.2 | |||
Money Market Funds Plus Other Assets Less Liabilities | (0.1) |
* | Reflects exposure achieved through investments in underlying funds. |
Schedule of Investments
Number of Shares | Value | |||||||
Exchange-Traded Funds—100.1%(a) | ||||||||
3,151 | Invesco Corporate Income Defensive ETF | $ | 80,218 | |||||
1,834 | Invesco Corporate Income Value ETF | 45,649 | ||||||
3,771 | Invesco Emerging Markets Sovereign Debt ETF | 105,437 | ||||||
6,605 | Invesco Investment Grade Defensive ETF | 168,725 | ||||||
3,638 | Invesco Investment Grade Value ETF | 94,054 | ||||||
8,699 | Invesco RAFITM Strategic Developedex-US ETF | 217,736 | ||||||
2,190 | Invesco RAFITM Strategic Emerging Markets ETF | 58,057 | ||||||
15,423 | Invesco RAFITM Strategic US ETF | 387,580 | ||||||
8,784 | Invesco RAFITM Strategic US Small Company ETF | 208,181 | ||||||
3,916 | Invesco S&P 500® Low Volatility ETF | 210,563 | ||||||
2,753 | Invesco S&P 500® Pure Growth ETF | 328,075 | ||||||
1,372 | Invesco S&P Emerging Markets Low Volatility ETF | 33,257 | ||||||
4,815 | Invesco S&P International Developed Low Volatility ETF | 159,377 | ||||||
1,165 | Invesco S&P MidCap Low Volatility ETF(b) | 59,671 | ||||||
2,292 | Invesco Senior Loan ETF | 52,647 | ||||||
6,077 | Invesco Taxable Municipal Bond ETF | 183,890 | ||||||
15,096 | Invesco Variable Rate Investment Grade ETF | 376,192 | ||||||
|
| |||||||
Total Exchange-Traded Funds (Cost $2,724,917) | 2,769,309 | |||||||
|
| |||||||
Money Market Funds—0.1% | ||||||||
4,133 | Invesco Premier U.S. Government Money Portfolio—Institutional Class, 2.32%(c) (Cost $4,133) | 4,133 | ||||||
|
| |||||||
Total Investments in Securities (excluding investments purchased with cash collateral from securities on loan) (Cost $2,729,050)—100.2% | 2,773,442 | |||||||
|
|
Number of Shares | Value | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds—2.0% | ||||||||
40,547 | Invesco Government & Agency Portfolio—Institutional Class, 2.34%(c)(d) | $ | 40,547 | |||||
13,425 | Invesco Liquid Assets Portfolio—Institutional Class, 2.48%(c)(d) | 13,429 | ||||||
|
| |||||||
Total Investments Purchased with Cash Collateral from Securities on Loan (Cost $53,976) | 53,976 | |||||||
|
| |||||||
Total Investments in Securities (Cost $2,783,026)—102.2% | 2,827,418 | |||||||
Other assets less liabilities—(2.2)% | (60,203 | ) | ||||||
|
| |||||||
Net Assets—100.0% | $ | 2,767,215 | ||||||
|
|
Abbreviations:
ETF—Exchange-Traded Fund
Notes to Schedule of Investments:
(a) | Affiliated Company. See Note 4. |
(b) | All or a portion of this security was out on loan at April 30, 2019. |
(c) | The security and the Fund are advised by wholly-owned subsidiaries of Invesco Ltd. and are therefore considered to be affiliated. The rate shown is the7-day SEC standardized yield as of April 30, 2019. |
(d) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 2J. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 5 |
|
Invesco Conservative Multi-Asset Allocation ETF (PSMC)
April 30, 2019
(Unaudited)
Portfolio Composition | ||||
Market Segment Breakdown (% of the Fund’s Net Assets)* as of April 30, 2019 | ||||
Fixed Income | 72.2 | |||
US Equities | 23.9 | |||
International and Developed Equities | 4.0 | |||
Money Market Funds Plus Other Assets Less Liabilities | (0.1) |
* | Reflects exposure achieved through investments in underlying funds. |
Schedule of Investments
Number of Shares | Value | |||||||
Exchange-Traded Funds—100.1%(a) | ||||||||
5,602 | Invesco Corporate Income Defensive ETF | $ | 142,616 | |||||
3,230 | Invesco Corporate Income Value ETF | 80,395 | ||||||
5,442 | Invesco Emerging Markets Sovereign Debt ETF | 152,158 | ||||||
10,149 | Invesco Investment Grade Defensive ETF | 259,256 | ||||||
5,616 | Invesco Investment Grade Value ETF | 145,192 | ||||||
13,950 | Invesco Preferred ETF(b) | 202,554 | ||||||
7,549 | Invesco PureBetaSM0-5 Yr US TIPS ETF | 188,008 | ||||||
2,051 | Invesco RAFITM Strategic Developedex-US ETF | 51,337 | ||||||
7,046 | Invesco RAFITM Strategic US ETF | 177,066 | ||||||
1,629 | Invesco S&P 500® Low Volatility ETF | 87,591 | ||||||
1,274 | Invesco S&P 500® Pure Growth ETF | 151,823 | ||||||
1,570 | Invesco S&P International Developed Low Volatility ETF | 51,967 | ||||||
8,819 | Invesco Senior Loan ETF | 202,572 | ||||||
5,995 | Invesco Taxable Municipal Bond ETF | 181,409 | ||||||
20,911 | Invesco Variable Rate Investment Grade ETF | 521,102 | ||||||
|
| |||||||
Total Exchange-Traded Funds (Cost $2,561,552) | 2,595,046 | |||||||
|
| |||||||
Money Market Funds—0.2% | ||||||||
6,182 | Invesco Premier U.S. Government Money Portfolio—Institutional Class, 2.32%(c) (Cost $6,182) | 6,182 | ||||||
|
| |||||||
Total Investments in Securities (excluding investments purchased with cash collateral from securities on loan) (Cost $2,567,734)—100.3% | 2,601,228 | |||||||
|
|
Number of Shares | Value | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds—7.9% | ||||||||
152,785 | Invesco Government & Agency Portfolio—Institutional Class, 2.34%(c)(d) | $ | 152,785 | |||||
50,937 | Invesco Liquid Assets Portfolio—Institutional Class, 2.48%(c)(d) | 50,952 | ||||||
|
| |||||||
Total Investments Purchased with Cash Collateral from Securities on Loan (Cost $203,737) | 203,737 | |||||||
|
| |||||||
Total Investments in Securities (Cost $2,771,471)—108.2% | 2,804,965 | |||||||
Other assets less liabilities—(8.2)% | (212,643 | ) | ||||||
|
| |||||||
Net Assets—100.0% | $ | 2,592,322 | ||||||
|
|
Abbreviations:
ETF—Exchange-Traded Fund
Notes to Schedule of Investments:
(a) | Affiliated Company. See Note 4. |
(b) | All or a portion of this security was out on loan at April 30, 2019. |
(c) | The security and the Fund are advised by wholly-owned subsidiaries of Invesco Ltd. and are therefore considered to be affiliated. The rate shown is the7-day SEC standardized yield as of April 30, 2019. |
(d) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 2J. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 6 |
|
Invesco Growth Multi-Asset Allocation ETF (PSMG)
April 30, 2019
(Unaudited)
Portfolio Composition | ||||
Market Segment Breakdown as of April 30, 2019 | ||||
US Equities | 55.2 | |||
International and Developed Equities | 22.9 | |||
Fixed Income | 19.9 | |||
Emerging Markets Equities | 2.0 | |||
Money Market Funds Plus Other Assets Less Liabilities | (0.0) |
* | Reflects exposure achieved through investments in underlying funds. |
Schedule of Investments
Number of Shares | Value | |||||||
Exchange-Traded Funds—100.0%(a) | ||||||||
2,781 | Invesco Emerging Markets Sovereign Debt ETF | $ | 77,757 | |||||
6,827 | Invesco Investment Grade Defensive ETF | 174,396 | ||||||
3,747 | Invesco Investment Grade Value ETF | 96,872 | ||||||
19,332 | Invesco RAFITM Strategic Developedex-US ETF | 483,880 | ||||||
5,683 | Invesco RAFITM Strategic Emerging Markets ETF | 150,656 | ||||||
28,396 | Invesco RAFITM Strategic US ETF | 713,592 | ||||||
15,041 | Invesco RAFITM Strategic US Small Company ETF | 356,472 | ||||||
7,791 | Invesco S&P 500® Low Volatility ETF | 418,922 | ||||||
5,460 | Invesco S&P 500® Pure Growth ETF | 650,668 | ||||||
3,560 | Invesco S&P Emerging Markets Low Volatility ETF | 86,294 | ||||||
10,624 | Invesco S&P International Developed Low Volatility ETF | 351,654 | ||||||
1,856 | Invesco S&P MidCap Low Volatility ETF(b) | 95,064 | ||||||
2,944 | Invesco S&P SmallCap Low Volatility ETF | 142,372 | ||||||
6,401 | Invesco Taxable Municipal Bond ETF | 193,694 | ||||||
12,786 | Invesco Variable Rate Investment Grade ETF(b) | 318,627 | ||||||
|
| |||||||
Total Exchange-Traded Funds (Cost $4,251,752) | 4,310,920 | |||||||
|
| |||||||
Money Market Funds—0.1% | ||||||||
3,129 | Invesco Premier U.S. Government Money Portfolio—Institutional Class, 2.32%(c) (Cost $3,129) | 3,129 | ||||||
|
| |||||||
Total Investments in Securities (excluding investments purchased with cash collateral from securities on loan) (Cost $4,254,881)—100.1% | 4,314,049 | |||||||
|
| |||||||
Number of Shares | Value | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds—2.1% | ||||||||
67,681 | Invesco Government & Agency Portfolio—Institutional Class, 2.34%(c)(d) | $ | 67,681 | |||||
21,704 | Invesco Liquid Assets Portfolio—Institutional Class, 2.48%(c)(d) | 21,711 | ||||||
|
| |||||||
Total Investments Purchased with Cash Collateral from Securities on Loan (Cost $89,392) | 89,392 | |||||||
|
| |||||||
Total Investments in Securities (Cost $4,344,273)—102.2% | 4,403,441 | |||||||
Other assets less liabilities—(2.2)% | (93,735 | ) | ||||||
|
| |||||||
Net Assets—100.0% | $ | 4,309,706 | ||||||
|
|
Abbreviations:
ETF—Exchange-Traded Fund
Notes to Schedule of Investments:
(a) | Affiliated Company. See Note 4. |
(b) | All or a portion of this security was out on loan at April 30, 2019. |
(c) | The security and the Fund are advised by wholly-owned subsidiaries of Invesco Ltd. and are therefore considered to be affiliated. The rate shown is the7-day SEC standardized yield as of April 30, 2019. |
(d) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 2J. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 7 |
|
Invesco Moderately Conservative Multi-Asset Allocation ETF (PSMM)
April 30, 2019
(Unaudited)
Portfolio Composition | ||||
Market Segment Breakdown as of April 30, 2019 | ||||
Fixed Income | 54.2 | |||
US Equities | 36.0 | |||
International and Developed Equities | 9.9 | |||
Money Market Funds Plus Other Assets Less Liabilities | (0.1) |
* | Reflects exposure achieved through investments in underlying funds. |
Schedule of Investments
Number of Shares | Value | |||||||
Exchange-Traded Funds—100.1%(a) | ||||||||
7,054 | Invesco Corporate Income Defensive ETF | $ | 179,581 | |||||
4,054 | Invesco Corporate Income Value ETF | 100,905 | ||||||
8,397 | Invesco Emerging Markets Sovereign Debt ETF | 234,780 | ||||||
11,689 | Invesco Investment Grade Defensive ETF | 298,596 | ||||||
6,555 | Invesco Investment Grade Value ETF | 169,468 | ||||||
16,146 | Invesco Preferred ETF(b) | 234,440 | ||||||
9,156 | Invesco PureBetaSM0-5 Yr US TIPS ETF | 228,030 | ||||||
7,981 | Invesco RAFITM Strategic Developedex-US ETF | 199,764 | ||||||
15,725 | Invesco RAFITM Strategic US ETF | 395,169 | ||||||
6,407 | Invesco RAFITM Strategic US Small Company ETF | 151,846 | ||||||
3,972 | Invesco S&P 500® Low Volatility ETF | 213,574 | ||||||
3,050 | Invesco S&P 500® Pure Growth ETF | 363,469 | ||||||
6,108 | Invesco S&P International Developed Low Volatility ETF | 202,175 | ||||||
1,779 | Invesco S&P MidCap Low Volatility ETF(b) | 91,120 | ||||||
7,655 | Invesco Senior Loan ETF | 175,835 | ||||||
9,664 | Invesco Taxable Municipal Bond ETF | 292,433 | ||||||
20,403 | Invesco Variable Rate Investment Grade ETF | 508,443 | ||||||
|
| |||||||
Total Exchange-Traded Funds (Cost $3,974,339) | 4,039,628 | |||||||
|
| |||||||
Money Market Funds—0.2% | ||||||||
7,769 | Invesco Premier U.S. Government Money Portfolio—Institutional Class, 2.32%(c) (Cost $7,769) | 7,769 | ||||||
|
| |||||||
Total Investments in Securities (excluding investments purchased with cash collateral from securities on loan) (Cost $3,982,108)—100.3% | 4,047,397 | |||||||
|
| |||||||
Number of Shares | Value | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds—2.1% | ||||||||
63,211 | Invesco Government & Agency Portfolio—Institutional Class, 2.34%(c)(d) | $ | 63,211 | |||||
21,149 | Invesco Liquid Assets Portfolio—Institutional Class, 2.48%(c)(d) | 21,155 | ||||||
|
| |||||||
Total Investments Purchased with Cash Collateral from Securities on Loan (Cost $84,366) | 84,366 | |||||||
|
| |||||||
Total Investments in Securities (Cost $4,066,474)—102.4% | 4,131,763 | |||||||
Other assets less liabilities—(2.4)% | (95,260 | ) | ||||||
|
| |||||||
Net Assets—100.0% | $ | 4,036,503 | ||||||
|
|
Abbreviations:
ETF—Exchange-Traded Fund
Notes to Schedule of Investments:
(a) | Affiliated Company. See Note 4. |
(b) | All or a portion of this security was out on loan at April 30, 2019. |
(c) | The security and the Fund are advised by wholly-owned subsidiaries of Invesco Ltd. and are therefore considered to be affiliated. The rate shown is the7-day SEC standardized yield as of April 30, 2019. |
(d) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 2J. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 8 |
|
Invesco S&P 500® Downside Hedged ETF (PHDG)
April 30, 2019
(Unaudited)
Portfolio Composition | ||||
Sector Breakdown | ||||
Information Technology | 16.9 | |||
Health Care | 10.6 | |||
Financials | 10.4 | |||
Communication Services | 8.1 | |||
Consumer Discretionary | 8.0 | |||
Industrials | 7.4 | |||
Consumer Staples | 5.6 | |||
Energy | 4.1 | |||
Sector Types Each Less Than 3% | 6.9 | |||
Money Market Funds Plus Other Assets Less Liabilities | 22.0 |
Schedule of Investments(a)
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests—78.0% | ||||||||
Communication Services—8.1% | ||||||||
959 | Activision Blizzard, Inc. | $ | 46,233 | |||||
380 | Alphabet, Inc., Class A(b) | 455,605 | ||||||
390 | Alphabet, Inc., Class C(b) | 463,507 | ||||||
9,232 | AT&T, Inc. | 285,823 | ||||||
440 | CBS Corp., Class B | 22,559 | ||||||
1,202 | CenturyLink, Inc. | 13,727 | ||||||
220 | Charter Communications, Inc., Class A(b) | 81,662 | ||||||
5,736 | Comcast Corp., Class A | 249,688 | ||||||
199 | Discovery, Inc., Class A(b) | 6,149 | ||||||
457 | Discovery, Inc., Class C(b) | 13,143 | ||||||
291 | DISH Network Corp., Class A(b) | 10,220 | ||||||
386 | Electronic Arts, Inc.(b) | 36,535 | ||||||
3,030 | Facebook, Inc., Class A(b) | 586,002 | ||||||
446 | Fox Corp., Class A(b) | 17,390 | ||||||
205 | Fox Corp., Class B(b) | 7,892 | ||||||
488 | Interpublic Group of Cos., Inc. (The) | 11,224 | ||||||
555 | Netflix, Inc.(b) | 205,650 | ||||||
488 | News Corp., Class A | 6,061 | ||||||
135 | News Corp., Class B | 1,686 | ||||||
282 | Omnicom Group, Inc. | 22,568 | ||||||
142 | Take-Two Interactive Software, Inc.(b) | 13,750 | ||||||
130 | TripAdvisor, Inc.(b) | 6,920 | ||||||
918 | Twitter, Inc.(b) | 36,637 | ||||||
5,236 | Verizon Communications, Inc. | 299,447 | ||||||
467 | Viacom, Inc., Class B | 13,501 | ||||||
2,281 | Walt Disney Co. (The) | 312,429 | ||||||
|
| |||||||
3,226,008 | ||||||||
|
| |||||||
Consumer Discretionary—8.0% | ||||||||
88 | Advance Auto Parts, Inc. | 14,636 | ||||||
524 | Amazon.com, Inc.(b) | 1,009,496 | ||||||
334 | Aptiv PLC | 28,624 |
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests (continued) | ||||||||
Consumer Discretionary (continued) | ||||||||
32 | AutoZone, Inc.(b) | $ | 32,906 | |||||
301 | Best Buy Co., Inc. | 22,397 | ||||||
57 | Booking Holdings, Inc.(b) | 105,734 | ||||||
264 | BorgWarner, Inc. | 11,027 | ||||||
194 | Capri Holdings Ltd.(b) | 8,552 | ||||||
216 | CarMax, Inc.(b)(c) | 16,818 | ||||||
505 | Carnival Corp. | 27,704 | ||||||
30 | Chipotle Mexican Grill, Inc.(b) | 20,641 | ||||||
427 | D.R. Horton, Inc. | 18,920 | ||||||
161 | Darden Restaurants, Inc. | 18,934 | ||||||
334 | Dollar General Corp. | 42,114 | ||||||
304 | Dollar Tree, Inc.(b) | 33,829 | ||||||
1,091 | eBay, Inc. | 42,276 | ||||||
145 | Expedia Group, Inc. | 18,827 | ||||||
135 | Foot Locker, Inc. | 7,723 | ||||||
4,932 | Ford Motor Co. | 51,539 | ||||||
247 | Gap, Inc. (The) | 6,442 | ||||||
154 | Garmin Ltd. | 13,204 | ||||||
1,655 | General Motors Co. | 64,462 | ||||||
190 | Genuine Parts Co. | 19,483 | ||||||
261 | H&R Block, Inc. | 7,102 | ||||||
458 | Hanesbrands, Inc. | 8,276 | ||||||
190 | Harley-Davidson, Inc. | 7,074 | ||||||
147 | Hasbro, Inc. | 14,973 | ||||||
370 | Hilton Worldwide Holdings, Inc. | 32,186 | ||||||
1,435 | Home Depot, Inc. (The) | 292,310 | ||||||
203 | Kohl’s Corp. | 14,433 | ||||||
290 | L Brands, Inc. | 7,436 | ||||||
166 | Leggett & Platt, Inc. | 6,534 | ||||||
367 | Lennar Corp., Class A | 19,095 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 9 |
|
Invesco S&P 500® Downside Hedged ETF (PHDG)(continued)
April 30, 2019
(Unaudited)
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests (continued) | ||||||||
Consumer Discretionary (continued) | ||||||||
400 | LKQ Corp.(b) | $ | 12,040 | |||||
1,011 | Lowe’s Cos., Inc. | 114,385 | ||||||
390 | Macy’s, Inc. | 9,181 | ||||||
361 | Marriott International, Inc., Class A | 49,248 | ||||||
438 | Mattel, Inc.(b) | 5,339 | ||||||
976 | McDonald’s Corp. | 192,828 | ||||||
637 | MGM Resorts International | 16,963 | ||||||
77 | Mohawk Industries, Inc.(b) | 10,491 | ||||||
496 | Newell Brands, Inc. | 7,132 | ||||||
1,603 | NIKE, Inc., Class B | 140,791 | ||||||
144 | Nordstrom, Inc. | 5,907 | ||||||
279 | Norwegian Cruise Line Holdings Ltd.(b) | 15,733 | ||||||
100 | O’Reilly Automotive, Inc.(b) | 37,857 | ||||||
300 | PulteGroup, Inc. | 9,438 | ||||||
96 | PVH Corp. | 12,383 | ||||||
67 | Ralph Lauren Corp. | 8,816 | ||||||
474 | Ross Stores, Inc. | 46,291 | ||||||
220 | Royal Caribbean Cruises Ltd. | 26,607 | ||||||
1,567 | Starbucks Corp. | 121,725 | ||||||
365 | Tapestry, Inc. | 11,779 | ||||||
664 | Target Corp. | 51,407 | ||||||
142 | Tiffany & Co. | 15,310 | ||||||
1,565 | TJX Cos., Inc. (The) | 85,887 | ||||||
154 | Tractor Supply Co. | 15,939 | ||||||
72 | Ulta Beauty, Inc.(b) | 25,127 | ||||||
238 | Under Armour, Inc., Class A(b) | 5,495 | ||||||
244 | Under Armour, Inc., Class C(b) | 5,056 | ||||||
415 | VF Corp. | 39,180 | ||||||
77 | Whirlpool Corp. | 10,689 | ||||||
118 | Wynn Resorts Ltd. | 17,045 | ||||||
394 | Yum! Brands, Inc. | 41,130 | ||||||
|
| |||||||
3,212,906 | ||||||||
|
| |||||||
Consumer Staples—5.6% | ||||||||
2,376 | Altria Group, Inc. | 129,088 | ||||||
704 | Archer-Daniels-Midland Co. | 31,398 | ||||||
211 | Brown-Forman Corp., Class B | 11,244 | ||||||
245 | Campbell Soup Co.(c) | 9,479 | ||||||
310 | Church & Dwight Co., Inc. | 23,235 | ||||||
164 | Clorox Co. (The) | 26,196 | ||||||
4,876 | Coca-Cola Co. (The) | 239,217 | ||||||
1,094 | Colgate-Palmolive Co. | 79,632 | ||||||
649 | Conagra Brands, Inc. | 19,976 | ||||||
211 | Constellation Brands, Inc., Class A | 44,662 | ||||||
556 | Costco Wholesale Corp. | 136,515 | ||||||
571 | Coty, Inc., Class A(c) | 6,178 | ||||||
279 | Estee Lauder Cos., Inc. (The), Class A | 47,935 | ||||||
754 | General Mills, Inc. | 38,808 | ||||||
173 | Hershey Co. (The) | 21,599 | ||||||
341 | Hormel Foods Corp. | 13,620 | ||||||
142 | JM Smucker Co. (The) | 17,414 | ||||||
315 | Kellogg Co. | 18,995 | ||||||
442 | Kimberly-Clark Corp. | 56,744 | ||||||
785 | Kraft Heinz Co. (The) | 26,093 | ||||||
1,008 | Kroger Co. (The) | 25,986 | ||||||
189 | Lamb Weston Holdings, Inc. | 13,239 | ||||||
160 | McCormick & Co., Inc. | 24,635 |
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests (continued) | ||||||||
Consumer Staples (continued) | ||||||||
244 | Molson Coors Brewing Co., Class B | $ | 15,662 | |||||
1,842 | Mondelez International, Inc., Class A | 93,666 | ||||||
503 | Monster Beverage Corp.(b) | 29,979 | ||||||
1,787 | PepsiCo, Inc. | 228,825 | ||||||
1,962 | Philip Morris International, Inc. | 169,831 | ||||||
3,170 | Procter & Gamble Co. (The) | 337,542 | ||||||
609 | Sysco Corp. | 42,855 | ||||||
369 | Tyson Foods, Inc., Class A | 27,679 | ||||||
1,012 | Walgreens Boots Alliance, Inc. | 54,213 | ||||||
1,804 | Walmart, Inc. | 185,523 | ||||||
|
| |||||||
2,247,663 | ||||||||
|
| |||||||
Energy—4.1% | ||||||||
640 | Anadarko Petroleum Corp. | 46,624 | ||||||
478 | Apache Corp. | 15,731 | ||||||
646 | Baker Hughes a GE Co. | 15,517 | ||||||
539 | Cabot Oil & Gas Corp. | 13,955 | ||||||
2,411 | Chevron Corp. | 289,465 | ||||||
129 | Cimarex Energy Co. | 8,857 | ||||||
253 | Concho Resources, Inc. | 29,191 | ||||||
1,436 | ConocoPhillips | 90,640 | ||||||
556 | Devon Energy Corp. | 17,870 | ||||||
195 | Diamondback Energy, Inc. | 20,746 | ||||||
730 | EOG Resources, Inc. | 70,117 | ||||||
5,370 | Exxon Mobil Corp. | 431,104 | ||||||
1,112 | Halliburton Co. | 31,503 | ||||||
139 | Helmerich & Payne, Inc. | 8,134 | ||||||
312 | Hess Corp. | 20,006 | ||||||
188 | HollyFrontier Corp. | 8,973 | ||||||
2,467 | Kinder Morgan, Inc. | 49,019 | ||||||
1,056 | Marathon Oil Corp. | 17,994 | ||||||
854 | Marathon Petroleum Corp. | 51,983 | ||||||
481 | National Oilwell Varco, Inc. | 12,573 | ||||||
610 | Noble Energy, Inc. | 16,507 | ||||||
953 | Occidental Petroleum Corp. | 56,113 | ||||||
525 | ONEOK, Inc. | 35,663 | ||||||
534 | Phillips 66 | 50,340 | ||||||
214 | Pioneer Natural Resources Co. | 35,623 | ||||||
1,743 | Schlumberger Ltd. | 74,391 | ||||||
568 | TechnipFMC PLC (United Kingdom) | 13,967 | ||||||
534 | Valero Energy Corp. | 48,412 | ||||||
1,534 | Williams Cos., Inc. (The) | 43,458 | ||||||
|
| |||||||
1,624,476 | ||||||||
|
| |||||||
Financials—10.4% | ||||||||
66 | Affiliated Managers Group, Inc. | 7,321 | ||||||
958 | Aflac, Inc. | 48,264 | ||||||
421 | Allstate Corp. (The) | 41,704 | ||||||
877 | American Express Co. | 102,811 | ||||||
1,118 | American International Group, Inc. | 53,183 | ||||||
172 | Ameriprise Financial, Inc. | 25,244 | ||||||
306 | Aon PLC | 55,123 | ||||||
229 | Arthur J. Gallagher & Co. | 19,149 | ||||||
66 | Assurant, Inc. | 6,270 | ||||||
11,384 | Bank of America Corp. | 348,123 | ||||||
1,114 | Bank of New York Mellon Corp. (The) | 55,321 | ||||||
976 | BB&T Corp. | 49,971 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 10 |
|
Invesco S&P 500® Downside Hedged ETF (PHDG)(continued)
April 30, 2019
(Unaudited)
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests (continued) | ||||||||
Financials (continued) | ||||||||
2,466 | Berkshire Hathaway, Inc., Class B(b) | $ | 534,407 | |||||
155 | BlackRock, Inc. | 75,212 | ||||||
594 | Capital One Financial Corp. | 55,141 | ||||||
142 | Cboe Global Markets, Inc. | 14,429 | ||||||
1,515 | Charles Schwab Corp. (The) | 69,357 | ||||||
584 | Chubb Ltd. | 84,797 | ||||||
193 | Cincinnati Financial Corp. | 18,563 | ||||||
2,981 | Citigroup, Inc. | 210,757 | ||||||
590 | Citizens Financial Group, Inc. | 21,358 | ||||||
450 | CME Group, Inc. | 80,505 | ||||||
200 | Comerica, Inc. | 15,718 | ||||||
423 | Discover Financial Services | 34,470 | ||||||
328 | E*TRADE Financial Corp. | 16,616 | ||||||
50 | Everest Re Group Ltd. | 11,775 | ||||||
978 | Fifth Third Bancorp | 28,186 | ||||||
202 | First Republic Bank | 21,335 | ||||||
375 | Franklin Resources, Inc. | 12,971 | ||||||
434 | Goldman Sachs Group, Inc. (The) | 89,369 | ||||||
451 | Hartford Financial Services Group, Inc. (The) | 23,592 | ||||||
1,342 | Huntington Bancshares, Inc. | 18,681 | ||||||
723 | Intercontinental Exchange, Inc. | 58,816 | ||||||
460 | Invesco Ltd.(d) | 10,106 | ||||||
328 | Jefferies Financial Group, Inc. | 6,747 | ||||||
4,150 | JPMorgan Chase & Co. | 481,608 | ||||||
1,311 | KeyCorp | 23,008 | ||||||
259 | Lincoln National Corp. | 17,280 | ||||||
356 | Loews Corp. | 18,259 | ||||||
173 | M&T Bank Corp. | 29,422 | ||||||
639 | Marsh & McLennan Cos., Inc. | 60,251 | ||||||
1,214 | MetLife, Inc. | 56,002 | ||||||
211 | Moody’s Corp. | 41,487 | ||||||
1,651 | Morgan Stanley | 79,661 | ||||||
111 | MSCI, Inc. | 25,017 | ||||||
143 | Nasdaq, Inc. | 13,185 | ||||||
280 | Northern Trust Corp. | 27,594 | ||||||
478 | People’s United Financial, Inc. | 8,265 | ||||||
575 | PNC Financial Services Group, Inc. (The) | 78,735 | ||||||
334 | Principal Financial Group, Inc. | 19,091 | ||||||
732 | Progressive Corp. (The) | 57,206 | ||||||
526 | Prudential Financial, Inc. | 55,603 | ||||||
169 | Raymond James Financial, Inc. | 15,475 | ||||||
1,311 | Regions Financial Corp. | 20,360 | ||||||
313 | S&P Global, Inc. | 69,067 | ||||||
478 | State Street Corp. | 32,341 | ||||||
564 | SunTrust Banks, Inc. | 36,931 | ||||||
67 | SVB Financial Group(b) | 16,865 | ||||||
838 | Synchrony Financial | 29,053 | ||||||
306 | T. Rowe Price Group, Inc. | 32,895 | ||||||
129 | Torchmark Corp. | 11,308 | ||||||
336 | Travelers Cos., Inc. (The) | 48,300 | ||||||
273 | Unum Group | 10,079 | ||||||
1,906 | US Bancorp | 101,628 | ||||||
5,189 | Wells Fargo & Co. | 251,200 | ||||||
165 | Willis Towers Watson PLC | 30,416 | ||||||
221 | Zions Bancorp NA | 10,902 | ||||||
|
| |||||||
4,133,886 | ||||||||
|
|
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests (continued) | ||||||||
Health Care—10.6% | ||||||||
2,225 | Abbott Laboratories | $ | 177,021 | |||||
1,869 | AbbVie, Inc. | 148,380 | ||||||
56 | ABIOMED, Inc.(b) | 15,535 | ||||||
398 | Agilent Technologies, Inc. | 31,243 | ||||||
281 | Alexion Pharmaceuticals, Inc.(b) | 38,253 | ||||||
92 | Align Technology, Inc.(b) | 29,871 | ||||||
397 | Allergan PLC | 58,359 | ||||||
197 | AmerisourceBergen Corp. | 14,728 | ||||||
789 | Amgen, Inc. | 141,483 | ||||||
326 | Anthem, Inc. | 85,748 | ||||||
604 | Baxter International, Inc. | 46,085 | ||||||
342 | Becton, Dickinson and Co. | 82,333 | ||||||
250 | Biogen, Inc.(b) | 57,310 | ||||||
1,742 | Boston Scientific Corp.(b) | 64,663 | ||||||
2,066 | Bristol-Myers Squibb Co. | 95,924 | ||||||
371 | Cardinal Health, Inc. | 18,071 | ||||||
889 | Celgene Corp.(b) | 84,153 | ||||||
514 | Centene Corp.(b) | 26,502 | ||||||
418 | Cerner Corp.(b) | 27,776 | ||||||
479 | Cigna Corp. | 76,084 | ||||||
63 | Cooper Cos., Inc. (The) | 18,265 | ||||||
1,643 | CVS Health Corp. | 89,346 | ||||||
797 | Danaher Corp. | 105,555 | ||||||
161 | DaVita, Inc.(b) | 8,894 | ||||||
283 | DENTSPLY SIRONA, Inc. | 14,470 | ||||||
264 | Edwards Lifesciences Corp.(b) | 46,482 | ||||||
1,098 | Eli Lilly & Co. | 128,510 | ||||||
1,629 | Gilead Sciences, Inc. | 105,950 | ||||||
338 | HCA Healthcare, Inc. | 43,004 | ||||||
194 | Henry Schein, Inc.(b) | 12,428 | ||||||
339 | Hologic, Inc.(b) | 15,723 | ||||||
171 | Humana, Inc. | 43,675 | ||||||
110 | IDEXX Laboratories, Inc.(b) | 25,520 | ||||||
187 | Illumina, Inc.(b) | 58,344 | ||||||
224 | Incyte Corp.(b) | 17,203 | ||||||
145 | Intuitive Surgical, Inc.(b) | 74,041 | ||||||
198 | IQVIA Holdings, Inc.(b) | 27,502 | ||||||
3,375 | Johnson & Johnson | 476,550 | ||||||
125 | Laboratory Corp. of America Holdings(b) | 19,990 | ||||||
250 | McKesson Corp. | 29,813 | ||||||
1,701 | Medtronic PLC | 151,066 | ||||||
3,280 | Merck & Co., Inc. | 258,169 | ||||||
30 | Mettler-Toledo International, Inc.(b) | 22,358 | ||||||
648 | Mylan NV(b) | 17,490 | ||||||
221 | Nektar Therapeutics(b) | 7,076 | ||||||
141 | PerkinElmer, Inc. | 13,513 | ||||||
159 | Perrigo Co. PLC | 7,619 | ||||||
7,035 | Pfizer, Inc. | 285,691 | ||||||
170 | Quest Diagnostics, Inc. | 16,385 | ||||||
100 | Regeneron Pharmaceuticals, Inc.(b) | 34,314 | ||||||
182 | ResMed, Inc. | 19,021 | ||||||
392 | Stryker Corp. | 74,053 | ||||||
57 | Teleflex, Inc. | 16,312 | ||||||
510 | Thermo Fisher Scientific, Inc. | 141,500 | ||||||
1,217 | UnitedHealth Group, Inc. | 283,646 | ||||||
104 | Universal Health Services, Inc., Class B | 13,194 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 11 |
|
Invesco S&P 500® Downside Hedged ETF (PHDG)(continued)
April 30, 2019
(Unaudited)
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests (continued) | ||||||||
Health Care (continued) | ||||||||
114 | Varian Medical Systems, Inc.(b) | $ | 15,523 | |||||
329 | Vertex Pharmaceuticals, Inc.(b) | 55,594 | ||||||
90 | Waters Corp.(b) | 19,219 | ||||||
60 | WellCare Health Plans, Inc.(b) | 15,501 | ||||||
256 | Zimmer Biomet Holdings, Inc. | 31,529 | ||||||
611 | Zoetis, Inc. | 62,224 | ||||||
|
| |||||||
4,241,784 | ||||||||
|
| |||||||
Industrials—7.4% | ||||||||
732 | 3M Co. | 138,721 | ||||||
166 | A.O. Smith Corp. | 8,727 | ||||||
156 | Alaska Air Group, Inc. | 9,656 | ||||||
120 | Allegion PLC | 11,908 | ||||||
524 | American Airlines Group, Inc. | 17,910 | ||||||
288 | AMETEK, Inc. | 25,393 | ||||||
547 | Arconic, Inc. | 11,750 | ||||||
669 | Boeing Co. (The) | 252,675 | ||||||
171 | C.H. Robinson Worldwide, Inc. | 13,851 | ||||||
730 | Caterpillar, Inc. | 101,777 | ||||||
110 | Cintas Corp. | 23,885 | ||||||
255 | Copart, Inc.(b) | 17,167 | ||||||
983 | CSX Corp. | 78,276 | ||||||
184 | Cummins, Inc. | 30,597 | ||||||
404 | Deere & Co. | 66,915 | ||||||
787 | Delta Air Lines, Inc. | 45,874 | ||||||
189 | Dover Corp. | 18,530 | ||||||
537 | Eaton Corp. PLC | 44,474 | ||||||
788 | Emerson Electric Co. | 55,940 | ||||||
147 | Equifax, Inc. | 18,515 | ||||||
221 | Expeditors International of Washington, Inc. | 17,552 | ||||||
363 | Fastenal Co. | 25,610 | ||||||
307 | FedEx Corp. | 58,164 | ||||||
166 | Flowserve Corp. | 8,139 | ||||||
163 | Fluor Corp. | 6,476 | ||||||
368 | Fortive Corp. | 31,773 | ||||||
164 | Fortune Brands Home & Security, Inc. | 8,656 | ||||||
344 | General Dynamics Corp. | 61,480 | ||||||
10,982 | General Electric Co. | 111,687 | ||||||
150 | Harris Corp. | 25,275 | ||||||
930 | Honeywell International, Inc. | 161,476 | ||||||
52 | Huntington Ingalls Industries, Inc. | 11,574 | ||||||
451 | IHS Markit Ltd.(b) | 25,824 | ||||||
383 | Illinois Tool Works, Inc. | 59,606 | ||||||
310 | Ingersoll-Rand PLC | 38,009 | ||||||
111 | J.B. Hunt Transport Services, Inc. | 10,487 | ||||||
149 | Jacobs Engineering Group, Inc. | 11,613 | ||||||
1,171 | Johnson Controls International PLC | 43,912 | ||||||
133 | Kansas City Southern | 16,378 | ||||||
101 | L3 Technologies, Inc. | 22,077 | ||||||
311 | Lockheed Martin Corp. | 103,666 | ||||||
374 | Masco Corp. | 14,608 | ||||||
450 | Nielsen Holdings PLC | 11,488 | ||||||
341 | Norfolk Southern Corp. | 69,571 | ||||||
216 | Northrop Grumman Corp. | 62,621 | ||||||
444 | PACCAR, Inc. | 31,821 | ||||||
167 | Parker-Hannifin Corp. | 30,240 | ||||||
188 | Pentair PLC | 7,330 |
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests (continued) | ||||||||
Industrials (continued) | ||||||||
167 | Quanta Services, Inc. | $ | 6,780 | |||||
362 | Raytheon Co. | 64,288 | ||||||
277 | Republic Services, Inc. | 22,941 | ||||||
151 | Robert Half International, Inc. | 9,376 | ||||||
152 | Rockwell Automation, Inc. | 27,468 | ||||||
187 | Rollins, Inc. | 7,231 | ||||||
134 | Roper Technologies, Inc. | 48,200 | ||||||
73 | Snap-on, Inc. | 12,284 | ||||||
641 | Southwest Airlines Co. | 34,761 | ||||||
193 | Stanley Black & Decker, Inc. | 28,294 | ||||||
308 | Textron, Inc. | 16,324 | ||||||
62 | TransDigm Group, Inc.(b) | 29,916 | ||||||
917 | Union Pacific Corp. | 162,346 | ||||||
286 | United Continental Holdings, Inc.(b) | 25,414 | ||||||
883 | United Parcel Service, Inc., Class B | 93,792 | ||||||
105 | United Rentals, Inc.(b) | 14,797 | ||||||
1,030 | United Technologies Corp. | 146,888 | ||||||
208 | Verisk Analytics, Inc. | 29,357 | ||||||
57 | W.W. Grainger, Inc. | 16,074 | ||||||
167 | Wabtec Corp.(c) | 12,370 | ||||||
499 | Waste Management, Inc. | 53,563 | ||||||
226 | Xylem, Inc. | 18,848 | ||||||
|
| |||||||
2,960,966 | ||||||||
|
| |||||||
Information Technology—16.9% | ||||||||
808 | Accenture PLC, Class A | 147,597 | ||||||
616 | Adobe, Inc.(b) | 178,178 | ||||||
1,115 | Advanced Micro Devices, Inc.(b) | 30,807 | ||||||
207 | Akamai Technologies, Inc.(b) | 16,572 | ||||||
54 | Alliance Data Systems Corp. | 8,645 | ||||||
378 | Amphenol Corp., Class A | 37,634 | ||||||
471 | Analog Devices, Inc. | 54,749 | ||||||
108 | ANSYS, Inc.(b) | 21,146 | ||||||
5,685 | Apple, Inc. | 1,140,809 | ||||||
1,204 | Applied Materials, Inc. | 53,060 | ||||||
67 | Arista Networks, Inc.(b) | 20,923 | ||||||
279 | Autodesk, Inc.(b) | 49,721 | ||||||
556 | Automatic Data Processing, Inc. | 91,401 | ||||||
502 | Broadcom, Inc. | 159,837 | ||||||
144 | Broadridge Financial Solutions, Inc. | 17,011 | ||||||
360 | Cadence Design Systems, Inc.(b) | 24,977 | ||||||
5,579 | Cisco Systems, Inc. | 312,145 | ||||||
164 | Citrix Systems, Inc. | 16,557 | ||||||
729 | Cognizant Technology Solutions Corp., Class A | 53,188 | ||||||
1,010 | Corning, Inc. | 32,169 | ||||||
341 | DXC Technology Co. | 22,417 | ||||||
76 | F5 Networks, Inc.(b) | 11,924 | ||||||
410 | Fidelity National Information Services, Inc. | 47,531 | ||||||
504 | Fiserv, Inc.(b) | 43,969 | ||||||
112 | FleetCor Technologies, Inc.(b) | 29,226 | ||||||
162 | FLIR Systems, Inc. | 8,576 | ||||||
188 | Fortinet, Inc.(b) | 17,563 | ||||||
113 | Gartner, Inc.(b) | 17,964 | ||||||
198 | Global Payments, Inc. | 28,922 | ||||||
1,795 | Hewlett Packard Enterprise Co. | 28,379 | ||||||
1,943 | HP, Inc. | 38,763 | ||||||
5,699 | Intel Corp. | 290,877 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 12 |
|
Invesco S&P 500® Downside Hedged ETF (PHDG)(continued)
April 30, 2019
(Unaudited)
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests (continued) | ||||||||
Information Technology (continued) | ||||||||
1,129 | International Business Machines Corp. | $ | 158,365 | |||||
329 | Intuit, Inc. | 82,599 | ||||||
49 | IPG Photonics Corp.(b) | 8,562 | ||||||
102 | Jack Henry & Associates, Inc. | 15,204 | ||||||
441 | Juniper Networks, Inc. | 12,247 | ||||||
244 | Keysight Technologies, Inc.(b) | 21,235 | ||||||
210 | KLA-Tencor Corp. | 26,771 | ||||||
196 | Lam Research Corp. | 40,656 | ||||||
1,147 | Mastercard, Inc., Class A | 291,613 | ||||||
356 | Maxim Integrated Products, Inc. | 21,360 | ||||||
303 | Microchip Technology, Inc. | 30,267 | ||||||
1,421 | Micron Technology, Inc.(b) | 59,767 | ||||||
9,730 | Microsoft Corp. | 1,270,738 | ||||||
208 | Motorola Solutions, Inc. | 30,141 | ||||||
314 | NetApp, Inc. | 22,875 | ||||||
768 | NVIDIA Corp. | 139,008 | ||||||
3,219 | Oracle Corp. | 178,107 | ||||||
399 | Paychex, Inc. | 33,640 | ||||||
1,486 | PayPal Holdings, Inc.(b) | 167,576 | ||||||
156 | Qorvo, Inc.(b) | 11,795 | ||||||
1,535 | QUALCOMM, Inc. | 132,210 | ||||||
224 | Red Hat, Inc.(b) | 40,887 | ||||||
972 | salesforce.com, Inc.(b) | 160,720 | ||||||
332 | Seagate Technology PLC | 16,042 | ||||||
225 | Skyworks Solutions, Inc. | 19,841 | ||||||
809 | Symantec Corp. | 19,586 | ||||||
191 | Synopsys, Inc.(b) | 23,126 | ||||||
430 | TE Connectivity Ltd. | 41,130 | ||||||
1,191 | Texas Instruments, Inc. | 140,336 | ||||||
207 | Total System Services, Inc. | 21,164 | ||||||
137 | VeriSign, Inc.(b) | 27,051 | ||||||
2,216 | Visa, Inc., Class A | 364,377 | ||||||
365 | Western Digital Corp. | 18,659 | ||||||
552 | Western Union Co. (The) | 10,731 | ||||||
254 | Xerox Corp. | 8,473 | ||||||
315 | Xilinx, Inc. | 37,844 | ||||||
|
| |||||||
6,757,940 | ||||||||
|
| |||||||
Materials—2.1% | ||||||||
279 | Air Products & Chemicals, Inc. | 57,415 | ||||||
134 | Albemarle Corp. | 10,058 | ||||||
104 | Avery Dennison Corp. | 11,508 | ||||||
425 | Ball Corp. | 25,475 | ||||||
168 | Celanese Corp. | 18,126 | ||||||
283 | CF Industries Holdings, Inc. | 12,673 | ||||||
952 | Dow, Inc.(b) | 54,007 | ||||||
2,858 | DowDuPont, Inc. | 109,890 | ||||||
173 | Eastman Chemical Co. | 13,646 | ||||||
322 | Ecolab, Inc. | 59,274 | ||||||
171 | FMC Corp. | 13,519 | ||||||
1,826 | Freeport-McMoRan, Inc. | 22,478 | ||||||
133 | International Flavors & Fragrances, Inc.(c) | 18,326 | ||||||
508 | International Paper Co. | 23,780 | ||||||
697 | Linde PLC (United Kingdom) | 125,641 | ||||||
386 | LyondellBasell Industries NV, Class A | 34,057 | ||||||
81 | Martin Marietta Materials, Inc. | 17,974 | ||||||
448 | Mosaic Co. (The) | 11,697 |
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests (continued) | ||||||||
Materials (continued) | ||||||||
1,038 | Newmont Goldcorp Corp. | $ | 32,240 | |||||
395 | Nucor Corp. | 22,543 | ||||||
120 | Packaging Corp. of America | 11,899 | ||||||
306 | PPG Industries, Inc. | 35,955 | ||||||
198 | Sealed Air Corp. | 9,231 | ||||||
104 | Sherwin-Williams Co. (The) | 47,302 | ||||||
167 | Vulcan Materials Co. | 21,060 | ||||||
338 | WestRock Co. | 12,972 | ||||||
|
| |||||||
832,746 | ||||||||
|
| |||||||
Real Estate—2.3% | ||||||||
143 | Alexandria Real Estate Equities, Inc. | 20,362 | ||||||
558 | American Tower Corp. | 108,977 | ||||||
197 | Apartment Investment & Management Co., Class A | 9,724 | ||||||
176 | AvalonBay Communities, Inc. | 35,364 | ||||||
195 | Boston Properties, Inc. | 26,836 | ||||||
397 | CBRE Group, Inc., Class A(b) | 20,672 | ||||||
527 | Crown Castle International Corp. | 66,286 | ||||||
264 | Digital Realty Trust, Inc. | 31,076 | ||||||
451 | Duke Realty Corp. | 14,035 | ||||||
106 | Equinix, Inc. | 48,198 | ||||||
470 | Equity Residential | 35,917 | ||||||
84 | Essex Property Trust, Inc. | 23,730 | ||||||
163 | Extra Space Storage, Inc. | 16,902 | ||||||
99 | Federal Realty Investment Trust | 13,251 | ||||||
608 | HCP, Inc. | 18,106 | ||||||
944 | Host Hotels & Resorts, Inc. | 18,163 | ||||||
363 | Iron Mountain, Inc. | 11,790 | ||||||
534 | Kimco Realty Corp. | 9,286 | ||||||
117 | Macerich Co. (The) | 4,696 | ||||||
142 | Mid-America Apartment Communities, Inc. | 15,536 | ||||||
791 | Prologis, Inc. | 60,646 | ||||||
192 | Public Storage | 42,467 | ||||||
386 | Realty Income Corp. | 27,024 | ||||||
219 | Regency Centers Corp. | 14,710 | ||||||
142 | SBA Communications Corp.(b) | 28,930 | ||||||
391 | Simon Property Group, Inc. | 67,917 | ||||||
104 | SL Green Realty Corp. | 9,187 | ||||||
343 | UDR, Inc. | 15,418 | ||||||
449 | Ventas, Inc. | 27,438 | ||||||
222 | Vornado Realty Trust | 15,349 | ||||||
490 | Welltower, Inc. | 36,520 | ||||||
949 | Weyerhaeuser Co. | 25,433 | ||||||
|
| |||||||
919,946 | ||||||||
|
| |||||||
Utilities—2.5% | ||||||||
877 | AES Corp. | 15,014 | ||||||
303 | Alliant Energy Corp. | 14,311 | ||||||
309 | Ameren Corp. | 22,486 | ||||||
620 | American Electric Power Co., Inc. | 53,041 | ||||||
227 | American Water Works Co., Inc. | 24,559 | ||||||
148 | Atmos Energy Corp. | 15,146 | ||||||
637 | CenterPoint Energy, Inc. | 19,747 | ||||||
361 | CMS Energy Corp. | 20,054 | ||||||
408 | Consolidated Edison, Inc. | 35,153 | ||||||
1,014 | Dominion Energy, Inc. | 78,960 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 13 |
|
Invesco S&P 500® Downside Hedged ETF (PHDG)(continued)
April 30, 2019
(Unaudited)
Number of Shares | Value | |||||||
Common Stocks & Other Equity Interests (continued) | ||||||||
Utilities (continued) | ||||||||
228 | DTE Energy Co. | $ | 28,662 | |||||
922 | Duke Energy Corp. | 84,013 | ||||||
415 | Edison International | 26,465 | ||||||
241 | Entergy Corp. | 23,353 | ||||||
334 | Evergy, Inc. | 19,312 | ||||||
397 | Eversource Energy | 28,449 | ||||||
1,225 | Exelon Corp. | 62,414 | ||||||
638 | FirstEnergy Corp. | 26,815 | ||||||
609 | NextEra Energy, Inc. | 118,414 | ||||||
492 | NiSource, Inc. | 13,668 | ||||||
366 | NRG Energy, Inc. | 15,068 | ||||||
142 | Pinnacle West Capital Corp. | 13,528 | ||||||
916 | PPL Corp. | 28,588 | ||||||
641 | Public Service Enterprise Group, Inc. | 38,236 | ||||||
342 | Sempra Energy | 43,759 | ||||||
1,312 | Southern Co. (The) | 69,825 | ||||||
396 | WEC Energy Group, Inc. | 31,058 | ||||||
647 | Xcel Energy, Inc. | 36,555 | ||||||
|
| |||||||
1,006,653 | ||||||||
|
| |||||||
Total Common Stocks & Other Equity Interests (Cost $27,483,372) | 31,164,974 | |||||||
|
| |||||||
Money Market Funds—17.7% | ||||||||
7,080,222 | Invesco Premier U.S. Government Money Portfolio—Institutional Class, 2.32%(e) (Cost $7,080,222) | 7,080,222 | ||||||
|
| |||||||
Total Investments in Securities (excluding investments purchased with cash collateral from securities on loan) (Cost $34,563,594)—95.7% | 38,245,196 | |||||||
|
|
Number of Shares | Value | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds—0.1% | ||||||||
43,310 | Invesco Government & Agency Portfolio—Institutional Class, 2.34%(e)(f) | $ | 43,310 | |||||
14,432 | Invesco Liquid Assets Portfolio—Institutional Class, 2.48%(e)(f) | 14,437 | ||||||
|
| |||||||
Total Investments Purchased with Cash Collateral from Securities on Loan (Cost $57,747) | 57,747 | |||||||
|
| |||||||
Total Investments in Securities (Cost $34,621,341)—95.8% | 38,302,943 | |||||||
Other assets less liabilities—4.2% | 1,660,999 | |||||||
|
| |||||||
Net Assets—100.0% | $ | 39,963,942 | ||||||
|
|
Notes to Schedule of Investments:
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. |
(b) | Non-income producing security. |
(c) | All or a portion of this security was out on loan at April 30, 2019. |
(d) | Affiliated company. See Note 4. |
(e) | The security and the Fund are advised by wholly-owned subsidiaries of Invesco Ltd. and are therefore considered to be affiliated. The rate shown is the7-day SEC standardized yield as of April 30, 2019. |
(f) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 2J. |
Open Futures Contracts | ||||||||||||||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) | |||||||||||
Equity Risk | ||||||||||||||||
CBOE Volatility Index (VIX) Futures | 42 | May-2019 | $ | 605,850 | $ | (25,852 | ) | $ | (25,852 | ) | ||||||
CBOE Volatility Index (VIX) Futures | 25 | June-2019 | 394,375 | 4,670 | 4,670 | |||||||||||
S&P 500E-Mini Futures | 53 | June-2019 | 7,813,525 | 337,490 | 337,490 | |||||||||||
|
|
|
| |||||||||||||
Total Futures Contracts | $ | 316,308 | $ | 316,308 | ||||||||||||
|
|
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 14 |
|
Invesco Total Return Bond ETF (GTO)
April 30, 2019
(Unaudited)
Portfolio Composition | ||||
Asset Group (% of the Fund’s Net Assets) as of April 30, 2019 | ||||
U.S. Government Sponsored Agency Mortgage-Backed Securities | 32.4 | |||
Corporate Bonds and Notes | 28.3 | |||
U.S. Treasury Securities | 21.2 | |||
Asset-Backed Securities | 7.7 | |||
U.S. Government Sponsored Agency Securities | 4.3 | |||
Municipal Bonds | 3.2 | |||
Variable Rate Senior Loan Interests | 2.1 | |||
Commercial Mortgage-Backed Securities | 1.0 | |||
Preferred Stocks | 0.6 | |||
U.S. Agency Mortgage Credit Risk Transfer | 0.4 | |||
Sovereign Debt Obligations | 0.3 | |||
Purchased Call Options | 0.1 | |||
Other Assets Less Liabilities | (1.6) |
Schedule of Investments
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
U.S. Government Sponsored Agency Mortgage-Backed Securities—32.4% | ||||||||||||||||
Commercial Mortgage-Backed Securities—9.0% | ||||||||||||||||
$ | 964,013 | Federal Home Loan Mortgage Corp. (FHLMC), Military Housing Bonds Resecuritization Trust Certificates, Class B1, Series 2015-R1(a)(b) | 3.483 | % | 11/25/2055 | $ | 1,017,901 | |||||||||
250,000 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, Class AM, Series 2017-K066 | 3.200 | 06/25/2027 | 254,345 | ||||||||||||
1,000,000 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, Class AFX, Series 2017-KGX1 | 3.000 | 10/25/2027 | 1,003,663 | ||||||||||||
1,000,000 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, Class AM, Series 2018-K074 | 3.600 | 02/25/2028 | 1,046,020 | ||||||||||||
1,000,000 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, Class A3, Series 2018-K154 | 3.459 | 11/25/2032 | 1,022,978 | ||||||||||||
5,139,758 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, IO, Class X1, Series 2013-K026(b) | 1.115 | 11/25/2022 | 149,736 | ||||||||||||
8,272,323 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, IO, Class X1, Series 2013-K035(b) | 0.527 | 08/25/2023 | 120,738 | ||||||||||||
5,998,703 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, IO, Class X1, Series 2014-K036(b) | 0.887 | 10/25/2023 | 174,498 | ||||||||||||
6,391,624 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, IO, Class X1, Series 2014-K037(b) | 1.143 | 01/25/2024 | 247,037 | ||||||||||||
4,280,534 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, IO, Class X1, Series 2014-K038(b) | 1.312 | 03/25/2024 | 201,441 | ||||||||||||
4,399,075 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, IO, Class X1, Series 2015-K042(b) | 1.181 | 12/25/2024 | 221,585 | ||||||||||||
29,117,226 | FREMF Mortgage Trust, IO, Class X2A, Series 2013-K29(a) | 0.125 | 05/25/2046 | 113,263 | ||||||||||||
|
| |||||||||||||||
5,573,205 | ||||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 15 |
|
Invesco Total Return Bond ETF (GTO)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
U.S. Government Sponsored Agency Mortgage-Backed Securities (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC)—3.5% | ||||||||||||||||
$ | 491,420 | Federal Home Loan Mortgage Corp. (FHLMC) | 3.550 | % | 10/01/2033 | $ | 498,222 | |||||||||
1,180,000 | Federal Home Loan Mortgage Corp. (FHLMC) | 3.500 | 05/01/2046 | 1,191,731 | ||||||||||||
500,000 | Federal Home Loan Mortgage Corp. (FHLMC) | 4.000 | 05/01/2048 | 513,514 | ||||||||||||
|
| |||||||||||||||
2,203,467 | ||||||||||||||||
|
| |||||||||||||||
Federal National Mortgage Association (FNMA)—15.8% | ||||||||||||||||
500,000 | Federal National Mortgage Association (FNMA) | 2.990 | 09/01/2029 | 493,645 | ||||||||||||
500,000 | Federal National Mortgage Association (FNMA) | 2.860 | 09/01/2029 | 490,469 | ||||||||||||
500,000 | Federal National Mortgage Association (FNMA) | 3.050 | 10/01/2029 | 496,458 | ||||||||||||
500,000 | Federal National Mortgage Association (FNMA) | 2.820 | 10/01/2029 | 488,599 | ||||||||||||
500,000 | Federal National Mortgage Association (FNMA) | 2.900 | 11/01/2029 | 488,289 | ||||||||||||
570,000 | Federal National Mortgage Association (FNMA) | 3.500 | 06/15/2030 | 581,736 | ||||||||||||
860,000 | Federal National Mortgage Association (FNMA) | 3.000 | 06/15/2031 | 864,082 | ||||||||||||
750,000 | Federal National Mortgage Association (FNMA) | 3.080 | 10/01/2032 | 735,509 | ||||||||||||
488,399 | Federal National Mortgage Association (FNMA) | 3.240 | 11/01/2032 | 486,945 | ||||||||||||
1,000,000 | Federal National Mortgage Association (FNMA) | 3.310 | 01/01/2033 | 1,004,374 | ||||||||||||
440,000 | Federal National Mortgage Association (FNMA) | 2.500 | 06/01/2033 | 434,895 | ||||||||||||
1,170,000 | Federal National Mortgage Association (FNMA) | 3.000 | 05/15/2046 | 1,156,312 | ||||||||||||
900,000 | Federal National Mortgage Association (FNMA) | 4.000 | 05/15/2046 | 923,660 | ||||||||||||
620,000 | Federal National Mortgage Association (FNMA) | 3.500 | 05/15/2046 | 625,655 | ||||||||||||
541,671 | Federal National Mortgage Association (FNMA) | 4.000 | 11/01/2047 | 558,718 | ||||||||||||
|
| |||||||||||||||
9,829,346 | ||||||||||||||||
|
| |||||||||||||||
Government National Mortgage Association (GNMA)—2.0% | ||||||||||||||||
350,000 | Government National Mortgage Association (GNMA) | 4.000 | 05/01/2045 | 360,445 | ||||||||||||
865,000 | Government National Mortgage Association (GNMA) | 3.000 | 05/15/2048 | 862,956 | ||||||||||||
|
| |||||||||||||||
1,223,401 | ||||||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities—2.1% | ||||||||||||||||
443,022 | Federal Home Loan Mortgage Corp. (FHLMC), Seasoned Credit Risk Transfer Trust, Class HT, Series 2017-3(c) | 3.000 | 07/25/2056 | 438,667 | ||||||||||||
849,875 | Federal Home Loan Mortgage Corp. (FHLMC), Seasoned Credit Risk Transfer Trust, Class HT, Series 2017-4(c) | 2.750 | 06/25/2057 | 843,924 | ||||||||||||
|
| |||||||||||||||
1,282,591 | ||||||||||||||||
|
| |||||||||||||||
Total U.S. Government Sponsored Agency Mortgage-Backed Securities (Cost $20,095,322) | 20,112,010 | |||||||||||||||
|
| |||||||||||||||
Corporate Bonds and Notes—28.3% | ||||||||||||||||
Advertising—0.4% | ||||||||||||||||
250,000 | MDC Partners, Inc.(a) | 6.500 | 05/01/2024 | 212,500 | ||||||||||||
|
| |||||||||||||||
Agriculture—0.1% | ||||||||||||||||
41,000 | Altria Group, Inc. | 4.400 | 02/14/2026 | 42,384 | ||||||||||||
|
| |||||||||||||||
Auto Manufacturers—1.1% | ||||||||||||||||
200,000 | Ford Motor Credit Co. LLC | 5.584 | 03/18/2024 | 210,433 | ||||||||||||
448,000 | Hyundai Capital America(a) | 4.300 | 02/01/2024 | 460,240 | ||||||||||||
|
| |||||||||||||||
670,673 | ||||||||||||||||
|
| |||||||||||||||
Banks—4.5% | ||||||||||||||||
200,000 | Banco do Brasil SA, MTN (Brazil)(a) | 4.750 | 03/20/2024 | 204,440 | ||||||||||||
100,000 | Citigroup, Inc. (3 mo. USD LIBOR + 1.38%)(d) | 3.981 | 03/30/2021 | 101,812 | ||||||||||||
390,000 | Citigroup, Inc., Series P(e) | 5.950 | 409,500 | |||||||||||||
100,000 | Citigroup, Inc., Series T(e) | 6.250 | 107,125 | |||||||||||||
250,000 | Citizens Bank NA, BKNT (3 mo. USD LIBOR + 0.81%)(d) | 3.456 | 05/26/2022 | 251,167 | ||||||||||||
275,000 | Cooperatieve Rabobank UA (Netherlands)(a)(e) | 11.000 | 278,266 | |||||||||||||
200,000 | Credit Suisse Group AG (Switzerland)(a)(e) | 7.500 | 211,277 | |||||||||||||
292,000 | HSBC Holdings PLC (United Kingdom)(e) | 6.250 | 298,416 | |||||||||||||
205,000 | JPMorgan Chase & Co. (3 mo. USD LIBOR + 0.89%)(d) | 3.482 | 07/23/2024 | 205,628 | ||||||||||||
86,000 | JPMorgan Chase & Co., Series I (3 mo. USD LIBOR + 3.47%)(d)(e) | 6.053 | 86,328 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 16 |
|
Invesco Total Return Bond ETF (GTO)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Banks (continued) | ||||||||||||||||
$ | 100,000 | Mizuho Financial Group, Inc. (Japan) (3 mo. USD LIBOR + 0.79%)(d) | 3.389 | % | 03/05/2023 | $ | 100,259 | |||||||||
205,000 | Societe Generale SA (France)(a)(e) | 7.375 | 208,628 | |||||||||||||
200,000 | UBS Group Funding Switzerland AG (Switzerland) (3 mo. USD LIBOR + 1.44%)(a)(d) | 4.042 | 09/24/2020 | 203,080 | ||||||||||||
150,000 | UBS Group Funding Switzerland AG (Switzerland) (3 mo. USD LIBOR + 1.78%)(a)(d) | 4.377 | 04/14/2021 | 153,646 | ||||||||||||
|
| |||||||||||||||
2,819,572 | ||||||||||||||||
|
| |||||||||||||||
Chemicals—0.3% | ||||||||||||||||
200,000 | SASOL Financing USA LLC (South Africa) | 5.875 | 03/27/2024 | 212,360 | ||||||||||||
|
| |||||||||||||||
Commercial Services—0.4% | ||||||||||||||||
266,000 | United Rentals North America, Inc. | 5.250 | 01/15/2030 | 267,995 | ||||||||||||
|
| |||||||||||||||
Computers—0.1% | ||||||||||||||||
70,000 | Dell International LLC/EMC Corp.(a) | 4.900 | 10/01/2026 | 71,760 | ||||||||||||
|
| |||||||||||||||
Diversified Financial Services—2.1% | ||||||||||||||||
500,000 | Aircastle Ltd. | 4.400 | 09/25/2023 | 508,301 | ||||||||||||
192,636 | AMC East Communities LLC(a) | 6.010 | 01/15/2053 | 219,993 | ||||||||||||
150,000 | Ares Finance Co. LLC(a) | 4.000 | 10/08/2024 | 144,545 | ||||||||||||
200,000 | BOC Aviation Ltd., MTN (Singapore) (3 mo. USD LIBOR + 1.13%)(a)(d) | 3.735 | 09/26/2023 | 200,425 | ||||||||||||
71,000 | Credit Acceptance Corp.(a) | 6.625 | 03/15/2026 | 74,905 | ||||||||||||
236,788 | Fort Knox Military Housing Privatization Project (1 mo. USD LIBOR + 0.34%)(a)(d) | 2.813 | 02/15/2052 | 172,255 | ||||||||||||
|
| |||||||||||||||
1,320,424 | ||||||||||||||||
|
| |||||||||||||||
Food—0.2% | ||||||||||||||||
121,000 | Mars, Inc.(a) | 2.700 | 04/01/2025 | 120,040 | ||||||||||||
|
| |||||||||||||||
Home Builders—0.5% | ||||||||||||||||
150,000 | HP Communities LLC(a) | 5.780 | 03/15/2046 | 173,651 | ||||||||||||
100,000 | HP Communities LLC(a) | 5.860 | 09/15/2053 | 113,079 | ||||||||||||
|
| |||||||||||||||
286,730 | ||||||||||||||||
|
| |||||||||||||||
Insurance—2.3% | ||||||||||||||||
350,000 | American Equity Investment Life Holding Co. | 5.000 | 06/15/2027 | 351,569 | ||||||||||||
243,000 | Brighthouse Financial, Inc. | 4.700 | 06/22/2047 | 199,623 | ||||||||||||
300,000 | First American Financial Corp. | 4.300 | 02/01/2023 | 304,969 | ||||||||||||
350,000 | MetLife, Inc.(a) | 9.250 | 04/08/2038 | 480,375 | ||||||||||||
100,000 | Navigators Group, Inc. (The) | 5.750 | 10/15/2023 | 106,799 | ||||||||||||
|
| |||||||||||||||
1,443,335 | ||||||||||||||||
|
| |||||||||||||||
Internet—0.5% | ||||||||||||||||
120,000 | Match Group, Inc.(a) | 5.625 | 02/15/2029 | 123,150 | ||||||||||||
100,000 | Netflix, Inc.(a) | 3.875 | 11/15/2029 | 115,010 | ||||||||||||
68,000 | Netflix, Inc.(a) | 5.375 | 11/15/2029 | 69,020 | ||||||||||||
|
| |||||||||||||||
307,180 | ||||||||||||||||
|
| |||||||||||||||
Media—2.0% | ||||||||||||||||
372,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 5.050 | 03/30/2029 | 394,235 | ||||||||||||
50,000 | Comcast Corp. | 3.950 | 10/15/2025 | 52,422 | ||||||||||||
243,000 | Comcast Corp. | 4.150 | 10/15/2028 | 257,413 | ||||||||||||
75,000 | Comcast Corp. | 4.600 | 10/15/2038 | 80,861 | ||||||||||||
76,000 | Comcast Corp. | 4.950 | 10/15/2058 | 85,130 | ||||||||||||
366,000 | Fox Corp.(a) | 4.709 | 01/25/2029 | 394,092 | ||||||||||||
|
| |||||||||||||||
1,264,153 | ||||||||||||||||
|
| |||||||||||||||
Mining—0.7% | ||||||||||||||||
150,000 | BHP Billiton Finance USA Ltd. (Australia)(a) | 6.750 | 10/19/2075 | 168,937 | ||||||||||||
250,000 | Teck Resources Ltd. (Canada) | 6.125 | 10/01/2035 | 273,205 | ||||||||||||
|
| |||||||||||||||
442,142 | ||||||||||||||||
|
| |||||||||||||||
Multi-National—0.5% | ||||||||||||||||
280,000 | Africa Finance Corp., MTN (Supranational)(a) | 4.375 | 04/17/2026 | 280,941 | ||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 17 |
|
Invesco Total Return Bond ETF (GTO)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Oil & Gas—2.4% | ||||||||||||||||
$ | 297,000 | Continental Resources, Inc. | 5.000 | % | 09/15/2022 | $ | 299,749 | |||||||||
28,000 | Petrobras Global Finance BV (Brazil) | 5.750 | 02/01/2029 | 28,140 | ||||||||||||
60,000 | Petrobras Global Finance BV (Brazil) | 6.900 | 03/19/2049 | 60,045 | ||||||||||||
573,000 | Saudi Arabian Oil Co., MTN (Saudi Arabia)(a) | 2.875 | 04/16/2024 | 564,687 | ||||||||||||
371,000 | Saudi Arabian Oil Co., MTN (Saudi Arabia)(a) | 3.500 | 04/16/2029 | 365,114 | ||||||||||||
200,000 | Saudi Arabian Oil Co., MTN (Saudi Arabia)(a) | 4.250 | 04/16/2039 | 195,952 | ||||||||||||
|
| |||||||||||||||
1,513,687 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals—0.8% | ||||||||||||||||
240,000 | Bayer US Finance II LLC (Germany) (3 mo. USD LIBOR + 1.01%)(a)(d) | 3.621 | 12/15/2023 | 236,744 | ||||||||||||
106,000 | Cigna Corp. (3 mo. USD LIBOR + 0.89%)(a)(d) | 3.487 | 07/15/2023 | 105,613 | ||||||||||||
148,000 | GlaxoSmithKline Capital PLC (United Kingdom) | 2.875 | 06/01/2022 | 148,549 | ||||||||||||
|
| |||||||||||||||
490,906 | ||||||||||||||||
|
| |||||||||||||||
Pipelines—1.2% | ||||||||||||||||
307,000 | Buckeye Partners LP | 4.350 | 10/15/2024 | 312,163 | ||||||||||||
61,000 | Buckeye Partners LP | 5.850 | 11/15/2043 | 62,040 | ||||||||||||
70,000 | Buckeye Partners LP | 5.600 | 10/15/2044 | 69,185 | ||||||||||||
71,000 | Energy Transfer Operating LP, Series 20Y | 5.800 | 06/15/2038 | 75,876 | ||||||||||||
71,000 | Energy Transfer Operating LP, Series 30Y | 6.000 | 06/15/2048 | 77,200 | ||||||||||||
34,000 | Energy Transfer Operating LP, Series A(e) | 6.250 | 32,555 | |||||||||||||
144,000 | Plains All American Pipeline LP, Series B(e) | 6.125 | 138,960 | |||||||||||||
|
| |||||||||||||||
767,979 | ||||||||||||||||
|
| |||||||||||||||
Real Estate—1.6% | ||||||||||||||||
95,627 | Atlantic Marine Corps. Communities LLC(a) | 5.343 | 12/01/2050 | 103,999 | ||||||||||||
230,653 | Mid-Atlantic Military Family Communities LLC(a) | 5.300 | 08/01/2050 | 220,501 | ||||||||||||
100,437 | Pacific Beacon LLC(a) | 5.379 | 07/15/2026 | 107,420 | ||||||||||||
500,000 | Pacific Beacon LLC(a) | 5.508 | 07/15/2036 | 559,990 | ||||||||||||
|
| |||||||||||||||
991,910 | ||||||||||||||||
|
| |||||||||||||||
REITs—1.6% | ||||||||||||||||
200,000 | Fort Benning Family Communities LLC(a) | 5.810 | 01/15/2051 | 217,031 | ||||||||||||
180,000 | Hospitality Properties Trust | 5.250 | 02/15/2026 | 184,418 | ||||||||||||
300,000 | Lexington Realty Trust | 4.400 | 06/15/2024 | 302,661 | ||||||||||||
250,000 | Senior Housing Properties Trust | 4.750 | 02/15/2028 | 227,493 | ||||||||||||
75,000 | STORE Capital Corp. | 4.625 | 03/15/2029 | 77,225 | ||||||||||||
|
| |||||||||||||||
1,008,828 | ||||||||||||||||
|
| |||||||||||||||
Retail—1.3% | ||||||||||||||||
285,000 | Lowe’s Cos., Inc. | 3.650 | 04/05/2029 | 285,701 | ||||||||||||
200,000 | Lowe’s Cos., Inc. | 4.550 | 04/05/2049 | 204,040 | ||||||||||||
289,000 | Walmart, Inc. | 2.850 | 07/08/2024 | 290,670 | ||||||||||||
|
| |||||||||||||||
780,411 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors—0.3% | ||||||||||||||||
45,000 | LAM Research Corp. | 4.000 | 03/15/2029 | 46,629 | ||||||||||||
40,000 | LAM Research Corp. | 4.875 | 03/15/2049 | 43,233 | ||||||||||||
60,000 | Micron Technology, Inc. | 4.975 | 02/06/2026 | 61,831 | ||||||||||||
35,000 | Micron Technology, Inc. | 5.327 | 02/06/2029 | 36,128 | ||||||||||||
|
| |||||||||||||||
187,821 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications—2.3% | ||||||||||||||||
200,000 | Altice France SA (France)(a) | 7.375 | 05/01/2026 | 203,125 | ||||||||||||
102,000 | AT&T, Inc. (3 mo. USD LIBOR + 1.18%)(d) | 3.777 | 06/12/2024 | 102,500 | ||||||||||||
500,000 | AT&T, Inc. | 5.150 | 02/15/2050 | 525,580 | ||||||||||||
95,000 | Rogers Communications, Inc. (Canada) | 4.350 | 05/01/2049 | 96,134 | ||||||||||||
500,000 | Verizon Communications, Inc. | 3.875 | 02/08/2029 | 517,814 | ||||||||||||
|
| |||||||||||||||
1,445,153 | ||||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 18 |
|
Invesco Total Return Bond ETF (GTO)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Trucking & Leasing—0.9% | ||||||||||||||||
$ | 69,000 | Aviation Capital Group LLC (3 mo. USD LIBOR + 0.67%)(a)(d) | 3.253 | % | 07/30/2021 | $ | 68,709 | |||||||||
97,000 | Aviation Capital Group LLC(a) | 4.125 | �� | 08/01/2025 | 98,488 | |||||||||||
50,000 | Avolon Holdings Funding Ltd. (Ireland)(a) | 4.375 | 05/01/2026 | 49,766 | ||||||||||||
100,000 | Park Aerospace Holdings Ltd. (Ireland)(a) | 5.250 | 08/15/2022 | 104,350 | ||||||||||||
204,000 | SMBC Aviation Capital Finance DAC (Ireland)(a) | 4.125 | 07/15/2023 | 209,827 | ||||||||||||
|
| |||||||||||||||
531,140 | ||||||||||||||||
|
| |||||||||||||||
Venture Capital—0.2% | ||||||||||||||||
129,000 | Carlyle Finance LLC(a) | 5.650 | 09/15/2048 | 130,838 | ||||||||||||
|
| |||||||||||||||
Total Corporate Bonds and Notes (Cost $17,340,899) | 17,610,862 | |||||||||||||||
|
| |||||||||||||||
U.S. Treasury Securities—21.0% | ||||||||||||||||
3,151,700 | U.S. Treasury Bond | 3.375 | 11/15/2048 | 3,426,981 | ||||||||||||
2,772,200 | U.S. Treasury Note | 2.250 | 04/15/2022 | 2,772,904 | ||||||||||||
2,370,200 | U.S. Treasury Note | 2.250 | 04/30/2024 | 2,366,821 | ||||||||||||
362,300 | U.S. Treasury Note | 2.375 | 04/30/2026 | 361,932 | ||||||||||||
4,061,300 | U.S. Treasury Note | 2.625 | 02/15/2029 | 4,103,182 | ||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Securities (Cost $12,956,081) | 13,031,820 | |||||||||||||||
|
| |||||||||||||||
Asset-Backed Securities—7.7% | ||||||||||||||||
500,000 | Anchorage Credit Funding Ltd., Class A, Series 2016-4A (Cayman Islands)(a) | 3.500 | 02/15/2035 | 491,941 | ||||||||||||
362,319 | Bear Stearns Asset Backed Securities I Trust, Class 2A, Series 2006-HE9 (1 mo. USD LIBOR + 0.14%)(d) | 2.617 | 11/25/2036 | 353,872 | ||||||||||||
589,500 | Domino’s Pizza Master Issuer LLC, Class A2I, Series 2017-1A (3 mo. USD LIBOR + 1.25%)(a)(d) | 3.830 | 07/25/2047 | 590,940 | ||||||||||||
300,000 | Golub Capital Partners CLO Ltd., Class A2R, Series 2017-16A (Cayman Islands) (3 mo. USD LIBOR + 1.85%)(a)(d) | 4.621 | 07/25/2029 | 298,836 | ||||||||||||
427,000 | Golub Capital Partners CLO Ltd., Class A, Series 2019-41A (Cayman Islands) (3 mo. USD LIBOR + 1.37%)(a)(d) | 3.980 | 04/20/2029 | 427,064 | ||||||||||||
250,000 | Newstar Commercial Loan Funding LLC, Class B, Series 2016-1A (3 mo. USD LIBOR + 3.75%)(a)(d) | 6.401 | 02/25/2028 | 250,186 | ||||||||||||
482,031 | Store Master Funding I-VII, Class A2, Series 2016-1A(a) | 4.320 | 10/20/2046 | 489,284 | ||||||||||||
147,375 | Taco Bell Funding LLC, Class A23, Series 2016-1A(a) | 4.970 | 05/25/2046 | 153,296 | ||||||||||||
256,087 | Textainer Marine Containers V Ltd., Class A, Series 2017-2A(a) | 3.520 | 06/20/2042 | 253,188 | ||||||||||||
482,500 | Wendy’s Funding LLC, Class A23, Series 2015-1A(a) | 4.497 | 06/15/2045 | 496,744 | ||||||||||||
500,000 | Woodmont Trust, Class A, Series 2017-2A (3 mo. USD LIBOR + 1.80%)(a)(d) | 4.401 | 07/18/2028 | 500,039 | ||||||||||||
500,000 | Woodmont Trust, Class A1, Series 2017-3A (Cayman Islands) (3 mo. USD LIBOR + 1.73%)(a)(d) | 4.326 | 10/18/2029 | 495,628 | ||||||||||||
|
| |||||||||||||||
Total Asset-Backed Securities (Cost $4,821,794) | 4,801,018 | |||||||||||||||
|
| |||||||||||||||
U.S. Government Sponsored Agency Securities—4.3% | ||||||||||||||||
150,000 | Federal Home Loan Mortgage Corp. (FHLMC), MTN(f) | 0.000 | 12/14/2029 | 109,736 | ||||||||||||
350,000 | Federal Home Loan Mortgage Corp. (FHLMC), Coupon Strips, Series 6.75(f) | 0.000 | 09/15/2030 | 249,038 | ||||||||||||
450,000 | Federal National Mortgage Association (FNMA), Principal Strips(f) | 0.000 | 05/15/2029 | 333,668 | ||||||||||||
1,300,000 | Federal National Mortgage Association (FNMA), Principal Strips(f) | 0.000 | 01/15/2030 | 942,983 | ||||||||||||
850,000 | Federal National Mortgage Association (FNMA), Principal Strips, MTN(f) | 0.000 | 05/15/2030 | 615,703 | ||||||||||||
100,000 | Tennessee Valley Authority | 5.375 | 04/01/2056 | 138,982 | ||||||||||||
250,000 | Tennessee Valley Authority | 4.250 | 09/15/2065 | 286,725 | ||||||||||||
|
| |||||||||||||||
Total U.S. Government Sponsored Agency Securities (Cost $2,600,337) | 2,676,835 | |||||||||||||||
|
| |||||||||||||||
Municipal Bonds—3.2% | ||||||||||||||||
Ad Valorem Property Tax—0.7% | ||||||||||||||||
200,000 | Illinois State Ser. 10 AGM | 6.630 | 02/01/2035 | 235,586 | ||||||||||||
130,000 | Los Angeles California Community College District Ser. 10 | 6.750 | 08/01/2049 | 194,097 | ||||||||||||
|
| |||||||||||||||
429,683 | ||||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 19 |
|
Invesco Total Return Bond ETF (GTO)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Municipal Bonds (continued) | ||||||||||||||||
Electric Power Revenue—0.6% | ||||||||||||||||
$ | 255,000 | Los Angeles California Department of Water & Power Rev. Ser. 10 | 6.574 | % | 07/01/2045 | $ | 368,082 | |||||||||
|
| |||||||||||||||
General Fund—0.9% | ||||||||||||||||
350,000 | California State Ser. 10 | 7.600 | 11/01/2040 | 546,403 | ||||||||||||
|
| |||||||||||||||
Port, Airport & Marina Revenue—0.3% | ||||||||||||||||
155,000 | Port Auth. of New York & New Jersey (Consolidated-One Hundred Sixty-Fourth) Rev. Ser. 10 | 5.647 | 11/01/2040 | 196,690 | ||||||||||||
|
| |||||||||||||||
Tax Increment Revenue—0.4% | ||||||||||||||||
250,000 | Santa Cruz County California Redevelopment Successor Agency Ref. Ser. 17A AGM | 3.750 | 09/01/2032 | 249,188 | ||||||||||||
|
| |||||||||||||||
Transit Revenue—0.3% | ||||||||||||||||
140,000 | Metropolitan Transportation Auth. New York Rev. Ser. 10C-1 | 6.687 | 11/15/2040 | 188,231 | ||||||||||||
|
| |||||||||||||||
Total Municipal Bonds (Cost $1,968,599) | 1,978,277 | |||||||||||||||
|
| |||||||||||||||
Variable Rate Senior Loan Interests—2.1%(g)(h) | ||||||||||||||||
Building Materials—0.2% | ||||||||||||||||
108,467 | DiversiTech Holdings, Inc., Term Loan B-1 (3 mo. USD LIBOR + 3.00%)(d) | 5.601 | 06/03/2024 | 106,230 | ||||||||||||
|
| |||||||||||||||
Computers—0.3% | ||||||||||||||||
118,633 | Optiv, Inc., First Lien Term Loan (1 mo. USD LIBOR + 3.25%)(d) | 5.749 | 02/01/2024 | 112,306 | ||||||||||||
98,500 | Peak 10 Holding Corp., First Lien Term Loan (3 mo. USD LIBOR + 3.50%)(d) | 6.101 | 08/01/2024 | 91,063 | ||||||||||||
|
| |||||||||||||||
203,369 | ||||||||||||||||
|
| |||||||||||||||
Food—0.3% | ||||||||||||||||
168,747 | Chobani LLC, Term Loan B (1 mo. USD LIBOR + 3.50%)(d) | 5.999 | 10/07/2023 | 166,849 | ||||||||||||
|
| |||||||||||||||
Household Products/Wares—0.4% | ||||||||||||||||
246,875 | Diamond (BC) BV, First Lien Term Loan (Netherlands) (3 mo. USD LIBOR + 3.00%)(d) | 5.744 | 09/06/2024 | 238,543 | ||||||||||||
|
| |||||||||||||||
Media—0.3% | ||||||||||||||||
194,738 | Cengage Learning, Inc., Term Loan B (1 mo. USD LIBOR + 4.25%)(d) | 6.734 | 06/07/2023 | 188,074 | ||||||||||||
|
| |||||||||||||||
Software—0.6% | ||||||||||||||||
187,209 | Almonde, Inc., First Lien Term Loan (3 mo. USD LIBOR + 3.50%)(d) | 6.101 | 06/16/2024 | 185,942 | ||||||||||||
193,263 | Epicor Software Corp., Term Loan B (1 mo. USD LIBOR + 3.25%)(d) | 5.750 | 06/01/2022 | 193,556 | ||||||||||||
|
| |||||||||||||||
379,498 | ||||||||||||||||
|
| |||||||||||||||
Total Variable Rate Senior Loan Interests (Cost $1,314,560) | 1,282,563 | |||||||||||||||
|
| |||||||||||||||
Commercial Mortgage-Backed Securities—1.0% | ||||||||||||||||
500,000 | GS Mortgage Securities Corp. Trust, Class C, Series 2017-STAY (1 mo. USD LIBOR + 1.35%)(a)(d) | 3.823 | 07/15/2032 | 489,614 | ||||||||||||
1,934,789 | Wells Fargo Commercial Mortgage Trust, IO, Class XA, Series 2016-NXS5(b) | 1.682 | 01/15/2059 | 130,388 | ||||||||||||
|
| |||||||||||||||
Total Commercial Mortgage-Backed Securities (Cost $601,525) | 620,002 | |||||||||||||||
|
| |||||||||||||||
U.S. Agency Mortgage Credit Risk Transfer—0.4% | ||||||||||||||||
Structured Agency Credit Risk (STACR)—0.4%(i) | ||||||||||||||||
246,600 | Federal Home Loan Mortgage Corp. (FHLMC), Class M1, Series 2019-HQA2 (1 mo. USD LIBOR + 0.70%)(a)(d) (Cost $246,600) | 3.181 | 04/25/2049 | 246,600 | ||||||||||||
|
| |||||||||||||||
Sovereign Debt Obligations—0.3% | ||||||||||||||||
Qatar—0.3% | ||||||||||||||||
200,000 | Qatar Government International Bond(a) (Cost $199,780) | 3.375 | 03/14/2024 | 203,000 | ||||||||||||
|
| |||||||||||||||
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 20 |
|
Invesco Total Return Bond ETF (GTO)(continued)
April 30, 2019
(Unaudited)
Number of Shares | Interest Rate | Maturity Date | Value | |||||||||||||
Preferred Stocks—0.6% | ||||||||||||||||
Banks—0.6% | ||||||||||||||||
266 | Wells Fargo & Co., 7.500%, Series L(j) (Cost $337,953) | $ | 347,779 | |||||||||||||
|
| |||||||||||||||
Principal Amount | ||||||||||||||||
Short-Term Investments—0.2% | ||||||||||||||||
U.S. Treasury Securities—0.2%(k)(l) | ||||||||||||||||
$ | 125,000 | U.S. Treasury Bill | 2.401 | % | 06/27/2019 | 124,531 | ||||||||||
15,000 | U.S. Treasury Bill | 2.389 | 06/27/2019 | 14,943 | ||||||||||||
15,000 | U.S. Treasury Bill | 2.392 | 06/27/2019 | 14,944 | ||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Securities (Cost $154,407) | 154,418 | |||||||||||||||
|
| |||||||||||||||
Purchased Call Options—0.1% | ||||||||||||||||
(Cost $67,211)(m) | 68,905 | |||||||||||||||
|
| |||||||||||||||
Total Investments in Securities (Cost $62,705,068)—101.6% | 63,134,089 | |||||||||||||||
Other assets less liabilities—(1.6)% | (985,541 | ) | ||||||||||||||
|
| |||||||||||||||
Net Assets—100.0% | $ | 62,148,548 | ||||||||||||||
|
|
Abbreviations:
AGM—Assured Guaranty Municipal Corp.
BKNT—Bank Note
CLO—Collateralized Loan Obligation
IO—Interest Only
LIBOR—London Interbank Offered Rate
MTN—Medium-Term Note
Ref.—Refunding
REIT—Real Estate Investment Trust
Rev.—Revenue
Ser.—Series
USD—U.S. Dollar
Notes | to Schedule of Investments: |
(a) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at April 30, 2019 was $14,913,933, which represented 24.00% of the Fund’s Net Assets. |
(b) | Interest Rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect April 30, 2019. |
(c) | Step coupon bond. The interest rate represents the coupon rate at which the bond will accrue at a specific date. |
(d) | Variable rate coupon. Stated interest rate was in effect at April 30, 2019. |
(e) | Perpetual bond with no specified maturity date. |
(f) | Denotes a zero coupon security issued at a substantial discount from its value at maturity. |
(g) | Variable rate senior loan interests often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with any accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the variable rate senior loan interests will have an expected average life of three to five years. |
(h) | Variable rate senior loan interests are, at present, not readily marketable, not registered under the Securities Act of 1933, as amended (the “1933 Act”) and may be subject to contractual and legal restrictions on sale. Variable rate senior loan interests in the Fund’s portfolio generally have variable rates which adjust to a base, such as the London Interbank Offered Rate (“LIBOR”), on set dates, typically every 30 days, but not greater than one year, and/or have interest rates that float at margin above a widely recognized base lending rate such as the Prime Rate of a designated U.S. bank. |
(i) | Principal payments are determined by the delinquency and principal payment experience on the STACR® reference pool. Freddie Mac transfers credit risk from the mortgages in the reference pool to credit investors who invest in the STACR® debt notes. |
(j) | Non-income producing security. |
(k) | Security trade on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. |
(l) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. |
(m) | The table below details options purchased. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 21 |
|
Invesco Total Return Bond ETF (GTO)(continued)
April 30, 2019
(Unaudited)
Open Forward Foreign Currency Contracts | ||||||||||||||||||||||||
Counterparty | Contract to | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Settlement Date | Deliver | Receive | ||||||||||||||||||||||
Currency Risk | ||||||||||||||||||||||||
5/28/2019 | Goldman Sachs International | EUR | 100,000 | USD | 111,597 | $ | (754 | ) |
Currency Abbreviations:
EUR—Euro
USD—U.S. Dollar
Open Futures Contracts | ||||||||||||||||||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Interest Rate Risk | ||||||||||||||||||||
2-Year US Treasury Note Future | 27 | June-2019 | $ | 5,751,211 | $ | 19,981 | $ | 19,981 | ||||||||||||
5-Year US Treasury Note Future | 36 | June-2019 | 4,163,063 | 29,727 | 29,727 | |||||||||||||||
10-Year US Treasury Note Future | 36 | June-2019 | 4,452,188 | 10,039 | 10,039 | |||||||||||||||
Ultra Long Term US Treasury Bond Future | 6 | June-2019 | 985,688 | 18,134 | 18,134 | |||||||||||||||
|
|
|
| |||||||||||||||||
Subtotal—Long Futures Contracts | 77,881 | 77,881 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Short Futures Contracts | ||||||||||||||||||||
Interest Rate Risk | ||||||||||||||||||||
U.S. Treasury Long Bond Future | 24 | June-2019 | (3,539,250 | ) | (45,995 | ) | (45,995 | ) | ||||||||||||
Ultra 10-Year US Treasury Note Future | 88 | June-2019 | (11,596,750 | ) | (101,009 | ) | (101,009 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
Subtotal—Short Futures Contracts | (147,004 | ) | (147,004 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Total Futures Contracts | $ | (69,123 | ) | $ | (69,123 | ) | ||||||||||||||
|
|
|
|
Open Exchange-Traded Index Options Purchased | ||||||||||||||||||||
Description | Type of Contract | Expiration Date | Number of Contracts | Exercise Price | Notional Value* | Value | ||||||||||||||
Equity Risk | ||||||||||||||||||||
S&P 500 Index | Call | 12/18/2020 | 2 | $ | 2,950 | $ | 590,000 | $ | 47,600 | |||||||||||
S&P 500 Index | Call | 12/18/2020 | 1 | 3,000 | 300,000 | 21,305 | ||||||||||||||
|
| |||||||||||||||||||
Total Index Options Purchased | $ | 68,905 | ||||||||||||||||||
|
|
* | Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier. |
Open Exchange-Traded Index Options Written | ||||||||||||||||||||||||||
Description | Type of Contract | Expiration Date | Number of Contracts | Exercise Price | Premiums Received | Notional Value* | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Equity Risk | ||||||||||||||||||||||||||
S&P 500 Index | Call | 6/19/2020 | 2 | $2,750 | $ | (63,972 | ) | $ | 550,000 | $ | (64,960 | ) | $ | (988 | ) |
* | Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 22 |
|
Invesco Ultra Short Duration ETF (GSY)
April 30, 2019
(Unaudited)
Portfolio Composition | ||||
Asset Group (% of the Fund’s Net Assets) as of April 30, 2019 | ||||
Corporate Bonds and Notes | 52.4 | |||
Commercial Paper | 26.6 | |||
Asset-Backed Securities | 10.6 | |||
Collateralized Mortgage Obligations | 5.0 | |||
Repurchase Agreements | 3.0 | |||
U.S. Treasury Securities | 1.5 | |||
Commercial Mortgage-Backed Securities | 0.8 | |||
Variable Rate Senior Loan Interests | 0.2 | |||
Other Assets Less Liabilities | (0.1) |
Schedule of Investments
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes—52.4% | ||||||||||||||||
Advertising—0.1% | ||||||||||||||||
$ | 2,000,000 | Interpublic Group of Cos., Inc. (The) | 3.500 | % | 10/01/2020 | $ | 2,017,145 | |||||||||
|
| |||||||||||||||
Aerospace/Defense—1.5% | ||||||||||||||||
10,000,000 | General Dynamics Corp. | 2.875 | 05/11/2020 | 10,035,933 | ||||||||||||
10,000,000 | Northrop Grumman Corp. | 5.050 | 08/01/2019 | 10,059,730 | ||||||||||||
3,575,000 | United Technologies Corp. | 1.500 | 11/01/2019 | 3,554,772 | ||||||||||||
4,631,000 | United Technologies Corp. | 3.350 | 08/16/2021 | 4,688,139 | ||||||||||||
6,772,000 | United Technologies Corp. (3 mo. USD LIBOR + 0.65%)(a) | 3.333 | 08/16/2021 | 6,779,087 | ||||||||||||
|
| |||||||||||||||
35,117,661 | ||||||||||||||||
|
| |||||||||||||||
Agriculture—0.3% | ||||||||||||||||
8,314,000 | Altria Group, Inc. | 2.625 | 01/14/2020 | 8,298,952 | ||||||||||||
|
| |||||||||||||||
Auto Manufacturers—2.5% | ||||||||||||||||
10,666,000 | American Honda Finance Corp., GMTN (3 mo. USD LIBOR + 0.47%)(a) | 3.059 | 01/08/2021 | 10,717,731 | ||||||||||||
6,552,000 | General Motors Co. (3 mo. USD LIBOR + 0.80%)(a) | 3.539 | 08/07/2020 | 6,549,826 | ||||||||||||
1,500,000 | General Motors Financial Co., Inc. (3 mo. USD LIBOR + 1.45%)(a) | 4.147 | 05/09/2019 | 1,500,427 | ||||||||||||
10,000,000 | Hyundai Capital America (3 mo. USD LIBOR + 0.94%)(a)(b) | 3.529 | 07/08/2021 | 10,010,012 | ||||||||||||
6,050,000 | Nissan Motor Acceptance Corp., MTN(b) | 2.250 | 01/13/2020 | 6,015,749 | ||||||||||||
6,000,000 | Toyota Motor Credit Corp., MTN | 2.600 | 01/11/2022 | 5,999,029 | ||||||||||||
12,260,000 | Toyota Motor Credit Corp., MTN (3 mo. USD LIBOR + 0.40%)(a) | 3.083 | 05/17/2022 | 12,292,809 | ||||||||||||
6,775,000 | Volkswagen Group of America Finance LLC (Germany) (3 mo. USD LIBOR + 0.77%)(a)(b) | 3.458 | 11/13/2020 | 6,801,138 | ||||||||||||
|
| |||||||||||||||
59,886,721 | ||||||||||||||||
|
| |||||||||||||||
Banks—19.7% | ||||||||||||||||
4,834,000 | ABN AMRO Bank N.V., MTN (Netherlands) (3 mo. USD LIBOR + 0.57%)(a)(b) | 3.209 | 08/27/2021 | 4,853,824 | ||||||||||||
10,000,000 | ANZ New Zealand Int’l Ltd., MTN (New Zealand)(b) | 2.850 | 08/06/2020 | 10,014,454 | ||||||||||||
9,360,000 | Australia & New Zealand Banking Group Ltd. (Australia) (3 mo. USD LIBOR + 0.66%)(a)(b) | 3.262 | 09/23/2019 | 9,384,457 | ||||||||||||
4,737,000 | Australia & New Zealand Banking Group Ltd. (Australia) (3 mo. USD LIBOR + 0.46%)(a)(b) | 3.143 | 05/17/2021 | 4,751,386 | ||||||||||||
2,250,000 | Bank of America Corp., GMTN (3 mo. USD LIBOR + 0.66%)(a) | 3.252 | 07/21/2021 | 2,259,730 | ||||||||||||
8,850,000 | Bank of America Corp., MTN (3 mo. USD LIBOR + 0.65%)(a) | 3.242 | 10/01/2021 | 8,876,348 | ||||||||||||
15,000,000 | Bank of New York Mellon (The), BKNT (3 mo. USD LIBOR + 0.30%)(a) | 2.915 | 12/04/2020 | 15,018,546 | ||||||||||||
9,000,000 | Bank of New York Mellon Corp. (The), MTN | 2.600 | 08/17/2020 | 9,004,044 | ||||||||||||
7,250,000 | Bank of Nova Scotia (The) (Canada) (3 mo. USD LIBOR + 0.66%)(a) | 3.253 | 06/14/2019 | 7,255,178 | ||||||||||||
9,250,000 | BNZ International Funding Ltd. (New Zealand) (3 mo. USD LIBOR + 0.70%)(a)(b) | 3.341 | 02/21/2020 | 9,286,023 | ||||||||||||
12,000,000 | BPCE SA, MTN (France) (3 mo. USD LIBOR + 1.22%)(a)(b) | 3.883 | 05/22/2022 | 12,107,184 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 23 |
|
Invesco Ultra Short Duration ETF (GSY)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Banks (continued) | ||||||||||||||||
$ | 5,050,000 | Capital One NA, BKNT (3 mo. USD LIBOR + 0.77%)(a) | 3.373 | % | 09/13/2019 | $ | 5,058,251 | |||||||||
2,000,000 | Citibank NA, BKNT (3 mo. USD LIBOR + 0.50%)(a) | 3.097 | 06/12/2020 | 2,006,779 | ||||||||||||
9,400,000 | Citigroup, Inc. (3 mo. USD LIBOR + 0.79%)(a) | 3.374 | 01/10/2020 | 9,440,343 | ||||||||||||
10,000,000 | Citizens Bank NA, BKNT (3 mo. USD LIBOR + 0.54%)(a) | 3.155 | 03/02/2020 | 10,024,935 | ||||||||||||
3,061,000 | Citizens Bank NA, BKNT | 3.250 | 02/14/2022 | 3,090,307 | ||||||||||||
3,402,000 | Commonwealth Bank of Australia (Australia) (3 mo. USD LIBOR + 0.64%)(a)(b) | 3.379 | 11/07/2019 | 3,413,151 | ||||||||||||
5,995,000 | Commonwealth Bank of Australia, GMTN (Australia) | 2.300 | 03/12/2020 | 5,979,265 | ||||||||||||
6,150,000 | Commonwealth Bank of Australia, MTN (Australia) (3 mo. USD LIBOR + 0.40%)(a)(b) | 3.015 | 09/18/2020 | 6,170,530 | ||||||||||||
14,474,000 | Cooperatieve Rabobank UA, MTN (Netherlands) | 2.250 | 01/14/2020 | 14,435,612 | ||||||||||||
10,000,000 | Credit Agricole Corporate & Investment Bank SA, MTN (France) (3 mo. USD LIBOR + 0.40%)(a)(b) | 2.976 | 05/03/2021 | 9,992,100 | ||||||||||||
9,750,000 | Credit Agricole SA, MTN (France) (3 mo. USD LIBOR + 0.97%)(a)(b) | 3.571 | 06/10/2020 | 9,831,120 | ||||||||||||
7,500,000 | Fifth Third Bank, BKNT (3 mo. USD LIBOR + 0.59%)(a) | 3.199 | 09/27/2019 | 7,512,928 | ||||||||||||
5,000,000 | Goldman Sachs Group, Inc. (The) | 2.550 | 10/23/2019 | 4,998,050 | ||||||||||||
8,000,000 | Goldman Sachs Group, Inc. (The) (3 mo. USD LIBOR + 1.16%)(a) | 3.752 | 04/23/2020 | 8,066,100 | ||||||||||||
250,000 | Goldman Sachs Group, Inc. (The) (3 mo. USD LIBOR + 1.20%)(a) | 3.811 | 09/15/2020 | 252,722 | ||||||||||||
8,485,000 | Goldman Sachs Group, Inc. (The) (3 mo. USD LIBOR + 0.73%)(a) | 3.339 | 12/27/2020 | 8,507,906 | ||||||||||||
4,500,000 | HSBC Bank PLC (United Kingdom)(b) | 4.125 | 08/12/2020 | 4,579,389 | ||||||||||||
10,714,000 | HSBC Holdings PLC (United Kingdom) (3 mo. USD LIBOR + 0.65%)(a) | 3.247 | 09/11/2021 | 10,735,015 | ||||||||||||
10,000,000 | Huntington National Bank (The), BKNT (3 mo. USD LIBOR + 0.51%)(a) | 3.111 | 03/10/2020 | 10,033,509 | ||||||||||||
12,000,000 | ING Bank N.V. (Netherlands)(b) | 1.650 | 08/15/2019 | 11,961,596 | ||||||||||||
7,257,000 | JPMorgan Chase & Co. (3 mo. USD LIBOR + 0.68%)(a) | 3.306 | 06/01/2021 | 7,290,483 | ||||||||||||
10,730,000 | JPMorgan Chase Bank NA, BKNT (3 mo. USD LIBOR + 0.37%)(a) | 3.053 | 02/19/2021 | 10,745,369 | ||||||||||||
11,538,000 | KeyBank NA, BKNT (3 mo. USD LIBOR + 0.66%)(a) | 3.239 | 02/01/2022 | 11,587,036 | ||||||||||||
6,521,000 | Lloyds Bank PLC (United Kingdom) (3 mo. USD LIBOR + 0.49%)(a) | 3.229 | 05/07/2021 | 6,527,237 | ||||||||||||
13,000,000 | Macquarie Bank Ltd., MTN (Australia)(b) | 2.850 | 01/15/2021 | 13,001,260 | ||||||||||||
3,342,000 | Mitsubishi UFJ Financial Group, Inc. (Japan) (3 mo. USD LIBOR + 1.88%)(a) | 4.506 | 03/01/2021 | 3,430,988 | ||||||||||||
6,000,000 | Mitsubishi UFJ Financial Group, Inc. (Japan) (3 mo. USD LIBOR + 0.65%)(a) | 3.236 | 07/26/2021 | 6,032,069 | ||||||||||||
5,000,000 | Mitsubishi UFJ Financial Group, Inc. (Japan) (3 mo. USD LIBOR + 1.06%)(a) | 3.668 | 09/13/2021 | 5,066,895 | ||||||||||||
6,850,000 | Mizuho Financial Group, Inc. (Japan) (3 mo. USD LIBOR + 1.14%)(a) | 3.748 | 09/13/2021 | 6,934,873 | ||||||||||||
8,000,000 | Morgan Stanley, GMTN | 2.375 | 07/23/2019 | 7,994,690 | ||||||||||||
1,250,000 | Morgan Stanley, GMTN (3 mo. USD LIBOR + 0.55%)(a) | 3.247 | 02/10/2021 | 1,251,834 | ||||||||||||
7,500,000 | MUFG Union Bank NA, BKNT | 3.150 | 04/01/2022 | 7,572,161 | ||||||||||||
12,000,000 | National Australia Bank Ltd. (Australia) (3 mo. USD LIBOR + 0.71%)(a)(b) | 3.448 | 11/04/2021 | 12,083,187 | ||||||||||||
3,000,000 | Nordea Bank Abp (Finland) (3 mo. USD LIBOR + 0.47%)(a)(b) | 3.099 | 05/29/2020 | 3,011,097 | ||||||||||||
9,000,000 | Nordea Bank Abp, MTN (Finland) (3 mo. USD LIBOR + 0.62%)(a)(b) | 3.221 | 09/30/2019 | 9,018,889 | ||||||||||||
5,000,000 | Royal Bank of Canada, GMTN (Canada) (3 mo. USD LIBOR + 0.24%)(a) | 2.826 | 10/26/2020 | 5,007,372 | ||||||||||||
10,000,000 | Royal Bank of Canada, GMTN (Canada) (3 mo. USD LIBOR + 0.39%)(a) | 2.973 | 04/30/2021 | 10,042,916 | ||||||||||||
6,772,000 | Standard Chartered PLC, MTN (United Kingdom) (3 mo. USD LIBOR + 1.13%)(a)(b) | 3.813 | 08/19/2019 | 6,789,764 | ||||||||||||
6,135,000 | Sumitomo Mitsui Banking Corp. (Japan) (3 mo. USD LIBOR + 0.31%)(a) | 2.911 | 10/18/2019 | 6,142,638 | ||||||||||||
5,216,000 | Sumitomo Mitsui Banking Corp. (Japan) | 2.514 | 01/17/2020 | 5,210,635 | ||||||||||||
6,667,000 | Sumitomo Mitsui Banking Corp. (Japan) (3 mo. USD LIBOR + 0.37%)(a) | 2.971 | 10/16/2020 | 6,677,065 | ||||||||||||
1,000,000 | Sumitomo Mitsui Financial Group, Inc. (Japan) (3 mo. USD LIBOR + 1.68%)(a) | 4.281 | 03/09/2021 | 1,023,352 | ||||||||||||
2,300,000 | Sumitomo Mitsui Financial Group, Inc. (Japan) (3 mo. USD LIBOR + 1.14%)(a) | 3.732 | 10/19/2021 | 2,338,112 | ||||||||||||
2,300,000 | Sumitomo Mitsui Trust Bank Ltd. (Japan) (3 mo. USD LIBOR + 0.44%)(a)(b) | 3.065 | 09/19/2019 | 2,302,437 | ||||||||||||
9,200,000 | Sumitomo Mitsui Trust Bank Ltd. (Japan) (3 mo. USD LIBOR + 0.91%)(a)(b) | 3.511 | 10/18/2019 | 9,234,780 | ||||||||||||
4,227,000 | SunTrust Bank, BKNT | 2.250 | 01/31/2020 | 4,212,457 | ||||||||||||
8,277,000 | SunTrust Bank, BKNT (3 mo. USD LIBOR + 0.50%)(a) | 3.086 | 10/26/2021 | 8,288,338 | ||||||||||||
9,091,000 | U.S. Bank NA, BKNT (3 mo. USD LIBOR + 0.38%)(a) | 3.063 | 11/16/2021 | 9,120,520 | ||||||||||||
10,250,000 | UBS AG, GMTN (Switzerland) | 4.875 | 08/04/2020 | 10,528,120 | ||||||||||||
8,550,000 | UBS Group Funding Switzerland AG (Switzerland) (3 mo. USD LIBOR + 1.78%)(a)(b) | 4.377 | 04/14/2021 | 8,757,799 | ||||||||||||
2,500,000 | United Overseas Bank Ltd., MTN (Singapore) (3 mo. USD LIBOR + 0.48%)(a)(b) | 3.072 | 04/23/2021 | 2,506,092 | ||||||||||||
7,000,000 | Wells Fargo Bank NA, BKNT (3 mo. USD LIBOR + 0.60%)(a) | 3.251 | 05/24/2019 | 7,003,143 | ||||||||||||
6,000,000 | Westpac Banking Corp. (Australia) (3 mo. USD LIBOR + 0.71%)(a) | 3.398 | 05/13/2019 | 6,001,611 | ||||||||||||
|
| |||||||||||||||
461,636,001 | ||||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 24 |
|
Invesco Ultra Short Duration ETF (GSY)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Beverages—0.7% | ||||||||||||||||
$ | 12,500,000 | Keurig Dr Pepper, Inc.(b) | 3.551 | % | 05/25/2021 | $ | 12,646,945 | �� | ||||||||
3,650,000 | Molson Coors Brewing Co. | 1.450 | 07/15/2019 | 3,640,904 | ||||||||||||
|
| |||||||||||||||
16,287,849 | ||||||||||||||||
|
| |||||||||||||||
Computers—0.9% | ||||||||||||||||
9,875,000 | Apple, Inc. | 2.000 | 11/13/2020 | 9,805,402 | ||||||||||||
4,298,000 | Hewlett Packard Enterprise Co.(b) | 2.100 | 10/04/2019 | 4,285,387 | ||||||||||||
7,059,000 | Hewlett Packard Enterprise Co. (3 mo. USD LIBOR + 0.72%)(a) | 3.318 | 10/05/2021 | 7,060,978 | ||||||||||||
|
| |||||||||||||||
21,151,767 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services—1.9% | ||||||||||||||||
4,000,000 | AIG Global Funding (3 mo. USD LIBOR + 0.46%)(a)(b) | 3.062 | 06/25/2021 | 3,999,750 | ||||||||||||
6,260,000 | Air Lease Corp. | 3.500 | 01/15/2022 | 6,326,517 | ||||||||||||
5,000,000 | American Express Co. (3 mo. USD LIBOR + 0.53%)(a) | 3.208 | 05/17/2021 | 5,023,114 | ||||||||||||
12,000,000 | American Express Co. (3 mo. USD LIBOR + 0.60%)(a) | 3.333 | 11/05/2021 | 12,059,304 | ||||||||||||
2,250,000 | Capital One Financial Corp. (3 mo. USD LIBOR + 0.76%)(a) | 3.458 | 05/12/2020 | 2,261,606 | ||||||||||||
4,100,000 | Capital One Financial Corp. (3 mo. USD LIBOR + 0.45%)(a) | 3.033 | 10/30/2020 | 4,102,831 | ||||||||||||
10,000,000 | Capital One Financial Corp. (3 mo. USD LIBOR + 0.95%)(a) | 3.551 | 03/09/2022 | 10,086,000 | ||||||||||||
|
| |||||||||||||||
43,859,122 | ||||||||||||||||
|
| |||||||||||||||
Electric—1.3% | ||||||||||||||||
10,000,000 | Exelon Generation Co. LLC | 4.000 | 10/01/2020 | 10,143,347 | ||||||||||||
7,000,000 | NextEra Energy Capital Holdings, Inc. (3 mo. USD LIBOR + 0.32%)(a) | 2.930 | 09/03/2019 | 7,000,169 | ||||||||||||
7,200,000 | NextEra Energy Capital Holdings, Inc., Series H | 3.342 | 09/01/2020 | 7,261,415 | ||||||||||||
5,680,000 | Progress Energy, Inc. | 4.875 | 12/01/2019 | 5,745,989 | ||||||||||||
|
| |||||||||||||||
30,150,920 | ||||||||||||||||
|
| |||||||||||||||
Environmental Control—0.3% | ||||||||||||||||
5,893,000 | Waste Management, Inc. | 4.750 | 06/30/2020 | 6,033,346 | ||||||||||||
|
| |||||||||||||||
Food—2.1% | ||||||||||||||||
8,100,000 | General Mills, Inc. (3 mo. USD LIBOR + 0.54%)(a) | 3.141 | 04/16/2021 | 8,114,667 | ||||||||||||
6,000,000 | General Mills, Inc. | 3.200 | 04/16/2021 | 6,052,724 | ||||||||||||
8,350,000 | Kraft Heinz Foods Co. (3 mo. USD LIBOR + 0.57%)(a) | 3.267 | 02/10/2021 | 8,350,733 | ||||||||||||
10,000,000 | Mondelez International Holdings Netherlands BV(b) | 1.625 | 10/28/2019 | 9,944,339 | ||||||||||||
8,052,000 | Mondelez International Holdings Netherlands BV(b) | 2.000 | 10/28/2021 | 7,868,302 | ||||||||||||
10,000,000 | Tyson Foods, Inc. | 2.650 | 08/15/2019 | 10,004,616 | ||||||||||||
|
| |||||||||||||||
50,335,381 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products—0.2% | ||||||||||||||||
4,450,000 | Zimmer Biomet Holdings, Inc. (3 mo. USD LIBOR + 0.75%)(a) | 3.375 | 03/19/2021 | 4,437,250 | ||||||||||||
|
| |||||||||||||||
Healthcare-Services—1.0% | ||||||||||||||||
12,000,000 | Aetna, Inc. | 4.125 | 06/01/2021 | 12,276,389 | ||||||||||||
9,685,000 | UnitedHealth Group, Inc. | 2.700 | 07/15/2020 | 9,685,255 | ||||||||||||
1,735,000 | UnitedHealth Group, Inc. | 2.125 | 03/15/2021 | 1,720,745 | ||||||||||||
|
| |||||||||||||||
23,682,389 | ||||||||||||||||
|
| |||||||||||||||
Insurance—3.4% | ||||||||||||||||
3,050,000 | Assurant, Inc. (3 mo. USD LIBOR + 1.25%)(a) | 3.860 | 03/26/2021 | 3,049,796 | ||||||||||||
5,000,000 | Marsh & McLennan Cos., Inc. | 3.500 | 12/29/2020 | 5,063,642 | ||||||||||||
6,000,000 | Marsh & McLennan Cos., Inc. (3 mo. USD LIBOR + 1.20%)(a) | 3.801 | 12/29/2021 | 6,012,693 | ||||||||||||
16,100,000 | Metropolitan Life Global Funding I (3 mo. USD LIBOR + 0.23%)(a)(b) | 2.819 | 01/08/2021 | 16,090,473 | ||||||||||||
5,402,000 | Metropolitan Life Global Funding I, MTN (SOFR + 0.57%)(a)(b) | 3.050 | 09/07/2020 | 5,400,338 | ||||||||||||
6,794,000 | Metropolitan Life Global Funding I, MTN(b) | 2.500 | 12/03/2020 | 6,777,652 | ||||||||||||
12,000,000 | New York Life Global Funding(b) | 1.950 | 09/28/2020 | 11,904,497 | ||||||||||||
3,500,000 | New York Life Global Funding (3 mo. USD LIBOR + 0.28%)(a)(b) | 2.862 | 01/28/2021 | 3,510,117 | ||||||||||||
6,665,000 | New York Life Global Funding (3 mo. USD LIBOR + 0.32%)(a)(b) | 3.054 | 08/06/2021 | 6,678,243 | ||||||||||||
4,560,000 | Pricoa Global Funding I(b) | 1.450 | 09/13/2019 | 4,540,249 | ||||||||||||
7,500,000 | Principal Life Global Funding II (3 mo. USD LIBOR + 0.30%)(a)(b) | 2.910 | 06/26/2020 | 7,501,433 | ||||||||||||
3,470,000 | Principal Life Global Funding II(b) | 2.625 | 11/19/2020 | 3,470,235 | ||||||||||||
|
| |||||||||||||||
79,999,368 | ||||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 25 |
|
Invesco Ultra Short Duration ETF (GSY)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Lodging—0.9% | ||||||||||||||||
$ | 1,986,000 | Marriott International, Inc. (3 mo. USD LIBOR + 0.65%)(a) | 3.245 | % | 03/08/2021 | $ | 1,995,263 | |||||||||
11,412,000 | Marriott International, Inc., Series N | 3.125 | 10/15/2021 | 11,458,555 | ||||||||||||
6,667,000 | Marriott International, Inc., Series Y (3 mo. USD LIBOR + 0.60%)(a) | 3.226 | 12/01/2020 | 6,690,915 | ||||||||||||
|
| |||||||||||||||
20,144,733 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified—0.7% | ||||||||||||||||
6,667,000 | John Deere Capital Corp., GMTN (3 mo. USD LIBOR + 0.18%)(a) | 2.769 | 01/07/2020 | 6,674,186 | ||||||||||||
10,000,000 | John Deere Capital Corp., MTN (3 mo. USD LIBOR + 0.29%)(a) | 2.897 | 06/22/2020 | 10,035,722 | ||||||||||||
|
| |||||||||||||||
16,709,908 | ||||||||||||||||
|
| |||||||||||||||
Media—1.5% | ||||||||||||||||
20,000,000 | Comcast Corp. (3 mo. USD LIBOR + 0.44%)(a) | 3.032 | 10/01/2021 | 20,104,708 | ||||||||||||
11,650,000 | Discovery Communications LLC (3 mo. USD LIBOR + 0.71%)(a) | 3.343 | 09/20/2019 | 11,666,639 | ||||||||||||
4,000,000 | Time Warner Cable LLC | 5.000 | 02/01/2020 | 4,056,955 | ||||||||||||
|
| |||||||||||||||
35,828,302 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing—0.5% | ||||||||||||||||
5,000,000 | Siemens Financieringsmaatschappij N.V. (Germany) (3 mo. USD LIBOR + 0.34%)(a)(b) | 2.955 | 03/16/2020 | 5,014,122 | ||||||||||||
6,904,000 | Siemens Financieringsmaatschappij N.V. (Germany)(b) | 1.700 | 09/15/2021 | 6,741,271 | ||||||||||||
|
| |||||||||||||||
11,755,393 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas—2.3% | ||||||||||||||||
12,000,000 | BP Capital Markets PLC (United Kingdom) | 2.521 | 01/15/2020 | 11,989,628 | ||||||||||||
12,735,000 | Chevron Corp. | 1.991 | 03/03/2020 | 12,677,221 | ||||||||||||
11,853,000 | ConocoPhillips Co. (3 mo. USD LIBOR + 0.90%)(a) | 3.584 | 05/15/2022 | 11,997,175 | ||||||||||||
10,000,000 | EOG Resources, Inc. | 4.400 | 06/01/2020 | 10,186,430 | ||||||||||||
5,900,000 | EQT Corp. (3 mo. USD LIBOR + 0.77%)(a) | 3.362 | 10/01/2020 | 5,883,107 | ||||||||||||
1,900,000 | Phillips 66 (3 mo. USD LIBOR + 0.60%)(a) | 3.246 | 02/26/2021 | 1,900,147 | ||||||||||||
|
| |||||||||||||||
54,633,708 | ||||||||||||||||
|
| |||||||||||||||
Packaging & Containers—0.1% | ||||||||||||||||
2,800,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA (3 mo. USD LIBOR + 3.50%)(a)(b) | 6.097 | 07/15/2021 | 2,817,500 | ||||||||||||
|
| |||||||||||||||
Pharmaceuticals—4.5% | ||||||||||||||||
13,183,000 | AbbVie, Inc. | 2.500 | 05/14/2020 | 13,142,931 | ||||||||||||
9,155,000 | Allergan Funding SCS | 3.000 | 03/12/2020 | 9,158,658 | ||||||||||||
2,600,000 | Allergan Funding SCS (3 mo. USD LIBOR + 1.26%)(a) | 3.852 | 03/12/2020 | 2,620,968 | ||||||||||||
13,606,000 | Bayer US Finance II LLC (Germany) (3 mo. USD LIBOR + 0.63%)(a)(b) | 3.232 | 06/25/2021 | 13,533,716 | ||||||||||||
10,000,000 | Bayer US Finance LLC (Germany)(b) | 2.375 | 10/08/2019 | 9,968,432 | ||||||||||||
15,000,000 | Cigna Corp.(b) | 3.200 | 09/17/2020 | 15,052,780 | ||||||||||||
5,000,000 | CVS Health Corp. | 3.125 | 03/09/2020 | 5,012,670 | ||||||||||||
3,450,000 | CVS Health Corp. (3 mo. USD LIBOR + 0.63%)(a) | 3.231 | 03/09/2020 | 3,461,959 | ||||||||||||
3,250,000 | CVS Health Corp. (3 mo. USD LIBOR + 0.72%)(a) | 3.321 | 03/09/2021 | 3,264,117 | ||||||||||||
10,700,000 | Express Scripts Holding Co. (3 mo. USD LIBOR + 0.75%)(a) | 3.376 | 11/30/2020 | 10,701,025 | ||||||||||||
6,757,000 | GlaxoSmithKline Capital PLC (United Kingdom) (3 mo. USD LIBOR + 0.35%)(a) | 3.043 | 05/14/2021 | 6,773,573 | ||||||||||||
12,000,000 | Shire Acquisitions Investments Ireland DAC | 1.900 | 09/23/2019 | 11,955,011 | ||||||||||||
|
| |||||||||||||||
104,645,840 | ||||||||||||||||
|
| |||||||||||||||
Pipelines—1.8% | ||||||||||||||||
1,000,000 | Enbridge, Inc. (Canada) (3 mo. USD LIBOR + 0.70%)(a) | 3.311 | 06/15/2020 | 1,002,329 | ||||||||||||
12,500,000 | Enterprise Products Operating LLC | 5.250 | 01/31/2020 | 12,707,770 | ||||||||||||
16,742,000 | Kinder Morgan Energy Partners LP | 5.300 | 09/15/2020 | 17,270,992 | ||||||||||||
8,794,000 | Kinder Morgan, Inc.(b) | 5.000 | 02/15/2021 | 9,087,656 | ||||||||||||
2,000,000 | Williams Cos., Inc. (The) | 4.125 | 11/15/2020 | 2,031,808 | ||||||||||||
|
| |||||||||||||||
42,100,555 | ||||||||||||||||
|
| |||||||||||||||
REITs—0.6% | ||||||||||||||||
8,423,000 | American Tower Corp. | 2.800 | 06/01/2020 | 8,424,812 | ||||||||||||
5,350,000 | AvalonBay Communities, Inc., MTN (3 mo. USD LIBOR + 0.43%)(a) | 3.027 | 01/15/2021 | 5,336,611 | ||||||||||||
|
| |||||||||||||||
13,761,423 | ||||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 26 |
|
Invesco Ultra Short Duration ETF (GSY)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Retail—0.4% | ||||||||||||||||
$ | 10,652,000 | McDonald’s Corp., MTN (3 mo. USD LIBOR + 0.43%)(a) | 3.012 | % | 10/28/2021 | $ | 10,673,375 | |||||||||
|
| |||||||||||||||
Semiconductors—0.5% | ||||||||||||||||
1,155,000 | Intel Corp. (3 mo. USD LIBOR + 0.08%)(a) | 2.777 | 05/11/2020 | 1,156,030 | ||||||||||||
10,000,000 | QUALCOMM, Inc. (3 mo. USD LIBOR + 0.55%)(a) | 3.194 | 05/20/2020 | 10,037,432 | ||||||||||||
|
| |||||||||||||||
11,193,462 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications—2.2% | ||||||||||||||||
9,500,000 | AT&T, Inc. (3 mo. USD LIBOR + 0.93%)(a) | 3.531 | 06/30/2020 | 9,574,670 | ||||||||||||
11,315,000 | AT&T, Inc. (3 mo. USD LIBOR + 0.95%)(a) | 3.547 | 07/15/2021 | 11,444,678 | ||||||||||||
9,500,000 | Deutsche Telekom International Finance BV (Germany) (3 mo. USD LIBOR + 0.58%)(a)(b) | 3.168 | 01/17/2020 | 9,518,390 | ||||||||||||
19,950,000 | Verizon Communications, Inc. (3 mo. USD LIBOR + 0.55%)(a) | 3.213 | 05/22/2020 | 20,031,348 | ||||||||||||
|
| |||||||||||||||
50,569,086 | ||||||||||||||||
|
| |||||||||||||||
Trucking & Leasing—0.5% | ||||||||||||||||
9,574,000 | Aviation Capital Group LLC (3 mo. USD LIBOR + 0.95%)(a)(b) | 3.576 | 06/01/2021 | 9,609,055 | ||||||||||||
1,775,000 | Aviation Capital Group LLC (3 mo. USD LIBOR + 0.67%)(a)(b) | 3.253 | 07/30/2021 | 1,767,508 | ||||||||||||
|
| |||||||||||||||
11,376,563 | ||||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds and Notes (Cost $1,225,468,168) | 1,229,103,720 | |||||||||||||||
|
| |||||||||||||||
Asset-Backed Securities—10.6% | ||||||||||||||||
1,800,000 | ABPCI Direct Lending Fund CLO I LLC, Class A1, Series2017-1A (Cayman Islands) (3 mo. USD LIBOR + 1.78%)(a)(b) | 4.372 | 07/20/2029 | 1,796,282 | ||||||||||||
283,564 | Accredited Mortgage Loan Trust, Class A3, Series2007-1 (1 mo. USD LIBOR + 0.13%)(a) | 2.607 | 02/25/2037 | 283,996 | ||||||||||||
2,000,000 | ACIS CLO Ltd., Class A1, Series2015-6A (Cayman Islands) (3 mo. USD LIBOR + 1.59%)(a)(b) | 4.326 | 05/01/2027 | 2,001,561 | ||||||||||||
8,977,000 | AmeriCredit Automobile Receivables Trust, Class C, Series2016-2 | 2.870 | 11/08/2021 | 8,988,708 | ||||||||||||
5,177,221 | Avery Point V CLO Ltd., Class AR, Series2017-5A (Cayman Islands) (3 mo. USD LIBOR + 0.98%)(a)(b) | 3.568 | 07/17/2026 | 5,174,384 | ||||||||||||
9,000,000 | Avery Point VI CLO Ltd., Class AR, Series2018-6A (Cayman Islands) (3 mo. USD LIBOR + 1.05%)(a)(b) | 3.783 | 08/05/2027 | 9,023,632 | ||||||||||||
6,348,000 | Avis Budget Rental Car Funding AESOP LLC, Class A, Series2014-1A(b) | 2.460 | 07/20/2020 | 6,345,693 | ||||||||||||
2,173,915 | Bear Stearns Asset Backed Securities I Trust, Class 2A, Series2006-HE9 (1 mo. USD LIBOR + 0.14%)(a) | 2.617 | 11/25/2036 | 2,123,229 | ||||||||||||
12,000,000 | Capital One Multi-Asset Execution Trust, Class A1, Series2019-A1 | 2.840 | 12/15/2024 | 12,108,948 | ||||||||||||
5,934,119 | CarMax Auto Owner Trust, Class A3, Series2017-2 | 1.930 | 03/15/2022 | 5,906,414 | ||||||||||||
6,500,000 | Chesapeake Funding II LLC, Class A1, Series2018-3A(b) | 3.390 | 01/15/2031 | 6,566,661 | ||||||||||||
2,040,959 | CIT Mortgage Loan Trust, Class 1A, Series2007-1 (1 mo. USD LIBOR + 1.35%)(a)(b) | 3.836 | 10/25/2037 | 2,066,242 | ||||||||||||
443,747 | Countrywide Asset-Backed Certificates, Class M1, Series2004-SD2 (1 mo. USD LIBOR + 0.62%)(a)(b) | 3.097 | 06/25/2033 | 447,800 | ||||||||||||
2,113,015 | Countrywide Asset-Backed Certificates, Class 1A1, Series2006-6 (1 mo. USD LIBOR + 0.17%)(a) | 2.647 | 09/25/2036 | 2,092,067 | ||||||||||||
2,000,000 | Crown Point CLO III Ltd., Class A2R, Series2017-3A (Cayman Islands) (3 mo. USD LIBOR + 1.45%)(a)(b) | 4.047 | 12/31/2027 | 1,976,437 | ||||||||||||
2,400,017 | CWABS, Inc. Asset-Backed Certificates Trust, Class M1, Series2004-4 (1 mo. USD LIBOR + 0.72%)(a) | 3.197 | 07/25/2034 | 2,410,324 | ||||||||||||
12,000,000 | Diamond CLO Ltd., Class A1, Series2019-1A (Cayman Islands) (3 mo. USD LIBOR + 1.60%)(a)(b) | 4.219 | 04/25/2029 | 12,000,479 | ||||||||||||
10,000,000 | Dryden 75 CLO Ltd., Class A, Series2019-75A (Cayman Islands) (3 mo. USD LIBOR + 1.18%)(a)(b) | 3.715 | 01/15/2029 | 9,996,317 | ||||||||||||
4,500,000 | Enterprise Fleet Financing LLC, Class A2, Series2019-1(b) | 2.980 | 10/22/2024 | 4,523,088 | ||||||||||||
2,000,000 | Fortress Credit Opportunities IX CLO Ltd., Class A1T, Series2017-9A (Cayman Islands) (3 mo. USD LIBOR + 1.55%)(a)(b) | 4.234 | 11/15/2029 | 1,987,247 | ||||||||||||
14,500,000 | Golden Credit Card Trust, Class A, Series2019-1A (Canada) (1 mo. USD LIBOR + 0.45%)(a)(b) | 2.923 | 12/15/2022 | 14,544,229 | ||||||||||||
1,000,000 | Golub Capital BDC CLO LLC, Class BR, Series2018-1A (3 mo. USD LIBOR + 1.40%)(a)(b) | 3.980 | 04/25/2026 | 997,838 | ||||||||||||
4,800,000 | Golub Capital Partners CLO Ltd., Class A1R, Series2017-16A (Cayman Islands) (3 mo. USD LIBOR + 1.70%)(a)(b) | 4.280 | 07/25/2029 | 4,795,300 | ||||||||||||
5,000,000 | Golub Capital Partners CLO Ltd., Class A, Series2018-36A (Cayman Islands) (3 mo. USD LIBOR + 1.30%)(a)(b) | 4.033 | 02/05/2031 | 4,886,381 | ||||||||||||
10,000,000 | Golub Capital Partners CLO Ltd., Class A1, Series2018-39A (Cayman Islands) (3 mo. USD LIBOR + 1.15%)(a)(b) | 3.742 | 10/20/2028 | 9,960,790 | ||||||||||||
1,004,064 | GSAMP Trust, Class M1, Series2005-HE6 (1 mo. USD LIBOR + 0.44%)(a) | 2.917 | 11/25/2035 | 1,008,459 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 27 |
|
Invesco Ultra Short Duration ETF (GSY)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Asset-Backed Securities (continued) | ||||||||||||||||
$ | 1,000,000 | Halcyon Loan Advisors Funding Ltd., Class B, Series2012-1A (Cayman Islands) (3 mo. USD LIBOR + 3.00%)(a)(b) | 5.684 | % | 08/15/2023 | $ | 1,000,452 | |||||||||
19,000,000 | Hertz Vehicle Financing II LP, Class A, Series2015-1A(b) | 2.730 | 03/25/2021 | 18,966,894 | ||||||||||||
2,500,000 | HSI Asset Securitization Corp. Trust, Class M2, Series 2006-OPT2 (1 mo. USD LIBOR + 0.39%)(a) | 2.867 | 01/25/2036 | 2,485,324 | ||||||||||||
5,500,000 | Hunt CRE Ltd., Class A, Series2017-FL1 (Cayman Islands) (1 mo. USD LIBOR + 1.00%)(a)(b) | 3.473 | 08/15/2034 | 5,504,087 | ||||||||||||
2,000,000 | KKR CLO Ltd., Class A, Series2018-21 (Cayman Islands) (3 mo. USD LIBOR + 1.00%)(a)(b) | 3.597 | 04/15/2031 | 1,978,750 | ||||||||||||
2,782,402 | Nationstar Home Equity Loan Trust, Class 1AV1, Series2007-B (1 mo. USD LIBOR + 0.22%)(a) | 2.697 | 04/25/2037 | 2,752,244 | ||||||||||||
4,738,289 | Navient Private Education Refi Loan Trust, Class A1, Series2019-A(b) | 3.030 | 01/15/2043 | 4,764,447 | ||||||||||||
2,500,000 | Newstar Commercial Loan Funding LLC, Class BN, Series2017-1A (3 mo. USD LIBOR + 2.50%)(a)(b) | 5.133 | 03/20/2027 | 2,495,232 | ||||||||||||
10,000,000 | NextGear Floorplan Master Owner Trust, Class A1, Series2017-1A (1 mo. USD LIBOR + 0.85%)(a)(b) | 3.323 | 04/18/2022 | 10,047,790 | ||||||||||||
12,750,000 | NextGear Floorplan Master Owner Trust, Class A1, Series2019-1A (1 mo. USD LIBOR + 0.65%)(a)(b) | 3.123 | 02/15/2024 | 12,805,015 | ||||||||||||
7,500,000 | NXT Capital CLO LLC, Class A, Series2017-1A (3 mo. USD LIBOR + 1.70%)(a)(b) | 4.292 | 04/20/2029 | 7,504,834 | ||||||||||||
6,750,000 | OCP CLO Ltd., Class A1RR, Series2018-7A (Cayman Islands) (3 mo. USD LIBOR + 1.12%)(a)(b) | 3.712 | 07/20/2029 | 6,733,186 | ||||||||||||
4,671,762 | Raspro Trust, Class B, Series2005-1A (3 mo. USD LIBOR + 0.93%)(a)(b) | 3.517 | 03/23/2024 | 4,484,892 | ||||||||||||
2,000,000 | Recette CLO Ltd., Class BR, Series2017-1A (Cayman Islands) (3 mo. USD LIBOR + 1.30%)(a)(b) | 3.892 | 10/20/2027 | 1,963,216 | ||||||||||||
7,125,000 | Sofi Professional Loan Program LLC, Class A1FX, Series2019-B(b) | 2.780 | 08/17/2048 | 7,132,190 | ||||||||||||
2,500,000 | Sudbury Mill CLO Ltd., Class B1R, Series2017-1A (Cayman Islands) (3 mo. USD LIBOR + 1.65%)(a)(b) | 4.238 | 01/17/2026 | 2,501,501 | ||||||||||||
11,000,000 | TICP CLOII-2 Ltd., Class A1, Series2018-IIA (Cayman Islands) (3 mo. USD LIBOR + 0.84%)(a)(b) | 3.432 | 04/20/2028 | 10,904,450 | ||||||||||||
5,500,000 | Venture XII CLO Ltd., Class ARR, Series2018-12A (Cayman Islands) (3 mo. USD LIBOR + 0.80%)(a)(b) | 3.429 | 02/28/2026 | 5,483,847 | ||||||||||||
1,500,000 | Venture XVI CLO Ltd., Class ARR, Series2018-16A (Cayman Islands) (3 mo. USD LIBOR + 0.85%)(a)(b) | 3.447 | 01/15/2028 | 1,491,750 | ||||||||||||
3,600,000 | Woodmont Trust, Class A, Series2017-2A (3 mo. USD LIBOR + 1.80%)(a)(b) | 4.401 | 07/18/2028 | 3,600,281 | ||||||||||||
|
| |||||||||||||||
Total Asset-Backed Securities (Cost $248,064,283) | 248,612,888 | |||||||||||||||
|
| |||||||||||||||
Collateralized Mortgage Obligations—5.0% | ||||||||||||||||
11,462,085 | Angel Oak Mortgage Trust I LLC, Class A1, Series2019-1(b)(c) | 3.920 | 11/25/2048 | 11,606,101 | ||||||||||||
11,878,716 | Angel Oak Mortgage Trust I LLC, Class A1, Series2019-2(b)(c) | 3.628 | 03/25/2049 | 11,975,150 | ||||||||||||
6,328,452 | Bunker Hill Loan Depositary Trust, Class A1, Series2019-1(b)(c) | 3.613 | 10/26/2048 | 6,414,338 | ||||||||||||
3,636,157 | COLT Mortgage Loan Trust, Class A1, Series2019-1(b)(c) | 3.705 | 03/25/2049 | 3,676,749 | ||||||||||||
248,945 | CSMC, Class 27A1, Series2014-2R (1 mo. USD LIBOR + 0.20%)(a)(b) | 2.638 | 02/27/2046 | 241,972 | ||||||||||||
11,585,039 | Deephaven Residential Mortgage Trust, Class A1, Series2019-1A(b)(c) | 3.743 | 01/25/2059 | 11,680,982 | ||||||||||||
8,630,000 | Deephaven Residential Mortgage Trust, Class A1, Series2019-2A(b)(c) | 3.558 | 04/25/2059 | 8,662,610 | ||||||||||||
5,030,297 | FirstKey Master Funding Ltd., Class A6, Series2017-R1 (Cayman Islands) (1 mo. USD LIBOR + 0.22%)(a)(b) | 2.715 | 11/03/2041 | 5,015,206 | ||||||||||||
11,757,070 | Homeward Opportunities Fund I Trust, Class A1, Series2019-1(b)(c) | 3.454 | 01/25/2059 | 11,935,630 | ||||||||||||
1,168,503 | New Residential Mortgage Loan Trust, Class A1, Series2017-5A (1 mo. USD LIBOR + 1.50%)(a)(b) | 3.977 | 06/25/2057 | 1,197,179 | ||||||||||||
3,554,691 | OBX Trust, Class 2A1, Series 2018-EXP1 (1 mo. USD LIBOR + 0.85%)(a)(b) | 3.327 | 04/25/2048 | 3,544,467 | ||||||||||||
11,389,723 | Residential Mortgage Loan Trust, Class A1, Series2019-1(b)(c) | 3.936 | 10/25/2058 | 11,471,729 | ||||||||||||
8,452,365 | Starwood Mortgage Residential Trust, Class A1, Series 2019-IMC1(b)(c) | 3.468 | 02/25/2049 | 8,477,742 | ||||||||||||
11,716,833 | Verus Securitization Trust, Class A1, Series2019-1(b)(c) | 3.836 | 02/25/2059 | 11,835,325 | ||||||||||||
8,659,765 | Verus Securitization Trust, Class A1, Series 2019-INV1(b)(c) | 3.402 | 12/25/2059 | 8,755,807 | ||||||||||||
|
| |||||||||||||||
Total Collateralized Mortgage Obligations (Cost $115,457,529) | 116,490,987 | |||||||||||||||
|
| |||||||||||||||
Commercial Mortgage-Backed Securities—0.8% | ||||||||||||||||
3,000,000 | CLNS Trust, Class A, Series 2017-IKPR (1 mo. USD LIBOR + 0.80%)(a)(b) | 3.284 | 06/11/2032 | 2,996,554 | ||||||||||||
12,200,000 | GS Mortgage Securities Corp. Trust, Class A, Series 2017-STAY (1 mo. USD LIBOR + 0.85%)(a)(b) | 3.323 | 07/15/2032 | 12,193,954 | ||||||||||||
2,505,070 | Ladder Capital Commercial Mortgage Trust, Class A, Series2017-FL1 (1 mo. USD LIBOR + 0.88%)(a)(b) | 3.354 | 09/15/2034 | 2,507,453 | ||||||||||||
994,139 | TPG Real Estate Finance Issuer Ltd., Class A, Series2018-FL1 (Cayman Islands) (1 mo. USD LIBOR + 0.75%)(a)(b) | 3.224 | 02/15/2035 | 997,568 | ||||||||||||
|
| |||||||||||||||
Total Commercial Mortgage-Backed Securities (Cost $18,719,676) | 18,695,529 | |||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 28 |
|
Invesco Ultra Short Duration ETF (GSY)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Variable Rate Senior Loan Interests—0.2%(d)(e) | ||||||||||||||||
Commercial Services—0.1% | ||||||||||||||||
$ | 2,047,819 | Fly Funding II Sarl, Term Loan (Luxembourg) (3 mo. USD LIBOR + 2.00%)(a) | 4.600 | % | 02/09/2023 | $ | 2,038,860 | |||||||||
|
| |||||||||||||||
Retail—0.0% | ||||||||||||||||
1,130,395 | Smart & Final Stores LLC, First Lien Term Loan (3 mo. USD LIBOR + 3.50%)(a) | 6.129 | 11/15/2022 | 1,132,870 | ||||||||||||
|
| |||||||||||||||
Software—0.1% | ||||||||||||||||
2,484,625 | First Data Corp., First Lien Term Loan (1 mo. USD LIBOR + 2.00%)(a) | 4.486 | 04/26/2024 | 2,486,960 | ||||||||||||
|
| |||||||||||||||
Total Variable Rate Senior Loan Interests (Cost $5,628,316) | 5,658,690 | |||||||||||||||
|
| |||||||||||||||
Commercial Paper—26.6% | ||||||||||||||||
8,000,000 | Anheuser-Busch InBev Worldwide, Inc.(f) | 2.870 | 05/23/2019 | 7,986,558 | ||||||||||||
8,500,000 | AstraZeneca PLC(f) | 2.910 | 05/21/2019 | 8,486,816 | ||||||||||||
12,000,000 | BAT International Finance PLC(f) | 2.770 | 05/03/2019 | 11,997,385 | ||||||||||||
6,000,000 | BAT International Finance PLC(f) | 2.900 | 07/11/2019 | 5,966,676 | ||||||||||||
10,000,000 | BP Capital Markets PLC(f) | 2.679 | 08/26/2019 | 9,912,090 | ||||||||||||
15,000,000 | Banco Santander SA(f) | 2.960 | 09/03/2019 | 14,857,777 | ||||||||||||
10,000,000 | Bell Canada, Inc.(f) | 2.850 | 07/05/2019 | 9,949,602 | ||||||||||||
11,000,000 | Bemis Co., Inc.(f) | 2.750 | 05/01/2019 | 10,999,202 | ||||||||||||
17,000,000 | Boston Scientific Corp.(f) | 2.850 | 05/01/2019 | 16,998,767 | ||||||||||||
5,250,000 | Boston Scientific Corp.(f) | 2.970 | 05/06/2019 | 5,247,705 | ||||||||||||
20,000,000 | Broadcom, Inc.(f) | 3.000 | 05/02/2019 | 19,996,840 | ||||||||||||
5,000,000 | Cigna Corp.(f) | 2.950 | 05/06/2019 | 4,997,823 | ||||||||||||
26,000,000 | CommonSpirit Health(f) | 3.100 | 06/14/2019 | 25,919,562 | ||||||||||||
18,000,000 | CenterPoint Energy, Inc.(f) | 2.750 | 05/16/2019 | 17,978,944 | ||||||||||||
14,000,000 | Coca-Cola Co. (The)(f) | 2.920 | 12/11/2019 | 13,773,813 | ||||||||||||
20,000,000 | Cox Enterprises, Inc.(f) | 2.680 | 05/06/2019 | 19,991,183 | ||||||||||||
14,500,000 | Eni Finance USA, Inc.(f) | 2.800 | 07/09/2019 | 14,422,973 | ||||||||||||
10,000,000 | Enable Midstream Partners LP(f) | 3.350 | 05/28/2019 | 9,976,783 | ||||||||||||
10,000,000 | Enbridge US, Inc.(f) | 2.770 | 07/01/2019 | 9,952,639 | ||||||||||||
13,105,000 | Enbridge US, Inc.(f) | 2.820 | 07/02/2019 | 13,041,863 | ||||||||||||
22,250,000 | ETP Legacy LP(f) | 3.050 | 05/07/2019 | 22,237,562 | ||||||||||||
10,000,000 | Entergy Corp.(f) | 2.970 | 05/06/2019 | 9,995,600 | ||||||||||||
15,000,000 | �� | Glencore Funding LLC(f) | 3.250 | 06/11/2019 | 14,951,682 | |||||||||||
15,000,000 | Hawaiian Electric Co., Inc.(f) | 2.750 | 05/06/2019 | 14,992,818 | ||||||||||||
15,000,000 | Industrial & Commercial Bank of China, Ltd.(f) | 3.120 | 06/28/2019 | 14,936,255 | ||||||||||||
15,000,000 | JP Morgan Securities LLC(f) | 2.950 | 09/27/2019 | 14,835,938 | ||||||||||||
5,300,000 | Molson Coors Brewing Co.(f) | 2.650 | 05/03/2019 | 5,298,819 | ||||||||||||
7,000,000 | National Australia Bank Ltd. (1 mo. USD LIBOR + 0.17%)(a)(b) | 2.651 | 05/17/2019 | 7,000,702 | ||||||||||||
20,000,000 | NetApp, Inc.(f) | 2.680 | 05/01/2019 | 19,998,550 | ||||||||||||
19,900,000 | Northrop Grumman Corp.(f) | 2.949 | 05/01/2019 | 19,898,563 | ||||||||||||
20,000,000 | Northrop Grumman Corp.(f) | 2.900 | 05/22/2019 | 19,967,232 | ||||||||||||
25,000,000 | Rogers Communications, Inc.(f) | 2.650 | 05/03/2019 | 24,994,552 | ||||||||||||
17,000,000 | Salisbury Receivables Co. LLC(f) | 2.950 | 10/18/2019 | 16,786,744 | ||||||||||||
15,000,000 | Sheffield Receivables Co. LLC(f) | 2.960 | 06/24/2019 | 14,942,204 | ||||||||||||
20,000,000 | Sherwin-Williams Co. (The)(f) | 2.850 | 05/20/2019 | 19,972,800 | ||||||||||||
20,000,000 | Smithfield Foods, Inc.(f) | 3.050 | 05/22/2019 | 19,963,896 | ||||||||||||
5,000,000 | Societe Generale SA(f) | 2.810 | 08/26/2019 | 4,958,798 | ||||||||||||
15,000,000 | Starbird Funding Corp.(f) | 2.950 | 06/03/2019 | 14,964,725 | ||||||||||||
10,000,000 | Suncor Energy, Inc.(f) | 2.930 | 05/01/2019 | 9,999,275 | ||||||||||||
2,800,000 | Suncor Energy, Inc.(f) | 2.780 | 06/07/2019 | 2,792,002 | ||||||||||||
15,000,000 | Suncor Energy, Inc.(f) | 2.820 | 07/02/2019 | 14,927,734 | ||||||||||||
6,100,000 | VW Credit, Inc.(f) | 3.100 | 05/13/2019 | 6,094,185 | ||||||||||||
10,000,000 | VW Credit, Inc.(f) | 3.000 | 06/06/2019 | 9,972,209 | ||||||||||||
15,000,000 | WGL Holdings, Inc.(f) | 3.150 | 06/17/2019 | 14,945,420 | ||||||||||||
13,000,000 | Walgreens Boots Alliance, Inc.(f) | 3.270 | 07/15/2019 | 12,923,485 | ||||||||||||
3,400,000 | Walgreens Boots Alliance, Inc.(f) | 3.270 | 07/22/2019 | 3,378,004 | ||||||||||||
15,000,000 | White Plains Capital Co. LLC(f) | 3.050 | 05/22/2019 | 14,975,708 | ||||||||||||
|
| |||||||||||||||
Total Commercial Paper (Cost $622,984,757) | 623,160,463 | |||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 29 |
|
Invesco Ultra Short Duration ETF (GSY)(continued)
April 30, 2019
(Unaudited)
Repurchase Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Repurchase Agreements—3.0%(g) | ||||||||||||||||
Repurchase Agreements—3.0% | ||||||||||||||||
$ | — | Citigroup Global Markets, Inc., joint open agreement dated 04/11/2019 (collateralized by domestic and foreignnon-agency asset-backed securities, domesticnon-agency mortgage-backed securities and foreign corporate obligations valued at $234,300,001; 0.00%—8.36%; 08/15/2021—11/25/2058)(h) | 3.060 | % | — | $ | 25,000,000 | |||||||||
28,000,000 | Nomura Securities International, joint term agreement dated 04/01/2019, aggregate maturing value of $53,000,000 (collateralized by domesticnon-agency mortgage-backed securities valued at $58,300,001; 6.44%; 03/25/2048)(i) | 3.150 | 10/01/2019 | 28,000,000 | ||||||||||||
17,284,750 | Wells Fargo Securities, LLC, term agreement dated 01/09/2019, maturing value of $17,284,750 (collateralized by a domestic agency asset-backed security valued at $18,700,001; 3.25%; 10/15/2030) | 3.350 | 07/08/2019 | 17,000,000 | ||||||||||||
|
| |||||||||||||||
Total Repurchase Agreements (Cost $70,000,000) | 70,000,000 | |||||||||||||||
|
| |||||||||||||||
Principal Amount | ||||||||||||||||
U.S. Treasury Securities—1.5% | ||||||||||||||||
U.S. Treasury Bills—1.5%(f) | ||||||||||||||||
20,200,000 | U.S. Treasury Bill | 2.531 | 11/07/2019 | 19,948,398 | ||||||||||||
15,000,000 | U.S. Treasury Bill | 2.450 | 09/19/2019 | 14,860,615 | ||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Securities (Cost $34,783,413) | 34,809,013 | |||||||||||||||
|
| |||||||||||||||
Total Investments in Securities (Cost $2,341,106,142)—100.1% | 2,346,531,290 | |||||||||||||||
Other assets less liabilities—(0.1)% | (2,799,296 | ) | ||||||||||||||
|
| |||||||||||||||
Net Assets—100.0% | $ | 2,343,731,994 | ||||||||||||||
|
|
Abbreviations:
BKNT—Bank Note
CLO—Collateralized Loan Obligation
GMTN—Global Medium-Term Note
LIBOR—London Interbank Offered Rate
MTN—Medium-Term Note
REIT—Real Estate Investment Trust
SOFR—Secured Overnight Financing Rate
USD—U.S. Dollar
Notes to Schedule of Investments:
(a) | Variable rate coupon. Stated interest rate was in effect at April 30, 2019. |
(b) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at April 30, 2019 was $724,246,201, which represented 30.90% of the Fund’s Net Assets. |
(c) | Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect April 30, 2019. |
(d) | Variable rate senior loan interests often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with any accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the variable rate senior loan interests will have an expected average life of three to five years. |
(e) | Variable rate senior loan interests are, at present, not readily marketable, not registered under the Securities Act of 1933, as amended (the “1933 Act”) and may be subject to contractual and legal restrictions on sale. Variable rate senior loan interests in the Fund’s portfolio generally have variable rates which adjust to a base, such as the London Interbank Offered Rate (“LIBOR”), on set dates, typically every 30 days, but not greater than one year, and/or have interest rates that float at margin above a widely recognized base lending rate such as the Prime Rate of a designated U.S. bank. |
(f) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. |
(g) | Principal amount equals value at period end. See Note 1K. |
(h) | Either party may terminate the agreement upon demand. Interest rates, principal amount, and collateral are redetermined daily. |
(i) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on April 30, 2019. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 30 |
|
Invesco Variable Rate Investment Grade ETF (VRIG)
April 30, 2019
(Unaudited)
Portfolio Composition | ||||
Asset Group (% of the Fund’s Net Assets) as of April 30, 2019 | ||||
Corporate Bonds and Notes | 41.4 | |||
U.S. Agency Mortgage Credit Risk Transfer | 23.4 | |||
Commercial Mortgage-Backed Securities | 11.2 | |||
U.S. Treasury Securities | 9.4 | |||
U.S. Government Sponsored Agency Mortgage-Backed Securities | 6.5 | |||
Asset-Backed Securities | 4.4 | |||
Collateralized Mortgage Obligations | 3.2 | |||
Money Market Fund Plus Other Assets Less Liabilities | 0.5 |
Schedule of Investments
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes—41.4% | ||||||||||||||||
Aerospace/Defense—0.3% | ||||||||||||||||
$ | 1,034,000 | Spirit AeroSystems, Inc. (3 mo. USD LIBOR + 0.80%)(a) | 3.411 | % | 06/15/2021 | $ | 1,032,932 | |||||||||
|
| |||||||||||||||
Auto Manufacturers—3.4% | ||||||||||||||||
2,000,000 | Daimler Finance North America LLC (Germany) (3 mo. USD LIBOR + 0.55%)(a)(b) | 3.288 | 05/04/2021 | 2,001,450 | ||||||||||||
3,000,000 | Fiat Chrysler Automobiles N.V. (United Kingdom) | 4.500 | 04/15/2020 | 3,033,750 | ||||||||||||
600,000 | Ford Motor Credit Co. LLC (3 mo. USD LIBOR + 0.83%)(a) | 3.528 | 08/12/2019 | 600,457 | ||||||||||||
3,150,000 | Ford Motor Credit Co. LLC (3 mo. USD LIBOR + 1.27%)(a) | 3.867 | 03/28/2022 | 3,103,237 | ||||||||||||
2,250,000 | General Motors Financial Co., Inc. (3 mo. USD LIBOR + 1.31%)(a) | 3.911 | 06/30/2022 | 2,251,632 | ||||||||||||
1,000,000 | General Motors Financial Co., Inc. (3 mo. USD LIBOR + 0.99%)(a) | 3.588 | 01/05/2023 | 983,243 | ||||||||||||
2,000,000 | Volkswagen Group of America Finance LLC (Germany) (3 mo. USD LIBOR + 0.94%)(a)(b) | 3.638 | 11/12/2021 | 2,012,001 | ||||||||||||
|
| |||||||||||||||
13,985,770 | ||||||||||||||||
|
| |||||||||||||||
Banks—18.6% | ||||||||||||||||
964,000 | ABN AMRO Bank N.V., MTN (Netherlands) (3 mo. USD LIBOR + 0.57%)(a)(b) | 3.209 | 08/27/2021 | 967,953 | ||||||||||||
3,281,000 | Bank of America Corp. (3 mo. USD LIBOR + 1.00%)(a) | 3.581 | 04/24/2023 | 3,315,842 | ||||||||||||
1,250,000 | Bank of America Corp., GMTN (3 mo. USD LIBOR + 0.79%)(a) | 3.389 | 03/05/2024 | 1,252,513 | ||||||||||||
1,750,000 | Bank of America Corp., Series V(c) | 5.125 | 1,754,375 | |||||||||||||
2,000,000 | Barclays PLC (United Kingdom) (3 mo. USD LIBOR + 1.43%)(a) | 4.114 | 02/15/2023 | 1,999,682 | ||||||||||||
4,000,000 | BPCE SA, MTN (France) (3 mo. USD LIBOR + 1.22%)(a)(b) | 3.883 | 05/22/2022 | 4,035,728 | ||||||||||||
3,750,000 | Capital One NA, BKNT (3 mo. USD LIBOR + 1.15%)(a) | 3.733 | 01/30/2023 | 3,786,717 | ||||||||||||
1,500,000 | Citigroup, Inc. (3 mo. USD LIBOR + 0.95%)(a) | 3.531 | 07/24/2023 | 1,510,203 | ||||||||||||
4,500,000 | Citigroup, Inc. (3 mo. USD LIBOR + 1.43%)(a) | 4.056 | 09/01/2023 | 4,592,414 | ||||||||||||
4,250,000 | Cooperatieve Rabobank UA (Netherlands)(b)(c) | 11.000 | 4,300,469 | |||||||||||||
2,500,000 | Goldman Sachs Group, Inc. (The), GMTN (3 mo. USD LIBOR + 1.00%)(a) | 3.581 | 07/24/2023 | 2,508,269 | ||||||||||||
250,000 | Goldman Sachs Group, Inc. (The), GMTN (3 mo. USD LIBOR + 1.75%)(a) | 4.332 | 10/28/2027 | 256,044 | ||||||||||||
2,143,000 | HSBC Holdings PLC (United Kingdom) (3 mo. USD LIBOR + 0.65%)(a) | 3.247 | 09/11/2021 | 2,147,203 | ||||||||||||
3,500,000 | ING Groep N.V. (Netherlands) (3 mo. USD LIBOR + 1.00%)(a) | 3.600 | 10/02/2023 | 3,495,271 | ||||||||||||
1,435,000 | JPMorgan Chase & Co., Series I (3 mo. USD LIBOR + 3.47%)(a)(c) | 6.053 | 1,440,469 | |||||||||||||
2,500,000 | JPMorgan Chase & Co., Series V(c) | 5.000 | 2,506,250 | |||||||||||||
1,923,000 | KeyBank NA, BKNT (3 mo. USD LIBOR + 0.66%)(a) | 3.239 | 02/01/2022 | 1,931,173 | ||||||||||||
1,957,000 | Lloyds Bank PLC (United Kingdom) (3 mo. USD LIBOR + 0.49%)(a) | 3.229 | 05/07/2021 | 1,958,872 | ||||||||||||
4,000,000 | Mizuho Financial Group, Inc. (Japan) (3 mo. USD LIBOR + 0.88%)(a) | 3.481 | 09/11/2022 | 4,024,378 | ||||||||||||
2,500,000 | Morgan Stanley, GMTN (3 mo. USD LIBOR + 1.40%)(a) | 3.992 | 04/21/2021 | 2,545,631 | ||||||||||||
2,500,000 | Morgan Stanley, GMTN (3 mo. USD LIBOR + 0.93%)(a) | 3.522 | 07/22/2022 | 2,518,904 | ||||||||||||
2,000,000 | National Australia Bank Ltd. (Australia) (3 mo. USD LIBOR + 0.60%)(a)(b) | 3.204 | 04/12/2023 | 1,999,970 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 31 |
|
Invesco Variable Rate Investment Grade ETF (VRIG)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Banks (continued) | ||||||||||||||||
$ | 2,987,000 | Nordea Bank Abp (Finland) (3 mo. USD LIBOR + 0.94%)(a)(b) | 3.569 | % | 08/30/2023 | $ | 2,950,763 | |||||||||
4,000,000 | Royal Bank of Scotland Group PLC (United Kingdom) (3 mo. USD LIBOR + 1.47%)(a) | 4.154 | 05/15/2023 | 4,013,550 | ||||||||||||
3,316,000 | Standard Chartered PLC (United Kingdom) (3 mo. USD LIBOR + 1.15%)(a)(b) | 3.742 | 01/20/2023 | 3,317,956 | ||||||||||||
3,500,000 | Sumitomo Mitsui Financial Group, Inc. (Japan) (3 mo. USD LIBOR + 0.74%)(a) | 3.341 | 10/18/2022 | 3,514,210 | ||||||||||||
1,500,000 | U.S. Bank NA, BKNT | 3.000 | 02/04/2021 | 1,510,361 | ||||||||||||
2,500,000 | UBS Group Funding Switzerland AG (Switzerland) (3 mo. USD LIBOR + 0.95%)(a)(b) | 3.634 | 08/15/2023 | 2,500,835 | ||||||||||||
1,100,000 | USB Realty Corp. (3 mo. USD LIBOR + 1.15%)(a)(b)(c) | 3.744 | 957,000 | |||||||||||||
2,500,000 | Wells Fargo & Co. (3 mo. USD LIBOR + 1.34%)(a) | 3.955 | 03/04/2021 | 2,544,300 | ||||||||||||
1,000,000 | Wells Fargo & Co., Series K (3 mo. USD LIBOR + 3.77%)(a)(c) | 6.381 | 1,005,000 | |||||||||||||
|
| |||||||||||||||
77,162,305 | ||||||||||||||||
|
| |||||||||||||||
Beverages—0.2% | ||||||||||||||||
966,000 | Constellation Brands, Inc. (3 mo. USD LIBOR + 0.70%)(a) | 3.384 | 11/15/2021 | 966,813 | ||||||||||||
|
| |||||||||||||||
Building Materials—0.4% | ||||||||||||||||
750,000 | Vulcan Materials Co. (3 mo. USD LIBOR + 0.60%)(a) | 3.211 | 06/15/2020 | 749,354 | ||||||||||||
1,000,000 | Vulcan Materials Co. (3 mo. USD LIBOR + 0.65%)(a) | 3.276 | 03/01/2021 | 1,001,746 | ||||||||||||
|
| |||||||||||||||
1,751,100 | ||||||||||||||||
|
| |||||||||||||||
Chemicals—0.2% | ||||||||||||||||
1,000,000 | DowDuPont, Inc. (3 mo. USD LIBOR + 0.71%)(a) | 3.394 | 11/15/2020 | 1,008,145 | ||||||||||||
|
| |||||||||||||||
Computers—0.7% | ||||||||||||||||
3,000,000 | Dell International LLC/EMC Corp.(b) | 5.875 | 06/15/2021 | 3,056,152 | ||||||||||||
|
| |||||||||||||||
Diversified Financial Services—1.0% | ||||||||||||||||
3,082,000 | BOC Aviation Ltd., MTN (Singapore) (3 mo. USD LIBOR + 1.13%)(a)(b) | 3.735 | 09/26/2023 | 3,088,549 | ||||||||||||
1,000,000 | Capital One Financial Corp. (3 mo. USD LIBOR + 0.72%)(a) | 3.303 | 01/30/2023 | 994,784 | ||||||||||||
|
| |||||||||||||||
4,083,333 | ||||||||||||||||
|
| |||||||||||||||
Electric—1.2% | ||||||||||||||||
2,500,000 | Mississippi Power Co. (3 mo. USD LIBOR + 0.65%)(a) | 3.259 | 03/27/2020 | 2,500,480 | ||||||||||||
2,650,000 | Sempra Energy (3 mo. USD LIBOR + 0.50%)(a) | 3.097 | 01/15/2021 | 2,638,899 | ||||||||||||
|
| |||||||||||||||
5,139,379 | ||||||||||||||||
|
| |||||||||||||||
Food—1.7% | ||||||||||||||||
3,000,000 | Conagra Brands, Inc. (3 mo. USD LIBOR + 0.75%)(a) | 3.342 | 10/22/2020 | 3,001,273 | ||||||||||||
3,937,000 | General Mills, Inc. (3 mo. USD LIBOR + 1.01%)(a) | 3.598 | 10/17/2023 | 3,971,993 | ||||||||||||
|
| |||||||||||||||
6,973,266 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products—1.0% | ||||||||||||||||
4,225,000 | Becton, Dickinson and Co. (3 mo. USD LIBOR + 1.03%)(a) | 3.638 | 06/06/2022 | 4,253,765 | ||||||||||||
|
| |||||||||||||||
Healthcare-Services—1.0% | ||||||||||||||||
4,000,000 | HCA, Inc. | 6.500 | 02/15/2020 | 4,106,314 | ||||||||||||
|
| |||||||||||||||
Household Products/Wares—0.7% | ||||||||||||||||
2,750,000 | Reckitt Benckiser Treasury Services PLC (United Kingdom) (3 mo. USD LIBOR + 0.56%)(a)(b) | 3.162 | 06/24/2022 | 2,733,838 | ||||||||||||
|
| |||||||||||||||
Insurance—3.9% | ||||||||||||||||
5,300,000 | Athene Global Funding (3 mo. USD LIBOR + 1.23%)(a)(b) | 3.826 | 07/01/2022 | 5,330,950 | ||||||||||||
1,000,000 | Jackson National Life Global Funding (3 mo. USD LIBOR + 0.73%)(a)(b) | 3.339 | 06/27/2022 | 1,007,629 | ||||||||||||
4,500,000 | MetLife, Inc., Series C(c) | 5.250 | 4,567,500 | |||||||||||||
899,000 | Metropolitan Life Global Funding I, MTN (SOFR + 0.57%)(a)(b) | 3.050 | 09/07/2020 | 898,724 | ||||||||||||
4,000,000 | Prudential Financial, Inc. (3 mo. USD LIBOR + 3.92%)(a) | 5.625 | 06/15/2043 | 4,200,000 | ||||||||||||
|
| |||||||||||||||
16,004,803 | ||||||||||||||||
|
| |||||||||||||||
Internet—0.3% | ||||||||||||||||
1,143,000 | Tencent Holdings Ltd., MTN (China) (3 mo. USD LIBOR + 0.61%)(a)(b) | 3.197 | 01/19/2023 | 1,135,048 | ||||||||||||
|
| |||||||||||||||
Oil & Gas—0.4% | ||||||||||||||||
1,500,000 | ConocoPhillips Co. (3 mo. USD LIBOR + 0.90%)(a) | 3.584 | 05/15/2022 | 1,518,246 | ||||||||||||
340,000 | Phillips 66 (3 mo. USD LIBOR + 0.60%)(a) | 3.246 | 02/26/2021 | 340,026 | ||||||||||||
|
| |||||||||||||||
1,858,272 | ||||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 32 |
|
Invesco Variable Rate Investment Grade ETF (VRIG)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Pharmaceuticals—2.5% | ||||||||||||||||
$ | 3,395,000 | Bayer US Finance II LLC (Germany) (3 mo. USD LIBOR + 0.63%)(a)(b) | 3.232 | % | 06/25/2021 | $ | 3,376,964 | |||||||||
4,000,000 | Cardinal Health, Inc. (3 mo. USD LIBOR + 0.77%)(a) | 3.381 | 06/15/2022 | 3,991,533 | ||||||||||||
2,343,000 | Cigna Corp. (3 mo. USD LIBOR + 0.89%)(a)(b) | 3.487 | 07/15/2023 | 2,334,460 | ||||||||||||
839,000 | CVS Health Corp. (3 mo. USD LIBOR + 0.72%)(a) | 3.321 | 03/09/2021 | 842,644 | ||||||||||||
|
| |||||||||||||||
10,545,601 | ||||||||||||||||
|
| |||||||||||||||
Pipelines—1.1% | ||||||||||||||||
1,000,000 | Plains All American Pipeline LP, Series B(c) | 6.125 | 965,000 | |||||||||||||
4,300,000 | TransCanada PipeLines Ltd. (Canada) (3 mo. USD LIBOR + 2.21%)(a) | 4.894 | 05/15/2067 | 3,586,415 | ||||||||||||
|
| |||||||||||||||
4,551,415 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors—0.4% | ||||||||||||||||
1,500,000 | QUALCOMM, Inc. (3 mo. USD LIBOR + 0.73%)(a) | 3.313 | 01/30/2023 | 1,507,698 | ||||||||||||
|
| |||||||||||||||
Telecommunications—2.0% | ||||||||||||||||
2,669,000 | AT&T, Inc. (3 mo. USD LIBOR + 0.89%)(a) | 3.583 | 02/15/2023 | 2,643,004 | ||||||||||||
3,832,000 | AT&T, Inc. (3 mo. USD LIBOR + 1.18%)(a) | 3.777 | 06/12/2024 | 3,850,785 | ||||||||||||
1,627,000 | Verizon Communications, Inc. (3 mo. USD LIBOR + 1.10%)(a) | 3.784 | 05/15/2025 | 1,641,338 | ||||||||||||
|
| |||||||||||||||
8,135,127 | ||||||||||||||||
|
| |||||||||||||||
Trucking & Leasing—0.4% | ||||||||||||||||
1,777,000 | Aviation Capital Group LLC (3 mo. USD LIBOR + 0.95%)(a)(b) | 3.576 | 06/01/2021 | 1,783,507 | ||||||||||||
|
| |||||||||||||||
Total Corporate Bonds and Notes (Cost $172,327,047) | 171,774,583 | |||||||||||||||
|
| |||||||||||||||
U.S. Agency Mortgage Credit Risk Transfer—23.4% | ||||||||||||||||
Structured Agency Credit Risk (STACR)—17.8%(d) | ||||||||||||||||
4,500,861 | Federal Home Loan Mortgage Corp. (FHLMC), Class M1, Series 2017-DNA2 (1 mo. USD LIBOR + 1.20%)(a) | 3.677 | 10/25/2029 | 4,526,130 | ||||||||||||
975,583 | Federal Home Loan Mortgage Corp. (FHLMC), Class M1, Series 2017-HQA1 (1 mo. USD LIBOR + 1.20%)(a) | 3.677 | 08/25/2029 | 978,196 | ||||||||||||
3,298,459 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series2014-DN1 (1 mo. USD LIBOR + 2.20%)(a) | 4.677 | 02/25/2024 | 3,354,573 | ||||||||||||
672,749 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series2014-DN2 (1 mo. USD LIBOR + 1.65%)(a) | 4.127 | 04/25/2024 | 677,108 | ||||||||||||
5,309,734 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series2014-HQ2 (1 mo. USD LIBOR + 2.20%)(a) | 4.677 | 09/25/2024 | 5,412,027 | ||||||||||||
7,928,065 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series 2015-DNA3 (1 mo. USD LIBOR + 2.85%)(a) | 5.327 | 04/25/2028 | 8,113,982 | ||||||||||||
7,139,011 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series2015-HQ2 (1 mo. USD LIBOR + 1.95%)(a) | 4.427 | 05/25/2025 | 7,257,550 | ||||||||||||
2,780,127 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series 2015-HQA1 (1 mo. USD LIBOR + 2.65%)(a) | 5.127 | 03/25/2028 | 2,815,890 | ||||||||||||
3,853,324 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series 2015-HQA2 (1 mo. USD LIBOR + 2.80%)(a) | 5.277 | 05/25/2028 | 3,932,081 | ||||||||||||
7,373,089 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series 2016-DNA1 (1 mo. USD LIBOR + 2.90%)(a) | 5.386 | 07/25/2028 | 7,487,088 | ||||||||||||
2,628,540 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series 2016-DNA4 (1 mo. USD LIBOR + 1.30%)(a) | 3.777 | 03/25/2029 | 2,638,510 | ||||||||||||
1,334,426 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series 2016-HQA1 (1 mo. USD LIBOR + 2.75%)(a) | 5.227 | 09/25/2028 | 1,354,269 | ||||||||||||
4,104,437 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series 2016-HQA2 (1 mo. USD LIBOR + 2.25%)(a) | 4.727 | 11/25/2028 | 4,168,506 | ||||||||||||
9,497,791 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series 2016-HQA3 (1 mo. USD LIBOR + 1.35%)(a) | 3.827 | 03/25/2029 | 9,555,894 | ||||||||||||
6,630,000 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series 2016-HQA4 (1 mo. USD LIBOR + 1.30%)(a) | 3.777 | 04/25/2029 | 6,665,652 | ||||||||||||
3,000,000 | Federal Home Loan Mortgage Corp. (FHLMC), Class M2, Series 2018-HRP2 (1 mo. USD LIBOR + 1.25%)(a)(b) | 3.727 | 02/25/2047 | 3,011,850 | ||||||||||||
1,961,526 | Federal Home Loan Mortgage Corp. (FHLMC), Class M3, Series2015-HQ1 (1 mo. USD LIBOR + 3.80%)(a) | 6.277 | 03/25/2025 | 2,069,307 | ||||||||||||
|
| |||||||||||||||
74,018,613 | ||||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 33 |
|
Invesco Variable Rate Investment Grade ETF (VRIG)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
U.S. Agency Mortgage Credit Risk Transfer (continued) | ||||||||||||||||
Connecticut Avenue Securities (CAS)—5.6%(e) | ||||||||||||||||
$ | 6,706,508 | Federal National Mortgage Association (FNMA), Class 1M2, Series2014-C03 (1 mo. USD LIBOR + 3.00%)(a) | 5.477 | % | 07/25/2024 | $ | 7,172,434 | |||||||||
2,939,933 | Federal National Mortgage Association (FNMA), Class 1M2, Series2016-C02 (1 mo. USD LIBOR + 6.00%)(a) | 8.477 | 09/25/2028 | 3,344,142 | ||||||||||||
55,181 | Federal National Mortgage Association (FNMA), Class 2M1, Series2016-C05 (1 mo. USD LIBOR + 1.35%)(a) | 3.827 | 01/25/2029 | 55,220 | ||||||||||||
3,323,473 | Federal National Mortgage Association (FNMA), Class 2M1, Series2017-C02 (1 mo. USD LIBOR + 1.15%)(a) | 3.627 | 09/25/2029 | 3,331,876 | ||||||||||||
3,620,455 | Federal National Mortgage Association (FNMA), Class 2M2, Series2014-C02 (1 mo. USD LIBOR + 2.60%)(a) | 5.077 | 05/25/2024 | 3,780,925 | ||||||||||||
4,108,794 | Federal National Mortgage Association (FNMA), Class 2M2, Series2014-C03 (1 mo. USD LIBOR + 2.90%)(a) | 5.377 | 07/25/2024 | 4,322,023 | ||||||||||||
1,197,970 | Federal National Mortgage Association (FNMA), Class 2M2, Series2015-C02 (1 mo. USD LIBOR + 4.00%)(a) | 6.477 | 05/25/2025 | 1,276,712 | ||||||||||||
|
| |||||||||||||||
23,283,332 | ||||||||||||||||
|
| |||||||||||||||
Total U.S. Agency Mortgage Credit Risk Transfer (Cost $97,813,782) | 97,301,945 | |||||||||||||||
|
| |||||||||||||||
Commercial Mortgage-Backed Securities—11.2% | ||||||||||||||||
1,000,000 | BX Commercial Mortgage Trust, Class A, Series 2018-BIOA (1 mo. USD LIBOR + 0.67%)(a)(b) | 3.144 | 03/15/2037 | 995,033 | ||||||||||||
1,500,000 | BX Commercial Mortgage Trust, Class C, Series 2018-BIOA (1 mo. USD LIBOR + 1.12%)(a)(b) | 3.594 | 03/15/2037 | 1,499,133 | ||||||||||||
4,500,000 | BX Trust, Class A, Series2018-GW (1 mo. USD LIBOR + 0.80%)(a)(b) | 3.273 | 05/15/2035 | 4,483,545 | ||||||||||||
3,500,000 | BX Trust, Class A, Series 2018-MCSF (1 mo. USD LIBOR + 0.58%)(a)(b) | 3.049 | 04/15/2035 | 3,454,957 | ||||||||||||
1,350,000 | CGDBB Commercial Mortgage Trust, Class A, Series 2017-BIOC (1 mo. USD LIBOR + 0.79%)(a)(b) | 3.263 | 07/15/2032 | 1,351,032 | ||||||||||||
3,000,000 | CLNS Trust, Class A, Series 2017-IKPR (1 mo. USD LIBOR + 0.80%)(a)(b) | 3.284 | 06/11/2032 | 2,996,555 | ||||||||||||
3,800,000 | Cloverleaf Cold Storage Trust, Class B, Series 2019-CHL2 (1 mo. USD LIBOR + 1.35%)(a)(b) | 3.823 | 03/15/2036 | 3,814,844 | ||||||||||||
3,400,000 | Cold Storage Trust, Class A, Series 2017-ICE3 (1 mo. USD LIBOR + 1.00%)(a)(b) | 3.473 | 04/15/2036 | 3,414,857 | ||||||||||||
139,180 | Commercial Mortgage Trust, Class B, Series2014-FL5 (1 mo. USD LIBOR + 2.15%)(a)(b) | 3.870 | 10/15/2031 | 139,341 | ||||||||||||
3,000,000 | CSWF Trust, Class B, Series2018-TOP (1 mo. USD LIBOR + 1.30%)(a)(b) | 3.773 | 08/15/2035 | 3,005,376 | ||||||||||||
2,000,000 | DBGS Mortgage Trust, Class A, Series2018-5BP (1 mo. USD LIBOR + 0.65%)(a)(b) | 3.118 | 06/15/2033 | 1,985,259 | ||||||||||||
3,000,000 | DBGS Mortgage Trust, Class B, Series2018-5BP (1 mo. USD LIBOR + 0.83%)(a)(b) | 3.303 | 06/15/2033 | 2,975,073 | ||||||||||||
1,402,418 | DBGS Mortgage Trust, Class B, Series 2018-BIOD (1 mo. USD LIBOR + 0.89%)(a)(b) | 3.361 | 05/15/2035 | 1,392,035 | ||||||||||||
1,733,770 | GPT Mortgage Trust, Class B, Series2018-GPP (1 mo. USD LIBOR + 1.28%)(a)(b) | 3.753 | 06/15/2035 | 1,725,930 | ||||||||||||
800,000 | Hospitality Mortgage Trust, Class B, Series2017-HIT (1 mo. USD LIBOR + 1.18%)(a)(b) | 3.654 | 05/08/2030 | 799,596 | ||||||||||||
500,000 | Hospitality Mortgage Trust, Class C, Series2017-HIT (1 mo. USD LIBOR + 1.35%)(a)(b) | 3.824 | 05/08/2030 | 498,979 | ||||||||||||
3,000,000 | Morgan Stanley Capital I Inc., Class A, Series 2017-JWDR (1 mo. USD LIBOR + 0.85%)(a)(b) | 3.323 | 11/15/2034 | 2,991,071 | ||||||||||||
1,000,000 | Morgan Stanley Capital I Trust, Class B, Series2017-CLS (1 mo. USD LIBOR + 0.85%)(a)(b) | 3.323 | 11/15/2034 | 998,019 | ||||||||||||
1,000,000 | Rosslyn Portfolio Trust, Class B, Series 2017-ROSS (1 mo. USD LIBOR + 1.25%)(a)(b) | 3.723 | 06/15/2033 | 997,261 | ||||||||||||
975,110 | Stonemont Portfolio Trust, Class A, Series 2017-MONT (1 mo. USD LIBOR + 0.85%)(a)(b) | 3.337 | 08/20/2030 | 976,025 | ||||||||||||
1,215,120 | Tharaldson Hotel Portfolio Trust, Class A, Series2018-THL (1 mo. USD LIBOR + 0.75%)(a)(b) | 3.224 | 11/11/2034 | 1,213,464 | ||||||||||||
4,900,000 | Wells Fargo Commercial Mortgage Trust, Class A, Series2018-BXI (1 mo. USD LIBOR + 0.73%)(a)(b) | 3.204 | 12/15/2036 | 4,876,681 | ||||||||||||
|
| |||||||||||||||
Total Commercial Mortgage-Backed Securities (Cost $46,641,913) | 46,584,066 | |||||||||||||||
|
| |||||||||||||||
U.S. Treasury Securities—9.4% | ||||||||||||||||
17,900,000 | U.S. Treasury Floating Rate Note (3 mo. U.S. Treasury Bill Money Market Yield Rate + 0.05%)(a) | 2.445 | 10/31/2020 | 17,889,221 | ||||||||||||
21,200,000 | U.S. Treasury Floating Rate Note (3 mo. U.S. Treasury Bill Money Market Yield Rate + 0.12%)(a) | 2.515 | 01/31/2021 | 21,203,217 | ||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Securities (Cost $39,070,060) | 39,092,438 | |||||||||||||||
|
| |||||||||||||||
U.S. Government Sponsored Agency Mortgage-Backed Securities—6.5% | ||||||||||||||||
Collateralized Mortgage Obligations—4.1% | ||||||||||||||||
390,104 | Federal Home Loan Mortgage Corp. (FHLMC), REMICs, Class JF, Series 2012-4091 (1 mo. USD LIBOR + 0.50%)(a) | 2.973 | 06/15/2041 | 391,460 | ||||||||||||
1,565,400 | Federal Home Loan Mortgage Corp. (FHLMC), REMICs, Class FA, Series 2016-4547 (1 mo. USD LIBOR + 0.45%)(a) | 2.939 | 09/15/2040 | 1,566,442 |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 34 |
|
Invesco Variable Rate Investment Grade ETF (VRIG)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
U.S. Government Sponsored Agency Mortgage-Backed Securities (continued) | ||||||||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||||||
$ | 1,907,534 | Federal Home Loan Mortgage Corp. (FHLMC), REMICs, Class FA, Series 2017-4683 (1 mo. USD LIBOR + 0.35%)(a) | 2.839 | % | 09/15/2038 | $ | 1,909,411 | |||||||||
1,966,637 | Federal Home Loan Mortgage Corp. (FHLMC), REMICs, Class FA, Series 2018-4770 (1 mo. USD LIBOR + 0.32%)(a) | 2.809 | 08/15/2043 | 1,965,472 | ||||||||||||
4,825,381 | Federal Home Loan Mortgage Corp. (FHLMC), STRIPS, Class F4, Series2014-330 (1 mo. USD LIBOR + 0.35%)(a) | 2.839 | 10/15/2037 | 4,823,444 | ||||||||||||
1,416,076 | Federal Home Loan Mortgage Corp. (FHLMC), STRIPS, Class F2, Series2016-350 (1 mo. USD LIBOR + 0.35%)(a) | 2.839 | 09/15/2040 | 1,415,828 | ||||||||||||
151,840 | Federal National Mortgage Association (FNMA), REMICs, Class FJ, Series2011-127 (1 mo. USD LIBOR + 0.35%)(a) | 2.827 | 09/25/2041 | 151,999 | ||||||||||||
1,955,788 | Federal National Mortgage Association (FNMA), REMICs, Class FB, Series2014-92 (1 mo. USD LIBOR + 0.32%)(a) | 2.809 | 01/25/2045 | 1,945,341 | ||||||||||||
495,973 | Federal National Mortgage Association (FNMA), REMICs, Class FL, Series2016-25 (1 mo. USD LIBOR + 0.50%)(a) | 2.977 | 05/25/2046 | 496,761 | ||||||||||||
647,686 | Federal National Mortgage Association (FNMA), REMICs, Class FM, Series2017-100 (1 mo. USD LIBOR + 0.32%)(a) | 2.809 | 12/25/2047 | 644,541 | ||||||||||||
1,810,464 | Federal National Mortgage Association (FNMA), REMICs, Class AF, Series2017-68 (1 mo. USD LIBOR + 0.30%)(a) | 2.789 | 09/25/2047 | 1,799,812 | ||||||||||||
|
| |||||||||||||||
17,110,511 | ||||||||||||||||
|
| |||||||||||||||
Commercial Mortgage-Backed Securities—0.7% | ||||||||||||||||
2,803,192 | Federal Home Loan Mortgage Corp. (FHLMC), Multifamily Structured Pass Through Certificates, Class A, Series 2018-Q008 (1 mo. USD LIBOR + 0.39%)(a) | 2.885 | 10/25/2045 | 2,796,628 | ||||||||||||
|
| |||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC)—0.5% | ||||||||||||||||
350,910 | Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.59%)(a) | 4.537 | 06/01/2037 | 366,333 | ||||||||||||
859,065 | Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.74%)(a) | 4.514 | 11/01/2038 | 901,259 | ||||||||||||
775,462 | Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.73%)(a) | 4.599 | 03/01/2043 | 806,084 | ||||||||||||
|
| |||||||||||||||
2,073,676 | ||||||||||||||||
|
| |||||||||||||||
Federal National Mortgage Corp. (FNMA)—0.8% | ||||||||||||||||
60,217 | Federal National Mortgage Association (FNMA) (12 mo. USD LIBOR + 1.64%)(a) | 4.765 | 02/01/2035 | 60,292 | ||||||||||||
1,522,941 | Federal National Mortgage Association (FNMA)(1-Year Treasury Constant Maturity + 2.35%)(a) | 4.708 | 07/01/2035 | 1,610,972 | ||||||||||||
128,716 | Federal National Mortgage Association (FNMA) (6 mo. USD LIBOR + 1.57%)(a) | 4.346 | 07/01/2035 | 133,021 | ||||||||||||
541,702 | Federal National Mortgage Association (FNMA) (12 mo. USD LIBOR + 1.79%)(a) | 4.557 | 10/01/2036 | 567,421 | ||||||||||||
281,024 | Federal National Mortgage Association (FNMA) (12 mo. USD LIBOR + 1.80%)(a) | 4.797 | 03/01/2037 | 292,556 | ||||||||||||
552,605 | Federal National Mortgage Association (FNMA) (12 mo. USD LIBOR + 1.62%)(a) | 4.631 | 11/01/2037 | 578,755 | ||||||||||||
|
| |||||||||||||||
3,243,017 | ||||||||||||||||
|
| |||||||||||||||
Government National Mortgage Association—0.4% | ||||||||||||||||
1,615,750 | Government National Mortgage Association (GNMA)(1-Year Treasury Constant Maturity + 1.50%)(a) | 2.500 | 10/20/2047 | 1,615,867 | ||||||||||||
|
| |||||||||||||||
Total U.S. Government Sponsored Agency Mortgage-Backed Securities (Cost $26,902,643) | 26,839,699 | |||||||||||||||
|
| |||||||||||||||
Asset-Backed Securities—4.4% | ||||||||||||||||
250,000 | Capital One Multi-Asset Execution Trust, Class A2, Series2016-A2 (1 mo. USD LIBOR + 0.63%)(a) | 3.103 | 02/15/2024 | 252,132 | ||||||||||||
865,165 | Edsouth Indenture No. 9 LLC, Class A, Series2015-1 (1 mo. USD LIBOR + 0.80%)(a)(b) | 3.277 | 10/25/2056 | 857,467 | ||||||||||||
2,500,000 | Hertz Vehicle Financing II LP, Class B, Series2016-4A(b) | 3.290 | 07/25/2022 | 2,490,754 | ||||||||||||
320,000 | Hertz Vehicle Financing II LP, Class B, Series2017-1A(b) | 3.560 | 10/25/2021 | 319,670 | ||||||||||||
1,106,896 | Home Equity Asset Trust, Class M2, Series2004-5 (1 mo. USD LIBOR + 0.95%)(a) | 3.422 | 11/25/2034 | 1,108,654 | ||||||||||||
1,774,538 | Home Partners of America Trust, Class A, Series2017-1 (1 mo. USD LIBOR + 0.82%)(a)(b) | 3.291 | 07/17/2034 | 1,767,730 | ||||||||||||
1,760,000 | Home Partners of America Trust, Class B, Series2018-1 (1 mo. USD LIBOR + 1.10%)(a)(b) | 3.574 | 07/17/2037 | 1,745,250 | ||||||||||||
1,857,994 | Invitation Homes Trust, Class A, Series 2017-SFR2 (1 mo. USD LIBOR + 0.85%)(a)(b) | 3.324 | 12/17/2036 | 1,848,219 | ||||||||||||
5,620,000 | Invitation Homes Trust, Class C, Series 2017-SFR2 (1 mo. USD LIBOR + 1.45%)(a)(b) | 3.924 | 12/17/2036 | 5,642,596 | ||||||||||||
1,000,000 | Invitation Homes Trust, Class B, Series 2018-SFR1 (1 mo. USD LIBOR + 0.95%)(a)(b) | 3.424 | 03/17/2037 | 994,062 | ||||||||||||
1,177,271 | Pennsylvania Higher Education Assistance Agency, Class A2, Series2009-2 (3 mo. USD LIBOR + 1.10%)(a) | 3.680 | 01/25/2028 | 1,102,425 | ||||||||||||
|
| |||||||||||||||
Total Asset-Backed Securities (Cost $18,178,825) | 18,128,959 | |||||||||||||||
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 35 |
|
Invesco Variable Rate Investment Grade ETF (VRIG)(continued)
April 30, 2019
(Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||||
Collateralized Mortgage Obligations—3.2% | ||||||||||||||||
$ | 322,273 | Adjustable Rate Mortgage Trust, Class 6A1, Series2004-2(f) | 4.671 | % | 02/25/2035 | $ | 325,992 | |||||||||
400,869 | Bear Stearns Adjustable Rate Mortgage Trust, Class 6A, Series2003-7(f) | 4.578 | 10/25/2033 | 408,975 | ||||||||||||
299,367 | Bear Stearns Adjustable Rate Mortgage Trust, Class 4A1, Series2003-8(f) | 4.747 | 01/25/2034 | 306,082 | ||||||||||||
1,080,000 | Deephaven Residential Mortgage Trust, Class A1, Series2019-2A(b) | 3.558 | 04/25/2059 | 1,084,081 | ||||||||||||
292,397 | Merrill Lynch Mortgage Investors Trust, Class A1, Series2003-F (1 mo. USD LIBOR + 0.64%)(a) | 3.117 | 10/25/2028 | 291,190 | ||||||||||||
111,196 | Merrill Lynch Mortgage Investors Trust, Class A5, Series2005-A2(f) | 4.444 | 02/25/2035 | 115,735 | ||||||||||||
3,720,025 | OBX Trust, Class 2A1, Series 2018-EXP1 (1 mo. USD LIBOR + 0.85%)(a)(b) | 3.327 | 04/25/2048 | 3,709,325 | ||||||||||||
3,272,801 | OBX Trust, Class 2A2, Series 2018-EXP2 (1 mo. USD LIBOR + 0.95%)(a)(b) | 3.427 | 11/25/2048 | 3,281,532 | ||||||||||||
1,500,000 | OBX Trust, Class 2A2, Series 2019-EXP1 (1 mo. USD LIBOR + 1.15%)(a)(b) | 3.640 | 01/25/2059 | 1,497,997 | ||||||||||||
1,936,845 | Residential Mortgage Loan Trust, Class A1, Series2019-1(b) | 3.936 | 10/25/2058 | 1,911,954 | ||||||||||||
141,854 | WaMu Mortgage Pass-Through Certificates Trust, Class A2, Series2004-AR3(f) | 4.258 | 06/25/2034 | 145,614 | ||||||||||||
270,731 | Wells Fargo Mortgage Backed Securities Trust, Class 1A1, Series 2005-AR12(f) | 4.941 | 05/25/2035 | 279,595 | ||||||||||||
|
| |||||||||||||||
Total Collateralized Mortgage Obligations (Cost $13,311,107) | 13,358,072 | |||||||||||||||
|
| |||||||||||||||
Number of Shares | ||||||||||||||||
Money Market Fund—0.1% | ||||||||||||||||
468,862 | Invesco Premier U.S. Government Money Portfolio—Institutional Class, 2.32%(g) (Cost $468,862) | 468,862 | ||||||||||||||
|
| |||||||||||||||
Total Investments in Securities (Cost $414,714,239)—99.6% | 413,548,624 | |||||||||||||||
Other assets less liabilities—0.4% | 1,631,888 | |||||||||||||||
|
| |||||||||||||||
Net Assets—100.0% | $ | 415,180,512 | ||||||||||||||
|
|
Abbreviations:
BKNT—Bank Note
GMTN—Global Medium-Term Note
LIBOR—London Interbank Offered Rate
MTN—Medium-Term Note
SOFR—Secured Overnight Financing Rate
STRIPS—Separately Traded Registered Interest and Principal Securities
REMICs—Real Estate Mortgage Investment Conduits
USD—U.S. Dollar
Notes to Schedule of Investments:
(a) | Variable rate coupon. Stated interest rate was in effect at April 30, 2019. |
(b) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at April 30, 2019 was $126,536,499, which represented 30.48% of the Fund’s Net Assets. |
(c) | Perpetual bond with no specified maturity date. |
(d) | Principal payments are determined by the delinquency and principal payment experience on the STACR® reference pool. Freddie Mac transfers credit risk from the mortgages in the reference pool to credit investors who invest in the STACR® debt notes. |
(e) | CAS notes are bonds issued by Fannie Mae. The amount of periodic principal and ultimate principal paid by Fannie Mae is determined by the performance of a large and diverse reference pool. |
(f) | Interest Rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect April 30, 2019. |
(g) | The security and the Fund are advised by wholly-owned subsidiaries of Invesco Ltd. and are therefore considered to be affiliated. The rate shown is the7-day SEC standardized yield as of April 30, 2019. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 36 |
|
(This Page Intentionally Left Blank)
| 37 |
|
Statements of Assets and Liabilities
April 30, 2019
(Unaudited)
Invesco Active U.S. Real Estate ETF (PSR) | Invesco Balanced Multi-Asset Allocation ETF (PSMB) | Invesco Conservative Multi- Asset Allocation ETF (PSMC) | Invesco Growth Multi-Asset Allocation ETF (PSMG) | |||||||||||||
Assets: | ||||||||||||||||
Unaffiliated investments in securities, at value(a) | $ | 48,865,776 | $ | — | $ | — | $ | — | ||||||||
Affiliated investments in securities, at value | 443,540 | 2,827,418 | 2,804,965 | 4,403,441 | ||||||||||||
Other investments: | ||||||||||||||||
Unrealized appreciation on futures contracts | — | — | — | — | ||||||||||||
Cash | — | — | — | — | ||||||||||||
Deposits with brokers: | ||||||||||||||||
Cash collateral—futures contracts | — | — | — | — | ||||||||||||
Receivable for: | ||||||||||||||||
Dividends and interest | 30,301 | — | — | — | ||||||||||||
Investments sold | — | 1,784,652 | 1,194,166 | 2,873,770 | ||||||||||||
Foreign tax reclaims | — | — | — | — | ||||||||||||
Securities lending | — | 683 | 861 | 559 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 49,339,617 | 4,612,753 | 3,999,992 | 7,277,770 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other investments: | ||||||||||||||||
Open written options, at value | — | — | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
Unrealized depreciation on forward foreign currency contracts outstanding | — | — | — | — | ||||||||||||
Unrealized depreciation on futures contracts | — | — | — | — | ||||||||||||
Payable for: | ||||||||||||||||
Collateral upon return of securities loaned | 440,869 | 53,976 | 203,737 | 89,392 | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
Investments purchased | — | 1,791,449 | 1,203,767 | 2,878,496 | ||||||||||||
Accrued unitary management fees | 12,230 | 113 | 166 | 176 | ||||||||||||
Accrued advisory fees | — | — | — | — | ||||||||||||
Accrued trustees’ and officer’s fees | — | — | — | — | ||||||||||||
Accrued expenses | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 453,099 | 1,845,538 | 1,407,670 | 2,968,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 48,886,518 | $ | 2,767,215 | $ | 2,592,322 | $ | 4,309,706 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets consist of: | ||||||||||||||||
Shares of beneficial interest | $ | 44,340,162 | $ | 2,609,391 | $ | 1,837,810 | $ | 3,957,495 | ||||||||
Distributable earnings | 4,546,356 | 157,824 | 754,512 | 352,211 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 48,886,518 | $ | 2,767,215 | $ | 2,592,322 | $ | 4,309,706 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding (unlimited amount authorized, $0.01 par value) | 550,000 | 200,001 | 200,001 | 300,001 | ||||||||||||
Net asset value | $ | 88.88 | $ | 13.84 | $ | 12.96 | $ | 14.37 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Market price | $ | 88.93 | $ | 13.85 | $ | 12.99 | $ | 14.38 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Unaffiliated investments in securities, at cost | $ | 43,658,817 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Affiliated investments in securities, at cost | $ | 443,540 | $ | 2,783,026 | $ | 2,771,471 | $ | 4,344,273 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Premium received on written options | $ | — | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Includes securities on loan with an aggregate value of: | $ | 436,429 | $ | 53,166 | $ | 175,460 | $ | 88,029 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 38 |
|
Invesco Moderately Conservative Multi- Asset Allocation ETF (PSMM) | Invesco S&P 500® Downside Hedged ETF (PHDG) | Invesco Total Return Bond ETF (GTO) | Invesco Ultra Short Duration ETF (GSY) | Invesco Variable Rate Investment Grade ETF (VRIG) | ||||||||||||||
$ | — | $ | 31,154,868 | $ | 63,134,089 | $ | 2,346,531,290 | $ | 413,079,762 | |||||||||
4,131,763 | 7,148,075 | — | — | 468,862 | ||||||||||||||
— | 342,160 | — | — | — | ||||||||||||||
— | 4,004 | 6,799,741 | 207,892 | — | ||||||||||||||
— | 1,374,119 | — | — | — | ||||||||||||||
— | 39,960 | 353,670 | 7,783,638 | 1,497,057 | ||||||||||||||
2,201,520 | 667 | 2,231,972 | — | 230,657 | ||||||||||||||
— | — | — | — | 6,624 | ||||||||||||||
492 | 9 | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
6,333,775 | 40,063,862 | 72,519,472 | 2,354,522,820 | 415,282,962 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
— | — | 64,960 | — | — | ||||||||||||||
— | 4,065 | 17,195 | — | — | ||||||||||||||
| — |
| — | 754 | — | — | ||||||||||||
— | 25,852 | — | — | — | ||||||||||||||
84,366 | 57,747 | — | — | — | ||||||||||||||
— | 667 | — | — | — | ||||||||||||||
2,212,741 | — | 10,265,014 | 10,000,000 | — | ||||||||||||||
165 | 11,589 | 23,001 | — | 102,450 | ||||||||||||||
— | — | — | 382,466 | — | ||||||||||||||
— | — | — | 13,201 | — | ||||||||||||||
— | — | — | 395,159 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,297,272 | 99,920 | 10,370,924 | 10,790,826 | 102,450 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 4,036,503 | $ | 39,963,942 | $ | 62,148,548 | $ | 2,343,731,994 | $ | 415,180,512 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 3,806,992 | $ | 115,913,720 | $ | 61,744,837 | $ | 2,337,306,140 | $ | 419,004,155 | |||||||||
229,511 | (75,949,778 | ) | 403,711 | 6,425,854 | (3,823,643 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 4,036,503 | $ | 39,963,942 | $ | 62,148,548 | $ | 2,343,731,994 | $ | 415,180,512 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
300,001 | 1,400,000 | 1,200,000 | 46,600,000 | 16,650,001 | ||||||||||||||
$ | 13.45 | $ | 28.55 | $ | 51.79 | $ | 50.29 | $ | 24.94 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 13.47 | $ | 28.48 | $ | 51.83 | $ | 50.29 | $ | 24.91 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | 27,468,698 | $ | 62,705,068 | $ | 2,341,106,142 | $ | 414,245,377 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 4,066,474 | $ | 7,152,643 | $ | — | $ | — | $ | 468,862 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | — | $ | 63,972 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 82,559 | $ | 56,676 | $ | — | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
|
| 39 |
|
For the six months ended April 30, 2019
(Unaudited)
Invesco Active U.S. Real Estate ETF (PSR) | Invesco Balanced Multi-Asset Allocation ETF (PSMB) | Invesco Conservative Multi- Asset Allocation ETF (PSMC) | Invesco Growth Multi-Asset Allocation ETF (PSMG) | |||||||||||||
Investment income: | ||||||||||||||||
Unaffiliated dividend income | $ | 578,556 | $ | — | $ | — | $ | — | ||||||||
Affiliated dividend income | 146 | 33,179 | 120,750 | 48,479 | ||||||||||||
Unaffiliated interest income | — | — | — | — | ||||||||||||
Securities lending income | 8 | 5,675 | 20,283 | 8,296 | ||||||||||||
Foreign withholding tax | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 578,710 | 38,854 | 141,033 | 56,775 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Unitary management fees | 58,659 | 657 | 1,929 | 1,039 | ||||||||||||
Advisory fees | — | — | — | — | ||||||||||||
Accounting & administration fees | — | — | — | — | ||||||||||||
Professional fees | — | — | — | — | ||||||||||||
Printing fees | — | — | — | — | ||||||||||||
Custodian & transfer agent fees | — | — | — | — | ||||||||||||
Trustees’ and officer’s fees | — | — | — | — | ||||||||||||
Listing fee and expense | — | — | — | — | ||||||||||||
Insurance | — | — | — | — | ||||||||||||
Intraday valuation fees | — | — | — | — | ||||||||||||
Other expenses | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 58,659 | 657 | 1,929 | 1,039 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less: Waivers | (10 | ) | (2 | ) | (6 | ) | (3 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 58,649 | 655 | 1,923 | 1,036 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 520,061 | 38,199 | 139,110 | 55,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) from: | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Unaffiliated investment securities | (109,576 | ) | — | — | — | |||||||||||
Affiliated investment securities | — | 102,643 | 84,932 | 123,985 | ||||||||||||
Unaffiliatedin-kind redemptions | — | — | — | — | ||||||||||||
Affiliatedin-kind redemptions | — | — | 586,004 | 150,638 | ||||||||||||
Foreign currencies | — | — | — | — | ||||||||||||
Forward foreign currency contracts | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (109,576 | ) | 102,643 | 670,936 | 274,623 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||
Unaffiliated investment securities | 3,891,417 | — | — | — | ||||||||||||
Affiliated investment securities | — | 54,390 | 39,249 | 54,941 | ||||||||||||
Foreign currencies | — | — | — | — | ||||||||||||
Forward foreign currency contracts | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Options written | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) | 3,891,417 | 54,390 | 39,249 | 54,941 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 3,781,841 | 157,033 | 710,185 | 329,564 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | $ | 4,301,902 | $ | 195,232 | $ | 849,295 | $ | 385,303 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 40 |
|
Invesco Moderately Conservative Multi- Asset Allocation ETF (PSMM) | Invesco S&P 500® Downside Hedged ETF (PHDG) | Invesco Total Return Bond ETF (GTO) | Invesco Ultra Short Duration ETF (GSY) | Invesco Variable Rate Investment Grade ETF (VRIG) | ||||||||||||||
$ | — | $ | 256,209 | $ | 9,975 | $ | — | $ | — | |||||||||
54,154 | 74,228 | — | — | 19,033 | ||||||||||||||
— | — | 876,769 | 31,403,449 | 7,226,099 | ||||||||||||||
7,050 | 462 | 21 | 352 | 35 | ||||||||||||||
— | — | (130 | ) | (21,095 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
61,204 | 330,899 | 886,635 | 31,382,706 | 7,245,167 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
863 | 60,248 | 113,905 | — | 634,335 | ||||||||||||||
— | — | — | 2,038,443 | — | ||||||||||||||
— | — | — | 57,591 | — | ||||||||||||||
— | — | — | 31,914 | — | ||||||||||||||
— | — | — | 29,361 | — | ||||||||||||||
— | — | — | 12,511 | — | ||||||||||||||
— | — | — | 8,948 | — | ||||||||||||||
— | — | — | 3,719 | — | ||||||||||||||
— | — | — | 2,230 | — | ||||||||||||||
— | — | — | 991 | — | ||||||||||||||
— | �� | — | — | 19,833 | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
863 | 60,248 | 113,905 | 2,205,541 | 634,335 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(2 | ) | (5,728 | ) | — | — | (1,437 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
861 | 54,520 | 113,905 | 2,205,541 | 632,898 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
60,343 | 276,379 | 772,730 | 29,177,165 | 6,612,269 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
— | (2,124,293 | ) | 308,143 | 1,528,333 | (1,172,771 | ) | ||||||||||||
145,140 | — | — | — | — | ||||||||||||||
— | 59,742 | — | — | — | ||||||||||||||
— | — | — | — | — | ||||||||||||||
— | — | (2,119 | ) | (3,976 | ) | — | ||||||||||||
— | — | — | (751,100 | ) | — | |||||||||||||
— | (831,227 | ) | (186,606 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
145,140 | (2,895,778 | ) | 119,418 | 773,257 | (1,172,771 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
— | 4,098,715 | 1,774,020 | 4,449,644 | (279,200 | ) | |||||||||||||
49,919 | 119 | — | — | — | ||||||||||||||
— | — | — | 20 | — | ||||||||||||||
— | — | (754 | ) | (27,583 | ) | — | ||||||||||||
— | 101,832 | (143,653 | ) | — | — | |||||||||||||
— | — | (988 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
49,919 | 4,200,666 | 1,628,625 | 4,422,081 | (279,200 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
195,059 | 1,304,888 | 1,748,043 | 5,195,338 | (1,451,971 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 255,402 | $ | 1,581,267 | $ | 2,520,773 | $ | 34,372,503 | $ | 5,160,298 | |||||||||
|
|
|
|
|
|
|
|
|
|
| 41 |
|
Statements of Changes in Net Assets
For the six months ended April 30, 2019 and the year ended October 31, 2018
(Unaudited)
Invesco Active U.S. Real Estate ETF (PSR) | Invesco Balanced Multi-Asset Allocation ETF (PSMB) | |||||||||||||||
Six Months Ended April 30, 2019 | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 | Year Ended October 31, 2018 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 520,061 | $ | 646,614 | $ | 38,199 | $ | 46,890 | ||||||||
Net realized gain (loss) | (109,576 | ) | (291,245 | ) | 102,643 | 6,601 | ||||||||||
Change in net unrealized appreciation (depreciation) | 3,891,417 | (400,767 | ) | 54,390 | (82,789 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 4,301,902 | (45,398 | ) | 195,232 | (29,298 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings | (352,486 | ) | (457,566 | ) | (48,419 | ) | (41,471 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shareholder Transactions: | ||||||||||||||||
Proceeds from shares sold | 17,130,337 | 8,200,189 | — | 1,359,379 | ||||||||||||
Value of shares repurchased | — | (3,910,636 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from shares transactions | 17,130,337 | 4,289,553 | — | 1,359,379 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 21,079,753 | 3,786,589 | 146,813 | 1,288,610 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 27,806,765 | 24,020,176 | 2,620,402 | 1,331,792 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 48,886,518 | $ | 27,806,765 | $ | 2,767,215 | $ | 2,620,402 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Changes in Shares Outstanding: | ||||||||||||||||
Shares sold | 200,000 | 100,000 | — | 100,000 | ||||||||||||
Shares repurchased | — | (50,000 | ) | — | — | |||||||||||
Shares outstanding, beginning of period | 350,000 | 300,000 | 200,001 | 100,001 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding, end of period | 550,000 | 350,000 | 200,001 | 200,001 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 42 |
|
Invesco Conservative Multi-Asset Allocation ETF (PSMC) | Invesco Growth Multi-Asset Allocation ETF (PSMG) | Invesco Moderately Conservative Multi-Asset Allocation ETF (PSMM) | ||||||||||||||||||||
Six Months Ended April 30, 2019 | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 | Year Ended October 31, 2018 | |||||||||||||||||
$ | 139,110 | $ | 43,679 | $ | 55,739 | $ | 44,328 | $ | 60,343 | $ | 39,735 | |||||||||||
670,936 | (2,910 | ) | 274,623 | 9,854 | 145,140 | 3,123 | ||||||||||||||||
39,249 | (35,411 | ) | 54,941 | (92,178 | ) | 49,919 | (36,887 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
849,295 | 5,358 | 385,303 | (37,996 | ) | 255,402 | 5,971 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(93,823 | ) | (43,324 | ) | (63,484 | ) | (37,124 | ) | (52,263 | ) | (40,004 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
12,167,371 | — | 2,698,237 | 1,410,361 | 2,556,980 | — | |||||||||||||||||
(11,579,555 | ) | — | (1,401,116 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
587,816 | — | 1,297,121 | 1,410,361 | 2,556,980 | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,343,288 | (37,966 | ) | 1,618,940 | 1,335,241 | 2,760,119 | (34,033 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,249,034 | 1,287,000 | 2,690,766 | 1,355,525 | 1,276,384 | 1,310,417 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,592,322 | $ | 1,249,034 | $ | 4,309,706 | $ | 2,690,766 | $ | 4,036,503 | $ | 1,276,384 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,000,000 | — | 200,000 | 100,000 | 200,000 | — | |||||||||||||||||
(900,000 | ) | — | (100,000 | ) | — | — | — | |||||||||||||||
100,001 | 100,001 | 200,001 | 100,001 | 100,001 | 100,001 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
200,001 | 100,001 | 300,001 | 200,001 | 300,001 | 100,001 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| 43 |
|
Statements of Changes in Net Assets(continued)
For the six months ended April 30, 2019 and the year ended October 31, 2018
(Unaudited)
Invesco S&P 500® Downside Hedged ETF (PHDG) | Invesco Total Return Bond ETF (GTO) | |||||||||||||||||||
Six Months Ended April 30, 2019 | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 | Two Months Ended October 31, 2018(a) | Year Ended August 31, 2018 | ||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 276,379 | $ | 362,692 | $ | 772,730 | $ | 246,381 | $ | 1,729,357 | ||||||||||
Net realized gain (loss) | (2,895,778 | ) | 4,228,306 | 119,418 | 566,597 | 306,266 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 4,200,666 | (3,434,841 | ) | 1,628,625 | (1,523,442 | ) | (788,412 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets resulting from operations | 1,581,267 | 1,156,157 | 2,520,773 | (710,464 | ) | 1,247,211 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||
Distributable earnings | (258,306 | ) | (438,757 | ) | (1,575,494 | ) | (254,440 | ) | (1,904,261 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shareholder Transactions: | ||||||||||||||||||||
Proceeds from shares sold | 16,147,666 | 5,899,570 | 20,490,463 | — | 18,394,224 | |||||||||||||||
Value of shares repurchased | (4,029,431 | ) | (4,100,215 | ) | — | — | (57,597,609 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets resulting from shares transactions | 12,118,235 | 1,799,355 | 20,490,463 | — | (39,203,385 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets | 13,441,196 | 2,516,755 | 21,435,742 | (964,904 | ) | (39,860,435 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of period | 26,522,746 | 24,005,991 | 40,712,806 | 41,677,710 | 81,538,145 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
End of period | $ | 39,963,942 | $ | 26,522,746 | $ | 62,148,548 | $ | 40,712,806 | $ | 41,677,710 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Changes in Shares Outstanding: | ||||||||||||||||||||
Shares sold | 600,000 | 200,000 | 400,000 | — | 350,000 | |||||||||||||||
Shares repurchased | (150,000 | ) | (150,000 | ) | — | — | (1,100,000 | ) | ||||||||||||
Shares outstanding, beginning of period | 950,000 | 900,000 | 800,000 | 800,000 | 1,550,000 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shares outstanding, end of period | 1,400,000 | 950,000 | 1,200,000 | 800,000 | 800,000 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | For the period September 1, 2018 through October 31, 2018. |
(b) | For the period June 1, 2018 through October 31, 2018. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 44 |
|
Invesco Ultra Short Duration ETF (GSY) | Invesco Variable Rate Investment Grade ETF (VRIG) | |||||||||||||||||
Six Months Ended April 30, 2019 | Five Months Ended October 31, 2018(b) | Year Ended May 31, 2018 | Six Months Ended April 30, 2019 | Year Ended October 31, 2018 | ||||||||||||||
$ | 29,177,165 | $ | 14,998,841 | $ | 19,427,424 | $ | 6,612,269 | $ | 7,874,125 | |||||||||
773,257 | 90,013 | 2,820,225 | (1,172,771 | ) | (260,131 | ) | ||||||||||||
4,422,081 | (1,745,300 | ) | 100,925 | (279,200 | ) | | (1,489,063 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
34,372,503 | 13,343,554 | 22,348,574 | 5,160,298 | | 6,124,931 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(30,838,707 | ) | (15,247,637 | ) | (22,054,804 | ) | (7,027,821 | ) | (8,510,280 | ) | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,028,663,143 | 798,720,129 | 391,813,223 | 17,447,087 | 316,705,784 | ||||||||||||||
(1,300,020,251 | ) | (351,725,452 | ) | (301,733,842 | ) | (48,267,069 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
728,642,892 | 446,994,677 | 90,079,381 | (30,819,982 | ) | | 316,705,784 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
732,176,688 | 445,090,594 | 90,373,151 | (32,687,505 | ) | 314,320,435 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,611,555,306 | 1,166,464,712 | 1,076,091,561 | 447,868,017 | 133,547,582 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 2,343,731,994 | $ | 1,611,555,306 | $ | 1,166,464,712 | $ | 415,180,512 | $ | 447,868,017 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
40,400,000 | 15,900,000 | 7,800,000 | 700,000 | 12,600,000 | ||||||||||||||
(25,900,000 | ) | (7,000,000 | ) | (6,000,000 | ) | (1,950,000 | ) | — | ||||||||||
32,100,000 | 23,200,000 | 21,400,000 | 17,900,001 | 5,300,001 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
46,600,000 | 32,100,000 | 23,200,000 | 16,650,001 | 17,900,001 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
| 45 |
|
Invesco Active U.S. Real Estate ETF (PSR)
Six Months Ended April 30, 2019 (Unaudited) | Years Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net asset value at beginning of period | $ | 79.45 | $ | 80.07 | $ | 75.57 | $ | 73.43 | $ | 70.66 | $ | 60.33 | ||||||||||||
Net investment income(a) | 1.28 | 2.05 | 0.75 | 1.73 | 1.51 | 0.92 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 9.01 | (1.24 | ) | 5.44 | 3.04 | 2.51 | 10.33 | |||||||||||||||||
Total from investment operations | 10.29 | 0.81 | 6.19 | 4.77 | 4.02 | 11.25 | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.86 | ) | (1.43 | ) | (1.69 | ) | (1.80 | ) | (1.25 | ) | (0.92 | ) | ||||||||||||
Net realized gains | — | — | — | (0.83 | ) | — | — | |||||||||||||||||
Total distributions | (0.86 | ) | (1.43 | ) | (1.69 | ) | (2.63 | ) | (1.25 | ) | (0.92 | ) | ||||||||||||
Net asset value at end of period | $ | 88.88 | $ | 79.45 | $ | 80.07 | $ | 75.57 | $ | 73.43 | $ | 70.66 | ||||||||||||
Market price at end of period(b) | $ | 88.93 | $ | 79.30 | $ | 80.04 | $ | 75.55 | $ | 73.49 | $ | 70.63 | ||||||||||||
Net Asset Value Total Return(c) | 13.15 | % | 1.02 | % | 8.37 | % | 6.65 | % | 5.72 | % | 18.95 | % | ||||||||||||
Market Price Total Return(c) | 13.42 | % | 0.87 | % | 8.36 | % | 6.53 | % | 5.85 | % | 18.86 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets at end of period (000’s omitted) | $ | 48,887 | $ | 27,807 | $ | 24,020 | $ | 26,450 | $ | 55,069 | $ | 42,396 | ||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.35 | %(d) | 0.53 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | ||||||||||||
Net investment income | 3.10 | %(d) | 2.58 | % | 0.97 | % | 2.34 | % | 2.09 | % | 1.46 | % | ||||||||||||
Portfolio turnover rate(e) | 15 | % | 92 | % | 134 | % | 192 | % | 199 | % | 169 | % |
(a) | Based on average shares outstanding. |
(b) | The mean between the last bid and ask prices. |
(c) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized. |
(d) | Annualized. |
(e) | Portfolio turnover rate is not annualized for periods less than one year, if applicable, and does not include securities received or delivered from processing creations or redemptions. |
Invesco Balanced Multi-Asset Allocation ETF (PSMB)
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | For the Period February 21, 2017(a) Through October 31, 2017 | ||||||||||
Per Share Operating Performance: | ||||||||||||
Net asset value at beginning of period | $ | 13.10 | $ | 13.32 | $ | 12.50 | ||||||
Net investment income(b) | 0.19 | 0.36 | 0.18 | |||||||||
Net realized and unrealized gain (loss) on investments | 0.79 | (0.23 | ) | 0.76 | ||||||||
Total from investment operations | 0.98 | 0.13 | 0.94 | |||||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.20 | ) | (0.32 | ) | (0.12 | ) | ||||||
Net realized gains | (0.04 | ) | (0.03 | ) | — | |||||||
Total distributions | (0.24 | ) | (0.35 | ) | (0.12 | ) | ||||||
Net asset value at end of period | $ | 13.84 | $ | 13.10 | $ | 13.32 | ||||||
Market price at end of period(c) | $ | 13.85 | $ | 13.14 | $ | 13.33 | ||||||
Net Asset Value Total Return(d) | 7.71 | % | 0.89 | % | 7.57 | %(e) | ||||||
Market Price Total Return(d) | 7.45 | % | 1.12 | % | 7.65 | %(e) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net assets at end of period (000’s omitted) | $ | 2,767 | $ | 2,620 | $ | 1,332 | ||||||
Ratio to average net assets of: | ||||||||||||
Expenses(f) | | 0.05 | %(g) | 0.05 | % | 0.05 | %(g) | |||||
Net investment income | 2.91 | %(g) | 2.68 | % | 2.08 | %(g) | ||||||
Portfolio turnover rate(h) | 74 | % | 26 | % | 6 | % |
(a) | Commencement of investment operations. |
(b) | Based on average shares outstanding. |
(c) | The mean between the last bid and ask prices. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized. |
(e) | The net asset value total return from Fund Inception (February 23, 2017, the first day of trading on the Exchange) to October 31, 2017 was 7.74%. The market price total return from Fund Inception to October 31, 2017 was 7.65%. |
(f) | In addition to the fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the investment companies in which the Fund invests. Estimated investment companies’ expenses are not expenses that are incurred directly by the Fund. They are expenses that are incurred directly by the investment companies and are deducted from the value of the investment companies the Fund invests in. The effect of the estimated investment companies’ expenses that the Fund bears indirectly is included in the Fund’s total return. |
(g) | Annualized. |
(h) | Portfolio turnover rate is not annualized for periods less than one year, if applicable, and does not include securities received or delivered from processing creations or redemptions. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 46 |
|
Financial Highlights(continued)
Invesco Conservative Multi-Asset Allocation ETF (PSMC)
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | For the Period February 21, 2017(a) Through October 31, 2017 | ||||||||||
Per Share Operating Performance: | ||||||||||||
Net asset value at beginning of period | $ | 12.49 | $ | 12.87 | $ | 12.50 | ||||||
Net investment income(b) | 0.23 | 0.44 | 0.21 | |||||||||
Net realized and unrealized gain (loss) on investments | 0.47 | (0.38 | ) | 0.31 | ||||||||
Total from investment operations | 0.70 | 0.06 | 0.52 | |||||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.23 | ) | (0.42 | ) | (0.15 | ) | ||||||
Net realized gains | — | (0.02 | ) | — | ||||||||
Total distributions | (0.23 | ) | (0.44 | ) | (0.15 | ) | ||||||
Net asset value at end of period | $ | 12.96 | $ | 12.49 | $ | 12.87 | ||||||
Market price at end of period(c) | $ | 12.99 | $ | 12.49 | $ | 12.88 | ||||||
Net Asset Value Total Return(d) | 5.69 | % | 0.39 | % | 4.18 | %(e) | ||||||
Market Price Total Return(d) | 5.93 | % | 0.31 | % | 4.26 | %(e) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net assets at end of period (000’s omitted) | $ | 2,592 | $ | 1,249 | $ | 1,287 | ||||||
Ratio to average net assets of: | ||||||||||||
Expenses(f) | 0.05 | %(g) | 0.05 | % | 0.05 | %(g) | ||||||
Net investment income | 3.60 | %(g) | 3.42 | % | 2.36 | %(g) | ||||||
Portfolio turnover rate(h) | 22 | % | 38 | % | 4 | % |
(a) | Commencement of investment operations. |
(b) | Based on average shares outstanding. |
(c) | The mean between the last bid and ask prices. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized. |
(e) | The net asset value total return from Fund Inception (February 23, 2017, the first day of trading on the Exchange) to October 31, 2017 was 4.26%. The market price total return from Fund Inception to October 31, 2017 was 4.17%. |
(f) | In addition to the fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the investment companies in which the Fund invests. Estimated investment companies’ expenses are not expenses that are incurred directly by the Fund. They are expenses that are incurred directly by the investment companies and are deducted from the value of the investment companies the Fund invests in. The effect of the estimated investment companies’ expenses that the Fund bears indirectly is included in the Fund’s total return. |
(g) | Annualized. |
(h) | Portfolio turnover rate is not annualized for periods less than one year, if applicable, and does not include securities received or delivered from processing creations or redemptions. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
| 47 |
|
Financial Highlights(continued)
Invesco Growth Multi-Asset Allocation ETF (PSMG)
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | For the Period February 21, 2017(a) Through October 31, 2017 | ||||||||||
Per Share Operating Performance: | ||||||||||||
Net asset value at beginning of period | $ | 13.45 | $ | 13.56 | $ | 12.50 | ||||||
Net investment income(b) | 0.18 | 0.35 | 0.17 | |||||||||
Net realized and unrealized gain (loss) on investments | 0.94 | (0.15 | ) | 1.00 | ||||||||
Total from investment operations | 1.12 | 0.20 | 1.17 | |||||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.28 | ) | (0.11 | ) | ||||||
Net realized gains | (0.04 | ) | (0.03 | ) | — | |||||||
Total distributions | (0.20 | ) | (0.31 | ) | (0.11 | ) | ||||||
Net asset value at end of period | $ | 14.37 | $ | 13.45 | $ | 13.56 | ||||||
Market price at end of period(c) | $ | 14.38 | $ | 13.50 | $ | 13.59 | ||||||
Net Asset Value Total Return(d) | 8.48 | % | 1.43 | % | 9.36 | %(e) | ||||||
Market Price Total Return(d) | 8.15 | % | 1.58 | % | 9.60 | %(e) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net assets at end of period (000’s omitted) | $ | 4,310 | $ | 2,691 | $ | 1,356 | ||||||
Ratio to average net assets of: | ||||||||||||
Expenses(f) | 0.05 | %(g) | 0.05 | % | 0.05 | %(g) | ||||||
Net investment income | 2.68 | %(g) | 2.51 | % | 1.90 | %(g) | ||||||
Portfolio turnover rate(h) | 81 | % | 21 | % | 6 | % |
(a) | Commencement of investment operations. |
(b) | Based on average shares outstanding. |
(c) | The mean between the last bid and ask prices. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized. |
(e) | The net asset value total return from Fund Inception (February 23, 2017, the first day of trading on the Exchange) to October 31, 2017 was 9.54%. The market price total return from Fund Inception to October 31, 2017 was 9.69%. |
(f) | In addition to the fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the investment companies in which the Fund invests. Estimated investment companies’ expenses are not expenses that are incurred directly by the Fund. They are expenses that are incurred directly by the investment companies and are deducted from the value of the investment companies the Fund invests in. The effect of the estimated investment companies’ expenses that the Fund bears indirectly is included in the Fund’s total return. |
(g) | Annualized. |
(h) | Portfolio turnover rate is not annualized for periods less than one year, if applicable, and does not include securities received or delivered from processing creations or redemptions. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
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Financial Highlights(continued)
Invesco Moderately Conservative Multi-Asset Allocation ETF (PSMM)
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | For the Period February 21, 2017(a) Through October 31, 2017 | ||||||||||
Per Share Operating Performance: | ||||||||||||
Net asset value at beginning of period | $ | 12.76 | $ | 13.10 | $ | 12.50 | ||||||
Net investment income(b) | 0.22 | 0.40 | 0.20 | |||||||||
Net realized and unrealized gain (loss) on investments | 0.64 | (0.34 | ) | 0.54 | ||||||||
Total from investment operations | 0.86 | 0.06 | 0.74 | |||||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.37 | ) | (0.14 | ) | ||||||
Net realized gains | (0.01 | ) | (0.03 | ) | — | |||||||
Total distributions | (0.17 | ) | (0.40 | ) | (0.14 | ) | ||||||
Net asset value at end of period | $ | 13.45 | $ | 12.76 | $ | 13.10 | ||||||
Market price at end of period(c) | $ | 13.47 | $ | 12.78 | $ | 13.12 | ||||||
Net Asset Value Total Return(d) | 6.88 | % | 0.40 | % | 5.94 | %(e) | ||||||
Market Price Total Return(d) | 6.87 | % | 0.41 | % | 6.10 | %(e) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net assets at end of period (000’s omitted) | $ | 4,037 | $ | 1,276 | $ | 1,310 | ||||||
Ratio to average net assets of: | ||||||||||||
Expenses(f) | 0.05 | %(g) | 0.05 | % | 0.05 | %(g) | ||||||
Net investment income | 3.50 | %(g) | 3.03 | % | 2.23 | %(g) | ||||||
Portfolio turnover rate(h) | 73 | % | 32 | % | 5 | % |
(a) | Commencement of investment operations. |
(b) | Based on average shares outstanding. |
(c) | The mean between the last bid and ask prices. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized. |
(e) | The net asset value total return from Fund Inception (February 23, 2017, the first day of trading on the Exchange) to October 31, 2017 was 6.03%. The market price total return from Fund Inception to October 31, 2017 was 6.02%. |
(f) | In addition to the fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the investment companies in which the Fund invests. Estimated investment companies’ expenses are not expenses that are incurred directly by the Fund. They are expenses that are incurred directly by the investment companies and are deducted from the value of the investment companies the Fund invests in. The effect of the estimated investment companies’ expenses that the Fund bears indirectly is included in the Fund’s total return. |
(g) | Annualized. |
(h) | Portfolio turnover rate is not annualized for periods less than one year, if applicable, and does not include securities received or delivered from processing creations or redemptions. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
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Financial Highlights(continued)
Invesco S&P 500® Downside Hedged ETF (PHDG)
Six Months Ended April 30, 2019 (Unaudited) | Years Ended October 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net asset value at beginning of period | $ | 27.92 | $ | 26.67 | $ | 23.42 | $ | 24.89 | $ | 29.50 | $ | 27.15 | ||||||||||||
Net investment income(a) | 0.24 | 0.41 | 0.40 | 0.37 | 0.33 | 0.33 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.63 | 1.36 | 3.37 | (1.37 | ) | (3.39 | ) | 2.49 | ||||||||||||||||
Total from investment operations | 0.87 | 1.77 | 3.77 | (1.00 | ) | (3.06 | ) | 2.82 | ||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.52 | ) | (0.52 | ) | (0.47 | ) | (0.32 | ) | (0.47 | ) | ||||||||||||
Net realized gains | — | — | — | — | (1.23 | ) | — | |||||||||||||||||
Total distributions | (0.24 | ) | (0.52 | ) | (0.52 | ) | (0.47 | ) | (1.55 | ) | (0.47 | ) | ||||||||||||
Net asset value at end of period | $ | 28.55 | $ | 27.92 | $ | 26.67 | $ | 23.42 | $ | 24.89 | $ | 29.50 | ||||||||||||
Market price at end of period(b) | $ | 28.48 | $ | 27.86 | $ | 26.68 | $ | 23.45 | $ | 24.92 | $ | 29.49 | ||||||||||||
Net Asset Value Total Return(c) | 3.16 | % | 6.61 | % | 16.27 | % | (4.10 | )% | (10.83 | )% | 10.50 | % | ||||||||||||
Market Price Total Return(c) | 3.13 | % | 6.33 | % | 16.16 | % | (4.09 | )% | (10.69 | )% | 10.14 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets at end of period (000’s omitted) | $ | 39,964 | $ | 26,523 | $ | 24,006 | $ | 106,574 | $ | 416,981 | $ | 529,465 | ||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, after Waivers(d) | 0.35 | %(e) | 0.38 | % | 0.39 | % | 0.37 | % | 0.35 | % | 0.36 | % | ||||||||||||
Expenses, prior to Waivers(d) | 0.39 | %(e) | 0.39 | % | 0.39 | % | 0.39 | % | 0.39 | % | 0.39 | % | ||||||||||||
Net investment income, after Waivers | 1.79 | %(e) | 1.45 | % | 1.59 | % | 1.52 | % | 1.23 | % | 1.16 | % | ||||||||||||
Portfolio turnover rate(f) | 298 | % | 542 | % | 54 | % | 373 | % | 478 | % | 58 | % |
(a) | Based on average shares outstanding. |
(b) | The mean between the last bid and ask prices. |
(c) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized. |
(d) | In addition to the fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the investment companies in which the Fund invests. Estimated investment companies’ expenses are not expenses that are incurred directly by the Fund. They are expenses that are incurred directly by the investment companies and are deducted from the value of the investment companies the Fund invests in. The effect of the estimated investment companies’ expenses that the Fund bears indirectly is included in the Fund’s total return. |
(e) | Annualized. |
(f) | Portfolio turnover rate is not annualized for periods less than one year, if applicable, and does not include securities received or delivered from processing creations or redemptions. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
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Financial Highlights(continued)
Invesco Total Return Bond ETF (GTO)
Six Months Ended April 30, 2019 (Unaudited) | Two Months Ended October 31, 2018 | Years Ended August 31, | For the Period February 10, 2016(a) Through August 31, 2016 | |||||||||||||||||
2018 | 2017 | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net asset value at beginning of period | $ | 50.89 | $ | 52.10 | $ | 52.61 | $ | 52.54 | $ | 49.97 | ||||||||||
Net investment income(b) | 0.85 | 0.31 | 1.47 | 1.47 | 0.72 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.92 | (1.20 | ) | (0.37 | ) | 0.29 | 2.42 | |||||||||||||
Total from investment operations | 2.77 | (0.89 | ) | 1.10 | 1.76 | 3.14 | ||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.91 | ) | (0.32 | ) | (1.49 | ) | (1.38 | ) | (0.57 | ) | ||||||||||
Net realized gains | (0.96 | ) | — | (0.12 | ) | (0.31 | ) | — | ||||||||||||
Total distributions to shareholders | (1.87 | ) | (0.32 | ) | (1.61 | ) | (1.69 | ) | (0.57 | ) | ||||||||||
Net asset value at end of period | $ | 51.79 | $ | 50.89 | $ | 52.10 | $ | 52.61 | $ | 52.54 | ||||||||||
Market price at end of period | $ | 51.83 | (c) | $ | 50.93 | (c) | $ | 52.10 | (c) | $ | 52.67 | $ | 52.60 | |||||||
Net Asset Value Total Return(d) | 5.56 | % | (1.72 | )% | 2.14 | % | 3.47 | % | 6.29 | % | ||||||||||
Market Price Total Return(d) | 5.57 | % | (1.64 | )% | 2.02 | % | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets at end of period (000’s omitted) | $ | 62,149 | $ | 40,713 | $ | 41,678 | $ | 81,538 | $ | 21,014 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, after Waivers | 0.50 | %(e) | 0.50 | %(e) | 0.50 | % | 0.49 | % | 0.49 | %(e) | ||||||||||
Expenses, prior to Waivers | 0.50 | %(e) | 0.50 | %(e) | 0.51 | % | 0.51 | % | 0.50 | %(e) | ||||||||||
Net investment income, after Waivers | 3.39 | %(e) | 3.58 | %(e) | 2.80 | % | 2.87 | % | 2.56 | %(e) | ||||||||||
Portfolio turnover rate(f) | 195 | % | 53 | % | 219 | % | 171 | % | 131 | % |
(a) | Commencement of investment operations. |
(b) | Based on average shares outstanding. |
(c) | The mean between the last bid and ask prices. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized. |
(e) | Annualized. |
(f) | Portfolio turnover rate is not annualized for periods less than one year, if applicable, and does not include securities received or delivered from processing creations or redemptions. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
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Financial Highlights(continued)
Invesco Ultra Short Duration ETF (GSY)
Six Months Ended April 30, 2019 (Unaudited) | Five Months Ended October 31, 2018 | Years Ended May 31, | ||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 50.20 | $ | 50.28 | $ | 50.28 | $ | 50.01 | $ | 50.10 | $ | 50.30 | $ | 50.21 | ||||||||||||||
Net investment income(a) | 0.70 | 0.55 | 0.87 | 0.70 | 0.60 | 0.63 | 0.54 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.11 | (0.06 | ) | 0.14 | 0.24 | (0.11 | ) | (0.12 | ) | 0.06 | ||||||||||||||||||
Total from investment operations | 0.81 | 0.49 | 1.01 | 0.94 | 0.49 | 0.51 | 0.60 | |||||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||||||
Net investment income | (0.71 | ) | (0.57 | ) | (1.01 | ) | (0.67 | ) | (0.58 | ) | (0.71 | ) | (0.49 | ) | ||||||||||||||
Net realized gains | (0.01 | ) | — | — | — | — | — | (0.02 | ) | |||||||||||||||||||
Total distributions to shareholders | (0.72 | ) | (0.57 | ) | (1.01 | ) | (0.67 | ) | (0.58 | ) | (0.71 | ) | (0.51 | ) | ||||||||||||||
Net asset value at end of period | $ | 50.29 | $ | 50.20 | $ | 50.28 | $ | 50.28 | $ | 50.01 | $ | 50.10 | $ | 50.30 | ||||||||||||||
Market price at end of period | $ | 50.29 | (b) | $ | 50.22 | (b) | $ | 50.29 | (b) | $ | 50.29 | $ | 50.03 | $ | 50.11 | $ | 50.27 | |||||||||||
Net Asset Value Total Return(c) | 1.61 | % | 0.98 | % | 2.02 | % | 1.90 | % | 0.98 | % | 1.01 | % | 1.22 | % | ||||||||||||||
Market Price Total Return(c) | 1.57 | % | 1.00 | % | 2.02 | % | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Net assets at end of period (000’s omitted) | $ | 2,343,732 | $ | 1,611,555 | $ | 1,166,465 | $ | 1,076,092 | $ | 715,109 | $ | 440,913 | $ | 709,258 | ||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||||||
Expenses, after Waivers | 0.22 | %(d) | 0.25 | %(d) | 0.27 | % | 0.27 | % | 0.28 | % | 0.25 | % | 0.27 | % | ||||||||||||||
Expenses, prior to Waivers | 0.22 | %(d) | 0.25 | %(d) | 0.28 | % | 0.28 | % | 0.28 | % | 0.25 | % | 0.29 | % | ||||||||||||||
Net investment income, after Waivers | 2.86 | %(d) | 2.64 | %(d) | 1.74 | % | 1.40 | % | 1.21 | % | 1.25 | % | 1.09 | % | ||||||||||||||
Portfolio turnover rate(e) | 14 | % | 6 | % | 56 | % | 52 | % | 25 | % | 44 | % | 30 | % |
(a) | Based on average shares outstanding. |
(b) | The mean between the last bid and ask prices. |
(c) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized. |
(d) | Annualized. |
(e) | Portfolio turnover rate is not annualized for periods less than one year, if applicable, and does not include securities received or delivered from processing creations or redemptions. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
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Financial Highlights(continued)
Invesco Variable Rate Investment Grade ETF (VRIG)
Six Months Ended April 30, 2019 (Unaudited) | Years Ended October 31, | For the Period September 20, 2016(a) Through October 31, 2016 | ||||||||||||||
2018 | 2017 | |||||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net asset value at beginning of period | $ | 25.02 | $ | 25.20 | $ | 24.98 | $ | 25.00 | ||||||||
Net investment income(b) | 0.39 | 0.65 | 0.50 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) on investments | (0.06 | ) | (0.15 | ) | 0.29 | (0.03 | ) | |||||||||
Total from investment operations | 0.33 | 0.50 | 0.79 | 0.03 | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.41 | ) | (0.68 | ) | (0.56 | ) | (0.05 | ) | ||||||||
Return of capital | — | — | (0.01 | ) | (0.00 | )(c) | ||||||||||
Total distributions | (0.41 | ) | (0.68 | ) | (0.57 | ) | (0.05 | ) | ||||||||
Net asset value at end of period | $ | 24.94 | $ | 25.02 | $ | 25.20 | $ | 24.98 | ||||||||
Market price at end of period(d) | $ | 24.91 | $ | 25.02 | $ | 25.22 | $ | 25.04 | ||||||||
Net Asset Value Total Return(e) | 1.34 | % | 2.01 | % | 3.21 | % | 0.14 | %(f) | ||||||||
Market Price Total Return(e) | 1.22 | % | 1.92 | % | 3.04 | % | 0.38 | %(f) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net assets at end of period (000’s omitted) | $ | 415,181 | $ | 447,868 | $ | 133,548 | $ | 49,956 | ||||||||
Ratio to average net assets of: | ||||||||||||||||
Expenses | 0.30 | %(g) | 0.30 | % | 0.30 | % | 0.30 | %(g) | ||||||||
Net investment income | 3.13 | %(g) | 2.59 | % | 1.98 | % | 2.03 | %(g) | ||||||||
Portfolio turnover rate(h) | 25 | % | 26 | % | 23 | % | 2 | % |
(a) | Commencement of investment operations. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $(0.005). |
(d) | The mean between the last bid and ask prices. |
(e) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and the redemption on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized. |
(f) | The net asset value total return from Fund Inception (September 22, 2016, the first day of trading on the exchange) to October 31, 2016 was 0.18%. The market price total return from Fund Inception to October 31, 2016 was 0.22%. |
(g) | Annualized. |
(h) | Portfolio turnover rate is not annualized for periods less than one year, if applicable, and does not include securities received or delivered from processing creations or redemptions. |
See accompanying Notes to Financial Statements which are an integral part of the financial statements.
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Invesco Actively Managed Exchange-Traded Fund Trust
April 30, 2019
(Unaudited)
Note 1—Organization
Invesco Actively Managed Exchange-Traded Fund Trust (the “Trust”) was organized as a Delaware statutory trust on November 6, 2007 and is authorized to have multiple series of portfolios. The Trust is anopen-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). This report includes the following portfolios:
Full Name | Short Name | |
Invesco Active U.S. Real Estate ETF (PSR) | “Active U.S. Real Estate ETF” | |
Invesco Balanced Multi-Asset Allocation ETF (PSMB) | “Balanced Multi-Asset Allocation ETF” | |
Invesco Conservative Multi-Asset Allocation ETF (PSMC) | “Conservative Multi-Asset Allocation ETF” | |
Invesco Growth Multi-Asset Allocation ETF (PSMG) | “Growth Multi-Asset Allocation ETF” | |
Invesco Moderately Conservative Multi-Asset Allocation ETF (PSMM) | “Moderately Conservative Multi-Asset Allocation ETF” | |
Invesco S&P 500® Downside Hedged ETF (PHDG) | “S&P 500® Downside Hedged ETF” | |
Invesco Total Return Bond ETF (GTO) | “Total Return Bond ETF” | |
Invesco Ultra Short Duration ETF (GSY) | “Ultra Short Duration ETF” | |
Invesco Variable Rate Investment Grade ETF (VRIG) | “Variable Rate Investment Grade ETF” |
Each portfolio (each, a “Fund”, and collectively, the “Funds”) represents a separate series of the Trust. The shares of the Funds are referred to herein as “Shares” or “Fund’s Shares.” Each Fund’s Shares are listed and traded on the following exchanges:
Fund | Exchange | |
Active U.S. Real Estate ETF | NYSE Arca, Inc. | |
Balanced Multi-Asset Allocation ETF | Cboe BZX Exchange, Inc. | |
Conservative Multi-Asset Allocation ETF | Cboe BZX Exchange, Inc. | |
Growth Multi-Asset Allocation ETF | Cboe BZX Exchange, Inc. | |
Moderately Conservative Multi-Asset Allocation ETF | Cboe BZX Exchange, Inc. | |
S&P 500® Downside Hedged ETF | NYSE Arca, Inc. | |
Total Return Bond ETF | NYSE Arca, Inc. | |
Ultra Short Duration ETF | NYSE Arca, Inc. | |
Variable Rate Investment Grade ETF | The Nasdaq Stock Market |
The market price of each Share may differ to some degree from a Fund’s net asset value (“NAV”). Unlike conventional mutual funds, each Fund issues and redeems Shares on a continuous basis, at NAV, only in a large specified number of Shares, each called a “Creation Unit.” Creation Units for Active U.S. Real Estate ETF, Balanced Multi-Asset Allocation ETF, Conservative Multi-Asset Allocation ETF, Growth Multi-Asset Allocation ETF and Moderately Conservative Multi-Asset Allocation ETF are issued and redeemed principally in exchange for the deposit or delivery of a basket of securities (“Deposit Securities”). Creation Units for Total Return Bond ETF, Ultra Short Duration ETF and Variable Rate Investment Grade ETF are issued and redeemed principally in exchange for the deposit or delivery of cash. Creation Units for S&P 500® Downside Hedged ETF are issued and redeemed partially in exchange for the deposit or delivery of cash and partially in exchange for Deposit Securities. Except when aggregated in Creation Units by authorized participants, the Shares are not individually redeemable securities of the Funds.
Balanced Multi-Asset Allocation ETF, Conservative Multi-Asset Allocation ETF, Growth Multi-Asset Allocation ETF and Moderately Conservative Multi-Asset Allocation ETF are each a “fund of funds,” in that each invests in other exchange-traded funds (“Underlying Funds”) advised by Invesco Capital Management LLC (the “Adviser”) or its affiliates, or other unaffiliated advisers. Each Underlying Fund’s accounting policies are outlined in that Underlying Fund’s financial statements and are publicly available.
The investment objective for Active U.S. Real Estate ETF is to seek to achieve high total return through growth of capital and current income. The investment objective for Balanced Multi-Asset Allocation ETF is to seek to provide current income and capital appreciation. The investment objective for Conservative Multi-Asset Allocation ETF is to seek total return consistent with a lower level of risk relative to the broad stock market. The investment objective for Growth Multi-Asset Allocation ETF is to seek to provide long-term capital appreciation. The investment objective for Moderately Conservative Multi-Asset Allocation ETF is to seek to provide current income and some capital appreciation. The investment objective for S&P 500® Downside Hedged ETF is to achieve positive total returns in rising or falling markets that are not directly correlated to broad equity or fixed income market returns. The investment objective for Total Return Bond ETF is to seek maximum total return, comprised of income and capital appreciation. The investment objective of
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Ultra Short Duration ETF is to seek maximum current income, consistent with preservation of capital and daily liquidity. The investment objective for Variable Rate Investment Grade ETF is to seek to generate current income while maintaining low portfolio duration as a primary objective and capital appreciation as a secondary objective.
Note 2—Significant Accounting Policies
The following is a summary of the significant accounting policies followed by the Funds in preparation of their financial statements.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance in accordance with Financial Accounting Standards Board Accounting Standards Codification Topic 946,Financial Services—Investment Companies.
A. | Security Valuation — Securities, including restricted securities, are valued according to the following policies: |
Securities, including restricted securities in an Underlying Fund, if any, that are held as investments of a Fund, are valued in accordance with the Underlying Fund’s valuation policy. The policies of Underlying Funds affiliated with the Funds as a result of having the same investment adviser are the same as those set forth below.
A security listed or traded on an exchange (except convertible securities) is generally valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded or, lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in theover-the-counter (“OTC”) market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and asked prices from the exchange on which they are principally traded, or at the final settlement price set by such exchange. Swaps and options not listed on an exchange are valued by an independent source. For purposes of determining NAV per Share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).
Investment companies are valued using such company’s NAV per share, unless the shares are exchange-traded, in which case they are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.
Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such asinstitution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Securities with a demand feature exercisable within one to seven days are valued at par. Pricing services generally value debt obligations assuming orderly transactions of institutional round lot size, but a Fund may hold or transact in the same securities in smaller, odd lot sizes. Odd lots often trade at lower prices than institutional round lots. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.
Foreign securities’ (including foreign exchange contracts’) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the London world markets. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, a Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, the potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value exchange-traded equity securities. The mean between the last bid and asked prices may be used to value debt obligations, including corporate loans, and unlisted equity securities.
Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith following procedures approved by the Board of Trustees. Issuer-specific events, market trends, bid/asked quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.
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Each Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.
Valuations change in response to many factors, including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.
B. | Other Risks |
Active Trading Risk.Active trading of portfolio securities may result in added expenses, a lower return and increased tax liability.
Authorized Participant Concentration Risk. Only authorized participants (“APs”) may engage in creation or redemption transactions directly with each Fund. Each Fund has a limited number of institutions that may act as APs, and such APs have no obligation to submit creation or redemption orders. Consequently, there is no assurance that those APs will establish or maintain an active trading market for the Shares. This risk may be heightened to the extent that securities underlying each Fund are traded outside a collateralized settlement system. In that case, APs may be required to post collateral on certain trades on an agency basis (i.e., on behalf of other market participants), which only a limited number of APs may be able to do. In addition, to the extent that APs exit the business or are unable to proceed with creation and/or redemption orders with respect to each Fund and no other AP is able to step forward to create or redeem Creation Units, this may result in a significantly diminished trading market for Fund Shares, which may be more likely to trade at a premium or discount to each Fund’s NAV and possibly face trading halts and/or delisting. This risk may be heightened for Funds that invest innon-U.S. securities, which may have lower trading volumes.
Currency Risk.Certain Funds’ investments and strategies will involve exposure to foreign currencies. Currency risk is the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment. As long as a Fund holds a foreign currency denominated security, its value will be affected by the value of the local currency relative to the U.S. dollar. When a Fund sells a foreign currency denominated security, its value may be worth less in U.S. dollars even if the security increases in value in its home country. U.S. dollar denominated securities of foreign issuers also may be affected by currency risk, as the value of these securities may also be affected by changes in the issuer’s local currency. Additionally, and as a result of a Fund’s use of currency investment strategies, the Fund’s net currency position may expose the Fund to losses independent of any securities positions.
Equity Risk. Equity risk is the risk that the value of equity securities, including common stocks, may fall due to both changes in general economic conditions that impact the market as a whole, as well as factors that directly relate to a specific company or its industry. Such general economic conditions include changes in interest rates, periods of market turbulence or instability, or general and prolonged periods of economic decline and cyclical change. It is possible that a drop in the stock market may depress the price of most or all of the common stocks that each Fund holds. In addition, equity risk includes the risk that investor sentiment toward particular industries will become negative. The value of a company’s common stock may fall solely because of factors, such as an increase in production costs, that negatively impact other companies in the same region, industry or sector of the market. A company’s common stock also may decline significantly in price over a short period of time due to factors specific to that company, including decisions made by its management or lower demand for the company’s products or services. For example, an adverse event, such as an unfavorable earnings report or the failure to make anticipated dividend payments, may depress the value of common stock.
REIT Risk. For certain Funds, although the Fund will not invest in real estate directly, the REITs in which the Fund invests are subject to risks inherent in the direct ownership of real estate. These risks include, but are not limited to, a possible lack of mortgage funds and associated interest rate risks, overbuilding, property vacancies, increases in property taxes and operating expenses, changes in zoning laws, losses due to environmental damages and changes in neighborhood values and appeal to purchasers.
Non-Diversified Fund Risk. Because each Fund (except Active U.S. Real Estate ETF and S&P 500® Downside Hedged ETF) isnon-diversified and can invest a greater portion of its assets in securities of individual issuers than diversified funds, changes in the market value of a single investment could cause greater fluctuations in Share price than would occur in a diversified fund. This may increase each Fund’s volatility and cause the performance of a relatively small number of issuers to have a greater impact on each Fund’s performance.
Management Risk. The Funds are subject to management risk because they are actively managed portfolios. In managing a Fund’s portfolio securities, the Adviser or asub-adviser (as applicable and as set forth below), applies investment techniques and risk analyses in making investment decisions, but there can be no guarantee that these will produce the desired results.
Issuer-Specific Changes Risk. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. The value of securities of smaller issuers can be more volatile than that of larger issuers.
Cash Transaction Risk. Unlike most exchange-traded funds (“ETFs”), Total Return Bond ETF, Ultra Short Duration ETF and Variable Rate Investment Grade ETF currently effect creations and redemptions principally for cash, and S&P 500® Downside Hedged ETF currently effects creations and redemptions partially for cash and partiallyin-kind, rather than primarilyin-kind,
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because of the nature of each of these Funds’ investments. As such, investments in each Fund’s Shares may be less tax efficient than investments in shares of conventional ETFs that utilize an entirelyin-kind redemption process.
Foreign Investment Risk.Investments in the securities ofnon-U.S. issuers involve risks beyond those associated with investments in U.S. securities. Foreign securities may have relatively low market liquidity, greater market volatility, decreased publicly available information and less reliable financial information about issuers, and inconsistent and potentially less stringent accounting, auditing and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Foreign securities also are subject to the risks of expropriation, nationalization, political instability or other adverse political or economic developments and the difficulty of enforcing obligations in other countries. As the Funds may invest in securities denominated in foreign currencies, fluctuations in the value of the U.S. dollar relative to the values of other currencies may adversely affect investments in foreign securities and may negatively impact the Funds’ returns. Such risks may be exacerbated in emerging markets, where securities laws are relatively new and unsettled.
Emerging Markets Investment Risk. Investments in the securities of issuers in emerging market countries involve risks often not associated with investments in the securities of issuers in developed countries. Securities in emerging markets may be subject to greater price fluctuations than securities in more developed markets. Fluctuations in the value of the U.S. dollar relative to the values of other currencies may adversely affect investments in emerging market securities, and emerging market securities may have relatively low market liquidity, decreased publicly available information about issuers, and inconsistent and potentially less stringent accounting, auditing and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Emerging market securities also are subject to the risks of expropriation, nationalization or other adverse political or economic developments and the difficulty of enforcing obligations in other countries. Investments in emerging market securities also may be subject to dividend withholding or confiscatory taxes, currency blockage and/or transfer restrictions. Emerging markets usually are subject to greater market volatility, lower trading volume, political and economic instability, uncertainty regarding the existence of trading markets and more governmental limitations on foreign investment than are more developed markets. Securities law in many emerging market countries is relatively new and unsettled. Therefore, laws regarding foreign investment in emerging market securities, securities regulation, title to securities, and shareholder rights may change quickly and unpredictably. In addition, the enforcement of systems of taxation at federal, regional and local levels in emerging market countries may be inconsistent and subject to sudden change.
Industry Concentration Risk.The Active U.S. Real Estate ETF concentrates in securities of companies in the real estate industry. With respect to the Balanced Multi-Asset Allocation ETF, Conservative Multi-Asset Allocation ETF, Growth Multi-Asset Allocation ETF and Moderately Conservative Multi-Asset Allocation ETF, to the extent that an Underlying ETF’s index concentrates in the securities of issuers in a particular industry or sector, the Underlying ETF will also concentrate its investments to approximately the same extent. By concentrating its investments in an industry or industry group, a Fund or Underlying ETF faces more risks than if it were diversified broadly over numerous industries or industry groups. Such industry-based risks, any of which may adversely affect the companies in which a Fund or Underlying ETF invests, may include, but are not limited to, legislative or regulatory changes, adverse market conditions and/or the market as a whole.
Portfolio Turnover Risk.Certain Funds may engage in frequent and active trading of their portfolio securities, resulting in a high portfolio turnover rate. A portfolio turnover rate of 200%, for example, is equivalent to a Fund buying and selling all of its securities two times during the course of a year. A high portfolio turnover rate (such as 100% or more) may increase a Fund’s transaction costs and may generate a greater amount of taxable capital gain distributions to a Fund’s shareholders.
Derivatives Risk. Derivatives involve risks different from, or possibly greater than, risks associated with other types of investments. Derivatives may be harder to value and may also be less tax efficient. To the extent that a Fund uses derivatives for hedging or to gain or limit exposure to a particular market or market segment, there may be imperfect correlation between the value of the derivative instrument and the value of the instrument being hedged or the relevant market or market segment, in which case the Fund may not realize the intended benefits. There is also the risk that during adverse market conditions, an instrument which would usually operate as a hedge provides no hedging benefits at all. A Fund’s use of derivatives may be limited by the requirements for taxation of the Fund as a regulated investment company as well as regulatory changes.
VIX Index Risk. For S&P 500® Downside Hedged ETF, the Chicago Board Options Exchange (“CBOE”) can make methodological changes to the calculation of the Chicago Board Options Exchange Volatility Index (“VIX Index”) that could affect the value of the futures contracts on the VIX Index. There can be no assurance that the CBOE will not change the VIX Index calculation methodology in a way that may affect the value of each Fund’s Shares. Additionally, the CBOE may alter, discontinue or suspend calculation or dissemination of the VIX Index and/or the exercise settlement value. Any of these actions could adversely affect the value of each Fund’s Shares.
Small- andMid-Capitalization Company Risk.For certain Funds, investing in securities of small- andmid-capitalization companies involves greater risk than customarily is associated with investing in larger, more established companies. These companies’ securities may be more volatile and less liquid than those of more established companies. These securities may have returns that vary, sometimes significantly, from the overall securities market. Often small- andmid-capitalization companies and the industries in which they focus are still evolving and, as a result, they may be more sensitive to changing market conditions.
Tax Risk. S&P 500® Downside Hedged ETF will gain most of its exposure to the futures markets by entering into VIX Index futures (and, to a lesser extent, S&P 500® Index futures (“S&P 500 Futures”)). To qualify as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), the Funds must
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meet a qualifying income test each taxable year. The S&P 500® Downside Hedged ETF has received a private letter ruling from the Internal Revenue Service (“IRS”) that income it derives from VIX Index futures contracts will constitute qualifying income for purposes of that test. Failure to comply with the qualifying income test in any taxable year would have significant negative tax consequences to shareholders of the Funds. If the IRS were to determine that the income that the Funds derive from futures did not constitute qualifying income, the Funds likely would be required to reduce their exposure to such investments in order to maintain qualification as a RIC, which may result in difficulty in implementing their investment strategies.
Investment in Investment Companies Risk. A Fund’s investment performance may depend on the investment performance of the funds in which it invests. An investment in an investment company is subject to the risks associated with that investment company. Each Fund will pay indirectly a proportional share of the fees and expenses of the investment companies in which it invests (including costs and fees of the investment companies), while continuing to pay its own management fee to the Adviser. As a result, shareholders will absorb duplicate levels of fees with respect to a Fund’s investments in other investment companies.
Commodity Pool Risk.S&P 500® Downside Hedged ETF invests in futures contracts, which cause it to be deemed to be a commodity pool, thereby subjecting the Fund to regulation under the Commodity Exchange Act and rules of the Commodity Futures Trading Commission (“CFTC”). The Adviser is registered as a Commodity Pool Operator (“CPO”) and as a commodity trading advisor (“CTA”), and the Fund will be operated in accordance with CFTC rules. Registration as a CPO or CTA subjects the Adviser to additional laws, regulations and enforcement policies, all of which could increase compliance costs and may affect the operations and financial performance of the Fund. Registration as a commodity pool may have negative effects on the ability of the Fund to engage in its planned investment program.
Agency Debt Risk. Certain Funds invest in debt issued by government agencies, including the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”). Instruments issued by government agencies generally are backed only by the general creditworthiness and reputation of the government agency issuing the instrument and are not backed by the full faith and credit of the U.S. government. As a result, there is uncertainty as to the current status of many obligations of Fannie Mae, Freddie Mac and other agencies that are placed under conservatorship of the federal government.
Call Risk. Call risk (also termed prepayment risk) is the risk that a borrower repays its debts earlier than expected (especially if interest rates decline), resulting in premature repayment of a debt instrument. If interest rates fall, issuers of callable securities with high interest coupons may “call” (or repay) their bonds before their maturity date in accordance with the terms of the security. If such a repayment were to occur, each Fund would receive the principal (par) amount of the security and would no longer own that security. Any reinvestment of the amount of principal received would be subject to reinvestment risk, and the Fund could be forced to reinvest in a lower yielding security, which could reduce each Fund’s net investment income. If the Fund purchases a debt security at a premium to its par value, and that security is called at par, the Fund can lose money.
Credit Risk. The issuer of instruments in which Total Return Bond ETF, Ultra Short Duration ETF and Variable Rate Investment Grade ETF invest may be unable to meet interest and/or principal payments. An issuer’s securities may decrease in value if its financial strength weakens, which may reduce its credit rating and possibly its ability to meet its contractual obligations. Even in the case of collateralized debt obligations, there is no assurance that the sale of collateral would raise enough cash to satisfy an issuer’s payment obligations or that the collateral can or will be liquidated.
Portfolio Size Risk. Under normal market conditions, each of Balanced Multi-Asset Allocation ETF, Conservative Multi-Asset Allocation ETF, Growth Multi-Asset Allocation ETF and Moderately Conservative Multi-Asset Allocation ETF typically will hold a small number of positions (approximately10-20 Underlying Funds). To the extent that a significant portion of a Fund’s total assets is invested in a limited number of holdings, the appreciation or depreciation of any one Underlying Fund may have a greater impact on such Fund’s NAV than it would if the Fund held a greater number of constituents.
Interest Rate Risk. Interest rate risk refers to the risk that bond prices generally fall as interest rates rise; conversely, bond prices generally rise as interest rates fall. Specific bonds differ in their sensitivity to changes in interest rates depending on their individual characteristics, including duration. “Duration risk” is related to interest rate risk; it refers to the risks associated with the sensitivity of a bond’s price to a one percent change in interest rates. Bonds with longer durations (i.e., a greater length of time until they reach maturity) face greater duration risk, meaning that they tend to exhibit greater volatility and are more sensitive to changes in interest rates than bonds with shorter durations. The Fund seeks to limit its exposure to interest rate risk and duration risk by constructing a portfolio of variable rate instruments that have an average duration of one year or less.
Liquidity Risk. Certain Funds may hold illiquid securities that it may be unable to sell at the preferred time or price and could lose its entire investment in such securities. The majority of each Fund’s assets are likely to be invested in securities that are less liquid than those traded on national exchanges. The risks of illiquidity are particularly important when each Fund’s operations require cash, and may in certain circumstances require that each Fund borrow to meet short-term cash requirements. Illiquid securities are also difficult to value. In the event each Fund voluntarily or involuntarily liquidates portfolio assets during periods of infrequent trading, it may not receive full value for those assets.
Mortgage- and Asset-Backed Securities Risk. Certain Funds may invest in mortgage- and asset-backed securities, which are subject to call (prepayment) risk, reinvestment risk and extension risk. In addition, these securities are susceptible to an unexpectedly high rate of defaults on the mortgages held by a mortgage pool, which may adversely affect their value. The risk of such defaults depends on the quality of the mortgages underlying such security, the credit quality of its issuer or guarantor, and the nature and structure of its credit support. For example, the risk of default generally is higher in the case of mortgage pools that
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include subprime mortgages, which are loans made to borrowers with weakened credit histories or with lower capacity to make timely mortgage payments.
High Yield Securities (Junk Bond) Risk. Compared to higher quality debt securities, high yield debt securities (commonly referred to as “junk bonds”) involve a greater risk of default or price changes due to changes in the credit quality of the issuer because they are generally unsecured and may be subordinated to other creditors’ claims. They are considered speculative with respect to the issuer’s capacity to pay interest and repay principal. High yield debt securities often are issued by smaller, less creditworthy companies or by highly leveraged (indebted) firms, which generally are less able than more financially stable firms to make scheduled payment of interest and principal. The values of junk bond often fluctuate more in response to company, political, regulatory or economic developments than higher quality bonds, and their values can decline significantly over short periods of time or during periods of economic difficulty when the bonds could be difficult to value or sell at a fair price.
Collateralized Loan Obligations (“CLOs”) and Collateralized Debt Obligations (“CDOs”) Risk. Certain Funds may invest in CLOs and CDOs. CLOs bear many of the same risks as other forms of asset-backed securities (“ABS”), including interest rate risk, credit risk and default risk. As they are backed by pools of loans, CLOs also bear similar risks to investing in loans directly. CLOs issue classes or “tranches’’ that vary in risk and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. Each Fund’s investment in CLOs may decrease in market value when the CLO experiences loan defaults or credit impairment, the disappearance of a subordinate tranche, or market anticipation of defaults and investor aversion to CLO securities as a class.
CDOs are structured similarly to CLOs and bear the same risks as CLOs including interest rate risk, credit risk and default risk. CDOs are subject to additional risks because they are backed by pools of assets other than loans including securities (such as other ABS), synthetic instruments or bonds and may be highly leveraged. Like CLOs, losses incurred by a CDO are borne first by holders of subordinate tranches. Accordingly, the risks of CDOs depend largely on the type of underlying collateral and the tranche of CDOs in which the Fund invests. For example, CDOs that obtain their exposure through synthetic investments entail the risks associated with derivative instruments.
Risk of Investing in Loans. Investments in loans, including loan syndicates and other direct lending opportunities, involve special types of risks, including credit risk, interest rate risk, counterparty risk and prepayment risk. Loans may offer a fixed or floating interest rate. Loans are often generally below investment grade and may be unrated. The Fund’s investments in loans can be difficult to value accurately and may be more susceptible to liquidity risk than fixed-income instruments of similar credit quality and/or maturity. The Fund is also subject to the risk that the value of the collateral for the loan may be insufficient to cover the borrower’s obligations should the borrower fail to make payments or become insolvent. Participations in loans may subject the Fund to the credit risk of both the borrower and the issuer of the participation and may make enforcement of loan covenants more difficult for the Fund as legal action may have to go through the issuer of the participations. Transactions in loans are often subject to long settlement periods, thus potentially limiting the ability of the Fund to invest sale proceeds in other investments and to use proceeds to meet its current redemption obligations. Thus, to the extent the Fund effects redemptions in cash, the Fund is subject to the risk of selling other investments or taking other actions necessary to raise cash to meet its redemption obligations.
Commercial Paper Risk.Certain Funds may invest in commercial paper. The value of the Fund’s investment in commercial paper, which is an unsecured promissory note that generally has a maturity date between one and 270 days and is issued by a U.S. or foreign entity, is susceptible to changes in the issuer’s financial condition or credit quality. Investments in commercial paper are usually discounted from their value at maturity. Commercial paper can be fixed-rate or variable rate and can be adversely affected by changes in interest rates.
To-Be-Announced (TBA) Transactions Risk. TBA purchase commitments involve a risk of loss if the value of the securities to be purchased declines prior to settlement date or if the counterparty may not deliver the securities as promised. Selling a TBA involves a risk of loss if the value of the securities to be sold goes up prior to settlement date. TBA transactions involve counterparty risk. Default or bankruptcy of a counterparty to a TBA transaction would expose the Fund to potential loss and could affect the Fund’s returns.
U.S. Government Obligations Risk. For certain Funds, obligations of U.S. Government agencies and authorities generally are not backed by the full faith and credit of the U.S. Government, and no assurance can be given that the U.S. Government will provide financial support to its agencies and authorities if it is not obligated by law to do so.
C. | Investment Transactions and Investment Income — Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale or disposition of securities are computed on the specific identified cost basis. Interest income is recorded on the accrual basis from settlement date. Bond premiums and discounts are amortized and/or accreted over the lives of the respective securities.Pay-in-kind interest income andnon-cash dividend income received in the form of securitiesin-lieu of cash are recorded at the fair value of the securities received. Dividend income (net of withholding tax, if any) is recorded on theex-dividend date. Realized gains, dividends and interest received by a Fund may give rise to withholding and other taxes imposed by foreign countries. Tax conventions between certain countries and the United States may reduce or eliminate such taxes. |
The Funds may periodically participate in litigation related to each Fund’s investments. As such, the Funds may receive proceeds from litigation settlements. Any proceeds received are included in the Statements of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the
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determination of net realized and unrealized gain (loss) from investment securities reported in the Statements of Operations and the Statements of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of each Fund’s NAV and, accordingly, they reduce each Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statements of Operations and the Statements of Changes in Net Assets, or the net investment income per share and the ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between each Fund and the Adviser.
D. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the Adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. |
E. | Dividends and Distributions to Shareholders — Each Fund (except Total Return Bond ETF, Ultra Short Duration ETF and Variable Rate Investment Grade ETF) declares and pays dividends from net investment income, if any, to their shareholders quarterly and record such dividends onex-dividend date. Total Return Bond ETF, Ultra Short Duration ETF and Variable Rate Investment Grade ETF each declares and pays dividends from net investment income, if any, to its shareholders monthly and records such dividends onex-dividend date. Generally, each Fund distributes net realized taxable capital gains, if any, annually in cash and records them onex-dividend date. Such distributions on a tax basis are determined in conformity with federal income tax regulations which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions in excess of tax basis earnings and profits, if any, are reported in such Fund’s financial statements as a tax return of capital at fiscalyear-end. |
F. | Federal Income Taxes — Each Fund intends to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies and to distribute substantially all of the Fund’s taxable earnings to its shareholders. As such, the Funds will not be subject to federal income taxes on otherwise taxable income (including net realized gains) that is distributed to the shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. |
Each Fund recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed each Fund’s uncertain tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months.
Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments forin-kind transactions, losses deferred due to wash sales, and passive foreign investment company adjustments, if any.
The Funds file U.S. federal tax returns and tax returns in certain other jurisdictions. Generally, a Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period.
G. | Expenses — Each Fund (except Ultra Short Duration ETF) has agreed to pay an annual unitary management fee to the Adviser. Out of the unitary management fee, the Adviser has agreed to pay for substantially all expenses of the Funds, including payments to the AffiliatedSub-Advisers (as defined below) for each Fund (except S&P 500® Downside Hedged ETF), and for each Fund, the cost of transfer agency, custody, fund administration, legal, audit and other services, except for advisory fees, distribution fees, if any, brokerage expenses, taxes, interest, acquired fund fees and expenses, if any, litigation expenses and other extraordinary expenses. |
Ultra Short Duration ETF is responsible for all of its expenses, including the investment advisory fees, cost of transfer agency, custody, fund administration, legal, audit and other services, interest, taxes, acquired fund fees and expense, if any, brokerage commissions and other expenses connected with executions of portfolio transactions, any distribution fees or expenses, litigation expenses, fees payable to the Trust’s Board members who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), expenses incurred in connection with the Board members’ services, including travel expenses and legal fees of counsel for the Independent Trustees and extraordinary expenses.
Expenses of the Trust that are excluded from a Fund’s unitary management fee (if applicable) and are directly identifiable to a specific Fund are applied to that Fund. Expenses of the Trust that are excluded from each Fund’s unitary management fee (if applicable) and that are not readily identifiable to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of each Fund.
To the extent a Fund invests in other investment companies, the expenses shown in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses of the investment companies in which it invests. The effects of such investment companies’ expenses are included in the realized and unrealized gain or loss on the investments in the investment companies.
H. | Accounting Estimates — The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements, including estimates and |
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assumptions related to taxation. Actual results could differ from these estimates. In addition, the Funds monitor for material events or transactions that may occur or become known after theperiod-end date and before the date the financial statements are released to print. |
I. | Indemnifications — Under the Trust’s organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Each Independent Trustee is also indemnified against certain liabilities arising out of the performance of his duties to the Trust pursuant to an Indemnification Agreement between such trustee and the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust believes the risk of loss to be remote |
J. | Securities Lending — During thesix-month period ended April 30, 2019, Balanced Multi-Asset Allocation ETF, Conservative Multi-Asset Allocation ETF, Growth Multi-Asset Allocation ETF, Moderately Conservative Multi-Asset Allocation ETF, S&P 500® Downside Hedged ETF and Total Return Bond ETF participated in securities lending. Each Fund loaned portfolio securities having a market value up toone-third of each Fund’s total assets. Such loans are secured by cash collateral equal to no less than 102% (105% for international securities) of the market value of the loaned securities determined daily by the securities lending provider. Cash collateral received in connection with these loans is generally invested in an affiliated money market fund and is shown as such on the Schedules of Investments. Each Fund bears the risk of loss with respect to the investment of collateral. It is the policy of these Funds to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. When loaning securities, each Fund retains certain benefits of owning the securities, including the economic equivalent of dividends or interest generated by the security. Lending securities entails a risk of loss to each Fund if, and to the extent that, the market value of the securities loaned were to increase, and the borrower did not increase the collateral accordingly, and the borrower failed to return the securities. The securities loaned are subject to termination at the option of the borrower or each Fund. Upon termination, the borrower will return to each Fund the securities loaned and each Fund will return the collateral. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. Each Fund could experience delays and costs in gaining access to the collateral and the securities may lose value during the delay which could result in potential losses to each Fund. Some of these losses may be indemnified by the lending agent. Each Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, are included inSecurities lending incomeon the Statements of Operations. The aggregate value of securities out on loan, if any, is shown on the Statements of Assets and Liabilities. |
K. | Repurchase Agreements — The Funds may enter into repurchase agreements with financial institutions. In a repurchase agreement, each Fund buys a security and the seller simultaneously agrees to repurchase the security on a specified future date at an agreed-upon price. The repurchase price reflects an agreed-upon interest rate during the time each Fund’s money is invested in the security. Because the security constitutes collateral for the repurchase obligation, a repurchase agreement can be considered a collateralized loan. Each Fund follows certain procedures designed to minimize the risks inherent in such agreements. These procedures include effecting repurchase transactions only with large, well-capitalized and well-established financial institutions whose condition will be continually monitored. In addition, the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. In the event of a default or bankruptcy by a selling financial institution, each Fund will seek to liquidate such collateral. However, the exercising of each Fund’s right to liquidate such collateral could involve certain costs or delays and, to the extent that proceeds from any sale upon a default of the obligation to repurchase were less than the repurchase price, each Fund could suffer a loss. It is the current policy of each Fund not to invest in repurchase agreements that do not mature within seven days if any such investment, together with any other illiquid assets held by each Fund, amounts to more than 15% of each Fund’s net assets. The investments of each Fund in repurchase agreements, at times, may be substantial when, in the view of the Adviser, liquidity or other considerations so warrant. |
L. | Commercial Mortgage-Backed Securities — Total Return Bond ETF, Ultra Short Duration ETF and Variable Rate Investment Grade ETF may invest in both single and multi-issuer Commercial Mortgage-Backed Securities (“CMBS”). This includes both investment grade andnon-investment grade CMBS as well as othernon-rated CMBS. A CMBS is a type of mortgage-backed security that is secured by one or more mortgage loans on interests in commercial real estate property. CMBS differ from conventional debt securities because principal is paid back over the life of the security rather than at maturity. Investments in CMBS are subject to the various risks which relate to the pool of underlying assets in which the CMBS represents an interest. Securities backed by commercial real estate assets are subject to securities market risks as well as risks similar to those of direct ownership of commercial real estate loans. Risks include the ability of a borrower to meet its obligations on the loan which could lead to default or foreclosure of the property. Such actions may impact the amount of proceeds ultimately derived from the loan, and the timing of receipt of such proceeds. |
Management estimates future expected cash flows at the time of purchase based on the anticipated repayment dates on the CMBS. Subsequent changes in expected cash flow projection may result in a prospective change in the timing or character of
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income recognized on these securities, or the amortized cost of these securities. Each Fund amortizes premiums and/or accretes discounts based on the projected cash flows. Realized and unrealized gains and losses on CMBS are included in the Statements of Operations asNet realized gain (loss) from investment securitiesand Change in net unrealized appreciation (depreciation) of investment securities,respectively.
M. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Funds do not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statements of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on each Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscalperiod-end, resulting from changes in exchange rates. |
The Funds may invest in foreign securities, which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which each Fund invests.
N. | Forward Foreign Currency Contracts — Total Return Bond ETF and Ultra Short Duration ETF may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis at the rate prevailing in the currency exchange market at the time or through forward foreign currency contracts to manage or minimize currency or exchange rate risk. |
Each Fund also enters into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund also enters into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount(non-deliverable forwards). The Fund sets aside liquid assets in an amount equal to the dailymark-to-market obligation for forward foreign currency contracts.
A forward foreign currency contract is an obligation between two parties (“Counterparties”) to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statements of Operations. The primary risks associated with forward foreign currency contracts include failure of the Counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statements of Assets and Liabilities.
O. | Futures Contracts — S&P 500® Downside Hedged ETF and Total Return Bond ETF may enter into futures contracts to simulate full investment in securities or manage exposure to equity and market price movements and/or currency risks and provide exposure to markets and indexes. |
A futures contract is an agreement between Counterparties to purchase or sell a specified underlying security or index for a specified price at a future date. S&P 500® Downside Hedged ETF and Total Return Bond ETF will only enter into futures contracts that are traded on a U.S. exchange and that are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant broker. During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as a receivable or payable on the Statements of Assets and Liabilities. When the contracts are closed or expire, each Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statements of Operations.
The primary risks associated with futures contracts are market risk, leverage risk and the absence of a liquid secondary market. If a Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and may be required to continue to maintain the margin deposits on the futures contracts until the position expired or matured. As futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting
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in a cost to “roll” the futures contract. The actual realization of a potential roll cost will depend on the difference in price of the near and distant contracts. The contracts included in the VIX Index historically have traded in “contango” markets, resulting in a roll cost, which could adversely affect the value of Shares of the S&P 500® Downside Hedged ETF. Futures have minimal Counterparty risk since the exchange’s clearinghouse, as Counterparty to all exchange-traded futures contracts, guarantees the futures against default. Risks may exceed amounts recognized in the Statements of Assets and Liabilities.
P. | Structured Securities — S&P 500® Downside Hedged ETF may invest in structured securities. Structured securities are a type of derivative security whose value is determined by reference to changes in the value of underlying securities, currencies, interest rates, commodities, indices or other financial indicators (“reference instruments”). Most structured securities are fixed-income securities that have maturities of three years or less. Structured securities may be positively or negatively indexed (i.e., their principal value or interest rates may increase or decrease if the underlying reference instrument appreciates) and may have return characteristics similar to direct investments in the underlying reference instrument. |
Structured securities may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference instruments. In addition to the credit risk of structured securities and the normal risks of price changes in response to changes in interest rates, the principal amount of structured notes or indexed securities may decrease as a result of changes in the value of the underlying reference instruments. Changes in the daily value of structured securities are recorded as unrealized gains (losses) in the Statements of Operations. When the structured securities mature or are sold, the Fund recognizes a realized gain (loss) on the Statements of Operations.
Q. | Call Options Purchased and Written — Total Return Bond ETF may write call options and/or buy call options. A covered call option gives the purchaser of such option the right to buy, and the writer the obligation to sell, the underlying security or foreign currency at the stated exercise price during the option period. An uncovered call option exists without the ownership of the underlying security. Options written by the Fund normally will have expiration dates between three and nine months from the date written. The exercise price of a call option may be below, equal to, or above the current market value of the underlying security at the time the option is written. |
When the Fund writes a covered call option, an amount equal to the premium received by the Fund is recorded as an asset and an equivalent liability in the Statement of Assets and Liabilities. The amount of the liability is subsequently“marked-to-market” to reflect the current market value of the option written. If a written covered call option expires on the stipulated expiration date, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or a loss if the closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a written covered call option is exercised, the Fund realizes a gain or a loss from the sale of the underlying security and the proceeds of the sale are increased by the premium originally received. Realized and unrealized gains and losses on call options written are included in the Statement of Operations as Net realized gain (loss) from and Change in net unrealized appreciation (depreciation) of Option contracts written. A risk in writing a covered call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing an uncovered call option is that the Fund may incur significant losses if the value of the written security exceeds the exercise price of the option.
When the Fund buys a call option, an amount equal to the premium paid by the Fund is recorded as an investment on the Statement of Assets and Liabilities. The amount of the investment is subsequently“marked-to-market” to reflect the current value of the option purchased. Realized and unrealized gains and losses on call options purchased are included in the Statement of Operations as Net realized gain (loss) from and Change in net unrealized appreciation (depreciation) of Investment securities. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased.
R. | Put Options Purchased and Written — Total Return Bond ETF may purchase and write put options including options on securities indexes, or foreign currency and/or futures contracts. By purchasing a put option, the Fund obtains the right (but not the obligation) to sell the option’s underlying instrument at a fixed strike price. In return for this right, the Fund pays an option premium. The option’s underlying instrument may be a security, securities index, or a futures contract. |
Put options may be used by the Fund to hedge securities it owns by locking in a minimum price at which the Fund can sell. If security prices fall, the put option could be exercised to offset all or a portion of the Fund’s resulting losses. At the same time, because the maximum the Fund has at risk is the cost of the option, purchasing put options does not eliminate the potential for the Fund to profit from an increase in the value of the underlying portfolio securities. The Fund may write put options to earn additional income in the form of option premiums if it expects the price of the underlying instrument to remain stable or rise during the option period so that the option will not be exercised. The risk in this strategy is that the price of the underlying securities may decline by an amount greater than the premium received. Put options written are reported as a liability in the Statement of Assets and Liabilities. Realized and unrealized gains and losses on put options purchased and put options written are included in the Statement of Operations as Net realized gain (loss) from and Change in net unrealized appreciation (depreciation) of Investment securities and Option contracts written, respectively.
A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased.
S. | Swap Agreements — Total Return Bond ETF may enter into various swap transactions, including interest rate, total return, index, currency exchange rate and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. Such transactions are agreements between Counterparties. These agreements may contain, among other conditions, |
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events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain apre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any. Interest rate, total return, index and currency exchange rate swap agreements aretwo- party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index. |
In a centrally cleared swap, the Fund’s ultimate Counterparty is a central clearinghouse. The Fund initially will enter into centrally cleared swaps through an executing broker. When a fund enters into a centrally cleared swap, it must deliver to the central Counterparty (via the FCM) an amount referred to as “initial margin.” Initial margin requirements are determined by the central Counterparty, but an FCM may require additional initial margin above the amount required by the central Counterparty. Initial margin deposits required upon entering into centrally cleared swaps are satisfied by cash or securities as collateral at the FCM. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities. During the term of a cleared swap agreement, a “variation margin” amount may be required to be paid by the Fund or may be received by the Fund, based on the daily change in price of the underlying reference instrument subject to the swap agreement and is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities until the centrally cleared swap is terminated at which time a realized gain or loss is recorded.
Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates cash or liquid securities having a value at least equal to the amount of the potential obligation of the Fund under any swap transaction. Cash held as collateral is recorded as deposits with brokers on the Statement of Assets and Liabilities. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate, the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements.
T. | Distributions from Distributable Earnings — In accordance with the Securities and Exchange Commission’s issuance of Disclosure Update and Simplification, the Funds have presented the total, rather than the components of distributions to shareholders, except for tax return of capital distributions, if any, in the Statements of Changes in Net Assets. |
For the year ended August 31, 2018, distributions from distributable earnings for Total Return Bond ETF consisted of distributions from net investment income of $1,754,386 and distributions from net realized gains of $149,875. For the year ended May 31, 2018, distributions from distributable earnings for Ultra Short Duration ETF consisted of distributions from net investment income.
Note 3—Investment Advisory Agreement and Other Agreements
The Trust has entered into Investment Advisory Agreements with the Adviser on behalf of the Funds, pursuant to which the Adviser has overall responsibility for the selection and ongoing monitoring of the Funds’ investments, managing the Funds’ business affairs, providing certain clerical, bookkeeping and other administrative services, and for each Fund (except S&P 500® Downside Hedged ETF), oversight of Invesco Advisers, Inc., Invesco Asset Management Deutschland GmbH, Invesco Asset Management Limited, Invesco Asset Management (Japan) Limited, Invesco Hong Kong Limited, Invesco Senior Secured Management, Inc. and Invesco Canada Ltd. (collectively, the “AffiliatedSub-Advisers”).
Pursuant to an Investment Management Agreement, each Fund listed below accrues daily and pays monthly to the Adviser an annual unitary management fee. Out of the unitary management fee, the Adviser has agreed to pay for substantially all expenses of the Funds, including payments to the AffiliatedSub-Advisers for each Fund (except S&P 500® Downside Hedged ETF), and for each Fund the cost of transfer agency, custody, fund administration, legal, audit and other services, except for advisory fees, distribution fees, if
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any, brokerage expenses, taxes, interest, acquired fund fees and expenses, if any, litigation expenses and other extraordinary expenses. The unitary management fee is paid by each Fund to the Adviser at the following annual rates:
% of Average Daily Net Assets | ||||
Active U.S. Real Estate ETF | 0.35 | % | ||
Balanced Multi-Asset Allocation ETF | 0.05 | % | ||
Conservative Multi-Asset Allocation ETF | 0.05 | % | ||
Growth Multi-Asset Allocation ETF | 0.05 | % | ||
Moderately Conservative Multi-Asset Allocation ETF | 0.05 | % | ||
S&P 500® Downside Hedged ETF | 0.39 | % | ||
Total Return Bond ETF | 0.50 | % | ||
Variable Rate Investment Grade ETF | 0.30 | % |
Pursuant to another Investment Advisory Agreement, Ultra Short Duration ETF accrues daily and pays monthly to the Adviser an annual management fee equal to 0.20% of the Fund’s average daily net assets.
The Adviser has entered into an InvestmentSub-Advisory Agreement with the AffiliatedSub-Advisers for each Fund (except S&P 500® Downside Hedged ETF). Thesub-advisory fee for these Funds is paid by the Adviser to the AffiliatedSub-Advisers at 40% of the Adviser’s compensation of thesub-advised assets of each Fund.
The Adviser has agreed to waive fees and/or pay Fund expenses for Ultra Short Duration ETF to the extent necessary to prevent the operating expenses of the Fund (excluding interest expenses, brokerage commissions and other trading expenses, offering costs, taxes, acquired fund fees and expenses, if any, taxes and extraordinary expenses) from exceeding 0.27% of the Fund’s average daily net assets per year (the “Expense Cap”), through at least August 31, 2021.
Additionally, through at least August 31, 2021, the Adviser has contractually agreed to waive a portion of the Total Return Bond ETF and the Ultra Short Duration ETF’s management fee and/or reimburse Fund expenses for each Fund in an amount equal to 100% of the net advisory fees that an affiliated person of the Adviser (an “Affiliated Person”) or the Adviser receives that are attributable to each Fund’s investments in any other fund managed by such Affiliated Person or the Adviser. This waiver will have the effect of reducing the Acquired Fund Fees and Expense that are indirectly borne by each Fund. The Adviser cannot discontinue this waiver prior to its expiration.
Further, through at least August 31, 2021, the Adviser has contractually agreed to waive a portion of each Fund’s (except for Total Return Bond ETF) management fee in an amount equal to 100% of the net advisory fees an affiliate of the Adviser receives that are attributable to certain of the Fund’s investments in money market funds managed by that affiliate (excluding investments of cash collateral from securities lending). The Adviser cannot discontinue this waiver prior to its expiration.
For thesix-month period ended April 30, 2019, the Adviser waived fees and/or paid Fund expenses for each Fund in the following amounts:
Active U.S. Real Estate ETF | $ | 10 | ||
Balanced Multi-Asset Allocation ETF | 2 | |||
Conservative Multi-Asset Allocation ETF | 6 | |||
Growth Multi-Asset Allocation ETF | 3 | |||
Moderately Conservative Multi-Asset Allocation ETF | 2 | |||
S&P 500® Downside Hedged ETF | 5,728 | |||
Total Return Bond ETF | — | |||
Ultra Short Duration ETF | — | |||
Variable Rate Investment Grade ETF | 1,437 |
The fees waived and/or expenses borne by the Adviser for Ultra Short Duration ETF pursuant to the Expense Cap are subject to recapture by the Adviser up to three years from the date the fees were waived or the expenses were incurred, but no recapture payment will be made by the Fund if it would result in the Fund exceeding (i) the Expense Cap or (ii) the expense cap in effect at the time the fees and/or expenses subject to recapture were waived and/or borne by the Adviser.
There are no amounts available for potential recapture by the Adviser as of April 30, 2019.
The Trust has entered into a Distribution Agreement with Invesco Distributors, Inc. (the “Distributor”), which serves as the distributor of Creation Units for each Fund. The Distributor does not maintain a secondary market in the Shares. The Funds are not charged any fees pursuant to the Distribution Agreement. The Distributor is an affiliate of the Adviser.
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The Trust has entered into service agreements whereby The Bank of New York Mellon, a wholly-owned subsidiary of The Bank of New York Mellon Corporation, serves as the administrator, custodian, fund accountant and transfer agent for each Fund.
Note 4—Investments in Affiliates
The Adviser also serves as the adviser for each Underlying Fund listed within the tables below, and therefore the following Underlying Funds are considered to be affiliated with the Funds. The tables below show certain Funds’ transactions in, and earnings from, investments in affiliates (excluding affiliated money market funds) for thesix-month period ended April 30, 2019.
Balanced Multi-Asset Allocation ETF
Value October 31, 2018 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value April 30, 2019 | Dividend Income | ||||||||||||||||||||||
Invesco1-30 Laddered Treasury ETF* | $ | 201,793 | $ | 20,170 | $ | (233,374 | ) | $ | 8,447 | $ | 2,964 | $ | — | $ | 2,158 | |||||||||||||
Invesco Corporate Income Defensive ETF | — | 80,057 | — | 161 | — | 80,218 | — | |||||||||||||||||||||
Invesco Corporate Income Value ETF | — | 45,634 | — | 15 | — | 45,649 | — | |||||||||||||||||||||
Invesco Emerging Markets Sovereign Debt ETF | 99,961 | 7,500 | (8,639 | ) | 7,518 | (903 | ) | 105,437 | 2,601 | |||||||||||||||||||
Invesco FTSE RAFI Developed Marketsex-U.S. ETF* | 225,847 | 6,054 | (241,608 | ) | 9,524 | 183 | — | 2,736 | ||||||||||||||||||||
Invesco FTSE RAFI Emerging Markets ETF* | 48,172 | 193 | (52,400 | ) | 1,728 | 2,307 | — | 323 | ||||||||||||||||||||
Invesco FTSE RAFI US 1000 ETF* | 344,417 | 26,244 | (393,331 | ) | (6,746 | ) | 29,416 | — | 3,413 | |||||||||||||||||||
Invesco FTSE RAFI US 1500Small-Mid ETF* | 181,245 | 22,631 | (213,959 | ) | 6,482 | 3,601 | — | 994 | ||||||||||||||||||||
Invesco Fundamental High Yield® Corporate Bond ETF* | 99,026 | 5,922 | (107,765 | ) | 2,524 | 293 | — | 2,129 | ||||||||||||||||||||
Invesco Fundamental Investment Grade Corporate Bond ETF* | 251,708 | 20,384 | (279,850 | ) | 4,776 | 2,982 | — | 3,802 | ||||||||||||||||||||
Invesco Investment Grade Defensive ETF | — | 168,441 | — | 284 | — | 168,725 | — | |||||||||||||||||||||
Invesco Investment Grade Value ETF | — | 93,831 | — | 223 | — | 94,054 | — | |||||||||||||||||||||
Invesco RAFITM Strategic Developedex-US ETF | — | 217,170 | — | 566 | — | 217,736 | — | |||||||||||||||||||||
Invesco RAFITM Strategic Emerging Markets ETF | — | 58,178 | — | (121 | ) | — | 58,057 | — | ||||||||||||||||||||
Invesco RAFITM Strategic US ETF | — | 388,731 | — | (1,151 | ) | — | 387,580 | — | ||||||||||||||||||||
Invesco RAFITM Strategic US Small Company ETF | — | 209,119 | — | (938 | ) | — | 208,181 | — | ||||||||||||||||||||
Invesco Russell Top 200 Pure Growth ETF* | 294,065 | 20,110 | (354,162 | ) | (23,218 | ) | 63,205 | — | 1,477 | |||||||||||||||||||
Invesco S&P 500® Low Volatility ETF | 191,720 | 9,871 | (14,112 | ) | 22,478 | 606 | 210,563 | 2,202 | ||||||||||||||||||||
Invesco S&P 500® Pure Growth ETF | — | 327,882 | — | 193 | — | 328,075 | — | |||||||||||||||||||||
Invesco S&P Emerging Markets Low Volatility ETF | 48,162 | 2,330 | (19,631 | ) | 3,195 | (799 | ) | 33,257 | 1,157 | |||||||||||||||||||
Invesco S&P International Developed Low Volatility ETF | 173,409 | 969 | (27,914 | ) | 13,540 | (627 | ) | 159,377 | 2,585 | |||||||||||||||||||
Invesco S&P MidCap Low Volatility ETF | 54,713 | 2,640 | (3,807 | ) | 6,059 | 66 | 59,671 | 514 | ||||||||||||||||||||
Invesco Senior Loan ETF | 50,208 | 3,992 | (1,429 | ) | (16 | ) | (108 | ) | 52,647 | 1,296 | ||||||||||||||||||
Invesco Taxable Municipal Bond ETF | — | 183,979 | — | (89 | ) | — | 183,890 | — | ||||||||||||||||||||
Invesco Variable Rate Investment Grade ETF | 355,959 | 45,657 | (23,837 | ) | (1,044 | ) | (543 | ) | 376,192 | 5,766 | ||||||||||||||||||
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Total Investments in Affiliates | $ | 2,620,405 | $ | 1,967,689 | $ | (1,975,818 | ) | $ | 54,390 | $ | 102,643 | $ | 2,769,309 | $ | 33,153 | |||||||||||||
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* | At April 30, 2019, this security was no longer held. |
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Conservative Multi-Asset Allocation ETF
Value October 31, 2018 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain | Value April 30, 2019 | Dividend Income | ||||||||||||||||||||||
Invesco1-30 Laddered Treasury ETF* | $ | 80,460 | $ | 832,773 | $ | (928,293 | ) | $ | 3,321 | $ | 11,739 | $ | — | $ | 5,396 | |||||||||||||
Invesco Corporate Income Defensive ETF | — | 142,330 | — | 286 | — | 142,616 | — | |||||||||||||||||||||
Invesco Corporate Income Value ETF | — | 80,369 | — | 26 | — | 80,395 | — | |||||||||||||||||||||
Invesco Emerging Markets Sovereign Debt ETF | 72,718 | 717,259 | (687,349 | ) | 9,504 | 40,026 | 152,158 | 11,480 | ||||||||||||||||||||
Invesco FTSE RAFI Developed Marketsex-U.S. ETF* | 33,823 | 337,609 | (406,780 | ) | 303 | 35,045 | — | 1,884 | ||||||||||||||||||||
Invesco FTSE RAFI US 1000 ETF* | 73,525 | 751,997 | (926,840 | ) | (4,885 | ) | 106,203 | — | 3,658 | |||||||||||||||||||
Invesco Fundamental High Yield® Corporate Bond ETF* | 106,947 | 1,041,710 | (1,213,270 | ) | 3,932 | 60,681 | — | 14,060 | ||||||||||||||||||||
Invesco Fundamental Investment Grade Corporate Bond ETF* | 195,700 | 1,970,184 | (2,222,925 | ) | 6,686 | 50,355 | — | 18,541 | ||||||||||||||||||||
Invesco Investment Grade Defensive ETF | — | 258,820 | — | 436 | — | 259,256 | — | |||||||||||||||||||||
Invesco Investment Grade Value ETF | — | 144,848 | — | 344 | — | 145,192 | — | |||||||||||||||||||||
Invesco Preferred ETF | 98,266 | 965,137 | (931,877 | ) | 11,912 | 59,116 | 202,554 | 17,591 | ||||||||||||||||||||
Invesco PureBetaSM0-5 Yr US TIPS ETF | 90,992 | 919,453 | (839,350 | ) | 3,208 | 13,705 | 188,008 | 288 | ||||||||||||||||||||
Invesco RAFITM Strategic Developedex-US ETF | — | 51,203 | — | 134 | — | 51,337 | — | |||||||||||||||||||||
Invesco RAFITM Strategic US ETF | — | 177,592 | — | (526 | ) | — | 177,066 | — | ||||||||||||||||||||
Invesco Russell Top 200 Pure Growth ETF* | 64,494 | 670,793 | (867,594 | ) | (14,959 | ) | 147,266 | — | 1,178 | |||||||||||||||||||
Invesco S&P 500® Low Volatility ETF | 46,694 | 451,354 | (482,292 | ) | 8,108 | 63,727 | 87,591 | 3,387 | ||||||||||||||||||||
Invesco S&P 500® Pure Growth ETF | — | 151,733 | — | 90 | — | 151,823 | — | |||||||||||||||||||||
Invesco S&P International Developed Low Volatility ETF | 27,718 | 273,776 | (279,990 | ) | 5,507 | 24,956 | 51,967 | 1,678 | ||||||||||||||||||||
Invesco Senior Loan ETF | 107,549 | 1,063,203 | (1,009,601 | ) | 4,809 | 36,612 | 202,572 | 16,250 | ||||||||||||||||||||
Invesco Taxable Municipal Bond ETF | — | 181,497 | — | (88 | ) | — | 181,409 | — | ||||||||||||||||||||
Invesco Variable Rate Investment Grade ETF | 250,050 | 2,550,260 | (2,301,814 | ) | 1,101 | 21,505 | 521,102 | 25,275 | ||||||||||||||||||||
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| |||||||||||||||
Total Investments in Affiliates | $ | 1,248,936 | $ | 13,733,900 | $ | (13,097,975 | ) | $ | 39,249 | $ | 670,936 | $ | 2,595,046 | $ | 120,666 | |||||||||||||
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* | At April 30, 2019, this security was no longer held. |
Growth Multi-Asset Allocation ETF
Value October 31, 2018 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value April 30, 2019 | Dividend Income | ||||||||||||||||||||||
Invesco1-30 Laddered Treasury ETF* | $ | 147,256 | $ | 177,035 | $ | (336,231 | ) | $ | 4,827 | $ | 7,113 | $ | — | $ | 2,479 | |||||||||||||
Invesco Emerging Markets Sovereign Debt ETF | 31,030 | 64,282 | (20,917 | ) | 2,802 | 560 | 77,757 | 1,273 | ||||||||||||||||||||
Invesco FTSE RAFI Developed Marketsex-U.S. ETF* | 301,609 | 317,971 | (644,889 | ) | 13,264 | 12,045 | — | 6,163 | ||||||||||||||||||||
Invesco FTSE RAFI Emerging Markets ETF* | 82,584 | 87,039 | (178,845 | ) | 3,961 | 5,261 | — | 912 | ||||||||||||||||||||
Invesco FTSE RAFI US 1000 ETF* | 428,875 | 472,496 | (953,895 | ) | (7,441 | ) | 59,965 | — | 7,233 | |||||||||||||||||||
Invesco FTSE RAFI US 1500Small-Mid ETF* | 210,106 | 250,119 | (482,106 | ) | 4,867 | 17,014 | — | 1,867 | ||||||||||||||||||||
Invesco Fundamental Investment Grade Corporate Bond ETF* | 161,977 | 188,879 | (359,530 | ) | 2,954 | 5,720 | — | 3,866 | ||||||||||||||||||||
Invesco Investment Grade Defensive ETF | — | 174,102 | — | 294 | — | 174,396 | — | |||||||||||||||||||||
Invesco Investment Grade Value ETF | — | 96,643 | — | 229 | — | 96,872 | — | |||||||||||||||||||||
Invesco RAFITM Strategic Developedex-US ETF | — | 482,621 | — | 1,259 | — | 483,880 | — | |||||||||||||||||||||
Invesco RAFITM Strategic Emerging Markets ETF | — | 150,969 | — | (313 | ) | — | 150,656 | — | ||||||||||||||||||||
Invesco RAFITM Strategic US ETF | — | 715,710 | — | (2,118 | ) | — | 713,592 | — | ||||||||||||||||||||
Invesco RAFITM Strategic US Small Company ETF | — | 358,078 | — | (1,606 | ) | — | 356,472 | — | ||||||||||||||||||||
Invesco Russell Top 200 Pure Growth ETF* | 393,915 | 436,054 | (926,515 | ) | (30,001 | ) | 126,547 | — | 3,233 | |||||||||||||||||||
Invesco S&P 500® Low Volatility ETF | 251,036 | 270,078 | (151,049 | ) | 24,745 | 24,112 | 418,922 | 4,584 | ||||||||||||||||||||
Invesco S&P 500® Pure Growth ETF | — | 650,285 | — | 383 | — | 650,668 | — |
| 67 |
|
Value October 31, 2018 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value April 30, 2019 | Dividend Income | ||||||||||||||||||||||
Invesco S&P Emerging Markets Low Volatility ETF | $ | 76,682 | $ | 86,150 | $ | (80,667 | ) | $ | 4,621 | $ | (492 | ) | $ | 86,294 | $ | 2,828 | ||||||||||||
Invesco S&P International Developed Low Volatility ETF | 250,449 | 263,198 | (192,017 | ) | 22,206 | 7,818 | 351,654 | 6,207 | ||||||||||||||||||||
Invesco S&P MidCap Low Volatility ETF | 69,916 | 73,595 | (60,221 | ) | 5,479 | 6,295 | 95,064 | 1,087 | ||||||||||||||||||||
Invesco S&P SmallCap Low Volatility ETF | 80,833 | 103,133 | (49,015 | ) | 4,634 | 2,787 | 142,372 | 1,482 | ||||||||||||||||||||
Invesco Taxable Municipal Bond ETF | — | 193,788 | — | (94 | ) | — | 193,694 | — | ||||||||||||||||||||
Invesco Variable Rate Investment Grade ETF | 203,913 | 244,739 | (129,892 | ) | (11 | ) | (122 | ) | 318,627 | 5,232 | ||||||||||||||||||
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| |||||||||||||||
Total Investments in Affiliates | $ | 2,690,181 | $ | 5,856,964 | $ | (4,565,789 | ) | $ | 54,941 | $ | 274,623 | $ | 4,310,920 | $ | 48,446 | |||||||||||||
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|
|
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|
|
* | At April 30, 2019, this security was no longer held. |
Moderately Conservative Multi-Asset Allocation ETF
Value October 31, 2018 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value April 30, 2019 | Dividend Income | ||||||||||||||||||||||
Invesco1-30 Laddered Treasury ETF* | $ | 86,330 | $ | 198,204 | $ | (296,458 | ) | $ | 4,043 | $ | 7,881 | $ | — | $ | 2,640 | |||||||||||||
Invesco Corporate Income Defensive ETF | — | 179,221 | — | 360 | — | 179,581 | — | |||||||||||||||||||||
Invesco Corporate Income Value ETF | — | 100,872 | — | 33 | — | 100,905 | — | |||||||||||||||||||||
Invesco Emerging Markets Sovereign Debt ETF | 73,894 | 160,415 | (14,548 | ) | 16,535 | (1,516 | ) | 234,780 | 5,514 | |||||||||||||||||||
Invesco FTSE RAFI Developed Marketsex-U.S. ETF* | 83,158 | 176,675 | (272,683 | ) | 423 | 12,427 | — | 3,029 | ||||||||||||||||||||
Invesco FTSE RAFI US 1000 ETF* | 123,173 | 282,231 | (431,305 | ) | (8,285 | ) | 34,186 | — | 3,671 | |||||||||||||||||||
Invesco FTSE RAFI US 1500Small-Mid ETF* | 40,277 | 97,062 | (145,419 | ) | (2,569 | ) | 10,649 | — | 663 | |||||||||||||||||||
Invesco Fundamental High Yield® Corporate Bond ETF* | 92,962 | 196,170 | (298,897 | ) | 3,163 | 6,602 | — | 5,731 | ||||||||||||||||||||
Invesco Fundamental Investment Grade Corporate Bond ETF* | 149,169 | 327,076 | (490,473 | ) | 5,195 | 9,033 | — | 6,453 | ||||||||||||||||||||
Invesco Investment Grade Defensive ETF | — | 298,093 | — | 503 | — | 298,596 | — | |||||||||||||||||||||
Invesco Investment Grade Value ETF | — | 169,067 | — | 401 | — | 169,468 | — | |||||||||||||||||||||
Invesco Preferred ETF | 74,912 | 151,177 | (2,839 | ) | 11,416 | (226 | ) | 234,440 | 6,197 | |||||||||||||||||||
Invesco PureBetaSM0-5 Yr US TIPS ETF | 68,813 | 166,162 | (10,290 | ) | 3,586 | (241 | ) | 228,030 | 653 | |||||||||||||||||||
Invesco RAFITMStrategic Developedex-US ETF | — | 199,245 | — | 519 | — | 199,764 | — | |||||||||||||||||||||
Invesco RAFITM Strategic US ETF | — | 396,342 | — | (1,173 | ) | — | 395,169 | — | ||||||||||||||||||||
Invesco RAFITM Strategic US Small Company ETF | — | 152,530 | — | (684 | ) | — | 151,846 | — | ||||||||||||||||||||
Invesco Russell Top 200 Pure Growth ETF* | 105,775 | 241,358 | (391,366 | ) | (23,039 | ) | 67,272 | — | 1,602 | |||||||||||||||||||
Invesco S&P 500® Low Volatility ETF | 66,322 | 143,827 | (16,623 | ) | 19,671 | 377 | 213,574 | 2,185 | ||||||||||||||||||||
Invesco S&P 500® Pure Growth ETF | — | 363,255 | — | 214 | — | 363,469 | — | |||||||||||||||||||||
Invesco S&P International Developed Low Volatility ETF | 68,866 | 141,230 | (21,341 | ) | 13,892 | (472 | ) | 202,175 | 3,084 | |||||||||||||||||||
Invesco S&P MidCap Low Volatility ETF | 17,698 | 72,721 | (4,314 | ) | 4,917 | 98 | 91,120 | 500 | ||||||||||||||||||||
Invesco Senior Loan ETF | 62,817 | 134,562 | (22,385 | ) | 1,280 | (439 | ) | 175,835 | 4,681 | |||||||||||||||||||
Invesco Taxable Municipal Bond ETF | — | 292,575 | — | (142 | ) | — | 292,433 | — | ||||||||||||||||||||
Invesco Variable Rate Investment Grade ETF | 161,829 | 368,893 | (21,448 | ) | (340 | ) | (491 | ) | 508,443 | 7,527 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total Investments in Affiliates | $ | 1,275,995 | $ | 5,008,963 | $ | (2,440,389 | ) | $ | 49,919 | $ | 145,140 | $ | 4,039,628 | $ | 54,130 | |||||||||||||
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|
|
* | At April 30, 2019, this security was no longer held. |
The Adviser is a wholly-owned subsidiary of Invesco Ltd. and therefore, Invesco Ltd. is considered to be affiliated with the Funds. The table below shows S&P 500® Downside Hedged ETF’s transactions in, and earnings from, investments in affiliates (excluding affiliated money market funds) for thesix-month period ended April 30, 2019.
| 68 |
|
S&P 500® Downside Hedged ETF
Value October 31, 2018 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value April 30, 2019 | Dividend Income | ||||||||||||||||||||||
Invesco Ltd. | $ | 9,987 | $ | — | $— | $119 | $— | $ | 10,106 | $ | 276 |
Note 5—Additional Valuation Information
GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect a Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Except for Ultra Short Duration ETF and certain Funds listed below, as of April 30, 2019, all of the securities in each Fund were valued based on Level 1 inputs (see the Schedules of Investments for security categories). All of the securities in Ultra Short Duration ETF were valued based on Level 2 inputs (see the Schedules of Investments for security categories). The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
S&P 500® Downside Hedged ETF | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks & Other Equity Interests | $ | 31,164,974 | $ | — | $ | — | $ | 31,164,974 | ||||||||
Money Market Funds | 7,137,969 | — | — | 7,137,969 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 38,302,943 | — | — | 38,302,943 | ||||||||||||
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|
|
|
|
|
| |||||||||
Other Investments—Assets(a) | ||||||||||||||||
Futures Contracts | 342,160 | — | — | 342,160 | ||||||||||||
Other Investments—Liabilities(a) | ||||||||||||||||
Futures Contracts | (25,852 | ) | — | — | (25,852 | ) | ||||||||||
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|
|
|
|
|
| |||||||||
Total Other Investments | 316,308 | — | — | 316,308 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 38,619,251 | $ | — | $ | — | $ | 38,619,251 | ||||||||
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|
|
|
|
|
| |||||||||
Total Return Bond ETF | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Sponsored Agency Mortgage-Backed Securities | $ | — | $ | 20,112,010 | $ | — | $ | 20,112,010 | ||||||||
Corporate Bonds and Notes | — | 17,610,862 | — | 17,610,862 | ||||||||||||
U.S. Treasury Securities | — | 13,031,820 | — | 13,031,820 | ||||||||||||
Asset-Backed Securities | — | 4,801,018 | — | 4,801,018 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 2,676,835 | — | 2,676,835 | ||||||||||||
Municipal Bonds | — | 1,978,277 | — | 1,978,277 | ||||||||||||
Variable Rate Senior Loan Interests | — | 1,282,563 | — | 1,282,563 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 620,002 | — | 620,002 | ||||||||||||
U.S. Agency Mortgage Credit Risk Transfer | — | 246,600 | — | 246,600 |
| 69 |
|
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Total Return Bond ETF (continued) | ||||||||||||||||
Sovereign Debt Obligations | $ | — | $ | 203,000 | $ | — | $ | 203,000 | ||||||||
Preferred Stocks | 347,779 | — | — | 347,779 | ||||||||||||
Short-Term Investments | — | 154,418 | — | 154,418 | ||||||||||||
Purchased Call Options | 68,905 | — | — | 68,905 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 416,684 | 62,717,405 | — | 63,134,089 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Other Investments—Assets(a) | ||||||||||||||||
Futures Contracts | 77,881 | — | — | 77,881 | ||||||||||||
Other Investments—Liabilities(a) | ||||||||||||||||
Forward Foreign Currency Contracts | — | (754 | ) | — | (754 | ) | ||||||||||
Futures Contracts | (147,004 | ) | — | — | (147,004 | ) | ||||||||||
Written Options | (64,960 | ) | — | — | (64,960 | ) | ||||||||||
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|
|
|
|
|
| |||||||||
Total Other Investments | (134,083 | ) | (754 | ) | — | (134,837 | ) | |||||||||
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|
|
|
|
|
| |||||||||
Total Investments | $ | 282,601 | $ | 62,716,651 | $ | — | $ | 62,999,252 | ||||||||
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|
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| |||||||||
Variable Rate Investment Grade ETF | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Corporate Bonds and Notes | $ | — | $ | 171,774,583 | $ | — | $ | 171,774,583 | ||||||||
U.S. Agency Mortgage Credit Risk Transfer | — | 97,301,945 | — | 97,301,945 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 46,584,066 | — | 46,584,066 | ||||||||||||
U.S. Treasury Securities | — | 39,092,438 | — | 39,092,438 | ||||||||||||
U.S. Government Sponsored Agency Mortgage-Backed Securities | — | 26,839,699 | — | 26,839,699 | ||||||||||||
Asset-Backed Securities | — | 18,128,959 | — | 18,128,959 | ||||||||||||
Collateralized Mortgage Obligations | — | 13,358,072 | — | 13,358,072 | ||||||||||||
Money Market Fund | 468,862 | — | — | 468,862 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Investments | $ | 468,862 | $ | 413,079,762 | $ | — | $ | 413,548,624 | ||||||||
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(a) | Forward foreign currency contracts and futures contracts are valued at unrealized appreciation (depreciation). Options written are shown at value. |
Note 6—Derivative Investments
The Funds may enter into an International Swaps and Derivatives Association Master Agreement (“ISDA Master Agreement”) under which a Fund may trade OTC derivatives. An OTC transaction entered into under an ISDA Master Agreement typically involves a collateral posting arrangement, payment netting provisions andclose-out netting provisions. These netting provisions allow for reduction of credit risk through netting of contractual obligations. The enforceability of the netting provisions of the ISDA Master Agreement depends on the governing law of the ISDA Master Agreement, among other factors.
For financial reporting purposes, the Funds do not offset OTC derivative assets or liabilities that are subject to ISDA Master Agreements in the Statements of Assets and Liabilities.
Value of Derivative Investments atPeriod-End
The table below summarizes the value of each Fund’s derivative investments, detailed by primary risk exposure, held as of April 30, 2019:
Value | ||||||||||||||||||||
S&P 500® Downside Hedged ETF | Total Return Bond ETF | |||||||||||||||||||
Derivative Assets | Equity Risk | Equity Risk | Interest Rate Risk | Currency Risk | Total | |||||||||||||||
Purchased options, at value—Exchange-Traded | $ | — | $ | 68,905 | $ | — | $ | — | $ | 68,905 | ||||||||||
Unrealized appreciation on futures contracts—Exchange-Traded(a) | 342,160 | — | 77,881 | — | 77,881 | |||||||||||||||
Total Derivative Assets | 342,160 | 68,905 | 77,881 | — | 146,786 | |||||||||||||||
Derivatives not subject to master netting agreements | (342,160 | ) | (68,905 | ) | (77,881 | ) | — | (146,786 | ) | |||||||||||
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|
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|
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|
|
|
| |||||||||||
Total Derivative Assets subject to master netting agreements | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
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| 70 |
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Value | ||||||||||||||||||||
S&P 500® Downside Hedged ETF | Total Return Bond ETF | |||||||||||||||||||
Derivative Liabilities | Equity Risk | Equity Risk | Interest Rate Risk | Currency Risk | Total | |||||||||||||||
Written options, at value—Exchange-Traded | $ | — | $ | (64,960 | ) | $ | — | $ | — | $ | (64,960 | ) | ||||||||
Unrealized depreciation on forward foreign currency contracts outstanding(b) | — | — | — | (754 | ) | (754 | ) | |||||||||||||
Unrealized depreciation on futures contracts—Exchange-Traded(a) | (25,852 | ) | — | (147,004 | ) | — | (147,004 | ) | ||||||||||||
Total Derivative Liabilities | (25,852 | ) | (64,960 | ) | (147,004 | ) | (754 | ) | (212,718 | ) | ||||||||||
Derivatives not subject to master netting agreements | 25,852 | 64,960 | 147,004 | — | 211,964 | |||||||||||||||
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|
|
|
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| |||||||||||
Total Derivative Liabilities subject to master netting agreements | $ | — | $ | — | $ | — | $ | (754 | ) | $ | (754 | ) | ||||||||
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|
(a) | Except for Total Return Bond ETF, values are disclosed on the Statements of Assets and Liabilities under the caption Unrealized appreciation on futures contracts and Unrealized depreciation on futures contracts. For Total Return Bond ETF, values include cumulative appreciation (depreciation) on futures contracts. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(b) | Values are disclosed on the Statements of Assets and Liabilities under the caption Unrealized appreciation on forward foreign currency contracts outstanding and Unrealized depreciation on forward foreign currency contracts outstanding. |
Offsetting Assets and Liabilities
The table below reflects the Fund’s exposure to Counterparties subject to either an ISDA Master Agreement or other agreement for OTC derivative transactions as of April 30, 2019:
Total Return Bond ETF
Financial Derivative Assets | Financial Derivative Liabilities | Net Value of Derivatives | Collateral (Received)/Pledged | Net Amount | ||||||||||||||||||||
Counterparty | Forward foreign currency contracts | Forward foreign currency contracts | Non-Cash | Cash | ||||||||||||||||||||
Goldman Sachs International | $ | — | $ | (754 | ) | $ | (754 | ) | $ | — | $ | — | $ | (754 | ) |
Effect of Derivative Investments for theSix-Month Period Ended April 30, 2019.
The table below summarizes each Fund’s gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:
Location of Gain (Loss) on Statements of Operations | ||||||||||||||||||||||||
S&P 500® Downside Hedged ETF | Total Return Bond ETF | Ultra Short Duration ETF | ||||||||||||||||||||||
Equity Risk | Equity Risk | Interest Rate Risk | Currency Risk | Total | Currency Risk | |||||||||||||||||||
Realized Gain (Loss): | ||||||||||||||||||||||||
Forward foreign currency contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (751,100 | ) | |||||||||||
Futures contracts | (831,227 | ) | — | (186,606 | ) | — | (186,606 | ) | — | |||||||||||||||
Options purchased(a) | — | (13,683 | ) | — | — | (13,683 | ) | — | ||||||||||||||||
Change in Net Unrealized Appreciation (Depreciation): | ||||||||||||||||||||||||
Forward foreign currency contracts | — | — | — | (754 | ) | (754 | ) | (27,583 | ) | |||||||||||||||
Futures contracts | 101,832 | — | (143,653 | ) | — | (143,653 | ) | — | ||||||||||||||||
Options purchased(a) | — | 19,073 | — | — | 19,073 | — | ||||||||||||||||||
Options written | — | (988 | ) | — | — | (988 | ) | — | ||||||||||||||||
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Total | $ | (729,395 | ) | $ | 4,402 | $ | (330,259 | ) | $ | (754 | ) | $ | (326,611 | ) | $ | (778,683 | ) | |||||||
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(a) | Options purchased are included in the net realized gain (loss) from investment securities and the change in net unrealized appreciation (depreciation) on investment securities. |
The table below summarizes the average notional value of derivatives held during the period.
Average Notional Value | ||||||||||||
S&P 500® Downside Hedged ETF | Total Return Bond ETF(a) | Ultra Short Duration ETF(b) | ||||||||||
Forward foreign currency contracts | $ | — | $ | 16,050 | $ | 36,969,171 | ||||||
Futures contracts | 8,027,519 | 24,590,661 | — | |||||||||
Options purchased | — | 502,700 | — | |||||||||
Options written | — | 78,571 | — |
(a) | For Total Return Bond ETF, the amounts listed for forward foreign currency contracts and options written represent a one month average notional value. |
(b) | For Ultra Short Duration ETF, the amount listed for forward foreign currency contracts represents a four month average notional value. |
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Note 7—Tax Information
The amount and character of income and gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. Reclassifications are made to the Funds’ capital accounts to reflect income and gains available for distribution (or available capital loss carryforwards) under federal income tax regulations. The tax character of distributions paid during the year and the tax components of net assets will be reported at the Funds’ fiscalyear-end.
Capital loss carryforwards are calculated and reported as of a specific date. Results of transactions and other activity after that date may affect the amount of capital loss carryforwards actually available for the Funds to utilize. Capital losses generated in years beginning after December 22, 2010 can be carried forward for an unlimited period, whereas previous losses expire in eight tax years. Capital losses with an expiration period may not be used to offset capital gains until all net capital losses without an expiration date have been utilized. Capital loss carryforwards with no expiration date will retain their character as either short-term or long-term capital losses instead of as short-term capital losses as under prior law. The ability to utilize capital loss carryforwards in the future may be limited under the Internal Revenue Code and related regulations based on the results of future transactions.
The Funds had capital loss carryforwards as of October 31, 2018, which expire as follows:
Post-effective/no expiration | ||||||||||||
Short-Term | Long-Term | Total* | ||||||||||
Active U.S. Real Estate ETF | $ | 507,245 | $ | — | $ | 507,245 | ||||||
Balanced Multi-Asset Allocation ETF | — | — | — | |||||||||
Conservative Multi-Asset Allocation ETF | — | 2,574 | 2,574 | |||||||||
Growth Multi-Asset Allocation ETF | — | — | — | |||||||||
Moderately Conservative Multi-Asset Allocation ETF | — | — | — | |||||||||
S&P 500® Downside Hedged ETF | 24,741,508 | 52,586,159 | 77,327,667 | |||||||||
Total Return Bond ETF | — | — | — | |||||||||
Ultra Short Duration ETF | — | — | — | |||||||||
Variable Rate Investment Grade ETF | 747,871 | 299,824 | 1,047,695 |
* | Capital loss carryforwards as of the date listed above are reduced for limitations, if any, to the extent required by the Internal Revenue Code and may be further limited depending upon a variety of factors, including the realization of net unrealized gains or losses as of the date of any reorganization. |
Note 8—Investment Transactions
For thesix-month period ended April 30, 2019, the cost of securities purchased and proceeds from sales of securities (other than short-term securities, U.S. Treasury obligations, money market funds andin-kind transactions, if any) were as follows:
Purchases | Sales | |||||||
Active U.S. Real Estate ETF | $ | 5,554,108 | $ | 5,288,221 | ||||
Balanced Multi-Asset Allocation ETF | 1,967,689 | 1,975,818 | ||||||
Conservative Multi-Asset Allocation ETF | 1,577,722 | 1,522,476 | ||||||
Growth Multi-Asset Allocation ETF | 3,161,119 | 3,164,846 | ||||||
Moderately Conservative Multi-Asset Allocation ETF | 2,452,467 | 2,440,390 | ||||||
S&P 500® Downside Hedged ETF | 71,299,928 | 71,574,592 | ||||||
Total Return Bond ETF | 75,483,598 | 75,016,802 | ||||||
Ultra Short Duration ETF | 666,280,113 | 99,724,074 | ||||||
Variable Rate Investment Grade ETF | 60,802,432 | 82,160,248 |
For thesix-month period ended April 30, 2019, the cost of securities purchased and proceeds from sales of U.S. Treasury obligations (other than short-term securities, money market funds andin-kind transactions), were as follows:
Purchases | Sales | |||||||
Total Return Bond ETF | $ | 37,384,864 | $ | 24,514,259 | ||||
Ultra Short Duration ETF | — | 72,933,555 | ||||||
Variable Rate Investment Grade ETF | 44,820,039 | 53,965,556 |
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For thesix-month period ended April 30, 2019,in-kind transactions associated with creations and redemptions were as follows:
Cost of Securities Received | Value of Securities Delivered | |||||||
Active U.S. Real Estate ETF | $ | 17,104,276 | $ | — | ||||
Balanced Multi-Asset Allocation ETF | — | — | ||||||
Conservative Multi-Asset Allocation ETF | 12,156,178 | 11,575,500 | ||||||
Growth Multi-Asset Allocation ETF | 2,695,845 | 1,400,942 | ||||||
Moderately Conservative Multi-Asset Allocation ETF | 2,556,496 | — | ||||||
S&P 500® Downside Hedged ETF | 12,284,613 | 2,746,071 | ||||||
Total Return Bond ETF | — | — | ||||||
Ultra Short Duration ETF | — | — | ||||||
Variable Rate Investment Grade ETF | — | — |
Gains (losses) onin-kind transactions are generally not considered taxable gains (losses) for federal income tax purposes.
At April 30, 2019, the aggregate cost of investments, including any derivatives, on a tax basis includes adjustments for financial reporting purposes as of the most recently completed federal income tax reportingperiod-end:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | Cost | |||||||||||||
Active U.S. Real Estate ETF | $ | 5,436,055 | $(568,976 | ) | $ | 4,867,079 | $ | 44,442,237 | ||||||||
Balanced Multi-Asset Allocation ETF | 49,732 | (6,716 | ) | 43,016 | 2,784,402 | |||||||||||
Conservative Multi-Asset Allocation ETF | 34,400 | (1,256 | ) | 33,144 | 2,771,821 | |||||||||||
Growth Multi-Asset Allocation ETF | 64,188 | (5,848 | ) | 58,340 | 4,345,101 | |||||||||||
Moderately Conservative Multi-Asset Allocation ETF | 68,528 | (3,783 | ) | 64,745 | 4,067,018 | |||||||||||
S&P 500® Downside Hedged ETF | 4,415,142 | — | 4,415,142 | 34,204,109 | ||||||||||||
Total Return Bond ETF | 941,491 | (661,036 | ) | 280,455 | 62,718,797 | |||||||||||
Ultra Short Duration ETF | 6,089,658 | (692,093 | ) | 5,397,565 | 2,341,133,725 | |||||||||||
Variable Rate Investment Grade ETF | 588,319 | (1,775,943 | ) | (1,187,624 | ) | 414,736,248 |
Note 9—Trustees’ and Officer’s Fees
Trustees’ and Officer’s Fees include amounts accrued by the Funds to pay remuneration to the Independent Trustees and an Officer of the Trust. The Adviser, as a result of each Fund��s unitary management fee, pays for such compensation for each Fund (except for Ultra Short Duration ETF). The Trustee who is an “interested person” of the Trust does not receive any Trustees’ fees.
The Trust has adopted a deferred compensation plan (the “Plan”). Under the Plan, each Independent Trustee who has executed a Deferred Fee Agreement (a “Participating Trustee”) may defer receipt of all or a portion of his compensation (“Deferral Fees”). Such Deferral Fees are deemed to be invested in select Invesco Funds. The Deferral Fees payable to the Participating Trustee are valued as of the date such Deferral Fees would have been paid to the Participating Trustee. The value increases with contributions or with increases in the value of the Shares selected, and the value decreases with distributions or with declines in the value of the Shares selected. Obligations under the Plan represent unsecured claims against the general assets of the Funds.
Note 10—Capital
Shares are issued and redeemed by each Fund only in Creation Units of (i) 100,000 Shares for each of Balanced Multi-Asset Allocation ETF, Conservative Multi-Asset Allocation ETF, Growth Multi-Asset Allocation ETF, Moderately Conservative Multi-Asset Allocation ETF and Ultra Short Duration ETF; and (ii) 50,000 Shares, for each of Active U.S. Real Estate ETF, S&P 500® Downside Hedged ETF, Total Return Bond ETF and Variable Rate Investment Grade ETF. Only Authorized Participants are permitted to purchase or redeem Creation Units from the Funds. For Active U.S. Real Estate ETF, Balanced Multi-Asset Allocation ETF, Conservative Multi-Asset Allocation ETF, Growth Multi-Asset Allocation ETF and Moderately Conservative Multi-Asset Allocation ETF, such transactions are principally permitted in exchange for Deposit Securities, with a balancing cash component to equate the transaction to the NAV per Share of the Fund of the Trust on the transaction date. For Total Return Bond ETF, Ultra Short Duration ETF and Variable Rate Investment Grade ETF, Creation Units are issued and redeemed principally in exchange for the deposit or delivery of cash. For S&P 500® Downside Hedged ETF, Creation Units are issued and redeemed partially in exchange for the deposit or delivery of cash and partially in exchange for Deposit Securities. However, for all Funds, cash in an amount equivalent to the value of certain securities may be substituted, generally when the securities are not available in sufficient quantity for delivery, not eligible for trading by the Authorized Participant or as a result of other market circumstances.
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To the extent that the Funds permit transactions in exchange for Deposit Securities, each Fund may issue Shares in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash at least equal to 105% of the market value of the missing Deposit Securities. In accordance with the Trust’s Participant Agreement, Creation Units will be issued to an Authorized Participant, notwithstanding the fact that the corresponding Deposit Securities have not been received in part or in whole, in reliance on the undertaking of the Authorized Participant to deliver the missing Deposit Securities as soon as possible, which undertaking shall be secured by the Authorized Participant’s delivery and maintenance of collateral consisting of cash in the form of U.S. dollars in immediately available funds having a value(marked-to-market daily) at least equal to 105%, which the Adviser may change from time to time, of the value of the missing Deposit Securities.
Certain transaction fees may be charged by the Funds for creations and redemptions, which are treated as increases in capital.
Transactions in each Fund’s Shares are disclosed in detail in the Statements of Changes in Net Assets.
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Calculating your ongoing Fund expenses
Example
As a shareholder of a Fund of the Invesco Actively Managed Exchange-Traded Fund Trust (excluding Invesco Ultra Short Duration ETF), you incur a unitary management fee. In addition to the unitary management fee, a shareholder may pay distribution fees, if any, brokerage expenses, taxes, interest, acquired fund fees and expenses, if any, litigation expenses and other extraordinary expenses. As a shareholder of the Invesco Ultra Short Duration ETF, you incur advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held through thesix-month period ended April 30, 2019.
In addition to the fees and expenses which the Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, and the S&P 500 Downside Hedged ETF (collectively, the “Portfolios”) bear directly, the Portfolios indirectly bear a pro rata share of the fees and expenses of the investment companies in which the Portfolios invest. The amount of fees and expenses incurred indirectly by the Portfolios will vary because the investment companies have varied expenses and fee levels and the Portfolios may own different proportions of the investment companies at different times. Estimated investment companies’ expenses are not expenses that are incurred directly by the Portfolios. They are expenses that are incurred directly by the investment companies and are deducted from the value of the investment companies the Portfolios invest in. The effect of the estimated investment companies’ expenses that the Portfolios bear indirectly is included in each Portfolio’s total return.
Actual Expenses
The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During theSix-Month Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed annualized rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges and brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, expenses shown in the table do not include the expenses of the underlying funds, which are borne indirectly by a Fund. If transaction costs and indirect expenses were included, your costs would have been higher.
Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period(1) | |||||||||||||
Invesco Active U.S. Real Estate ETF (PSR) | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,131.50 | 0.35 | % | $ | 1.85 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.06 | 0.35 | 1.76 | ||||||||||||
Invesco Balanced Multi-Asset Allocation ETF (PSMB) | ||||||||||||||||
Actual | 1,000.00 | 1,077.10 | 0.05 | 0.26 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.55 | 0.05 | 0.25 | ||||||||||||
Invesco Conservative Multi-Asset Allocation ETF (PSMC) | ||||||||||||||||
Actual | 1,000.00 | 1,056.90 | 0.05 | 0.25 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.55 | 0.05 | 0.25 |
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Fees and Expenses(continued)
Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period(1) | |||||||||||||
Invesco Growth Multi-Asset Allocation ETF (PSMG) | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,084.80 | 0.05 | % | $ | 0.26 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.55 | 0.05 | 0.25 | ||||||||||||
Invesco Moderately Conservative Multi-Asset Allocation ETF (PSMM) | ||||||||||||||||
Actual | 1,000.00 | 1,068.80 | 0.05 | 0.26 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.55 | 0.05 | 0.25 | ||||||||||||
Invesco S&P 500® Downside Hedged ETF (PHDG) | ||||||||||||||||
Actual | 1,000.00 | 1,031.60 | 0.35 | 1.76 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.06 | 0.35 | 1.76 | ||||||||||||
Invesco Total Return Bond ETF (GTO) | ||||||||||||||||
Actual | 1,000.00 | 1,055.58 | 0.50 | 2.55 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.32 | 0.50 | 2.51 | ||||||||||||
Invesco Ultra Short Duration ETF (GSY) | ||||||||||||||||
Actual | 1,000.00 | 1,016.11 | 0.22 | 1.10 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.70 | 0.22 | 1.10 | ||||||||||||
Invesco Variable Rate Investment Grade ETF (VRIG) | ||||||||||||||||
Actual | 1,000.00 | 1,013.40 | 0.30 | 1.50 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.31 | 0.30 | 1.51 |
(1) | Expenses are calculated using the annualized expense ratio, which represents the ongoing expenses as a percentage of net assets for the six-month period ended April 30, 2019. Expenses are calculated by multiplying the Fund’s annualized expense ratio by the average account value for the period, then multiplying the result by 181/365. |
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Board Considerations Regarding Continuation of Investment Advisory Agreement andSub-Advisory Agreement
At a meeting held on April 11, 2019, the Board of Trustees of the Invesco Actively Managed Exchange-Traded Fund Trust (the “Trust”), including the Independent Trustees, approved the continuation of the following agreements on behalf of Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF, Invesco S&P 500® Downside Hedged ETF and Invesco Variable Rate Investment Grade ETF (each, a “Fund” and together, the “Funds”):
● | the Investment Advisory Agreement between Invesco Capital Management LLC (the “Adviser”) and the Trust for each Fund; and |
● | the Investment Sub-Advisory Agreement between the Adviser and the following seven affiliatedsub-advisers for each of Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF and Invesco Variable Rate Investment Grade ETF (the“Sub-Advisory Agreement”): Invesco Advisers, Inc.; Invesco Asset Management Deutschland, GmbH; Invesco Asset Management Limited; Invesco Asset Management (Japan) Limited; Invesco Hong Kong Limited; Invesco Senior Secured Management, Inc.; and Invesco Canada Ltd. (each, a“Sub-Adviser” and collectively, the“Sub-Advisers”). |
Investment Advisory Agreement
The Trustees reviewed information from the Adviser describing: (i) the nature, extent and quality of services provided, (ii) the investment performance of each Fund and the Adviser, (iii) the fees paid by the Funds and comparisons to amounts paid by other comparable registered investment companies, (iv) the costs of services provided and estimated profits realized by the Adviser, (v) the extent to which economies of scale may be realized as a Fund grows and whether fee levels reflect any possible economies of scale for the benefit of Fund shareholders, and (vi) any further benefits realized by the Adviser from its relationships with the Funds.
Nature, Extent and Quality of Services. In evaluating the nature, extent and quality of the Adviser’s services, the Trustees reviewed information concerning the functions performed by the Adviser for the Funds, information describing the Adviser’s current organization and staffing, including operational support provided by the Adviser’s parent organization, Invesco Ltd. (“Invesco”), and the background and experience of the persons responsible for theday-to-day management of the Funds. The Trustees reviewed matters related to the Adviser’s execution and/or oversight of execution of portfolio transactions on behalf of the Funds.
The Trustees reviewed information on the performance of Invesco Active U.S. Real Estate ETF, its benchmark index (FTSE NAREIT All Equity REITs Index) and the Fund’s Lipper Inc. (“Lipper”) peer group rankings (the 1st quartile being the best performers and the 4th quartile being the worst performers) for theone-year, three-year, five-year and since-inception (November 20, 2008) periods ended December 31, 2018. Based on the information provided, the Board noted that the Fund outperformed its benchmark for the five-year period and underperformed its benchmark for theone-year, three-year and since-inception periods. The Board also noted that the Fund ranked in the 1st quartile of its Lipper peer group for the three-year and five-year periods and in the 2nd quartile of its Lipper peer group for theone-year and since-inception periods.
The Trustees reviewed information on the performance of Invesco S&P 500® Downside Hedged ETF, its benchmark indexes (S&P 500® Index, S&P 500® Dynamic VEQTOR Index, HFRX Global Hedge Fund Index and U.S.3-Month Treasury Bill Index) and the Fund’s Lipper peer group rankings for theone-year, three-year, five-year and since-inception (December 6, 2012) periods ended December 31, 2018. Based on the information provided, the Board noted that the Fund outperformed the HFRX Global Hedge Fund Index in each period and outperformed the U.S.3-Month Treasury Bill Index for the three-year, five-year and since-inception periods but underperformed the U.S.3-Month Treasury Bill Index for theone-year period. The Board further noted that the Fund outperformed the S&P 500® Index for theone-year period but underperformed the S&P 500® Index for the three-year, five-year and since-inception periods and underperformed the S&P 500® Dynamic VEQTOR Index in each period. The Board also noted that the Fund ranked in the 1st quartile of its Lipper peer group for the three-year and since-inception periods and in the 2nd quartile of its Lipper peer group for theone-year and five-year periods.
The Trustees reviewed information on the performance of Invesco Variable Rate Investment Grade ETF, its benchmark index (Bloomberg Barclays US Floating Rate Note Index) and the Fund’s Lipper peer group ranking for theone-year and since-inception (September 22, 2016) periods ended December 31, 2018. Based on the information provided, the Board noted that the Fund outperformed its benchmark for the since-inception period but underperformed its benchmark for theone-year period. The Board also noted that the Fund ranked in the 1st quartile of its Lipper peer group for the since-inception period and in the 4th quartile of its Lipper peer group for theone-year period. The Board noted the short operating history of the Fund in evaluating the performance of the Adviser.
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Board Considerations Regarding Continuation of Investment Advisory Agreement andSub-Advisory Agreement(continued)
The Trustees reviewed information on the performance of Invesco Balanced Multi-Asset Allocation ETF, its benchmark index (Custom Invesco Balanced Allocation ETF Index) and the Fund’s Lipper peer group ranking for theone-year and since-inception (February 23, 2017) periods ended December 31, 2018. Based on the information provided, the Board noted that the Fund outperformed its benchmark for theone-year and since-inception periods and that the Fund ranked in the 1st quartile of its Lipper peer group for theone-year period and in the 2nd quartile of its Lipper peer group for the since-inception period. The Board noted the short operating history of the Fund in evaluating the performance of the Adviser.
The Trustees reviewed information on the performance of Invesco Conservative Multi-Asset Allocation ETF, its benchmark index (Custom Invesco Conservative Allocation ETF Index) and the Fund’s Lipper peer group ranking for theone-year and since-inception (February 23, 2017) periods ended December 31, 2018. Based on the information provided, the Board noted that the Fund underperformed its benchmark for theone-year and since-inception periods and that the Fund ranked in the 1st quartile of its Lipper peer group for theone-year and since-inception periods. The Board noted the short operating history of the Fund in evaluating the performance of the Adviser.
The Trustees reviewed information on the performance of Invesco Growth Multi-Asset Allocation ETF, its benchmark index (Custom Invesco Growth Allocation ETF Index) and the Fund’s Lipper peer group ranking for theone-year and since-inception (February 23, 2017) periods ended December 31, 2018. Based on the information provided, the Board noted that the Fund outperformed its benchmark for theone-year and since-inception periods and that the Fund ranked in the 1st quartile of its Lipper peer group for the since-inception period and in the 2nd quartile of its Lipper peer group for theone-year period. The Board noted the short operating history of the Fund in evaluating the performance of the Adviser.
The Trustees reviewed information on the performance of Invesco Moderately Conservative Multi-Asset Allocation ETF, its benchmark index (Custom Invesco Moderately Conservative Allocation ETF Index) and the Fund’s Lipper peer group ranking for theone-year and since-inception (February 23, 2017) periods ended December 31, 2018. Based on the information provided, the Board noted that the Fund outperformed its benchmark for theone-year period but underperformed its benchmark for the since-inception period. The Board also noted that the Fund ranked in the 1st quartile of its Lipper peer group for the since-inception period and in the 2nd quartile of its Lipper peer group for theone-year period. The Board noted the short operating history of the Fund in evaluating the performance of the Adviser.
The Trustees reviewed information on the performance of Invesco Total Return Bond ETF, its benchmark index (Bloomberg Barclays U.S. Aggregate Bond Index) and the Fund’s Lipper peer group ranking for theone-year and since-inception (February 10, 2016) periods ended December 31, 2018. Based on the information provided, the Board noted that the Fund outperformed its benchmark for theone-year and since-inception periods and that the Fund ranked in the 1st quartile of its Lipper peer group for theone-year and since-inception periods. The Trustees considered that the Fund was created in connection with the purchase by Invesco of the exchange-traded funds business of Guggenheim Capital LLC (the “Transaction”) and that the Fund’s performance prior to the closing of the Transaction on April 6, 2018 is that of its predecessor Guggenheim ETF.
The Trustees also considered the services provided by the Adviser in its oversight of the Funds’ administrator, custodian and transfer agent and, for Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF and Invesco Variable Rate Investment Grade ETF, theirSub-Advisers. They noted the significant amount of time, effort and resources that had been devoted to this oversight function. They also noted that, unlike most of the other exchange-traded funds (“ETFs”) for which the Adviser serves as investment adviser, the Funds are not designed to track the performance of an index, and investment decisions are the primary responsibility of the Adviser orSub-Advisers, as applicable.
Based on their review, the Trustees concluded that the nature, extent and quality of services provided by the Adviser to the Funds under the Investment Advisory Agreement were appropriate and reasonable.
Fees, Expenses and Profitability. The Trustees reviewed and discussed the information provided by the Adviser on each Fund’s net expense ratio and unitary advisory fee, as compared to information compiled by the Adviser from Lipper databases on the net expense ratios of comparableopen-end(non-ETF) actively-managed funds, comparableopen-end(non-ETF) index funds for Invesco Active U.S. Real Estate ETF, Invesco Total Return Bond ETF and Invesco S&P 500® Downside Hedged ETF and comparable ETFs for Invesco Total Return Bond ETF, Invesco S&P 500® Downside Hedged ETF and Invesco Variable Rate Investment Grade ETF. The Trustees noted that the annual advisory fee charged to each Fund, as set forth below, is a unitary advisory fee and that the Adviser pays all other operating expenses of each Fund, including the fees payable to theSub-Advisers, except that each Fund pays its brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses (including Acquired Fund Fees and Expenses, if any).
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Board Considerations Regarding Continuation of Investment Advisory Agreement andSub-Advisory Agreement(continued)
0.05% | Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF and Invesco Moderately Conservative Multi-Asset Allocation ETF | |
0.30%: | Invesco Variable Rate Investment Grade ETF | |
0.35% | Invesco Active U.S. Real Estate ETF | |
0.39%: | Invesco S&P 500® Downside Hedged ETF | |
0.50% | Invesco Total Return Bond ETF |
The Trustees also noted that the Adviser represented that it does not serve as the investment adviser to any clients, other than other ETFs also overseen by the Trustees, with comparable investment strategies as the Funds, but that it providessub-advisory services to other clients. The Trustees noted that:
● | the net expense ratio of Invesco Active U.S. Real Estate ETF was higher than the median net expense ratio of itsopen-end index peer funds,but was lower than the median net expense ratio of itsopen-end actively-managed peer funds; |
● | the net expense ratio of Invesco S&P 500® Downside Hedged ETF was lower than the median net expense ratios of its ETF peer fund,open-end index peer fund and itsopen-end actively-managed peer funds; |
● | the net expense ratio of Invesco Variable Rate Investment Grade ETF was higher than the median net expense ratio of its ETF peer funds,but was lower than the median net expense ratio of itsopen-end actively-managed peer funds; |
● | the net expense ratios of Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF and Invesco Moderately Conservative Multi-Asset Allocation ETF were lower than the median net expense ratios of theiropen-end actively-managed peer funds; and |
● | the net expense ratio of Invesco Total Return Bond ETF was higher than the median net expense ratios of its ETF peer fund and itsopen-end index peer funds,but was lower than the median net expense ratio of itsopen-end actively managed peer funds. |
The Board concluded that the unitary advisory fee charged to each Fund was reasonable and appropriate in light of the services provided.
In conjunction with their review of the unitary advisory fees, the Trustees considered information provided by the Adviser on the revenues received by the Adviser under the Investment Advisory Agreement for the Funds. The Trustees reviewed information provided by the Adviser on its overall profitability, as well as the estimated profitability to the Adviser from its relationship to each Fund. The Trustees concluded that the overall and estimated profitability to the Adviser was not unreasonable.
Economies of Scale and Whether Fee Levels Reflect These Economies of Scale. The Trustees reviewed the information provided by the Adviser as to the extent to which economies of scale may be realized as each Fund grows and whether fee levels reflect economies of scale for the benefit of shareholders. The Trustees reviewed each Fund’s asset size and unitary advisory fee. The Trustees noted that any reduction in fixed costs associated with the management of the Funds would be enjoyed by the Adviser, but a unitary advisory fee provides a level of certainty in expenses for the Funds. The Trustees considered whether the unitary advisory fee rate for each Fund was reasonable in relation to the asset size of that Fund, and concluded that the unitary advisory fee was reasonable and appropriate.
The Trustees noted that the Adviser had not identified any further benefits that it derived from its relationships with the Funds and had noted that it does not have any soft-dollar arrangements.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined to approve the continuation of the Investment Advisory Agreement for each Fund. No single factor was determinative in the Board’s analysis.
InvestmentSub-Advisory Agreement
As noted above, the Board of Trustees of the Trust, including the Independent Trustees, approved the continuation of theSub-Advisory Agreement for each of Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF and Invesco Variable Rate Investment Grade ETF at a meeting held on April 11, 2019. The review process followed by the Board is described in detail above. In connection with the review of theSub-Advisory Agreement, the Board considered the factors described below, among others.
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Board Considerations Regarding Continuation of Investment Advisory Agreement andSub-Advisory Agreement(continued)
Nature, Extent and Quality of Services.The Trustees considered the nature, extent and quality of services provided under theSub-Advisory Agreement. The Board also considered the benefits described by the Adviser in having multiple affiliatedSub-Advisers. The Board reviewed the qualifications and background of eachSub-Adviser, the investment approach of theSub-Adviser whose investment personnel manage Invesco Active U.S. Real Estate ETF’s, Invesco Balanced Multi-Asset Allocation ETF’s, Invesco Conservative Multi-Asset Allocation ETF’s, Invesco Growth Multi-Asset Allocation ETF’s, Invesco Moderately Conservative Multi-Asset Allocation ETF’s, Invesco Total Return Bond ETF’s and Invesco Variable Rate Investment Grade ETF’s assets, the experience and skills of the investment personnel responsible for theday-to-day management of each Fund, and the resources made available to such personnel.
Based on their review, the Trustees concluded that the nature, extent and quality of services provided by theSub-Advisers to Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF and Invesco Variable Rate Investment Grade ETF under theSub-Advisory Agreement were appropriate and reasonable.
Fees, Expenses and Profitability.The Trustees reviewed and discussed the information provided by the Adviser and theSub-Advisers on thesub-advisory fee rate under theSub-Advisory Agreement. The Trustees noted that thesub-advisory fees charged by theSub-Advisers under theSub-Advisory Agreement are consistent with the compensation structure used throughout Invesco when Invesco’s affiliates providesub-advisory services for funds managed by other Invesco affiliates. The Board considered how thesub-advisory fees relate to the overall advisory fee for each of Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF and Invesco Variable Rate Investment Grade ETF and noted that the Adviser compensates theSub-Advisers from its fee.
The Trustees also reviewed the financial statements provided by Invesco Advisers, Inc. and noted the net income generated by the firm. The Trustees noted that the Adviser compensates theSub-Adviser from its fee and that the Adviser provided profitability information with respect to Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF and Invesco Variable Rate Investment Grade ETF.
Economies of Scale and Whether Fee Levels Reflect These Economies of Scale. As part of their review of the Investment Advisory Agreement for Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF and Invesco Variable Rate Investment Grade ETF, the Trustees considered the extent to which economies of scale may be realized as the Funds grow and whether fee levels reflect economies of scale for the benefit of shareholders. The Trustees considered whether thesub-advisory fee rate for Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF and Invesco Variable Rate Investment Grade ETF was reasonable in relation to the asset size of the Funds, and concluded that the flatsub-advisory fee was reasonable and appropriate.
The Trustees noted that theSub-Advisers had not identified any further benefits that they derived from their relationships with Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF and Invesco Variable Rate Investment Grade ETF, except that Invesco Advisers, Inc. noted that it receives management fees from money market funds into which the Funds’ excess cash may be invested. The Trustees noted that the Adviser waives its fees on assets invested under such arrangement in amounts equal to fees received by Invesco Advisers, Inc. on the Funds’ assets invested in the money market funds.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined to approve the continuation of theSub-Advisory Agreement for Invesco Active U.S. Real Estate ETF, Invesco Balanced Multi-Asset Allocation ETF, Invesco Conservative Multi-Asset Allocation ETF, Invesco Growth Multi-Asset Allocation ETF, Invesco Moderately Conservative Multi-Asset Allocation ETF, Invesco Total Return Bond ETF and Invesco Variable Rate Investment Grade ETF. No single factor was determinative in the Board’s analysis.
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Board Considerations Regarding Continuation of Investment Advisory Agreement andSub-Advisory Agreement(continued)
At a meeting held on April 11, 2019, the Board of Trustees of the Invesco Actively Managed Exchange-Traded Fund Trust (the “Trust”), including the Independent Trustees, approved the continuation of the Investment Advisory Agreement between Invesco Capital Management LLC (the “Adviser”) and the Trust on behalf of Invesco Ultra Short Duration ETF (the “Fund”) and the InvestmentSub-Advisory Agreement between the Adviser and the following seven affiliatedsub-advisers for the Fund (the“Sub-Advisory Agreement”): Invesco Advisers, Inc.; Invesco Asset Management Deutschland, GmbH; Invesco Asset Management Limited; Invesco Asset Management (Japan) Limited; Invesco Hong Kong Limited; Invesco Senior Secured Management, Inc.; and Invesco Canada Ltd. (each, a“Sub-Adviser” and collectively, the“Sub-Advisers”).
Investment Advisory Agreement
The Trustees reviewed information from the Adviser describing: (i) the nature, extent and quality of services provided, (ii) the investment performance of the Fund and the Adviser, (iii) the fees paid by the Fund and comparisons to amounts paid by other comparable registered investment companies, (iv) the costs of services provided and estimated profits realized by the Adviser, (v) the extent to which economies of scale may be realized as the Fund grows and whether fee levels reflect any possible economies of scale for the benefit of Fund shareholders, and (vi) any further benefits realized by the Adviser from its relationship with the Fund.
Nature, Extent and Quality of Services. In evaluating the nature, extent and quality of the Adviser’s services, the Trustees reviewed information concerning the functions performed by the Adviser for the Fund, information describing the Adviser’s current organization and staffing, including operational support provided by the Adviser’s parent organization, Invesco Ltd. (“Invesco”), and the background and experience of the persons responsible for theday-to-day management of the Fund. The Trustees reviewed matters related to the Adviser’s execution and/or oversight of execution of portfolio transactions on behalf of the Fund.
The Trustees reviewed information on the performance of the Fund, each of its benchmark indexes (ICE BofAML US Treasury Bill Index and Bloomberg Barclays1-3 Month U.S. Treasury Bill Index) and the Fund’s Lipper Inc. (“Lipper”) peer group rankings (the 1st quartile being the best performers and the 4th quartile being the worst performers) for theone-year, three-year, five-year and since-inception (February 12, 2008) periods ended December 31, 2018. Based on the information provided, the Board noted that the Fund outperformed each benchmark for theone-year, three-year, five-year and since-inception periods. The Board also noted that the Fund ranked in the 1st quartile of its Lipper peer group for theone-year, three-year and five-year periods and in the 3rd quartile of its Lipper peer group for the since-inception period. The Trustees considered that the Fund was created in connection with the purchase by Invesco of the exchange-traded funds business of Guggenheim Capital LLC (the “Transaction”) and that the Fund’s performance prior to the closing of the Transaction on April 6, 2018 is that of its predecessor Guggenheim ETF.
The Trustees also considered the services provided by the Adviser in its oversight of the Fund’s administrator, custodian and transfer agent and theSub-Advisers. They noted the significant amount of time, effort and resources that had been devoted to this oversight function. They also noted that, unlike most of the other exchange-traded funds (“ETFs”) for which the Adviser serves as investment adviser, the Fund is not designed to track the performance of an index, and investment decisions are the primary responsibility of theSub-Advisers.
Based on their review, the Trustees concluded that the nature, extent and quality of services provided by the Adviser to the Fund under the Investment Advisory Agreement were appropriate and reasonable.
Fees, Expenses and Profitability. The Trustees reviewed and discussed the information provided by the Adviser on the Fund’s contractual advisory fee, net advisory fee, and gross and net expense ratios. The Trustees also compared the Fund’s contractual advisory fee and net expense ratio to information compiled by the Adviser from Lipper databases on the net advisory fees and net expense ratios of comparable exchange-traded funds (“ETFs”) andopen-end(non-ETF) actively-managed funds. The information compiled by the Adviser from Lipper Inc. databases indicated that the Fund did not haveopen-end(non-ETF) index peer funds. The Trustees noted that the annual contractual advisory fee charged to the Fund is 0.20%. The Trustees also noted that the Adviser has agreed to waive a portion of its contractual advisory fee and/or pay expenses (an “Expense Cap”) to the extent necessary to prevent the annual operating expenses of the Fund from exceeding 0.27% of the Fund’s average daily net assets, until at least August 31, 2021.
The Trustees noted that the Adviser represented that it does not serve as the investment adviser to any clients, other than other ETFs also overseen by the Trustees, with comparable investment strategies as the Fund, but that it providessub-advisory services to other clients. The Trustees noted that the contractual advisory fee for the Fund was higher than the median net advisory fees of its ETF peer funds, but was lower than the median net advisory fees of itsopen-end actively-managed peer funds. The Trustees determined that the contractual advisory fee was reasonable, noting the distinguishing factors of the Fund and the administrative, operational and
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Board Considerations Regarding Continuation of Investment Advisory Agreement andSub-Advisory Agreement(continued)
management oversight costs for the Adviser. The Trustees noted that the net expense ratio for the Fund was equal to the median net expense ratio of its ETF peer funds and lower than the median net expense ratio of itsopen-end actively-managed peer funds.
The Board concluded that the advisory fee and expense ratio of the Fund were reasonable and appropriate in light of the services provided.
In conjunction with their review of fees, the Trustees considered information provided by the Adviser on the revenues received by the Adviser under the Investment Advisory Agreement for the Fund. The Trustees reviewed information provided by the Adviser on its overall profitability, as well as the estimated profitability to the Adviser from its relationship to the Fund. The Trustees concluded that the overall and estimated profitability to the Adviser was not unreasonable.
Economies of Scale and Whether Fee Levels Reflect These Economies of Scale. The Trustees reviewed the information provided by the Adviser as to the extent to which economies of scale may be realized as the Fund grows and whether fee levels reflect economies of scale for the benefit of shareholders. The Trustees reviewed the Fund’s asset size, advisory fee, expense ratio and Expense Cap agreed to by the Adviser. The Trustees also noted that the Amended and Restated Excess Expense Agreement with the Trust provides that the Adviser is entitled to be reimbursed by the Fund for fees waived or expenses absorbed pursuant to the Expense Cap for a period of three years from the date the fee or expense was incurred, provided that no reimbursement would be made that would result in the Fund exceeding its Expense Cap then in effect or in effect at the time the fees and/or expenses subject to reimbursement were waived and/or borne by the Adviser. The Trustees considered whether the advisory fee rate for the Fund was reasonable in relation to the asset size of the Fund, and concluded that the flat advisory fee was reasonable and appropriate.
The Trustees noted that the Adviser had not identified any further benefits that it derived from its relationship with the Fund and had noted that it does not have any soft-dollar arrangements.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined to approve the continuation of the Investment Advisory Agreement for the Fund. No single factor was determinative in the Board’s analysis.
InvestmentSub-Advisory Agreement
As noted above, the Board of Trustees of the Trust, including the Independent Trustees, approved the continuation of theSub-Advisory Agreement for the Fund at a meeting held on April 11, 2019. The review process followed by the Board is described in detail above. In connection with the review of theSub-Advisory Agreement, the Board considered the factors described below, among others.
Nature, Extent and Quality of Services.The Trustees considered the nature, extent and quality of services provided under theSub-Advisory Agreement. The Board also considered the benefits described by the Adviser in having multiple affiliatedSub-Advisers. The Board reviewed the qualifications and background of eachSub-Adviser, the investment approach of theSub-Adviser whose investment personnel manage the Fund’s assets, the experience and skills of the investment personnel responsible for theday-to-day management of the Fund, and the resources made available to such personnel.
Based on their review, the Trustees concluded that the nature, extent and quality of services provided by theSub-Advisers to the Fund under theSub-Advisory Agreement were appropriate and reasonable.
Fees, Expenses and Profitability.The Trustees reviewed and discussed the information provided by the Adviser and theSub-Advisers on thesub-advisory fee rate under theSub-Advisory Agreement. The Trustees noted that thesub-advisory fees charged by theSub-Advisers under theSub-Advisory Agreement are consistent with the compensation structure used throughout Invesco when Invesco’s affiliates providesub-advisory services for funds managed by other Invesco affiliates. The Board considered how thesub-advisory fees relate to the overall advisory fee for the Fund and noted that the Adviser compensates theSub-Advisers from its fee.
The Trustees also reviewed the financial statements provided by Invesco Advisers, Inc. and noted the net income generated by the firm. The Trustees noted that the Adviser compensates theSub-Adviser from its fee and that the Adviser provided profitability information with respect to the Fund.
Economies of Scale and Whether Fee Levels Reflect These Economies of Scale. As part of their review of the Investment Advisory Agreement for the Fund, the Trustees considered the extent to which economies of scale may be realized as the Fund grows and whether fee levels reflect economies of scale for the benefit of shareholders. The Trustees considered whether thesub-advisory fee rate for the Fund was reasonable in relation to the asset size of the Fund, and concluded that the flatsub-advisory fee was reasonable and appropriate.
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Board Considerations Regarding Continuation of Investment Advisory Agreement andSub-Advisory Agreement(continued)
The Trustees noted that theSub-Advisers had not identified any further benefits that they derived from their relationships with the Fund, except that Invesco Advisers, Inc. noted that it receives management fees from money market funds into which the Fund’s excess cash may be invested. The Trustees noted that the Adviser waives its fees on assets invested under such arrangement in amounts equal to fees received by Invesco Advisers, Inc. on the Fund’s assets invested in the money market funds.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined to approve the continuation of theSub-Advisory Agreement for the Fund. No single factor was determinative in the Board’s analysis.
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Proxy Voting Policies and Procedures
A description of the Trust’s proxy voting policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available, without charge and upon request, by calling (800) 983-0903. This information is also available on the Securities and Exchange Commission’s (the “Commission”) website atwww.sec.gov.
Information regarding how each Fund voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is available, without charge and upon request, by (i) calling (800) 983-0903; or (ii) accessing the Trust’s Form N-PX on the Commission’s website atwww.sec.gov.
Quarterly Portfolios
The Trust files its complete schedule of portfolio holdings for the Funds with the Commission for the first and third quarters of each fiscal year on Form N-Q (or any successor Form). The Trust’s Forms N-Q will be (or any successor Form) are available on the Commission’s website atwww.sec.gov.
Frequency Distribution of Discounts and Premiums
A table showing the number of days the market price of each Fund’s shares was greater than the Fund’s net asset value, and the number of days it was less than the Fund’s net asset value (i.e., premium or discount) for the most recently completed calendar year, and the calendar quarters since that year end (or the life of the Fund, if shorter) may be found at the Fund’s websitewww.invesco.com/ETFs.
©2019 Invesco Capital Management LLC 3500 Lacey Road, Suite 700 Downers Grove, IL 60515 | P-PS-SAR-10 | invesco.com/ETFs |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
PricewaterhouseCoopers LLP (“PwC”) informed the Audit Committee (the “Audit Committee”) of the Registrant’s Board of Trustees (the “Board”) that it has identified an issue related to its independence under Rule2-01(c)(1)(ii)(A) of RegulationS-X (referred to as the “Loan Rule”). The Loan Rule prohibits accounting firms, such as PwC, from being deemed independent if they have certain financial relationships with their audit clients or certain affiliates of those clients. The Registrant is required under various securities laws to have its financial statements audited by an independent accounting firm.
The Loan Rule specifically provides that an accounting firm would not be independent if it receives a loan from a lender that is a record or beneficial owner of more than ten percent of an audit client’s equity securities. For purposes of the Loan Rule, audit clients include the Registrant as well as all registered investment companies advised by the Adviser and its affiliates, including other subsidiaries of the Adviser’s parent company, Invesco Ltd. (collectively, the “Invesco Fund Complex”). PwC informed the Audit Committee it has relationships with lenders who hold, as record owner, more than ten percent of the shares of certain funds within the Invesco Fund Complex. These relationships call into question PwC’s independence under the Loan Rule with respect to those funds, as well as all other funds in the Invesco Fund Complex.
On June 20, 2016, the SEC Staff issued a“no-action” letter to another mutual fund complex (see Fidelity Management & Research Company et al.,No-Action Letter) related to the audit independence issue described above. In that letter, the SEC confirmed that it would not recommend enforcement action against a fund that relied on audit services performed by an audit firm that was not in compliance with the Loan Rule in certain specified circumstances. On June 18, 2019, the SEC adopted amendments to the Loan Rule (the “Amendments”) addressing many of the issues that led to the issuance of theno-action letter. The Amendments will become effective and supersede theno-action letter 90 days after publication in the Federal Register.
In an August 18, 2016 letter, and in subsequent communications, PwC affirmed to the Audit Committee that, as of the date of the letter and the subsequent communications, respectively, PwC is an independent accountant with respect to the Registrant within the meaning of PCAOB Rule 3520. In its letter and in its subsequent communications, PwC also informed the Audit Committee that, after evaluating the facts and circumstances and the applicable independence rules, PwC has concluded that with regard to its compliance with the independence criteria set forth in the rules and regulations of the SEC related to the Loan Rule, it believes that it remains objective and impartial despite matters that may ultimately be determined to be inconsistent with these criteria and therefore it can continue to serve as the Registrant’s registered public accounting firm. PwC has advised the Audit Committee that this conclusion is based in part on the following considerations: (1) the lenders to PwC have no influence over any fund, or other entity within the Invesco Fund Complex, or its investment adviser; (2) none of the officers or trustees of the Invesco Fund Complex whose shares are owned by PwC lenders are associated with those lenders; (3) PwC understands that the shares held by PwC lenders are held for the benefit of and on behalf of its policy
owners/end investors; (4) investments in funds such as the Invesco Fund Complex funds are passive; (5) the PwC lenders are part of various syndicates of unrelated lenders; (6) there have been no changes to the loans in question since the origination of each respective note; (7) the debts are in good standing and no lender has the right to take action against PwC, as borrower, in connection with the financings; (8) the debt balances with each lender are immaterial to PwC and to each lender; and (9) the PwC audit engagement team has no involvement in PwC’s treasury function and PwC’s treasury function has no oversight of or ability to influence the PwC audit engagement team. In addition, PwC has communicated that the lending relationships appear to be consistent with the lending relationships described in theno-action letter and that they are not aware of other relationships that would be implicated by the Loan Rule. In addition to relying on PwC’s August 18, 2016 letter and subsequent communications regarding its independence, the Registrant intends to rely upon theno-action letter.
If in the future the independence of PwC is called into question under the Loan Rule by circumstances that are not addressed in the SEC’sno-action letter, the Registrant may need to take other action in order for the Registrant’s filings with the SEC containing financial statements to be deemed compliant with applicable securities laws. Such additional actions could result in additional costs, impair the ability of the Registrant to issue new shares or have other material adverse effects on the Registrant. The SECno-action relief was initially set to expire 18 months from issuance, but has been extended by the SEC without an expiration date, except that theno-action letter will be withdrawn upon the effectiveness of the Amendments..
During the reporting period, PwC advised the Registrant’s Audit Committee of the following matter for consideration under the SEC’s independence rules. PwC advised the Audit Committee that a PwC Partner indirectly through her spouse’s equivalent brokerage account held a financial interest in an investment company within the Invesco Fund Complex that was inconsistent with the requirements ofRule 2-01(c)(1) of RegulationS-X. PwC noted, among other things, that during the time of its audit, the engagement team was not aware of the investment, the individual was not in the chain of command of the audit or the audit partners of Invesco or the affiliate of the Registrant, the individual did not provide any services to the Registrant and did not provide any consultation to the audit engagement team and the investment was not material to the net worth of the individual or her immediate family members which they considered in reaching their conclusion. PwC advised the Audit Committee that it believes its objectivity and impartiality has not been adversely affected by this matter as it relates to the audit of the Registrant.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) | The Schedules of Investments are included as a part of the report to shareholders filed under Item 1 of this FormN-CSR. |
(b) | Not applicable |
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that would require disclosure herein.
Item 11. Controls and Procedures.
(a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report, the Registrant’s President (principal executive officer) and Treasurer (principal financial officer) have concluded that such disclosure controls and procedures are effective. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the Investment Company Act of 1940) that occurred during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure | of Securities Lending Activities forClosed-End Management Investment Companies. |
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable | |
(a)(2) | Certifications of the Registrant’s President and Treasurer pursuant to Rule30a-2(a) under the Investment Company Act of 1940 and Section 302 of the Sarbanes-Oxley Act of 2002 are attached as Exhibit 99.CERT. | |
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | Certifications of the Registrant’s President and Treasurer pursuant to Rule30a-2(b) under the Investment Company Act of 1940 and Section 906 of the Sarbanes-Oxley Act of 2002 are attached as Exhibit 99.906CERT |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Invesco Actively Managed Exchange-Traded Fund Trust
By: /s/ Daniel E. Draper
Name: Daniel E. Draper
Title: President
Date: July 8, 2019
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Daniel E. Draper
Name: Daniel E. Draper
Title: President
Date: July 8, 2019
By: /s/ Kelli Gallegos
Name: Kelli Gallegos
Title: Treasurer
Date: July 8, 2019