Fund Overview
The Guggenheim ABC High Dividend ETF, NYSE Arca ticker: ABCS
(the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the BNY Mellon ABC Index (the “Index”).
The Index is a rules-based index comprised of, as of August 31, 2012, 30 securities, including common stocks and U.S. exchange-listed American depositary receipts (“ADRs”) of companies from Australia and Brazil and locally-listed companies in Australia and Canada, as defined by Bank of New York Mellon (the “Index Provider”). The depositary receipts included in the Index are sponsored. The Index constituent selection process selects the top ten stocks or ADRs with the highest yield from each country.
The Fund will invest at least 80% of its total assets in common stocks and ADRs that comprise the Index and depositary receipts representing common stocks included in the Index (or underlying securities representing ADRs included in the Index). The Investment Adviser seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended August 31, 2012.
On a market price basis, the Fund generated a total return of -12.40%, which included a decrease in market price over the period to $18.84 as of August 31, 2012, from $22.72 as of August 31, 2011. On an NAV basis, the Fund generated a total return of -12.10%, which included a decrease in NAV over the period to $18.89 as of August 31, 2012, from $22.70 as of August 31, 2011. At the end of the period, the Fund’s shares were trading at a market price discount to NAV, which is to be expected from time to time.
For underlying index and international market comparison purposes, the Index returned -11.82% and the MSCI All Country World Ex-US Index returned -1.92% for the 12-month period ended August 31, 2012.
The Fund pays distributions quarterly on the last business day of each calendar quarter to shareholders of record two business days earlier. The following distributions per share were paid during the 12-month period ended August 31, 2012:
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Payable Date
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Amount
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September 30, 2011
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$0.3810
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December 30, 2011
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$0.1900
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March 30, 2012
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$0.1820
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June 29, 2012
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$0.3180
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Performance Attribution
For the 12-month period ended August 31, 2012, the utilities sector contributed most significantly to the Fund’s return, followed by the consumer, non-cyclical sector. The communications and basic materials sectors detracted most significantly from the Fund’s return.
Positions that contributed most significantly to the Fund’s return included Ultrapar Participacoes SA, ADR, a Brazilian holding company involved in fuel distribution, chemicals and logistics; Cia Energetica de Minas Gerais, ADR, a Brazilian holding company engaged in the generation, transmission and distribution of electricity; and Cia de Bebidas das Americas, ADR, a Brazilian beverage company (6.6%, 6.1% and 10.4%, respectively, of the Fund’s long-term investments at period end). Positions that detracted most significantly from the Fund’s return included Cia Siderugica Nacional SA, ADR, which primarily operates as an integrated steel producer in Brazil and Latin America; Telefonica Brasil SA, ADR, a telecommunications company which provides services for fixed and mobile telephony, data transmission and VAS, pay TV, among others, and is part of the Telefonica Group, a communication conglomerate with presence in multiple countries; and Vale SA, ADR, a Brazilian metals and mining company (3.6%, 5.1% and 10.1%, respectively, of the Fund’s long-term investments at period end).
6 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
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August 31, 2012
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FAA
Guggenheim Airline ETF
Fund Overview
The Guggenheim Airline ETF, NYSE Arca ticker: FAA
(the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the NYSE Arca Global Airline Index (the “Index”).
The Index is a modified equal-dollar weighted index designed to measure the performance of highly capitalized and liquid U.S. and international passenger airline companies identified as being in the airline industry and listed on developed and emerging global market exchanges. Archipelago Holdings Inc. (“Arca” or the “Index Provider”), an affiliate of NYSE Euronext, Inc., defines “developed markets” as countries with western-style legal systems, transparent financial rules for financial reporting, and sophisticated, liquid and accessible stock exchanges with readily-exchangeable currencies. The Fund will invest at least 80% of its total assets in common stock, American depositary receipts (“ADRs”) and global depositary receipts (“GDRs”) that comprise the Index and depositary receipts representing common stocks included in the Index (or underlying securities representing ADRs and GDRs included in the Index). The Investment Adviser seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended August 31, 2012.
On a market price basis, the Fund generated a total return of 0.13%, which included a decrease in market price over the period to $28.24 as of August 31, 2012, from $28.53 as of August 31, 2011. On an NAV basis, the Fund generated a total return of 0.20%, which included a decrease in NAV over the period to $28.23 as of August 31, 2012, from $28.50 as of August 31, 2011. At the end of the period the Fund’s shares were trading at a market price premium to NAV, which is to be expected from time to time.
For underlying index and broad global market comparison purposes, the Index returned 1.70% and the MSCI World Index returned 8.12% for the same period.
The Fund made an annual income distribution of $0.3050 per share on December 30, 2011, to shareholders of record on December 28, 2011.
Performance Attribution
All of the Fund’s holdings are classified in the consumer cyclical sector, which had a positive return, contributing to the Fund’s return for the 12-month period ended August 31, 2012. Positions that contributed most significantly to return included Delta Air Lines, Inc., which provides scheduled air transportation for passengers and cargo throughout the United States and around the world; US Airways Group, Inc., which provides airline service under names including US Airways, Piedmont and PSA Airlines from hubs in Charlotte, Philadelphia and Phoenix; and Hawaiian Holdings, Inc., which provides air transportation of passengers, cargo, and mail among the islands of Hawaii and between Hawaii and several West Coast gateway cities and destinations in the South Pacific (15.0%, 3.1% and 3.1%, respectively, of the Fund’s long-term investments at period end). Positions that detracted most significantly from the Fund’s return included AMR Corp., parent of American Airlines, which provides airline service in North America, the Caribbean, Latin America, Europe and Asia (not held in the portfolio at period end); All Nippon Airways Co., Ltd., which provides a variety of air transportation-related services, including air passenger and air courier services, the sale of aircraft parts, travel arrangements and reservation services, and hotel operations (4.5% of the Fund’s long-term investments at period end); and SAS AB, the flag airline carrier of Denmark, Norway and Sweden, and the largest airline in Scandinavia (not held in the portfolio at period end).
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 7
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MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued
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August 31, 2012
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YAO
Guggenheim China All-Cap ETF
Fund Overview
The Guggenheim China All-Cap ETF, NYSE Arca ticker: YAO
(the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the AlphaShares China All Cap Index (the “Index”).
The Index is designed to measure and monitor the performance of the investable universe of publicly-traded companies based in mainland China. The Index was created by AlphaShares, LLC (“AlphaShares”) and is maintained by Standard & Poor’s. The Index includes equity securities of companies of all capitalizations, as defined by AlphaShares, subject to certain minimum capitalization requirements. The Fund will invest at least 80% of its total assets in common stock, American depositary receipts (“ADRs”), American depositary shares (“ADSs”), global depositary receipts (“GDRs”) and international depositary receipts (“IDRs”) that comprise the Index and depositary receipts or shares representing common stocks included in the Index (or underlying securities representing ADRs, ADSs, GDRs and IDRs included in the Index). The Investment Adviser seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended August 31, 2012.
On a market price basis, the Fund generated a total return of -10.84%, which included a decrease in market price over the period to $21.76 as of August 31, 2012, from $25.07 as of August 31, 2011. On an NAV basis, the Fund generated a total return of -11.17%, which included a decrease in NAV over the period to $21.66 as of August 31, 2012, from $25.04 as of August 31, 2011. At the end of the period, the Fund’s shares were trading at a market price premium to NAV, which is to be expected from time to time.
For underlying index and Chinese market comparison purposes, the Index returned -10.57% and the MSCI China Index returned -8.25% for the same period.
The Fund made an annual income distribution of $0.5800 per share on December 30, 2011, to shareholders of record on December 28, 2011.
Performance Attribution
For the 12-month period ended August 31, 2012, the utilities sector made the strongest contribution to the Fund’s return. The financial sector detracted most significantly from the Fund’s return.
Positions that contributed most significantly to the Fund’s return included Tencent Holdings, Ltd., which provides internet, mobile, and telecommunication value-added services in China; Want Want China Holdings, Ltd., which manufactures and trades rice crackers, snack food, beverages, and packing materials; and China Mobile Ltd., a provider of cellular telecommunications and related services in the People’s Republic of China and Hong Kong (5.7%, 1.5% and 5.7%, respectively, of the Fund’s long-term investments at period end). Positions that detracted most significantly from the Fund’s return included Baidu, Inc., ADR, a Chinese-language Internet search provider; Ctrip.com International Ltd., ADR, a travel service provider for hotel accommodations, airline tickets and packaged tours in China; and SINA Corp., an online media company that offers services in the People’s Republic of China and global Chinese communities (4.7%, 0.4% and 0.7%, respectively, of the Fund’s long-term investments at period end).
8 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
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MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued
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August 31, 2012
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CQQQ
Guggenheim China Technology ETF
Fund Overview
The Guggenheim China Technology ETF, NYSE Arca ticker: CQQQ
(the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the AlphaShares China Technology Index (the “Index”).
The Index is designed to measure and monitor the performance of the universe of publicly-traded companies which are based in mainland China, Hong Kong or Macau, are in the Information Technology Sector, as defined by Standard & Poor’s Global Industry Classification Standard, and are open to foreign investment. The Index was created by AlphaShares, LLC (“AlphaShares”) and is maintained by Standard & Poor’s. The Index includes equity securities of companies of all categories of market capitalizations, as defined by AlphaShares (subject to certain minimum capitalization requirements.)
The Index may include Hong Kong-listed securities, including China H-shares and Red Chips. China H-shares are issued by companies incorporated in mainland China and listed on the Hong Kong Stock Exchange. Red Chip shares are issued by companies with controlling Chinese shareholders that are incorporated outside mainland China and listed on the Hong Kong Stock Exchange. The Index may also include N-Shares, which are issued by companies based in mainland China and listed on the NYSE Arca, Inc. or NASDAQ Stock Market. The Index will not include China A-Shares (which are subject to substantial restrictions on foreign investment) or China B-Shares (which offer a generally smaller market and limited liquidity), each of which trade on the Shanghai Stock Exchange and the Shenzhen Stock Exchange.
The Fund will invest at least 80% of its total assets in common stock, American depositary receipts (“ADRs”), American depositary shares (“ADSs”), global depositary receipts (“GDRs”) and international depositary receipts (“IDRs”) that comprise the Index and depositary receipts or shares representing common stocks included in the Index (or underlying securities representing ADRs, ADSs, GDRs and IDRs included in the Index).
The Investment Adviser seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended August 31, 2012.
On a market price basis, the Fund generated a total return of -19.78%, which included a decrease in market price over the period to $19.96 as of August 31, 2012, from $25.57 as of August 31, 2011. On an NAV basis, the Fund generated a total return of -19.10%, which included a decrease in NAV over the period to $20.03 as of August 31, 2012, from $25.44 as of August 31, 2011. At the end of the period, the Fund’s shares were trading at a market price discount to NAV, which is to be expected from time to time.
For underlying index and broad Chinese market comparison purposes, the Index returned -18.91% and the MSCI China Index returned -8.25% for the same period.
The Fund made an annual income distribution of $0.5650 per share on December 31, 2011, to shareholders of record on December 28, 2011.
Performance Attribution
For the 12-month period ended August 31, 2012, all sectors detracted from return; communications detracted most, while consumer cyclical detracted least. Positions that contributed most significantly to the Fund’s return included Tencent Holdings Ltd., which provides internet, mobile, and telecommunication value-added services in China (10.2% of the Fund’s long-term investments at period end); Alibaba.com Ltd., a provider of software, technology and other services to the online business-to-business marketplace (not held in the portfolio at period end); and AAC Technologies Holdings, Inc., which designs and manufactures miniature acoustic components (4.7% of the Fund’s long-term investments at period end). Positions that detracted most significantly from the Fund’s return included SINA Corp., an online media company; Sohu.com, Inc., a Chinese online media, search, gaming, community and mobile service group; and Baidu, Inc., ADR, a Chinese-language Internet search provider (6.9%, 3.8% and 10.1%, respectively, of the Fund’s long-term investments at period end).
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 9
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MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued
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August 31, 2012
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TAN
Guggenheim Solar ETF
Fund Overview
The Guggenheim Solar ETF, NYSE Arca ticker: TAN
(the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the MAC Global Solar Energy Index (the “Index”).
The Index is comprised of approximately 24 securities selected based on the relative importance of solar power within the company’s business model, as determined by MAC Indexing LLC (the “Index Provider”). As of August 31, 2012, the market capitalization of securities included in the Index ranged from approximately $71 million to $1.2 billion. The Index is designed to track companies within the following business segments of the solar energy industry: companies that produce solar power equipment and products for end-users; companies that produce fabrication products (such as the equipment used by solar cell and module producers to manufacture solar power equipment) or services (such as companies specializing in the solar cell manufacturing or the provision of consulting services to solar cell and module producers) for solar power equipment producers; companies that supply raw materials or components to solar power equipment producers or integrators; companies that derive a significant portion of their business (as defined in the Fund prospectus under “Index Methodology”) from solar power system sales, distribution, installation, integration or financing; and companies that specialize in selling electricity derived from solar power. The Index is generally comprised of equity securities, including American depositary receipts (“ADRs”) and global depositary receipts (“GDRs”), traded in developed markets, as defined by the Index Provider. While the equity securities comprising the Index are traded in developed markets, the issuers of such securities may be located in emerging markets. Emerging market countries are countries that major international financial institutions, such as the World Bank, generally consider to be less economically mature than developed nations. The Fund will invest at least 90% of its total assets in common stock, ADRs and GDRs that comprise the Index and depositary receipts representing common stocks included in the Index (or underlying securities representing ADRs and GDRs included in the Index).
The Investment Adviser seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. On
February 15, 2012, the Fund executed a 1-for-10 reverse split of the shares with the number of shares outstanding declining by a factor of 10 and the market price of the Fund’s shares increasing by a factor of 10. The total market value of the positions held by shareholders was not affected by the reverse split. Share prices cited have been adjusted to reflect this split. This report discusses the annual fiscal period ended August 31, 2012.
On a market price basis, the Fund generated a total return of -66.78%, which included a decrease in market price over the period to $16.71 as of August 31, 2012, from $54.60 as of August 31, 2011. On an NAV basis, the Fund generated a total return of -66.93%, which included a decrease in NAV over the period to $16.74 as of August 31, 2012, from $54.90 as of August 31, 2011. At the end of the period, the Fund’s shares were trading at a market price discount to NAV, which is to be expected from time to time.
For underlying index and broad international market comparison purposes, the Index returned -69.06% and the MSCI World Index returned 8.12% for the same period.
The Fund made an annual income distribution of $2.110 per share on December 30, 2011, to shareholders of record on December 28, 2011. (The distribution amount has been adjusted to reflect the reverse stock split described above.)
Performance Attribution
The Fund’s holdings are in the basic materials, energy, industrial and technology sectors, all of which had negative returns for the 12-month period ended August 31, 2012, detracting from the Fund’s return. The technology sector detracted most and the basic materials sector detracted least.
Positions that contributed to the Fund’s return included Power-One, Inc., which designs and manufactures power conversion products including solar inverters (7.0% of the Fund’s long-term investments at period end); Conergy AG, a German manufacturer of products for solar power generation (2.7% of the Fund’s long-term investments at period end); and Roth & Rau AG, which manufactures equipment used to produce photovoltaics and to prepare surfaces in manufacturing processes (not held in the portfolio at period end). Positions that detracted most significantly from return included First Solar, Inc., a U.S.-based producer of solar modules and photovoltaic solar power systems; GCL-Poly Energy Holdings Ltd., a Hong Kong company that manufactures polysilicon and wafers for the solar industry and operates power plants; and Suntech Power Holdings Co. Ltd., ADR, which produces solar cells (11.5%, 7.4% and 2.2%, respectively, of the Fund’s long-term investments at period end).
10 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
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MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued
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August 31, 2012
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CGW
Guggenheim S&P Global Water Index ETF
Fund Overview
The Guggenheim S&P Global Water Index ETF, NYSE Arca ticker: CGW
(the “Fund”), seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the S&P Global Water Index (the “Index”).
The Index is comprised of approximately 50 equity securities selected, based on investment and other criteria, from a universe of companies listed on global developed market exchanges. Standard & Poor’s Financial Services LLC, a division of The McGraw-Hill Companies (“S&P”), generally defines “developed markets” as the capital markets of those countries with high levels of per capita income and strict market regulation resulting in greater transparency. The universe of companies includes all companies classified by Standard & Poor’s Global Industry Classifications as being associated (in a manner representing a major component of such companies’ business) with the global demand for water, including water utilities, infrastructure, equipment, instruments and materials. Total market capitalization and float-adjusted market capitalization of securities in the Index must be at least $250 million and $100 million, respectively, at the time of each reconstitution, which includes small-, mid-, and large-capitalization securities as defined by S&P. The companies in the universe are selected using criteria as identified by S&P.
The Fund will invest at least 90% of its total assets in common stock and American depositary receipts (“ADRs”) that comprise the Index and depositary receipts representing common stocks included in the Index (or underlying securities representing ADRs included in the Index). The Investment Adviser seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended August 31, 2012.
On a market price basis, the Fund generated a total return of 7.25%, which included an increase in market price over the period to $20.98 as of August 31, 2012, from $19.99 as of August 31, 2011. On an NAV basis, the Fund generated a total return of 7.23%, which included an increase in NAV over the period to $21.05 as of August 31, 2012, from $20.06 as of August 31, 2011. At
the end of the period, the Fund’s shares were trading at a market price discount to NAV, which is to be expected from time to time.
For underlying index, broad global market and global utilities market comparison purposes, the Index returned 7.82%, the MSCI World Index returned 8.12%, and the Dow Jones Global Utilities Index returned -3.69% for the same period.
The Fund made an annual income distribution of $0.4110 per share on December 30, 2011, to shareholders of record on December 28, 2011.
Performance Attribution
For the 12-month period ended August 31, 2012, the utilities sector contributed most significantly to the Fund’s return, and the basic materials sector was the only sector that detracted from to the Fund’s return. Positions that contributed most significantly to the Fund’s return included Cia de Saneamento Basico do Estado de Sao Paulo, ADR, which provides water and sewage services to in the State of Sao Paulo, Brazil; American Water Works Co., Inc., a water and wastewater utility company that provides services to 16 million people in 35 states and two Canadian provinces; and Severn Trent PLC, which supplies water, waste, and utility services throughout the United Kingdom, Europe, and the United States (5.3%, 7.1% and 7.2%, respectively, of the Fund’s long-term investments at period end). Positions that detracted most significantly from the Fund’s return included Veolia Environnement SA, a French provider of environmental management services; Suez Environnement Co., a French provider of water and waste removal services; and Kurita Water Industries Ltd., which manufactures, sells, and maintains water treatment equipment and systems (3.1%, 1.8% and 2.3%, respectively, of the Fund’s long-term investments at period end).
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 11
August 31, 2012
Risks and Other Considerations
The views expressed in this report reflect those of the portfolio managers and Guggenheim Funds Investment Advisors, LLC only through the report period as stated on the cover. These views are subject to change at any time, based on market and other conditions and should not be construed as a recommendation of any kind. The material may also contain forward looking statements that involve risk and uncertainty, and there is no guarantee they will come to pass.
This information does not represent an offer to sell securities of the Funds and it is not soliciting an offer to buy securities of the Funds. An investment in the various Guggenheim Funds ETFs is subject to certain risks and other considerations. Below are some general risks and considerations associated with investing in a Fund, which may cause you to lose money, including the entire principal that you invest. Please refer to the individual ETF prospectus for a more detailed discussion of Fund-specific risks and considerations.
Investment Risk:
An investment in a Fund is subject to investment risk, including the possible loss of the entire principal amount that you invest.
Equity Risk:
The value of the securities held by each Fund may fall due to general market and economic conditions, perceptions regarding the industries in which the issuers of securities held by each Fund participate, or factors relating to specific companies in which such Fund invests.
Foreign Investment Risk:
A Fund’s investments in non-U.S. issuers, may involve unique risks compared to investing in securities of U.S. issuers, including, among others, greater market volatility than U.S. securities and less complete financial information than for U.S. issuers. In addition, adverse political, economic or social developments could undermine the value of such Fund’s investments or prevent such Fund from realizing the full value of its investments. Financial reporting standards for companies based in foreign markets differ from those in the U.S. Finally, the value of the currency of the country in which a Fund has invested could decline relative to the value of the U.S. dollar, which may affect the value of the investment to U.S. investors. In addition, the underlying issuers of certain depositary receipts, particularly unsponsored or unregistered depositary receipts, are under no obligation to distribute shareholder communications to the holders of such receipts, or to pass through to them any voting rights with respect to the deposited securities.
Emerging Markets Risk:
Investment in securities of issuers based in developing or “emerging market” countries entails all of the risks of investing in securities of non-U.S. issuers, as previously described, but to a heightened degree.
Industry Risk:
To the extent that Funds focus their investments in a particular industry of group of related industries, the NAV of the Funds will be more susceptible to factors affecting that industry or sector. Accordingly, the Fund may be subject to more risks than if it were broadly diversified over numerous industries and sectors of the economy.
Micro-, Small- and Medium-Sized Company Risk:
Investing in securities of these companies involves greater risk as their stocks may be more volatile and less liquid than investing in more established companies. These stocks may have returns that vary, sometimes significantly, from the overall stock
market. Micro-cap companies may be newly formed, less developed and there may be less available information about the company.
Replication Management Risk:
The Funds are not “actively” managed. Therefore, a Fund would not necessarily sell a security because the security’s issuer was in financial trouble unless that stock is removed from such Fund’s Index.
Non-Correlation Risk:
A Fund’s return may not match the return of such Fund’s index for a number of reasons. For example, the Fund incurs a number of operating expenses not applicable to the Index, and incurs costs in buying and selling securities, especially when rebalancing the Fund’s securities holdings to reflect changes in the composition of the Index. A Fund may not be fully invested at times, either as a result of cash flows into such Fund or reserves of cash held by a Fund to meet redemptions and expenses. If a Fund utilizes a sampling approach or futures or other derivative positions, its return may not correlate as well with the return on the Index, as would be the case if it purchased all of the securities in the Index with the same weightings as the Index.
Issuer-Specific Changes:
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.
Non-Diversified Fund Risk:
Non-diversified Funds can invest a greater portion of assets in securities of individual issuers than a diversified fund. Changes in the market value of a single investment could cause greater fluctuations in share price than would occur in a diversified fund.
Concentration Risk.
If the Index concentrates in an industry or group of industries the Fund’s investments will be concentrated accordingly. In such event, the value of the Fund’s shares may rise and fall more than the value of shares of a fund that invests in securities of companies in a broader range of industries.
China Investment Risk (YAO and CQQQ):
Investing in securities of Chinese companies involves additional risks, including, but not limited to: the economy of China differs, often unfavorably, from the U.S. economy in such respects as structure, general development, government involvement, wealth distribution, rate of inflation, growth rate, allocation of resources and capital reinvestment, among others; the central government has historically exercised substantial control over virtually every sector of the Chinese economy through administrative regulation and/or state ownership; and actions of the Chinese central and local government authorities continue to have a substantial effect on economic conditions in China.
The Guggenheim ABC High Dividend ETF
is also subject to risks of investing in Australia and Canada including commodity exposure risk, geographic risk and trading partners risk. Commodity exposure risk is exposure related to any negative changes in the agricultural or mining industries which could therefore have an adverse impact on the Australian or Canadian economy, as applicable. Geographic risk is the risk that a natural disaster could occur in Australia or Canada, as applicable. Trading partners risk is due to the
12 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
August 31, 2012
Australian or Canadian economy, as applicable, being heavily dependent
upon trading with its key partners. Any reduction in this trading may cause
an adverse impact on the economy in which the Fund invests. The Fund is
also subject to certain risks of investing in Brazil. Brazil has experienced
substantial economic instability resulting from, among other things, periods
of very high inflation, persistent structural public sector deficits and
significant devaluations of the currency of Brazil, and leading also to a high
degree of price volatility in both the Brazilian equity and foreign currency
markets. Brazilian companies may also be adversely affected by high interest
and unemployment rates, and are particularly sensitive to fluctuations in
commodity prices.
Recent Market Developments Risk.
Global and domestic financial markets
have experienced periods of unprecedented turmoil. Recently, markets have
witnessed more stabilized economic activity as expectations for an
economic recovery increased. However, risks to a robust resumption of
growth persist. Continuing uncertainty as to the status of the euro and the
European Monetary Union has created significant volatility in currency and
financial markets generally. A return to unfavorable economic conditions
or sustained economic slowdown could adversely impact the Funds’
portfolios. Financial market conditions, as well as various social and
political tensions in the US and around the world, have contributed to
increased market volatility and may have long-term effects on the US and
worldwide financial markets and cause further economic uncertainties or
deterioration in the US and worldwide. The Investment Adviser does not
know how long the financial markets will continue to be affected by these
events and cannot predict the effects of these or similar events in the future
on the U.S. and global economies and securities markets.
There is no assurance that the requirements of the NYSE Arca necessary to
maintain the listing of the Funds will continue to be met or will remain unchanged.
In addition to the risks described, there are certain other risks related to
investing in the Funds. These risks are described further in the Prospectus
and Statement of Additional Information.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 13
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FUND SUMMARY & PERFORMANCE (Unaudited)
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August 31, 2012
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ABCS
Guggenheim ABC High Dividend ETF
|
|
|
|
|
Fund Statistics
|
|
|
|
Share Price
|
|
$18.84
|
|
Net Asset Value
|
|
$18.89
|
|
Premium/Discount to NAV
|
|
-0.26%
|
|
Net Assets ($000)
|
|
$10,389
|
|
|
|
|
|
Total Returns
|
|
|
|
|
|
Since Inception
|
|
(Inception 6/8/11)
|
One Year
|
(Annualized)
|
|
Guggenheim ABC High
|
|
|
|
Dividend ETF
|
|
|
|
NAV
|
-12.10%
|
-16.77%
|
|
Market
|
-12.40%
|
-16.95%
|
|
The BNY Mellon ABC Index
|
-11.82%
|
-16.39%
|
|
MSCI All Country World
|
|
|
|
Ex-US Index
|
-1.92%
|
-9.31%
|
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.guggenheimfunds.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $25.01 per share for share price returns or initial net asset value (NAV) of $25.01 per share for NAV returns.
The Fund’s annual operating expense ratio of 0.65% is expressed as a unitary fee and covers all expenses of the Fund, except for distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses.
|
|
|
|
Portfolio Breakdown
|
% of Net Assets
|
|
Basic Materials
|
23.5%
|
|
Energy
|
15.1%
|
|
Consumer, Cyclical
|
15.0%
|
|
Utilities
|
13.8%
|
|
Consumer, Non-cyclical
|
12.2%
|
|
Communications
|
11.3%
|
|
Financial
|
6.2%
|
|
Industrial
|
1.6%
|
|
Total Common and Preferred Stocks
|
98.7%
|
|
Investments of Collateral for Securities Loaned
|
23.7%
|
|
Total Investments
|
122.4%
|
|
Liabilities in excess of Other Assets
|
-22.4%
|
|
Net Assets
|
100.0%
|
|
|
|
|
|
% of Long-Term
|
|
Country Breakdown
|
Investments
|
|
Brazil
|
54.9%
|
|
Canada
|
24.8%
|
|
Australia
|
20.3%
|
|
|
|
|
|
% of Long-Term
|
|
Currency Denomination
|
Investments
|
|
United States Dollar
|
54.9%
|
|
Canadian Dollar
|
24.8%
|
|
Australian Dollar
|
20.3%
|
|
|
|
|
|
% of Long-Term
|
|
Top Ten Holdings
|
Investments
|
|
Cia de Bebidas das Americas, ADR
|
10.4%
|
|
Vale SA, ADR
|
10.1%
|
|
Ultrapar Participacoes SA, ADR
|
6.6%
|
|
Cia Energetica de Minas Gerais, ADR
|
6.1%
|
|
Telefonica Brasil SA, ADR
|
5.1%
|
|
Banco Santander Brasil SA, ADR
|
4.3%
|
|
Enerplus Corp.
|
4.0%
|
|
Oi SA, ADR
|
3.9%
|
|
Pengrowth Energy Corp.
|
3.7%
|
|
Cia Siderurgica Nacional SA, ADR
|
3.6%
|
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of long-term investments. All are subject to change daily. For more current Fund information, please visit www.guggenheimfunds.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
14 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
FUND SUMMARY & PERFORMANCE (Unaudited) continued
|
August 31, 2012
|
ABCS
Guggenheim ABC High Dividend ETF continued
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its
inception, with a similar investment in the MSCI All Country World Ex-US Index.
Results include the reinvestment of all dividends and capital gains. Past
performance is no guarantee of future results. The MSCI All Country World Ex-
US Index is a free float-adjusted market capitalization weighted index that is
designed to measure the equity market performance of developed and emerging
market countries excluding the United States. It is not possible to invest directly
in the MSCI All Country World Ex-US Index. Investment return and principal value
will fluctuate with changes in market conditions and other factors and Fund
shares, when redeemed, may be worth more or less than their original investment.
Distributions to Shareholders &
Annualized Distribution Rate based on Market Price
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 15
|
|
|
|
FUND SUMMARY & PERFORMANCE (Unaudited) continued
|
August 31, 2012
|
|
|
|
|
|
|
FAA
Guggenheim Airline ETF
|
|
|
|
|
|
|
Fund Statistics
|
|
|
|
|
Share Price
|
|
|
$28.24
|
|
Net Asset Value
|
|
|
$28.23
|
|
Premium/Discount to NAV
|
|
|
0.04%
|
|
Net Assets ($000)
|
|
|
$15,524
|
|
|
|
|
|
|
Total Returns
|
|
|
|
|
|
|
|
Since
|
|
|
One
|
Three Year
|
Inception
|
|
(Inception 1/26/09)
|
Year
|
(Annualized)
|
(Annualized)
|
|
Guggenheim Airline ETF
|
|
|
|
|
NAV
|
0.20%
|
6.45%
|
4.93%
|
|
Market
|
0.13%
|
5.86%
|
4.94%
|
|
NYSE Arca Global
|
|
|
|
|
Airline Index
|
1.70%
|
8.10%
|
5.82%
|
|
MSCI World Index
|
8.12%
|
7.90%
|
15.51%
|
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.guggenheimfunds.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $24.04 per share for share price returns or initial net asset value (NAV) of $24.04 per share for NAV returns.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.99%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was determined to be 0.70% while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 1.29%. There is a contractual fee waiver currently in place for this Fund through December 31, 2015 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.65%. Without this expense cap, actual returns would be lower.
|
|
|
|
Portfolio Breakdown
|
% of Net Assets
|
|
Consumer, Cyclical
|
99.4%
|
|
Total Common and Preferred Stocks
|
99.4%
|
|
Investments of Collateral for Securities Loaned
|
7.0%
|
|
Total Investments
|
106.4%
|
|
Liabilities in excess of Other Assets
|
-6.4%
|
|
Net Assets
|
100.0%
|
|
|
|
|
|
% of Long-Term
|
|
Country Breakdown
|
Investments
|
|
United States
|
70.2%
|
|
Germany
|
4.5%
|
|
Japan
|
4.5%
|
|
Chile
|
4.4%
|
|
Canada
|
1.5%
|
|
United Kingdom
|
1.5%
|
|
Ireland
|
1.5%
|
|
Panama
|
1.5%
|
|
South Korea
|
1.5%
|
|
Hong Kong
|
1.5%
|
|
Singapore
|
1.5%
|
|
Spain
|
1.5%
|
|
Australia
|
1.5%
|
|
France
|
1.5%
|
|
Brazil
|
1.4%
|
|
|
|
|
|
% of Long-Term
|
|
Currency Denomination
|
Investments
|
|
United States Dollar
|
79.1%
|
|
Euro
|
6.0%
|
|
All other currencies
|
14.9%
|
|
|
|
|
|
% of Long-Term
|
|
Top Ten Holdings
|
Investments
|
|
United Continental Holdings, Inc.
|
15.1%
|
|
Southwest Airlines Co.
|
15.1%
|
|
Delta Air Lines, Inc.
|
15.0%
|
|
Deutsche Lufthansa AG
|
4.5%
|
|
All Nippon Airways Co. Ltd.
|
4.5%
|
|
Latam Airlines Group SA, ADR
|
4.4%
|
|
Spirit Airlines, Inc.
|
3.2%
|
|
SkyWest, Inc.
|
3.2%
|
|
JetBlue Airways Corp.
|
3.2%
|
|
Allegiant Travel Co.
|
3.2%
|
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of long-term investments. All are subject to change daily. For more current Fund information, please visit www.guggenheimfunds.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
16 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
FUND SUMMARY & PERFORMANCE (Unaudited) continued
|
August 31, 2012
|
FAA
Guggenheim Airline ETF continued
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its
inception, with a similar investment in the MSCI World Index. Results include the
reinvestment of all dividends and capital gains. Past performance is no guarantee
of future results. The MSCI World Index is a free float-adjusted market
capitalization index that measures global developed market equity performance
of the developed market country indices of Europe, Australasia, the Far East, the
U.S. and Canada. It is not possible to invest directly in the MSCI World Index.
Investment return and principal value will fluctuate with changes in market
conditions and other factors and Fund shares, when redeemed, may be worth
more or less than their original investment.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 17
|
|
|
|
FUND SUMMARY & PERFORMANCE (Unaudited) continued
|
August 31, 2012
|
|
|
|
|
|
|
YAO
Guggenheim China All-Cap ETF
|
|
|
|
|
|
Fund Statistics
|
|
|
|
Share Price
|
|
$21.76
|
|
Net Asset Value
|
|
$21.66
|
|
Premium/Discount to NAV
|
|
0.46%
|
|
Net Assets ($000)
|
|
$49,822
|
|
|
|
|
|
Total Returns
|
|
|
|
|
|
|
Since
|
|
|
|
One
|
Inception
|
|
(Inception 10/19/09)
|
Year
|
(Annualized)
|
|
Guggenheim China All-Cap ETF
|
|
|
|
NAV
|
-11.17%
|
-3.40%
|
|
Market
|
-10.84%
|
-3.24%
|
|
AlphaShares China All-Cap Index
|
-10.57%
|
-2.65%
|
|
MSCI China Index
|
-8.25%
|
-3.86%
|
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.guggenheimfunds.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $24.82 per share for share price returns or initial net asset value (NAV) of $24.82 per share for NAV returns.
The Fund’s annual operating expense ratio of 0.70% is expressed as a unitary fee and covers all expenses of the Fund, except for distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses.
|
Portfolio Breakdown
|
% of Net Assets
|
|
Financial
|
33.0%
|
|
Communications
|
21.7%
|
|
Energy
|
17.9%
|
|
Consumer, Non-cyclical
|
7.5%
|
|
Industrial
|
6.6%
|
|
Consumer, Cyclical
|
5.7%
|
|
Basic Materials
|
3.4%
|
|
Utilities
|
2.5%
|
|
Technology
|
1.0%
|
|
Diversified
|
0.6%
|
|
Total Common Stocks
|
99.9%
|
|
Investments of Collateral for Securities Loaned
|
6.7%
|
|
Total Investments
|
106.6%
|
|
Liabilities in excess of Other Assets
|
-6.6%
|
|
Net Assets
|
100.0%
|
|
|
% of Long-Term
|
|
Country Breakdown
|
Investments
|
|
China
|
99.5%
|
|
Singapore
|
0.5%
|
|
|
|
|
|
% of Long-Term
|
|
Currency Denomination
|
Investments
|
|
Hong Kong Dollar
|
91.2%
|
|
United States Dollar
|
8.3%
|
|
Singapore Dollar
|
0.5%
|
|
|
|
|
|
% of Long-Term
|
|
Top Ten Holdings
|
Investments
|
|
China Mobile Ltd.
|
5.7%
|
|
Tencent Holdings Ltd.
|
5.7%
|
|
CNOOC Ltd.
|
5.1%
|
|
China Construction Bank Corp.
|
4.7%
|
|
Baidu, Inc.
|
4.7%
|
|
PetroChina Co. Ltd.
|
4.6%
|
|
Industrial & Commercial Bank of China Ltd.
|
4.6%
|
|
Bank of China Ltd.
|
4.0%
|
|
China Life Insurance Co. Ltd.
|
3.6%
|
|
China Petroleum & Chemical Corp.
|
2.9%
|
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of long-term investments. All are subject to change daily. For more current Fund information, please visit www.guggenheimfunds.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
18 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
FUND SUMMARY & PERFORMANCE (Unaudited) continued
|
August 31, 2012
|
YAO
Guggenheim China All-Cap ETF continued
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its
inception, with a similar investment in the MSCI China Index. Results include the
reinvestment of all dividends and capital gains. Past performance is no guarantee
of future results. The MSCI China Index is a capitalization-weighted index that
monitors the performance of stocks from the country of China. The index is
unmanaged. It is not possible to invest directly in the MSCI China
Index.Investment return and principal value will fluctuate with changes in market
conditions and other factors and Fund shares, when redeemed, may be worth
more or less than their original investment.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 19
|
|
|
|
FUND SUMMARY & PERFORMANCE (Unaudited) continued
|
August 31, 2012
|
CQQQ
Guggenheim China Technology ETF
|
|
|
|
|
Fund Statistics
|
|
|
|
Share Price
|
|
$19.96
|
|
Net Asset Value
|
|
$20.03
|
|
Premium/Discount to NAV
|
|
-0.35%
|
|
Net Assets ($000)
|
|
$17,029
|
|
|
|
|
|
Total Returns
|
|
|
|
|
|
Since
|
|
|
One
|
Inception
|
|
(Inception 12/8/09)
|
Year
|
(Annualized)
|
|
Guggenheim China Technology ETF
|
|
|
|
NAV
|
-19.10%
|
-6.80%
|
|
Market
|
-19.78%
|
-6.91%
|
|
AlphaShares China
|
|
|
|
Technology Index
|
-18.91%
|
-6.55%
|
|
MSCI China Index
|
-8.25%
|
-5.82%
|
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.guggenheimfunds.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $25.06 per share for share price returns or initial net asset value (NAV) of $25.06 per share for NAV returns.
The Fund’s total annual operating expense ratio of 0.70% is expressed as a unitary fee and covers all expenses of the Fund, except for distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses.
|
|
|
|
Portfolio Breakdown
|
% of Net Assets
|
|
Communications
|
53.2%
|
|
Technology
|
21.6%
|
|
Industrial
|
12.7%
|
|
Basic Materials
|
4.4%
|
|
Consumer, Cyclical
|
4.3%
|
|
Energy
|
3.4%
|
|
Total Common Stocks
|
99.6%
|
|
Investments of Collateral for Securities Loaned
|
9.6%
|
|
Total Investments
|
109.2%
|
|
Liabilities in excess of Other Assets
|
-9.2%
|
|
Net Assets
|
100.0%
|
|
|
% of Long-Term
|
|
Country Breakdown
|
Investments
|
|
China
|
100.0%
|
|
|
|
|
|
% of Long-Term
|
|
Currency Denomination
|
Investments
|
|
Hong Kong Dollar
|
64.3%
|
|
United States Dollar
|
35.7%
|
|
|
|
|
|
% of Long-Term
|
|
Top Ten Holdings
|
Investments
|
|
Tencent Holdings Ltd.
|
10.2%
|
|
Baidu, Inc.
|
10.1%
|
|
Lenovo Group Ltd.
|
7.6%
|
|
SINA Corp.
|
6.9%
|
|
NetEase, Inc.
|
6.4%
|
|
Semiconductor Manufacturing International Corp.
|
4.7%
|
|
AAC Technologies Holdings, Inc.
|
4.7%
|
|
Kingboard Chemical Holdings Ltd.
|
4.4%
|
|
Digital China Holdings Ltd.
|
4.3%
|
|
Sohu.com, Inc.
|
3.8%
|
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of long-term investments. All are subject to change daily. For more current Fund information, please visit www.guggenheimfunds.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI China Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI China Index is a capitalization-weighted index that monitors the performance of stocks from the country of China. The index is unmanaged. It is not possible to invest directly in the MSCI China Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
20 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
FUND SUMMARY & PERFORMANCE (Unaudited) continued
|
August 31, 2012
|
|
|
|
|
|
|
TAN
Guggenheim Solar ETF
|
|
|
|
|
|
|
|
Fund Statistics
|
|
|
|
|
Share Price*
|
|
|
$16.71
|
|
Net Asset Value*
|
|
|
$16.74
|
|
Premium/Discount to NAV
|
|
|
-0.18%
|
|
Net Assets ($000)
|
|
|
$42,992
|
|
Total Returns
|
|
|
|
|
|
|
|
Since
|
|
|
One
|
Three Year
|
Inception
|
|
(Inception 4/15/08)
|
Year
|
(Annualized)
|
(Annualized)
|
|
Guggenheim Solar ETF
|
|
|
|
|
NAV
|
-66.93%
|
-40.37%
|
-45.06%
|
|
Market
|
-66.78%
|
-40.21%
|
-45.08%
|
|
MAC Global Solar
|
|
|
|
|
Energy Index
|
-69.06%
|
-41.97%
|
-45.57%
|
|
MSCI World Index
|
8.12%
|
7.90%
|
-0.60%
|
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.guggenheimfunds.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $251.30* per share for share price returns or initial net asset value (NAV) of $251.30* per share for NAV returns.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.88%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.70% while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 1.01%. There is a contractual fee waiver currently in place for this Fund through December 31, 2015, to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.65%. Without this expense cap, actual returns would be lower.
|
Portfolio Breakdown
|
% of Net Assets
|
|
Technology
|
40.0%
|
|
Industrial
|
37.3%
|
|
Energy
|
22.3%
|
|
Total Common Stocks and Right
|
99.6%
|
|
Investments of Collateral for Securities Loaned
|
45.7%
|
|
Total Investments
|
145.3%
|
|
Liabilities in excess of Other Assets
|
-45.3%
|
|
Net Assets
|
100.0%
|
|
|
% of Long-Term
|
|
Country Breakdown
|
Investments
|
|
United States
|
39.5%
|
|
Cayman Islands
|
30.4%
|
|
Germany
|
13.4%
|
|
Switzerland
|
7.0%
|
|
Norway
|
3.7%
|
|
British Virgin Islands
|
3.0%
|
|
Canada
|
3.0%
|
|
|
% of Long-Term
|
|
Currency Denomination
|
Investments
|
|
United States Dollar
|
64.9%
|
|
Euro
|
13.4%
|
|
Hong Kong Dollar
|
11.1%
|
|
Swiss Franc
|
6.9%
|
|
Norwegian Krone
|
3.7%
|
|
|
% of Long-Term
|
|
Top Ten Holdings
|
Investments
|
|
First Solar, Inc.
|
11.5%
|
|
GT Advanced Technologies, Inc.
|
8.3%
|
|
GCL-Poly Energy Holdings Ltd.
|
7.4%
|
|
Power-One, Inc.
|
7.0%
|
|
Meyer Burger Technology AG
|
7.0%
|
|
MEMC Electronic Materials, Inc.
|
6.3%
|
|
SMA Solar Technology AG
|
4.5%
|
|
Trina Solar Ltd.
|
4.4%
|
|
SunPower Corp.
|
4.0%
|
|
Manz AG
|
3.4%
|
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of long-term investments. All are subject to change daily. For more current Fund information, please visit www.guggenheimfunds.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
* Reflects 1 for 10 reverse stock split that occurred on February 15, 2012.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 21
|
|
|
|
FUND SUMMARY & PERFORMANCE (Unaudited) continued
|
August 31, 2012
|
TAN
Guggenheim Solar ETF continued
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its
inception, with a similar investment in the MSCI World Index. Results include the
reinvestment of all dividends and capital gains. Past performance is no guarantee
of future results. The MSCI World Index is a free float-adjusted market
capitalization weighted index that is designed to measure the equity market
performance of developed markets. It is not possible to invest directly in the
MSCI World Index. Investment return and principal value will fluctuate with
changes in market conditions and other factors and Fund shares, when redeemed,
may be worth more or less than their original investment.
22 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
FUND SUMMARY & PERFORMANCE (Unaudited) continued
|
August 31, 2012
|
CGW
Guggenheim S&P Global Water Index ETF
|
Fund Statistics
|
|
|
|
|
|
Share Price
|
|
|
|
$20.98
|
|
Net Asset Value
|
|
|
|
$21.05
|
|
Premium/Discount to NAV
|
|
|
-0.33%
|
|
Net Assets ($000)
|
|
|
|
$199,547
|
|
Total Returns
|
|
|
|
|
|
|
|
|
Three
|
Five
|
Since
|
|
|
|
One
|
Year
|
Year
|
Inception
|
|
(Inception 5/14/07)
|
Year
|
(Annualized)
|
(Annualized)
|
(Annualized)
|
|
Guggenheim S&P
|
|
|
|
|
|
Global Water
|
|
|
|
|
|
Index ETF
|
|
|
|
|
|
NAV
|
7.23%
|
9.53%
|
-0.51%
|
-0.42%
|
|
Market
|
7.25%
|
9.30%
|
-0.80%
|
-0.49%
|
|
S&P Global
|
|
|
|
|
|
Water Index
|
7.82%
|
9.90%
|
0.09%
|
0.19%
|
|
MSCI World Index
|
8.12%
|
7.90%
|
-1.76%
|
-1.94%
|
|
Dow Jones Global
|
|
|
|
|
|
Utilities Index
|
-3.69%
|
-1.97%
|
-6.37%
|
-6.62%
|
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.guggenheimfunds.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $24.78 per share for share price returns or initial net asset value (NAV) of $24.78 per share for NAV returns.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.78%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.70% while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.76%. There is a contractual fee waiver currently in place for this Fund through December 31, 2015 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.65%. Without this expense cap, actual returns would be lower.
|
Portfolio Breakdown
|
% of Net Assets
|
|
Industrial
|
51.9%
|
|
Utilities
|
44.6%
|
|
Basic Materials
|
3.3%
|
|
Total Common Stocks
|
99.8%
|
|
Investments of Collateral for Securities Loaned
|
2.4%
|
|
Total Investments
|
102.2%
|
|
Liabilities in excess of Other Assets
|
-2.2%
|
|
Net Assets
|
100.0%
|
|
|
% of Long-Term
|
|
Country Breakdown
|
Investments
|
|
United States
|
35.3%
|
|
United Kingdom
|
21.6%
|
|
Switzerland
|
11.0%
|
|
Brazil
|
5.3%
|
|
France
|
5.0%
|
|
Austria
|
4.2%
|
|
Japan
|
3.5%
|
|
Sweden
|
2.9%
|
|
Israel
|
2.4%
|
|
Netherlands
|
2.4%
|
|
Hong Kong
|
1.7%
|
|
Italy
|
1.7%
|
|
Finland
|
1.2%
|
|
Singapore
|
0.7%
|
|
Bermuda
|
0.7%
|
|
Spain
|
0.4%
|
|
|
% of Long-Term
|
|
Currency Denomination
|
Investments
|
|
United States Dollar
|
40.6%
|
|
Pound Sterling
|
21.6%
|
|
Euro
|
14.8%
|
|
Swiss Franc
|
11.1%
|
|
Japanese Yen
|
3.5%
|
|
All other currencies
|
8.4%
|
|
% of Long-Term
|
|
Top Ten Holdings
|
Investments
|
|
Geberit AG
|
9.4%
|
|
United Utilities Group PLC
|
8.5%
|
|
Severn Trent PLC
|
7.2%
|
|
American Water Works Co., Inc.
|
7.1%
|
|
Cia de Saneamento Basico do Estado de Sao Paulo, ADR
|
5.3%
|
|
Danaher Corp.
|
4.9%
|
|
Xylem, Inc.
|
4.8%
|
|
Pennon Group PLC
|
4.7%
|
|
Andritz AG
|
4.2%
|
|
Aqua America, Inc.
|
3.8%
|
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of long-term investments. All are subject to change daily. For more current Fund information, please visit www.guggenheimfunds.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 23
|
|
|
|
FUND SUMMARY & PERFORMANCE (Unaudited) continued
|
August 31, 2012
|
CGW
Guggenheim S&P Global Water Index ETF continued
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its
inception, with a similar investment in the MSCI World Index. Results include the
reinvestment of all dividends and capital gains. Past performance is no guarantee
of future results. The MSCI World Index is a free float-adjusted market
capitalization index that measures global developed market equity performance
of the developed market country indices of Europe, Australasia, the Far East, the
U.S. and Canada. It is not possible to invest directly in the MSCI World Index.
Investment return and principal value will fluctuate with changes in market
conditions and other factors and Fund shares, when redeemed, may be worth
more or less than their original investment.
24 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
OVERVIEW OF FUND EXPENSES (Unaudited)
|
August 31, 2012
|
As a shareholder of Guggenheim ABC High Dividend ETF; Guggenheim Airline ETF; Guggenheim China All-Cap ETF; Guggenheim China Technology ETF; Guggenheim Solar ETF; and Guggenheim S&P Global Water Index 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 six-month period and held for the entire six-month period ended August 31, 2012.
Actual Expense
The first line of the table below 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 entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 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 cost of investing in the Fund 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 (loads) or contingent deferred sales charges. Therefore, the second line of 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, if these transactional costs were included, your costs would have been higher.
|
|
|
|
Annualized
|
Expenses
|
|
|
Beginning
|
Ending
|
Expense
|
Paid
|
|
|
Account
|
Account
|
Ratio for the
|
During
|
|
|
Value
|
Value
|
Six Months Ended
|
Period
1
|
|
|
3/1/12
|
8/31/12
|
8/31/12
|
3/1/12 - 8/31/12
|
|
Guggenheim ABC High Dividend ETF
|
|
|
|
|
|
Actual
|
$ 1,000.00
|
$ 832.05
|
0.65%
|
$ 2.99
|
|
Hypothetical
|
1,000.00
|
1,021.87
|
0.65%
|
3.30
|
|
(5% annual return before expenses)
|
|
|
|
|
|
Guggenheim Airline ETF
2
|
|
|
|
|
|
Actual
|
1,000.00
|
963.15
|
0.70%
|
3.45
|
|
Hypothetical
|
1,000.00
|
1,021.62
|
0.70%
|
3.56
|
|
(5% annual return before expenses)
|
|
|
|
|
|
Guggenheim China All-Cap ETF
|
|
|
|
|
|
Actual
|
1,000.00
|
847.75
|
0.70%
|
3.25
|
|
Hypothetical
|
1,000.00
|
1,021.62
|
0.70%
|
3.56
|
|
(5% annual return before expenses)
|
|
|
|
|
|
Guggenheim China Technology ETF
|
|
|
|
|
|
Actual
|
1,000.00
|
809.61
|
0.70%
|
3.18
|
|
Hypothetical
|
1,000.00
|
1,021.62
|
0.70%
|
3.56
|
|
(5% annual return before expenses)
|
|
|
|
|
|
Guggenheim Solar ETF
2
|
|
|
|
|
|
Actual
|
1,000.00
|
573.88
|
0.70%
|
2.77
|
|
Hypothetical
|
1,000.00
|
1,021.62
|
0.70%
|
3.56
|
|
(5% annual return before expenses)
|
|
|
|
|
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 25
|
|
|
|
OVERVIEW OF FUND EXPENSES (Unaudited) continued
|
August 31, 2012
|
|
|
|
|
Annualized
|
Expenses
|
|
|
Beginning
|
Ending
|
Expense
|
Paid
|
|
|
Account
|
Account
|
Ratio for the
|
During
|
|
|
Value
|
Value
|
Six Months Ended
|
Period
1
|
|
|
3/1/12
|
8/31/12
|
8/31/12
|
3/1/12 - 8/31/12
|
|
Guggenheim S&P Global Water Index ETF
2
|
|
|
|
|
|
Actual
|
$ 1,000.00
|
$ 1,015.94
|
0.70%
|
$ 3.55
|
|
Hypothetical
|
1,000.00
|
1,021.62
|
0.70%
|
3.56
|
|
(5% annual return before expenses)
|
|
|
|
|
|
1
|
Actual and hypothetical expenses are calculated using the annualized expense ratio. This represents the ongoing expenses of the Fund as a percentage of average net assets for the six months ended August 31, 2012. Expenses are calculated by multiplying the Fund’s annualized expense ratio by the average account value over the period; then multiplying that result by 184/366.
|
|
2
|
The expense ratios reflect an expense waiver. Please see the Notes to Financial Statements for more information.
|
Assumes all dividends and distributions were reinvested.
Premium/Discount Information
Information about the differences between the daily market price on secondary markets for Shares and the NAV of each Fund can be found at www.guggenheimfunds.com.
26 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
PORTFOLIO OF INVESTMENTS
|
August 31, 2012
|
ABCS
Guggenheim ABC High Dividend ETF
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Long-Term Investments - 98.7%
|
|
|
|
|
Common Stocks - 61.4%
|
|
|
|
|
Australia - 20.0%
|
|
|
159,843
|
|
APN News & Media Ltd.
|
$ 47,079
|
|
129,197
|
|
Billabong International Ltd.(a)
|
180,250
|
|
104,176
|
|
David Jones Ltd.(a)
|
260,539
|
|
377,104
|
|
Goodman Fielder Ltd.(b)
|
202,654
|
|
81,433
|
|
GWA Group Ltd.(a)
|
162,423
|
|
117,922
|
|
Myer Holdings Ltd.(a)
|
242,514
|
|
257,408
|
|
Pacific Brands Ltd.
|
162,271
|
|
136,879
|
|
Seven West Media Ltd.
|
207,235
|
|
267,546
|
|
SP AusNet
|
291,703
|
|
107,456
|
|
TABCORP Holdings Ltd.
|
324,267
|
|
|
|
|
2,080,935
|
|
|
|
Brazil - 16.9%
|
|
|
57,795
|
|
Banco Santander Brasil SA, ADR
|
438,086
|
|
77,243
|
|
Cia Siderurgica Nacional SA, ADR
|
372,311
|
|
12,395
|
|
CPFL Energia SA, ADR
|
260,047
|
|
31,046
|
|
Ultrapar Participacoes SA, ADR
|
679,287
|
|
|
|
|
1,749,731
|
|
|
|
Canada - 24.5%
|
|
|
17,608
|
|
AGF Management Ltd., Class B
|
203,049
|
|
20,246
|
|
Bonavista Energy Corp.(a)
|
339,126
|
|
12,686
|
|
Canfor Pulp Products, Inc.
|
120,580
|
|
39,548
|
|
Chorus Aviation, Inc.
|
148,278
|
|
25,797
|
|
Enerplus Corp.(a)
|
406,227
|
|
10,993
|
|
Freehold Royalties Ltd.
|
218,445
|
|
23,708
|
|
Just Energy Group, Inc.(a)
|
262,341
|
|
56,054
|
|
Pengrowth Energy Corp.(a)
|
378,294
|
|
17,136
|
|
PetroBakken Energy Ltd., Class A(a)
|
225,737
|
|
27,005
|
|
Superior Plus Corp.
|
242,726
|
|
|
|
|
2,544,803
|
|
|
|
Total Common Stocks - 61.4%
|
|
|
|
|
(Cost $7,568,892)
|
6,375,469
|
|
|
|
Preferred Stocks - 37.3%
|
|
|
|
|
Brazil - 37.3%
|
|
|
18,292
|
|
Braskem SA, ADR(a)
|
229,931
|
|
28,455
|
|
Cia de Bebidas das Americas, ADR
|
1,070,193
|
|
36,716
|
|
Cia Energetica de Minas Gerais, ADR
|
624,172
|
|
106,899
|
|
Oi SA, ADR(a)
|
397,664
|
|
24,311
|
|
Telefonica Brasil SA, ADR
|
519,526
|
|
64,219
|
|
Vale SA, ADR
|
1,035,210
|
|
|
|
(Cost $4,347,044)
|
3,876,696
|
|
|
|
Total Long-Term Investments - 98.7%
|
|
|
|
|
(Cost $11,915,936)
|
10,252,165
|
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Investments of Collateral for
|
|
|
|
|
Securities Loaned - 23.7%
|
|
|
2,464,224
|
|
BNY Mellon Securities Lending Overnight
|
|
|
|
|
Fund, 0.1928%(c) (d)
|
|
|
|
|
(Cost $2,464,224)
|
$ 2,464,224
|
|
|
|
Total Investments - 122.4%
|
|
|
|
|
(Cost $14,380,160)
|
12,716,389
|
|
|
|
Liabilities in excess of Other Assets - (22.4%)
|
(2,327,440)
|
|
|
|
Net Assets - 100.0%
|
$ 10,388,949
|
|
ADR - American Depositary Receipt
|
|
SA - Corporation
|
|
(a) Security, or portion thereof, was on loan at August 31, 2012.
|
|
(b) Non-income producing security.
|
|
(c) At August 31, 2012, the total market value of the Fund’s securities on loan was $2,340,385
and the total market value of the collateral held by the Fund was $2,464,224.
|
|
(d) Interest rate shown reflects yield as of August 31, 2012.
|
See notes to financial statements.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 27
|
|
|
|
PORTFOLIO OF INVESTMENTS continued
|
August 31, 2012
|
FAA
Guggenheim Airline ETF
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Long-Term Investments - 99.4%
|
|
|
|
|
Common Stocks - 98.0%
|
|
|
|
|
Australia - 1.5%
|
|
|
188,905
|
|
Qantas Airways Ltd.(a)
|
$ 224,507
|
|
|
|
Canada - 1.5%
|
|
|
13,576
|
|
Westjet Airlines Ltd.
|
233,867
|
|
|
|
Chile - 4.4%
|
|
|
29,041
|
|
Latam Airlines Group SA, ADR(b)
|
685,077
|
|
|
|
France - 1.5%
|
|
|
44,394
|
|
Air France-KLM(a)
|
224,282
|
|
|
|
Germany - 4.5%
|
|
|
56,614
|
|
Deutsche Lufthansa AG
|
700,061
|
|
|
|
Hong Kong - 1.5%
|
|
|
142,000
|
|
Cathay Pacific Airways Ltd.
|
231,411
|
|
|
|
Ireland - 1.5%
|
|
|
7,503
|
|
Ryanair Holdings PLC, ADR(a)
|
232,893
|
|
|
|
Japan - 4.4%
|
|
|
312,000
|
|
All Nippon Airways Co. Ltd.(b)
|
689,349
|
|
|
|
Panama - 1.5%
|
|
|
2,988
|
|
Copa Holdings SA, Class A
|
231,959
|
|
|
|
Singapore - 1.5%
|
|
|
27,000
|
|
Singapore Airlines Ltd.
|
230,520
|
|
|
|
South Korea - 1.5%
|
|
|
5,540
|
|
Korean Air Lines Co. Ltd.
|
231,927
|
|
|
|
Spain - 1.5%
|
|
|
101,753
|
|
International Consolidated Airlines Group SA(a)
|
229,176
|
|
|
|
United Kingdom - 1.5%
|
|
|
27,715
|
|
easyJet PLC
|
233,752
|
|
|
|
United States - 69.7%
|
|
|
14,473
|
|
Alaska Air Group, Inc.(a)
|
485,569
|
|
7,345
|
|
Allegiant Travel Co.(a)
|
486,533
|
|
268,154
|
|
Delta Air Lines, Inc.(a)
|
2,319,532
|
|
80,669
|
|
Hawaiian Holdings, Inc.(a)
|
478,367
|
|
99,393
|
|
JetBlue Airways Corp.(a)
|
487,026
|
|
104,974
|
|
Republic Airways Holdings, Inc.(a)
|
467,134
|
|
55,674
|
|
SkyWest, Inc.
|
488,261
|
|
259,793
|
|
Southwest Airlines Co.
|
2,322,549
|
|
24,976
|
|
Spirit Airlines, Inc.(a)
|
488,281
|
|
125,969
|
|
United Continental Holdings, Inc.(a)
|
2,324,128
|
|
44,962
|
|
US Airways Group, Inc.(a)
|
479,295
|
|
|
|
|
10,826,675
|
|
|
|
Total Common Stocks - 98.0%
|
|
|
|
|
(Cost $16,942,932)
|
15,205,456
|
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Preferred Stock - 1.4%
|
|
|
|
|
Brazil - 1.4%
|
|
|
46,566
|
|
GOL Linhas Aereas Inteligentes SA, ADR(a)
|
|
|
|
|
(Cost $219,093)
|
$ 223,517
|
|
|
|
Total Long-Term Investments - 99.4%
|
|
|
|
|
(Cost $17,162,025)
|
15,428,973
|
|
|
|
Investments of Collateral for
|
|
|
|
|
Securities Loaned - 7.0%
|
|
|
1,088,550
|
|
BNY Mellon Securities Lending
|
|
|
|
|
Overnight Fund, 0.1928%(c) (d)
|
|
|
|
|
(Cost $1,088,550)
|
1,088,550
|
|
|
|
Total Investments - 106.4%
|
|
|
|
|
(Cost $18,250,575)
|
16,517,523
|
|
|
|
Liabilities in excess of Other Assets - (6.4%)
|
(993,456)
|
|
|
|
Net Assets - 100.0%
|
$ 15,524,067
|
|
ADR - American Depositary Receipt
|
|
AG - Stock Corporation
|
|
PLC - Public Limited Company
|
|
SA - Corporation
|
|
(a) Non-income producing security.
|
|
(b) Security, or portion thereof, was on loan at August 31, 2012.
|
|
(c) At August 31, 2012, the total market value of the Fund’s securities on loan was $1,045,300
and the total market value of the collateral held by the Fund was $1,088,550.
|
|
(d) Interest rate shown reflects yield as of August 31, 2012.
|
See notes to financial statements.
28 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
PORTFOLIO OF INVESTMENTS continued
|
August 31, 2012
|
YAO
Guggenheim China All-Cap ETF
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Common Stocks - 99.9%
|
|
|
|
|
Basic Materials - 3.4%
|
|
|
354,000
|
|
Aluminum Corp. of China Ltd.(a)
|
$ 135,553
|
|
96,000
|
|
Angang Steel Co. Ltd.(a)
|
46,909
|
|
158,000
|
|
China BlueChemical Ltd.
|
91,057
|
|
156,000
|
|
China Forestry Holdings Co. Ltd.(a) (b) (c)
|
–
|
|
328,000
|
|
China Lumena New Materials Corp.
|
54,129
|
|
115,000
|
|
China Molybdenum Co. Ltd.(a) (d)
|
41,812
|
|
139,000
|
|
Citic Pacific Ltd.
|
170,071
|
|
95,000
|
|
Dongyue Group(d)
|
45,318
|
|
144,000
|
|
Hunan Nonferrous Metal Corp. Ltd.(a) (d)
|
42,515
|
|
125,000
|
|
Jiangxi Copper Co. Ltd.
|
271,394
|
|
52,000
|
|
Kingboard Chemical Holdings Ltd.
|
113,705
|
|
144,000
|
|
Lee & Man Paper Manufacturing Ltd.
|
59,039
|
|
154,000
|
|
Maanshan Iron & Steel(a) (d)
|
30,775
|
|
136,000
|
|
MMG Ltd.(a)
|
50,674
|
|
148,000
|
|
Nine Dragons Paper Holdings Ltd.
|
66,594
|
|
59,500
|
|
Real Gold Mining Ltd.(b) (c) (d)
|
–
|
|
158,000
|
|
Sinofert Holdings Ltd.
|
30,352
|
|
206,000
|
|
Sinopec Shanghai Petrochemical Co. Ltd.
|
53,915
|
|
117,000
|
|
Yingde Gases Group Company Ltd.
|
90,659
|
|
77,500
|
|
Zhaojin Mining Industry Co. Ltd.
|
102,517
|
|
538,000
|
|
Zijin Mining Group Co. Ltd.(d)
|
168,553
|
|
|
|
|
1,665,541
|
|
|
|
Communications - 21.7%
|
|
|
4,433
|
|
AsiaInfo-Linkage, Inc.(a)
|
53,196
|
|
20,793
|
|
Baidu, Inc., ADR(a)
|
2,317,172
|
|
216,000
|
|
China Communications Services Corp. Ltd.
|
120,027
|
|
264,500
|
|
China Mobile Ltd.
|
2,823,607
|
|
1,252,000
|
|
China Telecom Corp. Ltd.
|
687,642
|
|
440,000
|
|
China Unicom Hong Kong Ltd.
|
696,625
|
|
72,545
|
|
Comba Telecom Systems Holdings Ltd.(d)
|
18,706
|
|
12,902
|
|
Ctrip.com International Ltd., ADR(a)
|
208,109
|
|
8,236
|
|
Focus Media Holding Ltd., ADR
|
198,076
|
|
6,462
|
|
NetEase, Inc., ADR(a)
|
336,476
|
|
5,914
|
|
SINA Corp.(a)
|
331,775
|
|
2,750
|
|
Sohu.com, Inc.(a) (d)
|
107,718
|
|
92,100
|
|
Tencent Holdings Ltd.
|
2,814,208
|
|
55,840
|
|
ZTE Corp.(d)
|
73,865
|
|
|
|
|
10,787,202
|
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Consumer, Cyclical - 5.7%
|
|
|
190,000
|
|
Air China Ltd.
|
$ 114,398
|
|
68,000
|
|
Anta Sports Products Ltd.
|
40,241
|
|
230,000
|
|
Bosideng International Holdings Ltd.
|
63,459
|
|
248,000
|
|
Brilliance China Automotive Holdings Ltd.(a)
|
242,365
|
|
71,500
|
|
Byd Co. Ltd.(a)
|
124,632
|
|
252,000
|
|
China Dongxiang Group Co.
|
25,017
|
|
140,000
|
|
China Eastern Airlines Corp. Ltd.(a) (d)
|
42,598
|
|
47,000
|
|
China Lilang Ltd.
|
33,146
|
|
106,000
|
|
China Resources Enterprise Ltd.
|
315,010
|
|
152,000
|
|
China Southern Airlines Co. Ltd.
|
64,474
|
|
53,500
|
|
China ZhengTong Auto Services Holdings Ltd.(a) (d)
|
32,005
|
|
68,000
|
|
Digital China Holdings Ltd.
|
109,589
|
|
258,000
|
|
Dongfeng Motor Group Co. Ltd.
|
333,966
|
|
55,000
|
|
Golden Eagle Retail Group Ltd.(d)
|
100,835
|
|
35,000
|
|
Great Wall Motor Co. Ltd.
|
79,059
|
|
200,000
|
|
Guangzhou Automobile Group Co. Ltd.
|
139,500
|
|
72,000
|
|
Haier Electronics Group Co. Ltd.(a)
|
84,752
|
|
148,000
|
|
Hengdeli Holdings Ltd.(d)
|
38,926
|
|
2,633
|
|
Home Inns & Hotels Management, Inc., ADR(a) (d)
|
60,717
|
|
98,000
|
|
Intime Department Store Group Co. Ltd.(d)
|
100,701
|
|
64,500
|
|
Li Ning Co. Ltd.(d)
|
30,935
|
|
58,000
|
|
Minth Group Ltd.
|
64,609
|
|
107,500
|
|
Parkson Retail Group Ltd.(d)
|
87,317
|
|
232,000
|
|
PCD Stores Group Ltd.
|
15,853
|
|
30,000
|
|
Ports Design Ltd.
|
23,633
|
|
69,000
|
|
Shanghai Pharmaceuticals Holding Co. Ltd.
|
117,784
|
|
34,000
|
|
Shenzhou International Group Holdings Ltd.
|
56,022
|
|
99,997
|
|
Springland International Holdings Ltd.
|
46,928
|
|
44,400
|
|
Weichai Power Co. Ltd.
|
117,351
|
|
48,000
|
|
Wumart Stores, Inc.
|
80,946
|
|
48,000
|
|
Zhongsheng Group Holdings Ltd.
|
60,338
|
|
|
|
|
2,847,106
|
|
|
|
Consumer, Non-cyclical - 7.5%
|
|
|
59,000
|
|
Asian Citrus Holdings Ltd.
|
27,993
|
|
300,000
|
|
Chaoda Modern Agriculture Holdings Ltd.(a) (b) (c) (d)
|
10,482
|
|
151,000
|
|
China Agri-Industries Holdings Ltd.
|
74,758
|
|
64,000
|
|
China Foods Ltd.
|
63,701
|
|
93,496
|
|
China Medical System Holdings Ltd.
|
49,302
|
|
128,000
|
|
China Mengniu Dairy Co. Ltd.
|
385,341
|
|
295,994
|
|
China Modern Dairy Holdings Ltd.(a) (d)
|
76,706
|
|
35,000
|
|
China Shineway Pharmaceutical Group Ltd.
|
52,706
|
|
120,000
|
|
China Yurun Food Group Ltd.(a) (d)
|
73,334
|
|
424,000
|
|
CP Pokphand Co. Ltd.
|
53,572
|
See notes to financial statements.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 29
|
|
|
|
PORTFOLIO OF INVESTMENTS continued
|
August 31, 2012
|
YAO
Guggenheim China All-Cap ETF continued
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Consumer, Non-cyclical - continued
|
|
|
110,000
|
|
Jiangsu Expressway Co. Ltd.
|
$ 90,624
|
|
33,200
|
|
Lianhua Supermarket Holdings Co. Ltd.
|
28,893
|
|
7,508
|
|
Mindray Medical International Ltd., ADR
|
262,930
|
|
11,382
|
|
New Oriental Education & Technology Group, ADR(d)
|
158,210
|
|
172,000
|
|
Shandong Weigao Group Medical Polymer Co. Ltd.
|
189,380
|
|
110,000
|
|
Shenguan Holdings Group Ltd.
|
58,288
|
|
742,500
|
|
Shenzhen International Holdings Ltd.
|
49,779
|
|
169,996
|
|
Sihuan Pharmaceutical Holdings Group Ltd.
|
67,943
|
|
168,000
|
|
Sino Biopharmaceutical
|
65,630
|
|
74,800
|
|
Sinopharm Group Co. Ltd.
|
237,720
|
|
168,000
|
|
Tingyi Cayman Islands Holding Corp.
|
497,096
|
|
28,000
|
|
Tsingtao Brewery Co. Ltd.
|
150,176
|
|
84,000
|
|
Uni-President China Holdings Ltd.(d)
|
86,640
|
|
612,000
|
|
Want Want China Holdings Ltd.
|
757,479
|
|
5,406
|
|
WuXi PharmaTech Cayman, Inc., ADR(a)
|
78,063
|
|
130,000
|
|
Zhejiang Expressway Co. Ltd.
|
85,815
|
|
|
|
|
3,732,561
|
|
|
|
Diversified - 0.6%
|
|
|
102,000
|
|
China Merchants Holdings International Co. Ltd.
|
292,603
|
|
|
|
Energy - 17.9%
|
|
|
368,000
|
|
China Coal Energy Co. Ltd.
|
306,499
|
|
243,000
|
|
China Longyuan Power Group Corp.
|
157,588
|
|
138,000
|
|
China Oilfield Services Ltd.
|
220,266
|
|
1,514,000
|
|
China Petroleum & Chemical Corp.
|
1,424,941
|
|
306,500
|
|
China Shenhua Energy Co. Ltd.
|
1,116,342
|
|
1,348,000
|
|
CNOOC Ltd.
|
2,551,315
|
|
314,000
|
|
Kunlun Energy Co. Ltd.
|
536,811
|
|
1,904,000
|
|
PetroChina Co. Ltd.
|
2,295,233
|
|
360,000
|
|
United Energy Group Ltd.(a)
|
52,912
|
|
172,996
|
|
Winsway Coking Coal Holding Ltd.
|
21,635
|
|
178,000
|
|
Yanzhou Coal Mining Co. Ltd.
|
253,818
|
|
|
|
|
8,937,360
|
|
|
|
Financial - 33.0%
|
|
|
116,000
|
|
Agile Property Holdings Ltd.(d)
|
133,105
|
|
2,158,000
|
|
Agricultural Bank of China Ltd.
|
795,730
|
|
5,448,000
|
|
Bank of China Ltd.
|
1,980,772
|
|
588,000
|
|
Bank of Communications Co. Ltd.
|
384,356
|
|
1,134,000
|
|
China Citic Bank Corp. Ltd.
|
540,957
|
|
3,590,000
|
|
China Construction Bank Corp.
|
2,360,548
|
|
78,000
|
|
China Everbright Ltd.
|
94,832
|
|
672,000
|
|
China Life Insurance Co. Ltd.
|
1,797,776
|
|
352,500
|
|
China Merchants Bank Co. Ltd.
|
608,084
|
|
521,000
|
|
China Minsheng Banking Corp. Ltd.(d)
|
424,525
|
|
346,000
|
|
China Overseas Land & Investment Ltd.
|
781,553
|
|
108,000
|
|
China Pacific Insurance Group Co. Ltd.
|
320,258
|
|
182,000
|
|
China Resources Land Ltd.
|
351,505
|
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Financial - continued
|
|
|
77,800
|
|
China Taiping Insurance Holdings Co. Ltd.(a)
|
$ 103,717
|
|
221,996
|
|
Chongqing Rural Commercial Bank
|
91,016
|
|
140,000
|
|
COSCO Pacific Ltd.
|
172,738
|
|
537,880
|
|
Country Garden Holdings Co. Ltd.(a)
|
188,626
|
|
432,000
|
|
Evergrande Real Estate Group Ltd.(d)
|
164,863
|
|
159,000
|
|
Far East Horizon Ltd.
|
110,288
|
|
302,000
|
|
Franshion Properties China Ltd.
|
88,775
|
|
235,000
|
|
Glorious Property Holdings Ltd.(a) (d)
|
33,328
|
|
90,000
|
|
Guangzhou R&F Properties Co. Ltd.(d)
|
103,968
|
|
4,228,000
|
|
Industrial & Commercial Bank of China Ltd.
|
2,289,457
|
|
112,500
|
|
KWG Property Holding Ltd.(d)
|
57,873
|
|
112,000
|
|
Longfor Properties Co. Ltd.(d)
|
161,439
|
|
234,000
|
|
PICC Property & Casualty Co. Ltd.(a)
|
281,479
|
|
160,500
|
|
Ping An Insurance Group Co.
|
1,158,807
|
|
171,000
|
|
Poly Property Group Co. Ltd.(a)
|
84,659
|
|
732,000
|
|
Renhe Commercial Holdings Co. Ltd.(a) (d)
|
29,728
|
|
44,000
|
|
Shanghai Industrial Holdings Ltd.
|
120,831
|
|
123,500
|
|
Shimao Property Holdings Ltd.(d)
|
186,295
|
|
320,500
|
|
Sino-Ocean Land Holdings Ltd.(d)
|
143,799
|
|
168,000
|
|
Soho China Ltd.
|
107,433
|
|
59,000
|
|
Yanlord Land Group Ltd. (Singapore)(a) (d)
|
55,103
|
|
466,000
|
|
Yuexiu Property Co. Ltd.
|
108,746
|
|
|
|
|
16,416,969
|
|
|
|
Industrial - 6.6%
|
|
|
61,981
|
|
AAC Technologies Holdings, Inc.
|
210,566
|
|
116,500
|
|
Anhui Conch Cement Co. Ltd.
|
290,790
|
|
192,000
|
|
AviChina Industry & Technology Co. Ltd.
|
69,312
|
|
103,500
|
|
BBMG Corp.
|
62,984
|
|
166,000
|
|
Beijing Capital International Airport Co. Ltd.
|
113,431
|
|
397,000
|
|
China Communications Construction Co. Ltd.
|
305,060
|
|
227,500
|
|
China COSCO Holdings Co. Ltd.(a) (d)
|
86,234
|
|
162,000
|
|
China Everbright International Ltd.(d)
|
79,368
|
|
102,000
|
|
China High Speed Transmission Equipment Group Co. Ltd.(a)
|
31,299
|
|
49,200
|
|
China Metal Recycling Holdings Ltd.(d)
|
39,265
|
|
258,000
|
|
China National Building Material Co. Ltd.
|
241,493
|
|
103,000
|
|
China National Materials Co. Ltd.
|
24,833
|
|
170,000
|
|
China Railway Construction Corp. Ltd.(d)
|
128,438
|
|
343,000
|
|
China Railway Group Ltd.
|
129,129
|
|
285,500
|
|
China Rongsheng Heavy Industries Group Holdings Ltd.(d)
|
39,018
|
|
172,000
|
|
China Shanshui Cement Group Ltd.
|
89,811
|
|
331,000
|
|
China Shipping Container Lines Co. Ltd.(a)
|
63,159
|
|
116,000
|
|
China Shipping Development Co. Ltd.(d)
|
43,521
|
|
124,000
|
|
China State Construction International Holdings Ltd.(d)
|
132,054
|
|
124,000
|
|
China Zhongwang Holdings Ltd.(a)
|
50,200
|
|
165,000
|
|
CSR Corp. Ltd.(d)
|
111,897
|
|
30,000
|
|
Dongfang Electric Corp. Ltd.
|
40,922
|
See notes to financial statements.
30 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
PORTFOLIO OF INVESTMENTS continued
|
August 31, 2012
|
YAO
Guggenheim China All-Cap ETF continued
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Industrial - continued
|
|
|
128,000
|
|
Guangshen Railway Co. Ltd.
|
$ 37,131
|
|
49,000
|
|
Haitian International Holdings Ltd.
|
49,466
|
|
60,000
|
|
Harbin Electric Co. Ltd.
|
48,348
|
|
82,000
|
|
Kingboard Laminates Holdings Ltd.
|
32,034
|
|
170,000
|
|
Lonking Holdings Ltd.(d)
|
26,082
|
|
254,000
|
|
Metallurgical Corp. of China Ltd.(a)
|
53,706
|
|
191,000
|
|
NVC Lighting Holdings Ltd.
|
35,460
|
|
76,000
|
|
Sany Heavy Equipment International Holdings Co. Ltd.
|
39,390
|
|
268,000
|
|
Shanghai Electric Group Co. Ltd.
|
107,459
|
|
430,000
|
|
Tianjin Port Development Holdings Ltd.
|
45,460
|
|
264,000
|
|
Yangzijiang Shipbuilding Holdings Ltd. (Singapore)(d)
|
208,466
|
|
41,000
|
|
Zhuzhou CSR Times Electric Co. Ltd.
|
98,955
|
|
128,200
|
|
Zoomlion Heavy Industry Science and Technology Co. Ltd.(d)
|
137,187
|
|
|
|
|
3,301,928
|
|
|
|
Technology - 1.0%
|
|
|
474,000
|
|
Lenovo Group Ltd.
|
385,005
|
|
2,061,000
|
|
Semiconductor Manufacturing International Corp.(a)
|
78,388
|
|
83,000
|
|
Travelsky Technology Ltd.
|
43,125
|
|
|
|
|
506,518
|
|
|
|
Utilities - 2.5%
|
|
|
42,000
|
|
Beijing Enterprises Holdings Ltd.
|
277,789
|
|
220,996
|
|
China Datang Corp. Renewable Power Co. Ltd.
|
20,515
|
|
60,000
|
|
China Resources Gas Group Ltd.
|
118,047
|
|
156,000
|
|
China Resources Power Holdings Co. Ltd.
|
333,470
|
|
298,000
|
|
Datang International Power Generation Co. Ltd.
|
99,894
|
|
222,000
|
|
Guangdong Investment Ltd.
|
164,004
|
|
317,998
|
|
Huaneng Power International, Inc.
|
219,344
|
|
257,994
|
|
Huaneng Renewables Corp. Ltd.(a)
|
28,939
|
|
|
|
|
1,262,002
|
|
|
|
Total Common Stocks - 99.9%
|
|
|
|
|
(Cost $61,545,613)
|
49,749,790
|
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Investments of Collateral for
|
|
|
|
|
Securities Loaned - 6.7%
|
|
|
3,331,391
|
|
BNY Mellon Securities Lending
|
|
|
|
|
Overnight Fund, 0.1928%(e) (f)
|
|
|
|
|
(Cost $3,331,391)
|
$ 3,331,391
|
|
|
|
Total Investments - 106.6%
|
|
|
|
|
(Cost $64,877,004)
|
53,081,181
|
|
|
|
Liabilities in excess of Other Assets - (6.6%)
|
(3,258,861)
|
|
|
|
Net Assets - 100.0%
|
$ 49,822,320
|
|
ADR - American Depositary Receipt
|
|
(a) Non-income producing security.
|
|
(b) Security is valued based on observable and/or unobservable inputs in accordance with Fair
Valuation procedures established in good faith by management and approved by the Board
of Trustees. The total market value of such securities is $10,482 which represents less than
0.1% of net assets.
|
|
(c) Illiquid security.
|
|
(d) Security, or portion thereof, was on loan at August 31, 2012.
|
|
(e) At August 31, 2012, the total market value of the Fund’s securities on loan was $3,166,582
and the total market value of the collateral held by the Fund was $3,436,076, consisting of
cash collateral of $3,331,391 and U.S. Government and Agency securities valued at $104,685.
|
|
(f) Interest rate shown reflects yield as of August 31, 2012.
|
Securities are classified by sectors that represent broad groupings of related industries.
See notes to financial statements.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 31
|
|
|
|
PORTFOLIO OF INVESTMENTS continued
|
August 31, 2012
|
CQQQ
Guggenheim China Technology ETF
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Common Stocks - 99.6%
|
|
|
|
|
Basic Materials - 4.4%
|
|
|
344,500
|
|
Kingboard Chemical Holdings Ltd.
|
$ 753,292
|
|
|
|
Communications - 53.2%
|
|
|
46,754
|
|
AsiaInfo-Linkage, Inc.(a)
|
561,048
|
|
15,445
|
|
Baidu, Inc., ADR(a)
|
1,721,191
|
|
556,000
|
|
BYD Electronic International Co. Ltd.
|
112,544
|
|
1,232,000
|
|
China Wireless Technologies Ltd.
|
219,199
|
|
753,500
|
|
Comba Telecom Systems Holdings Ltd.(b)
|
194,295
|
|
3,671,896
|
|
ePro Ltd.
|
317,185
|
|
82,749
|
|
Giant Interactive Group, Inc., ADR
|
399,678
|
|
20,987
|
|
NetEase, Inc., ADR(a)
|
1,092,793
|
|
76,399
|
|
Renren, Inc., ADR(a) (b)
|
292,608
|
|
20,858
|
|
SINA Corp.(a)
|
1,170,134
|
|
16,325
|
|
Sohu.com, Inc.(a) (b)
|
639,450
|
|
537,000
|
|
TCL Communication Technology Holdings Ltd.
|
116,314
|
|
56,400
|
|
Tencent Holdings Ltd.
|
1,723,358
|
|
385,800
|
|
ZTE Corp.(b)
|
510,338
|
|
|
|
|
9,070,135
|
|
|
|
Consumer, Cyclical - 4.3%
|
|
|
454,000
|
|
Digital China Holdings Ltd.
|
731,668
|
|
|
|
Energy - 3.4%
|
|
|
3,267,000
|
|
GCL-Poly Energy Holdings Ltd.(b)
|
501,238
|
|
56,715
|
|
LDK Solar Co. Ltd., ADR(a) (b)
|
74,297
|
|
|
|
|
575,535
|
|
|
|
Industrial - 12.7%
|
|
|
234,994
|
|
AAC Technologies Holdings, Inc.
|
798,336
|
|
1,780,000
|
|
China Aerospace International Holdings Ltd.
|
121,631
|
|
578,000
|
|
China High Precision Automation Group Ltd.(c) (d)
|
92,405
|
|
1,641,000
|
|
Hi Sun Technology China Ltd.(a) (b)
|
96,265
|
|
858,000
|
|
Kingboard Laminates Holdings Ltd.
|
335,180
|
|
118,324
|
|
Suntech Power Holdings Co. Ltd., ADR(a) (b)
|
104,196
|
|
791,974
|
|
Tech Pro Technology Development Ltd.(a)
|
294,071
|
|
1,270,000
|
|
Truly International Holdings
|
171,926
|
|
420,000
|
|
Wasion Group Holdings Ltd.
|
149,995
|
|
|
|
|
2,164,005
|
|
Number
|
|
|
|
|
of Shares
|
|
Description
|
Value
|
|
|
|
Technology - 21.6%
|
|
|
9,660,000
|
|
Apollo Solar Energy Technology Holdings Ltd.(a)
|
$ 265,280
|
|
769,970
|
|
Chinasoft International Ltd.(a)
|
173,724
|
|
1,616,000
|
|
Kingdee International Software Group Co. Ltd.(a) (b)
|
241,684
|
|
657,000
|
|
Kingsoft Corp. Ltd.
|
304,094
|
|
1,582,000
|
|
Lenovo Group Ltd.
|
1,284,977
|
|
21,160,000
|
|
Semiconductor Manufacturing International Corp.(a)
|
804,796
|
|
828,000
|
|
TPV Technology Ltd.
|
156,926
|
|
860,000
|
|
Travelsky Technology Ltd.
|
446,840
|
|
|
|
|
3,678,321
|
|
|
|
Total Common Stocks - 99.6%
|
|
|
|
|
(Cost $23,872,346)
|
16,972,956
|
|
|
|
Investments of Collateral for
|
|
|
|
|
Securities Loaned - 9.6%
|
|
|
1,630,316
|
|
BNY Mellon Securities Lending
|
|
|
|
|
Overnight Fund, 0.1928%(e) (f)
|
|
|
|
|
(Cost $1,630,316)
|
1,630,316
|
|
|
|
Total Investments - 109.2%
|
|
|
|
|
(Cost $25,502,662)
|
18,603,272
|
|
|
|
Liabilities in excess of Other Assets - (9.2%)
|
(1,573,982)
|
|
|
|
Net Assets - 100.0%
|
$ 17,029,290
|
|
ADR - American Depositary Receipt
|
|
(a) Non-income producing security.
|
|
(b) Security, or portion thereof, was on loan at August 31, 2012.
|
|
(c) Security is valued based on observable inputs in accordance with Fair Valuation procedures
established in good faith by management and approved by the Board of Trustees. The total
market value of such securities is $92,405 which represents 0.5% of net assets.
|
|
(d) Illiquid security.
|
|
(e) At August 31, 2012, the total market value of the Fund’s securities on loan was $2,076,178
and the total market value of the collateral held by the Fund was $2,251,856, consisting of
cash collateral of $1,630,316 and U.S. Government and Agency securities valued at $621,540.
|
|
(f) Interest rate shown reflects yield as of August 31, 2012.
|
Securities are classified by sectors that represent broad groupings of related industries.
See notes to financial statements.
32 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
NOTES TO FINANCIAL STATEMENTS
|
August 31, 2012
|
Note 1 –
Organization:
Claymore Exchange-Traded Fund Trust 2 (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), is an open-end, management investment company that was organized as a Delaware statutory trust on June 8, 2006.
The following six portfolios have an annual reporting period ended on August 31, 2012:
|
|
Guggenheim ABC High Dividend ETF
|
|
|
Guggenheim Airline ETF
|
|
|
Guggenheim China All-Cap ETF
|
|
|
Guggenheim China Technology ETF
|
|
|
Guggenheim Solar ETF
|
|
|
Guggenheim S&P Global Water Index ETF
|
Each portfolio represents a separate series of the Trust (each a “Fund” or collectively the “Funds”). Each Fund’s shares are listed and traded on the NYSE Arca, Inc. (“NYSE Arca”). The Funds’ market prices may differ to some degree from the net asset value (“NAV”) of the shares of each Fund. 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 are issued and redeemed principally in-kind for securities included in the relevant index. Except when aggregated in Creation Units, shares are not individually redeemable securities of the Funds. The investment objective of each of the Funds is to correspond generally to the performance, before fees and expenses, the performance of the following market indices:
|
Fund
|
Index
|
|
Guggenheim ABC High Dividend ETF
|
The BNY Mellon ABC Index
|
|
Guggenheim Airline ETF
|
NYSE Arca Global Airline Index
|
|
Guggenheim China All-Cap ETF
|
AlphaShares China All-Cap Index
|
|
Guggenheim China Technology ETF
|
AlphaShares China Technology Index
|
|
Guggenheim Solar ETF
|
MAC Global Solar Energy Index
|
|
Guggenheim S&P Global Water Index ETF
|
S&P Global Water Index
|
Note 2 –
Accounting Policies:
The preparation of the financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
The following is a summary of the significant accounting policies followed by the Funds.
(a) Valuation of Investments
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and asked prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ
Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (the “Board of Trustees”). Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
The Funds value Level 1 securities using readily available market quotations in active markets. The Funds value Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Funds value Level 2 equity securities using various observable market inputs as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Trust’s valuation procedures.
48 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
NOTES TO FINANCIAL STATEMENTS continued
|
August 31, 2012
|
The valuation process involved for Level 3 measurements for the Funds is completed on a daily basis and is designed to subject the Level 3 valuations to an appropriate level of oversight and review. For Level 3 securities, the Funds utilize a Pricing Committee which is comprised of employees of the Investment Adviser or its affiliates responsible for implementing the valuation procedures established by the Funds. Investment professionals prepare preliminary valuations based on their evaluation of financial data, company specific developments, market valuations of comparable companies and other factors. These preliminary valuations are reviewed by the Pricing Committee with subsequent deliberations until an appropriate price is determined for the Level 3 security.
The following tables represent the Funds’ investments carried on the Statement of Assets and Liabilities by caption and by level within the fair value hierarchy at August 31, 2012:
|
Guggenheim China All-Cap ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
(value in $000s)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic Materials
|
|
$
|
1,666
|
|
|
$
|
–
|
|
|
$
|
–
|
†
|
|
$
|
1,666
|
|
|
Communications
|
|
|
10,787
|
|
|
|
–
|
|
|
|
–
|
|
|
|
10,787
|
|
|
Consumer, Cyclical
|
|
|
2,847
|
|
|
|
–
|
|
|
|
–
|
|
|
|
2,847
|
|
|
Consumer, Non-cyclical
|
|
|
3,722
|
|
|
|
10
|
|
|
|
–
|
|
|
|
3,732
|
|
|
Diversified
|
|
|
293
|
|
|
|
–
|
|
|
|
–
|
|
|
|
293
|
|
|
Energy
|
|
|
8,937
|
|
|
|
–
|
|
|
|
–
|
|
|
|
8,937
|
|
|
Financial
|
|
|
16,417
|
|
|
|
–
|
|
|
|
–
|
|
|
|
16,417
|
|
|
Industrial
|
|
|
3,302
|
|
|
|
–
|
|
|
|
–
|
|
|
|
3,302
|
|
|
Technology
|
|
|
507
|
|
|
|
–
|
|
|
|
–
|
|
|
|
507
|
|
|
Utilities
|
|
|
1,262
|
|
|
|
–
|
|
|
|
–
|
|
|
|
1,262
|
|
|
Investments of Collateral
for Securities
Loaned
|
|
|
3,331
|
|
|
|
–
|
|
|
|
–
|
|
|
|
3,331
|
|
|
Total
|
|
$
|
53,071
|
|
|
$
|
10
|
|
|
$
|
–
|
†
|
|
$
|
53,081
|
|
The transfers in and out of the valuation levels for the Guggenheim China All-Cap ETF as of the report date when compared to the valuation levels at the end of the previous fiscal year are detailed below.
|
|
$(000s)
|
|
Transfers from Level 1 to Level 2
|
$ 10
|
|
Transfers from Level 2 to Level 3
|
–†
|
The transfer from Level 1 to Level 2 was the result of Chaoda Modern Agriculture Holdings Ltd. being halted on the principal exchange on which it trades as of August 31, 2012.
The transfer from Level 2 to Level 3 was the result of Real Gold Mining, Ltd. (“Real Gold”) being halted on the principal exchange on which it trades and negative public information on the company.
Trading in the shares of Real Gold was halted on the Hong Kong Stock Exchange on May 27, 2011, pending the release of an announcement in relation to the clarification of news which was price sensitive in nature. The security continues to be halted, and following the release of several
negative announcements concerning Real Gold, the Pricing Committee decided to price Real Gold at $0.00 per share. If trading of Real Gold resumes on a primary exchange the value of Real Gold could significantly increase.
Trading in the shares of China Forestry Holdings Co., Ltd. (the “Company”) was halted on the Hong Kong Stock Exchange on January 26, 2011, pending the publication of an announcement in relation to price sensitive information of the Company. Trading on the Company’s shares continues to be halted. Following the release of negative news stories, the Pricing Committee met and, after reviewing the most recently available annual financial results of the Company, decided to price the Company at $0.00 per share. If trading of the Company resumes on a primary exchange, the value of the Company could significantly increase.
The following table presents the activity of the Fund’s investments measured at fair value using significant unobservable inputs (Level 3 valuations) for the year ended August 31, 2012.
|
Level 3 Holdings
|
|
Securities
|
|
|
Beginning Balance at 8/31/11
|
|
$
|
–
|
†
|
|
Net Realized Gain/Loss
|
|
|
–
|
|
|
Change in Unrealized Gain/Loss
|
|
|
–
|
|
|
Purchases
|
|
|
–
|
|
|
Sales
|
|
|
–
|
|
|
Transfers In
|
|
|
–
|
†
|
|
Transfers Out
|
|
|
–
|
|
|
Ending Balance at 8/31/12
|
|
$
|
–
|
†
|
|
† Market value is less than minimum amount disclosed.
|
|
|
|
|
|
Guggenheim China Technology ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
(value in $000s)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic Materials
|
|
$
|
753
|
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
753
|
|
|
Communications
|
|
|
9,070
|
|
|
|
–
|
|
|
|
–
|
|
|
|
9,070
|
|
|
Consumer, Cyclical
|
|
|
732
|
|
|
|
–
|
|
|
|
–
|
|
|
|
732
|
|
|
Energy
|
|
|
576
|
|
|
|
–
|
|
|
|
–
|
|
|
|
576
|
|
|
Industrial
|
|
|
2,072
|
|
|
|
92
|
|
|
|
–
|
|
|
|
2,164
|
|
|
Technology
|
|
|
3,678
|
|
|
|
–
|
|
|
|
–
|
|
|
|
3.678
|
|
|
Investments of Collateral
for Securities
Loaned
|
|
|
1,630
|
|
|
|
–
|
|
|
|
–
|
|
|
|
1,630
|
|
|
Total
|
|
$
|
18,511
|
|
|
$
|
92
|
|
|
$
|
–
|
|
|
$
|
18,603
|
|
The transfers in and out of the valuation levels for the Guggenheim China Technology ETF as of the report date when compared to the valuation levels at the end of the previous fiscal year are detailed below.
|
|
$(000s)
|
|
Transfers from Level 1 to Level 2
|
$92
|
The transfer from Level 1 to Level 2 was the result of China High Precision Automation Group Ltd. being halted on the principal exchange on which it trades as of August 31, 2012.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 49
|
|
|
|
NOTES TO FINANCIAL STATEMENTS continued
|
August 31, 2012
|
|
Guggenheim Solar ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
(value in $000s)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
$
|
9,572
|
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
9,572
|
|
|
Industrial
|
|
|
15,314
|
|
|
|
–
|
|
|
|
715
|
|
|
|
16,029
|
|
|
Technology
|
|
|
17,067
|
|
|
|
–
|
|
|
|
–
|
|
|
|
17,067
|
|
|
Right
|
|
|
–
|
|
|
|
127
|
|
|
|
–
|
|
|
|
127
|
|
|
Investments of Collateral
for Securities
Loaned
|
|
|
19,660
|
|
|
|
–
|
|
|
|
–
|
|
|
|
19,660
|
|
|
Total
|
|
$
|
61,613
|
|
|
$
|
127
|
|
|
$
|
715
|
|
|
$
|
62,455
|
|
The transfers in and out of the valuation levels for the Guggenheim Solar ETF as of the report date when compared to the valuation levels at the end of the previous fiscal year are detailed below.
|
|
$(000s)
|
|
Transfers from Level 1 to Level 3
|
$715
|
The transfer from Level 1 to Level 3 is the result of Trony Solar Holdings Co. Ltd. being halted on the principal exchange on which it trades as of August 31, 2012, the security being priced at a discount of the last trade price and based on the resignation of the Chief Financial Officer of the company.
Trading for Trony Solar Holdings Co. Ltd. has been halted on the primary exchange on which it trades. Following the release of several negative announcements by Trony Solar Holdings Co. Ltd., the Pricing Committee met and priced Trony Solar Holdings Co. Ltd. at $0.06 per share which is at a discount of the last trade price. If trading resumes on the primary exchange on which Trony Solar Holdings Co. Ltd trades, the value of Trony Solar Holdings Co. Ltd. could significantly increase or decrease.
The following table presents the activity of the Fund’s investments measured at fair value using significant unobservable inputs (Level 3 valuations) for the year ended August 31, 2012.
|
Level 3 Holdings
|
|
Securities
|
|
|
Beginning Balance at 8/31/11
|
|
$
|
–
|
|
|
Net Realized Gain/Loss
|
|
|
–
|
|
|
Change in Unrealized Gain/Loss
|
|
|
–
|
|
|
Purchases
|
|
|
–
|
|
|
Sales
|
|
|
–
|
|
|
Transfers In
|
|
|
715
|
|
|
Transfers Out
|
|
|
–
|
|
|
Ending Balance at 8/31/12
|
|
$
|
715
|
|
|
Guggenheim S&P Global Water Index ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
(value in $000s)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic Materials
|
|
$
|
6,580
|
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
6,580
|
|
|
Industrial
|
|
|
103,147
|
|
|
|
395
|
|
|
|
–
|
|
|
|
103,542
|
|
|
Utilities
|
|
|
89,035
|
|
|
|
–
|
|
|
|
–
|
|
|
|
89,035
|
|
|
Investments of Collateral
for Securities
Loaned
|
|
|
4,734
|
|
|
|
–
|
|
|
|
–
|
|
|
|
4,734
|
|
|
Total
|
|
$
|
203,496
|
|
|
$
|
395
|
|
|
$
|
–
|
|
|
$
|
203,891
|
|
There were no transfers between valuation levels as of the report date when compared to the valuation levels at the end of the previous fiscal year.
All securities held by Guggenheim ABC High Dividend ETF and Guggenheim Airline ETF were valued using quoted prices in active markets (Level 1). There were no transfers between levels for these Funds for the year ended August 31, 2012.
(b) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Discounts on debt securities purchased are accreted to interest income over the lives of the respective securities using the effective interest method. Premiums on debt securities purchased are amortized to interest income up to the next call date of the respective securities using the effective interest method.
The Funds record the character of dividends received from master limited partnerships (“MLPs”) based on estimates made at the time such distributions are received. These estimates are based upon a historical review of information available from each MLP and other industry sources. The characterization of the estimates may subsequently be revised based on information received from MLPs after their tax reporting periods conclude.
Real Estate Investment Trust (“REIT”) distributions received by a Fund are generally comprised of ordinary income, long-term and short-term capital gains and return of capital. The actual character of amounts received during the year is not known until after the fiscal year end. A Fund records the character of distributions received from REITs during the year based on historical information available. A Fund’s characterization may be subsequently revised based on information received from REITs after their tax reporting periods conclude.
(c) Currency Translation
Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the bid and asked price of respective exchange rates on the last day of the period. Purchases and sales of investments denominated in foreign currencies are translated at the mean of the bid and asked price of respective exchange rates on the date of the transaction.
50 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
NOTES TO FINANCIAL STATEMENTS continued
|
August 31, 2012
|
The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Foreign exchange gain or loss resulting from holding of a foreign currency, expiration of a currency exchange contract, difference in exchange rates between the trade date and settlement date of an investment purchased or sold, and the difference between dividends actually received compared to the amount shown in a Fund’s accounting records on the date of receipt are included as net realized gains or losses on foreign currency transactions in the Fund’s Statement of Operations.
Foreign exchange gain or loss on assets and liabilities, other than investments, are included in unrealized appreciation/(depreciation) on foreign currency translations.
(d) Distributions
The Funds intend to pay substantially all of their net investment income to shareholders through annual distributions, except for Guggenheim ABC High Dividend ETF, which will pay a quarterly distribution. In addition, the Funds intend to distribute any capital gains to shareholders as capital gain dividends at least annually. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
(e) Security Lending
Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent. The loans are collateralized at all times by cash and/or high grade debt obligations in an amount at least equal to 102% of the market value of domestic securities loaned and 105% of foreign securities loaned as determined at the close of business on the preceding business day. The cash collateral received is invested with the securities lending agent in an overnight securities lending fund. The overnight securities lending fund is comprised of short-term investments valued at amortized cost, which approximates market value. Each Fund receives compensation for lending securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees. Such compensation is accrued daily and payable to the Fund monthly. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. These payments from the borrower are not eligible for reduced tax rates as “qualified dividend income” under the Jobs and Growth Tax Reconciliation Act of 2003. The Funds retain all or a portion of the interest received on investment of cash collateral or receives a fee from the borrower. Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults. The securities lending income earned by the Funds is disclosed on the Statement of Operations.
Note 3 –
Investment Advisory Agreement and Other Agreements:
Pursuant to an Investment Advisory Agreement (the “Agreement”) between the Trust, on behalf of each Fund, and Guggenheim Funds Investment Advisors, LLC (the “Investment Adviser”), the Investment Adviser manages the investment and reinvestment of each Fund’s assets and administers the affairs of each Fund to the extent requested by the Board of Trustees.
Pursuant to the Agreement, each Fund listed in the below table pays the Investment Adviser an advisory fee. The advisory fee is payable on a monthly basis at the annual rate set forth below based on each Fund’s average daily net assets:
|
Fund
|
Rate
|
|
Guggenheim Airline ETF
|
0.50%
|
|
Guggenheim Solar ETF
|
0.50%
|
|
Guggenheim S&P Global Water Index ETF
|
0.50%
|
Pursuant to the Agreement, each Fund listed in the following table pays the Investment Adviser a unitary management fee for the services and facilities it provides. The unitary management fee is payable on a monthly basis at the annual rate set forth below based on each Fund’s average daily net assets:
|
Fund
|
Rate
|
|
Guggenheim ABC High Dividend ETF
|
0.65%
|
|
Guggenheim China All-Cap ETF
|
0.70%
|
|
Guggenheim China Technology ETF
|
0.70%
|
Out of the unitary management fee, the Investment Adviser pays substantially all the expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit and other services, except for the fee payments under the Agreement, distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses.
Under a separate Fund Administration Agreement, the Investment Adviser provides Fund Administration services to the Funds. The Investment Adviser receives a fund administration fee payable monthly at the annual rate set forth below as a percentage of the average daily net assets of each Fund:
|
Net Assets
|
Rate
|
|
First $200,000,000
|
0.0275%
|
|
Next $300,000,000
|
0.0200%
|
|
Next $500,000,000
|
0.0150%
|
|
Over $1,000,000,000
|
0.0100%
|
Due to their unitary fee structure, Guggenheim ABC High Dividend ETF, Guggenheim China All-Cap ETF and Guggenheim China Technology ETF do not pay a separate Fund Administration fee.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 51
|
|
|
|
NOTES TO FINANCIAL STATEMENTS continued
|
August 31, 2012
|
For the year ended August 31, 2012, the following Funds recognized Fund Administration expenses and waived Fund Administration expenses as follows:
|
|
|
Fund Administration
|
|
|
Fund Administration
|
|
|
|
|
Expense
|
|
|
Expense Waived
|
|
|
Guggenheim Airline ETF
|
|
$
|
4,419
|
|
|
$
|
4,419
|
|
|
Guggenheim Solar ETF
|
|
|
18,403
|
|
|
|
–
|
|
|
Guggenheim S&P Global Water Index ETF
|
|
|
52,676
|
|
|
|
–
|
|
The Bank of New York Mellon Corp. (“BNY”) acts as the Funds’ custodian, accounting agent, transfer agent and security lending agent. As custodian, BNY is responsible for the custody of the Funds’ assets. As accounting agent, BNY is responsible for maintaining the books and records of the Funds. As transfer agent, BNY is responsible for performing transfer agency services for the Funds. As security lending agent, BNY is responsible for executing the lending of portfolio securities to creditworthy borrowers.
The Investment Adviser has contractually agreed to waive fees and/or pay Fund expenses to the extent necessary to prevent the operating expenses of each Fund, not including Guggenheim ABC High Dividend ETF, Guggenheim China All-Cap ETF and Guggenheim China Technology ETF (excluding interest expense, a portion of the Fund’s licensing fees, offering costs, brokerage commissions and other trading expenses, taxes and extraordinary expenses such as litigation and other expenses not incurred in the ordinary course of the Fund’s business) from exceeding the following percentages of average net assets per year, at least until December 31, 2015:
|
|
|
|
Fund
|
Rate
|
|
Guggenheim Airline ETF
|
0.65%
|
|
Guggenheim Solar ETF
|
0.65%
|
|
Guggenheim S&P Global Water Index ETF
|
0.65%
|
Amounts owed to each Fund from the Investment Adviser are shown in the Statement of Assets and Liabilities.
The Trust and the Investment Adviser have entered into an Expense Reimbursement Agreement in which for a period of five years subsequent to each Fund’s commencement of operations, the Investment Adviser may recover from the Fund fees and expenses waived or reimbursed during the prior three years if the Fund’s expense ratio, including the recovered expenses, falls below the expense cap.
For the year ended August 31, 2012, the Investment Adviser waived fees and assumed the following fees and expenses:
|
|
|
|
|
|
Potentially
|
|
|
|
|
|
|
|
Recoverable
|
|
|
|
|
|
|
|
Expenses Expiring
|
|
|
|
|
|
|
|
2013
|
|
|
Guggenheim Airline ETF
|
|
$
|
80,346
|
|
|
$
|
284,707
|
*
|
|
Guggenheim Solar ETF
|
|
|
205,736
|
|
|
|
*
|
*
|
|
Guggenheim S&P Global
|
|
|
|
|
|
|
|
|
|
Water Index ETF
|
|
|
112,691
|
|
|
|
*
|
*
|
* Per the Expense Reimbursement Agreement discussed above, this year represents the last year the Fund will be eligible to recover fees and expenses.
** The Expense Reimbursement Agreement for this Fund has expired.
Certain officers and trustees of the Trust may also be officers, directors and/or employees of the Investment Adviser. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of the Investment Adviser.
Licensing Fee Agreements:
The Investment Adviser has entered into licensing agreements on behalf of each Fund with the following Licensors:
|
Fund
|
Licensor
|
|
Guggenheim ABC High Dividend ETF
|
The Bank of New York Mellon
|
|
Guggenheim Airline ETF
|
Archipelago Holdings, Inc.
|
|
Guggenheim China All-Cap ETF
|
AlphaShares, LLC
|
|
Guggenheim China Technology ETF
|
AlphaShares, LLC
|
|
Guggenheim Solar ETF
|
MAC Indexing LLC
|
|
Guggenheim S&P Global Water Index ETF
|
Standard & Poor’s, a division of
|
|
|
The McGraw-Hill Companies, Inc.
|
The Funds are not sponsored, endorsed, sold or promoted by the Licensors and the Licensors make no representation regarding the advisability of investing in shares of the Funds. Up to 5 basis points of licensing fees are excluded from the expense cap for the Funds without a unitary fee.
Note 4 –
Federal Income Taxes:
The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required. In addition, by distributing substantially all of its ordinary income and long-term capital gains, if any, during each calendar year, each Fund intends not to be subject to U.S. federal excise tax.
52 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
NOTES TO FINANCIAL STATEMENTS continued
|
August 31, 2012
|
At August 31, 2012, the cost of investments, accumulated unrealized appreciation/depreciation on investments, excluding foreign currency, for federal income tax purposes were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Tax
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Tax
|
|
|
Appreciation
|
|
|
|
|
Cost of
|
|
|
Gross Tax
|
|
|
Gross Tax
|
|
|
Unrealized
|
|
|
(Depreciation
|
)
|
|
|
|
Investments for
|
|
|
Unrealized
|
|
|
Unrealized
|
|
|
Appreciation
|
|
|
on Foreign
|
|
|
|
|
Tax Purposes
|
|
|
Appreciation
|
|
|
Depreciation
|
|
|
(Depreciation
|
)
|
|
Currency
|
|
|
Guggenheim ABC High Dividend ETF
|
|
$
|
14,451,237
|
|
|
$
|
278,636
|
|
|
$
|
(2,013,484
|
)
|
|
$
|
(1,734,848
|
)
|
|
$
|
(214
|
)
|
|
Guggenheim Airline ETF
|
|
|
18,386,726
|
|
|
|
660,174
|
|
|
|
(2,529,377
|
)
|
|
|
(1,869,203
|
)
|
|
|
(499
|
)
|
|
Guggenheim China All-Cap ETF
|
|
|
64,953,488
|
|
|
|
3,717,461
|
|
|
|
(15,589,768
|
)
|
|
|
(11,872,307
|
)
|
|
|
214
|
|
|
Guggenheim China Technology ETF
|
|
|
25,674,878
|
|
|
|
1,173,118
|
|
|
|
(8,244,724
|
)
|
|
|
(7,071,606
|
)
|
|
|
–
|
|
|
Guggenheim Solar ETF
|
|
|
158,518,540
|
|
|
|
127,469
|
|
|
|
(96,190,796
|
)
|
|
|
(96,063,327
|
)
|
|
|
(2,973
|
)
|
|
Guggenheim S&P Global Water Index ETF
|
|
|
199,892,540
|
|
|
|
27,295,145
|
|
|
|
(23,296,842
|
)
|
|
|
3,998,303
|
|
|
|
(8,598
|
)
|
Tax components of the following balances as of August 31, 2012 were as follows:
|
|
|
|
|
|
Undistributed
|
|
|
|
|
Undistributed
|
|
|
Long-Term
|
|
|
|
|
Ordinary
|
|
|
Gains/
|
|
|
|
|
Income/
|
|
|
(Accumulated
|
|
|
|
|
(Accumulated
|
|
|
Capital &
|
|
|
|
|
Ordinary Loss)
|
|
|
Other Loss)
|
|
|
Guggenheim ABC High Dividend ETF
|
|
$
|
114,509
|
|
|
$
|
(1,235,557
|
)
|
|
Guggenheim Airline ETF
|
|
|
–
|
|
|
|
(4,358,660
|
)
|
|
Guggenheim China All-Cap ETF
|
|
|
904,260
|
|
|
|
(3,928,009
|
)
|
|
Guggenheim China Technology ETF
|
|
|
308,458
|
|
|
|
(6,622,735
|
)
|
|
Guggenheim Solar ETF
|
|
|
3,215,184
|
|
|
|
(238,166,625
|
)
|
|
Guggenheim S&P Global Water Index ETF
|
|
|
3,574,246
|
|
|
|
(87,533,672
|
)
|
At August 31, 2012, the following reclassifications were made to the capital accounts of the Funds, to reflect permanent book/tax differences and income and gains available for distributions under income tax regulations, which are primarily due to the inherent differences between book and tax treatment of investments in real estate investment trusts, investments in partnerships, redemption in-kind transactions, return of capital, and net investment loss. Net investment income, net realized gains and net assets were not affected by these changes.
|
|
|
Undistributed
|
|
|
Accumulated
|
|
|
|
|
|
|
|
Net Investment
|
|
|
Net Realized
|
|
|
|
|
|
|
|
Income/(Loss)
|
|
|
Gain/(Loss)
|
|
|
Paid in Capital
|
|
|
Guggenheim ABC
|
|
|
|
|
|
|
|
|
|
|
High Dividend ETF
|
|
$
|
(21,198
|
)
|
|
$
|
24,940
|
|
|
$
|
(3,742
|
)
|
|
Guggenheim Airline ETF
|
|
|
172,359
|
|
|
|
54,528
|
|
|
|
(226,887
|
)
|
|
Guggenheim China
|
|
|
|
|
|
|
|
|
|
|
|
|
|
All-Cap ETF
|
|
|
6,843
|
|
|
|
1,503,732
|
|
|
|
(1,510,575
|
)
|
|
Guggenheim China
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Technology ETF
|
|
|
11,414
|
|
|
|
(973,605
|
)
|
|
|
962,191
|
|
|
Guggenheim Solar ETF
|
|
|
(31,956
|
)
|
|
|
20,429,994
|
|
|
|
(20,398,038
|
)
|
|
Guggenheim S&P Global
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Water Index ETF
|
|
|
(84,642
|
)
|
|
|
(5,939,540
|
)
|
|
|
6,024,182
|
|
Distributions to Shareholders:
The tax character of distributions paid during the year ended August 31, 2012 was as follows:
|
Distributions paid from Ordinary Income
|
|
|
Guggenheim ABC High Dividend ETF
|
|
$
|
453,500
|
|
|
Guggenheim Airline ETF
|
|
|
164,933
|
|
|
Guggenheim China All-Cap ETF
|
|
|
1,450,000
|
|
|
Guggenheim China Technology ETF
|
|
|
593,250
|
|
|
Guggenheim Solar ETF
|
|
|
4,861,440
|
|
|
Guggenheim S&P Global Water Index ETF
|
|
|
3,994,920
|
|
|
Distributions paid from Return of Capital
|
|
|
Guggenheim Airline ETF
|
|
$
|
2,817
|
|
The tax character of distributions paid during the year ended August 31, 2011 was as follows:
|
Distributions paid from Ordinary Income
|
|
|
Guggenheim ABC High Dividend ETF
|
|
$
|
–
|
|
|
Guggenheim Airline ETF
|
|
|
26,600
|
|
|
Guggenheim China All-Cap ETF
|
|
|
874,200
|
|
|
Guggenheim China Technology ETF
|
|
|
179,550
|
|
|
Guggenheim Solar ETF
|
|
|
575,360
|
|
|
Guggenheim S&P Global Water Index ETF
|
|
|
4,420,200
|
|
At August 31, 2012, for federal income tax purposes, the Funds have capital loss carryforwards available as shown in the table below, to the extent provided by the regulations, to offset future capital gains through the years indicated. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to shareholders. Per the Regulated Investment Company Modernization Act of 2010 capital loss carryforwards generated in taxable years beginning after December 22, 2010 must be fully used before capital loss carryforwards generated in taxable years prior to December 22, 2010 are used; therefore, under certain circumstances, capital loss carryforwards available as of the report date, may expire unused.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 53
|
|
|
|
NOTES TO FINANCIAL STATEMENTS continued
|
August 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Loss
|
|
|
Capital Loss
|
|
|
Capital Loss
|
|
|
Unlimited
|
|
|
Unlimited
|
|
|
|
|
|
|
|
Expiring in
|
|
|
Expiring in
|
|
|
Expiring in
|
|
|
Short-Term
|
|
|
Long-Term
|
|
|
|
|
|
|
|
2017
|
|
|
2018
|
|
|
2019
|
|
|
Capital Loss
|
|
|
Capital Loss
|
|
|
Total
|
|
|
Guggenheim ABC High Dividend ETF
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
68,225
|
|
|
$
|
–
|
|
|
$
|
68,225
|
|
|
Guggenheim Airline ETF
|
|
|
–
|
|
|
|
53,969
|
|
|
|
833,950
|
|
|
|
414,007
|
|
|
|
234,775
|
|
|
|
1,536,701
|
|
|
Guggenheim China All-Cap ETF
|
|
|
–
|
|
|
|
29,627
|
|
|
|
853,049
|
|
|
|
415,427
|
|
|
|
783,940
|
|
|
|
2,082,043
|
|
|
Guggenheim China Technology ETF
|
|
|
–
|
|
|
|
–
|
|
|
|
188,097
|
|
|
|
2,199,381
|
|
|
|
775,106
|
|
|
|
3,162,584
|
|
|
Guggenheim Solar ETF
|
|
|
6,030,482
|
|
|
|
118,836,026
|
|
|
|
21,764,929
|
|
|
|
6,127,315
|
|
|
|
39,400,192
|
|
|
|
192,158,944
|
|
|
Guggenheim S&P Global Water Index ETF
|
|
|
31,879,617
|
|
|
|
38,476,281
|
|
|
|
16,548,141
|
|
|
|
629,633
|
|
|
|
–
|
|
|
|
87,533,672
|
|
Capital and foreign currency losses incurred after October 31 (“post-October losses”) within the taxable year are deemed to arise on the first business day of each Fund’s next taxable year. During the year ended August 31, 2012, the following Funds incurred and will elect to defer the following current year post-October losses as though the losses were incurred on the first day of the next fiscal year.
|
|
|
Post-October
|
|
|
|
|
Capital Losses
|
|
|
Guggenheim ABC High Dividend ETF
|
|
$
|
1,167,332
|
|
|
Guggenheim Airline ETF
|
|
|
2,821,959
|
|
|
Guggenheim China All-Cap ETF
|
|
|
1,845,966
|
|
|
Guggenheim China Technology ETF
|
|
|
3,460,151
|
|
|
Guggenheim Solar ETF
|
|
|
46,007,681
|
|
|
Guggenheim S&P Global Water Index ETF
|
|
|
–
|
|
For all open tax years and all major jurisdictions, management of the Trust has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Uncertain tax positions are tax positions taken or expected to be taken in the course of preparing each Fund’s tax returns that would not meet a more-likely-than-not threshold of being sustained by the applicable tax authority and would be recorded as a tax expense in the current year. Open tax years are those that are open for examination by taxing authorities (i.e. generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Trust is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Note 5 -
Investment Transactions:
For the year ended August 31, 2012, the cost of investments purchased and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were as follows:
|
|
|
Purchases
|
|
|
Sales
|
|
|
Guggenheim ABC High Dividend ETF
|
|
$
|
8,330,982
|
|
|
$
|
8,354,870
|
|
|
Guggenheim Airline ETF
|
|
|
8,018,091
|
|
|
|
8,369,281
|
|
|
Guggenheim China All-Cap ETF
|
|
|
7,010,648
|
|
|
|
7,136,692
|
|
|
Guggenheim China Technology ETF
|
|
|
10,320,516
|
|
|
|
10,232,004
|
|
|
Guggenheim Solar ETF
|
|
|
34,776,866
|
|
|
|
32,897,200
|
|
|
Guggenheim S&P Global Water Index ETF
|
|
|
60,974,168
|
|
|
|
59,406,408
|
|
|
For the year ended August 31, 2012, in-kind transactions were as follows:
|
|
|
|
|
Purchases
|
|
|
Sales
|
|
|
Guggenheim ABC High Dividend ETF
|
|
$
|
9,911,776
|
|
|
$
|
3,926,417
|
|
|
Guggenheim Airline ETF
|
|
|
2,732,243
|
|
|
|
5,240,450
|
|
|
Guggenheim China All-Cap ETF
|
|
|
–
|
|
|
|
12,680,494
|
|
|
Guggenheim China Technology ETF
|
|
|
4,308,894
|
|
|
|
13,016,768
|
|
|
Guggenheim Solar ETF
|
|
|
42,974,487
|
|
|
|
26,759,887
|
|
|
Guggenheim S&P Global Water Index ETF
|
|
|
23,214,506
|
|
|
|
45,870,421
|
|
Note 6 –
Capital:
Shares are issued and redeemed by the Funds only in creation unit size aggregations of 50,000 to 100,000 shares. Transactions are permitted on an in-kind basis, with a separate cash payment, which is balancing each component to equate the transaction to the net asset value per share of the Fund on the transaction date. Transaction fees ranging from $500 to $3,000 are charged to those persons creating or redeeming creation units. An additional charge of up to four times the transaction fee may be imposed with respect to transactions effected outside of the clearing process or to the extent that cash is used in lieu of securities to purchase creation units or redeem for cash.
The Guggenheim Solar ETF completed a 1 for 10 reverse stock split prior to the opening of trading on the NYSE Arca on February 15, 2012. The effect of the reverse stock split was to decrease the number of shares outstanding and increase the net asset value. The reverse stock split did not impact the net assets of Guggenheim Solar ETF. The Guggenheim Solar ETF had 29,680,000 issued and outstanding prior to the reverse stock split and 2,968,000 shares issued and outstanding after the reverse stock split. As of August 31, 2012, the Guggenheim Solar ETF had 2,568,000 shares issued and outstanding.
Note 7 -
Distribution and Service Plan:
The Board of Trustees has adopted a distribution and service plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund is authorized to pay distribution fees in connection with the sale and distribution of its shares and pay service fees in connection with the provision of ongoing services to shareholders of each Fund and the maintenance of shareholder accounts in an amount up to 0.25% of its average daily net assets each year. No 12b-1 fees are currently paid by the Funds, and there are no current plans to impose these fees. No such fee may be paid in the future without further approval by the Board of Trustees.
54 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT
|
|
|
|
NOTES TO FINANCIAL STATEMENTS continued
|
August 31, 2012
|
Note 8 –
Indemnifications:
In the normal course of business, the Funds enter into contracts that
contain a variety of representations, which provide general
indemnifications. Each Fund’s maximum exposure under these
arrangements is unknown, as this would require future claims that may be
made against a Fund that have not yet occurred. However, the Funds
expect the risk of loss to be remote.
Note 9 –
Regulatory Matters:
The Investment Adviser has notified the Trust of the following: In 2009, the
Securities and Exchange Commission (“SEC”) staff conducted an
examination of the Investment Adviser and in 2010 reported to the
Investment Adviser that the SEC staff believed certain deficiencies existed
in connection with the management of a liquidated closed-end fund
formerly advised by the Investment Adviser and a third-party sub-adviser.
In April 2012, the Investment Adviser and a current and a former employee
of the Investment Adviser each received separate letters from the SEC staff
(commonly referred to as a Wells Notice) stating that the staff intends to
recommend to the SEC that action be brought against the Investment
Adviser and the current and former employee for allegedly failing to cause
the fund to adequately disclose certain investments made by the fund and
providing the recipients of the letters with an opportunity to respond to
the potential allegations.
The Investment Adviser has replied to the Wells Notice and responded to
the SEC staff’s allegations. Although there can be no assurance as to this
outcome, the Investment Adviser has advised the Trust that it believes its
disclosures were proper and that resolution of this matter will not
materially and adversely affect its financial condition or its ability to act as
Investment Adviser to the Trust.
Note 10 –
Subsequent Event:
The Funds evaluated subsequent events through the date the financial
statements were available for issue and determined there were no
additional material events that would require disclosure in the Funds’
financial statements, except as noted below.
Subsequent to August 31, 2012, the Board of Trustees declared the
following dividends payable on September 28, 2012, to shareholders of
record on September 26, 2012. The dividend rate per share was as follows:
|
Fund
|
Rate
|
|
Guggenheim ABC High Dividend ETF
|
$0.232
|
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 55