UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21910
Claymore Exchange-Traded Fund Trust 2
(Exact name of registrant as specified in charter)
2455 Corporate West Drive, Lisle, IL 60532
(Address of principal executive offices) (Zip code)
Kevin M. Robinson
2455 Corporate West Drive, Lisle, IL 60532
(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
Date of fiscal year end: May 31
Date of reporting period: June 1, 2011 - May 31, 2012
Item 1. Reports to Stockholders.
The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
WWW.GUGGENHEIMFUNDS.COM
. . . YOUR ROAD TO THE LATEST, MOST UP - TO - DATE INFORMATION
| Contents | |
| Dear Shareholder | 3 |
| Economic and Market Overview | 4 |
| Management Discussion of Fund Performance | 6 |
| Fund Summary & Performance | 15 |
| Overview of Fund Expenses | 29 |
| Portfolio of Investments | 31 |
| Statement of Assets and Liabilities | 44 |
| Statement of Operations | 46 |
| Statement of Changes in Net Assets | 48 |
| Financial Highlights | 52 |
| Notes to Financial Statements | 60 |
| Report of Independent Registered Public Accounting Firm | 68 |
| Supplemental Information | 69 |
| Considerations Regarding Annual Review of the | |
| Investment Advisory Agreements and | |
| Investment Subadvisory Agreement | 72 |
| Trust Information | 75 |
| About the Trust Adviser | Back Cover |
The shareholder report you are reading right now is just the beginning of the story. Online at www.guggenheimfunds.com, you will find:
| • | Daily and historical fund pricing, fund returns, portfolio holdings and characteristics, and distribution history. |
| • | Investor guides and fund fact sheets. |
| • | Regulatory documents including a prospectus and copies of shareholder reports. |
Guggenheim Funds Distributors, LLC is constantly updating and expanding shareholder information services on each Fund’s website, in an ongoing effort to provide you with the most current information about how your Fund’s assets are managed, and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment.
| May 31, 2012 |
DEAR SHAREHOLDER
Guggenheim Funds Investment Advisors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for eight of our exchange-traded funds (“ETFs” or “Funds”), including the Guggenheim Yuan Bond ETF, a new Fund introduced in 2011.
The Investment Adviser is now a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global diversified financial services firm.
This report covers performance of the following eight Funds for the annual fiscal period ended May 31, 2012, with the name of each Fund followed by its NYSE Arca ticker symbol:
| - | Guggenheim Canadian Energy Income ETF (ENY) |
| - | Guggenheim China Real Estate ETF (TAO) |
| - | Guggenheim China Small Cap ETF (HAO) |
| - | Guggenheim Frontier Markets ETF (FRN) |
| - | Guggenheim International Multi-Asset Income ETF (HGI) |
| - | Guggenheim Shipping ETF (SEA) |
| - | Guggenheim Timber ETF (CUT) |
| - | Guggenheim Yuan Bond ETF (RMB) |
Guggenheim Funds Distributors, LLC, the distributor of the Funds, is committed to providing investors with innovative investment solutions; as of the date of this report we offer 44 ETFs with a wide range of domestic and global themes, as well as closed-end funds and unit investment trusts. We have built on the investment management strengths of Guggenheim Investments and worked with a diverse group of index providers to create some of the most distinctive ETFs available.
To learn more about economic and market conditions over the last year and the objective and performance of each ETF, we encourage you to read the Economic and Market Overview section of the report, which follows this letter, and the Management Discussion of Fund Performance for each ETF, which begins on page 6.
Sincerely,
Donald Cacciapaglia
Chief Executive Officer
Claymore Exchange-Traded Fund Trust 2
June 30, 2012
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| ECONOMIC AND MARKET OVERVIEW | May 31, 2012 |
Securities markets exhibited considerable volatility over the past 12 months, driven largely by concerns about sovereign debt in several European nations, a fledgling U.S. economic recovery and the sustainability of economic growth in Asia. Risk aversion in fall 2011 and again in May 2012 drove investors toward dollar-denominated assets, sending rates on U.S. Treasury bonds to near historic lows. Fixed income securities generally provided positive returns over the period, including riskier bonds, while returns from equities were generally negative.
Weak economic reports in May 2012 indicated that the world’s major economies were beginning to slip in unison, and both the Organization for Economic Cooperation and Development and the International Monetary Fund forecast lower global growth for 2012. This was in spite of recent efforts from leading central bankers to recharge the global economy, including a restructuring of Greece’s debt that enabled a new international bailout earlier in 2012, and an injection of liquidity from the European Central Bank in December that lessened financial stresses across the continent and contributed to improvement in global financial markets. However, manufacturing gauges in March 2012 indicated that the eurozone was entering a period of economic contraction, meaning that policy makers may need to do more to revive growth across the region and keep the problem from infecting other countries.
Although the U.S. was stronger economically than many countries, slowing growth and job creation late in the period indicated the economy is having difficulty gaining traction. In May 2012, U.S. gross domestic product (GDP) was reported to have grown at an annualized 1.9% pace in the first quarter of 2012, compared with estimates of more than 2.0%, and a 3.0% rate in the fourth quarter of 2011. But the GDP report did show that the lower first quarter growth was partly a result of less inventory building. As companies replenish stocks later in the year, the economy could get a boost. Many firms have been cautious in spending and hiring, even though corporate profits have continued to rise, although at a pace lower than in recent quarters. Economists say many companies are near the limit of what they produce without adding staff and equipment.
To foster growth, the U.S. Federal Reserve (the “Fed”) has said it will leave its key interest rate close to zero at least through 2014, despite arguments by some Fed officials and investors that the Fed may have to consider raising rates much earlier than that to prevent inflation. For now, the Fed’s leadership appears to be committed to keeping rates low, thus reducing borrowing costs for businesses and consumers, and seems prepared to sustain quantitative easing if the employment and growth picture worsens.
For the 12-month period ended May 31, 2012, the Standard & Poor’s 500 Index (the “S&P”), which is generally regarded as an indicator of the broader U.S. stock market, returned -0.41%, with periods of decline last summer and again near the end of the period. Most foreign markets were much weaker: the Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East Index (“EAFE”) Index, which is composed of approximately 1,100 companies in 20 developed countries in Europe and the Pacific Basin, returned -20.49%. The return of the MSCI Emerging Market Index, which measures market performance in global emerging markets, returned -20.32%. The MSCI China Index, which measures performance of the broad Chinese equity market, returned -20.79% for the 12-month period ended May 31, 2012.
In the bond market, higher quality issues performed better than lower-rated bonds, as investors sought to avoid risk. The return of the Barclays Capital U.S. Aggregate Bond Index, which is a proxy for the U.S. investment grade bond market, posted a 7.12% return for the period, while the Barclays Capital U.S. Corporate High Yield Index returned 4.14%. Reflecting the Fed’s continuing accommodative monetary policy, interest rates on short-term securities remained at their lowest levels in many years. The return of the Barclays Capital 1–3 Month U.S. Treasury Bill Index was 0.04% for the 12-month period.
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| May 31, 2012 |
Index Definitions
All indices described below are unmanaged and reflect no expenses. It is not possible to invest directly in any index.
The Barclays Capital U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS.
The Barclays Capital U.S. Corporate High Yield Bond Index: measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds.
The Barclays Capital 1-3 Month U.S. Treasury Bill Index: tracks the performance of U.S. Treasury bills with a remaining maturity of one to three months. U.S. Treasury bills, which are short-term loans to the U.S. government, are full-faith-and-credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of default.
The Dow Jones Global Forestry & Paper Index is a float-adjusted market capitalization weighted index that provides a broad measure of the world forestry and paper markets. According to Dow Jones, the index consists of owners and operators of timber tracts, forest tree nurseries and sawmills excluding providers of finished wood products such as wooden beams, which are classified under Building Materials & Fixtures.
The MSCI China index is a capitalization weighted index that monitors the performance of stocks from the country of China.
The MSCI EAFE Index is a capitalization weighted measure of stock markets in Europe, Australasia and the Far East.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
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.
The Bank of China Hong Kong Offshore RMB Bond Index tracks the total return performance of offshore RMB denominated bonds which are issued outside the Mainland of China and fulfill a set of pre-specified and transparent criteria for eligibility.
The Standard & Poor’s (“S&P”) 500 Index is a capitalization weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of U.S. stock market.
The S&P/TSX Composite Index is a capitalization weighted index. The index is designed to measure performance of the broad Canadian economy through changes in the aggregate market value of stocks representing all major industries.
The STOXX Europe Total Market Forestry & Paper Index represents the European forestry and paper industry as defined by the market standards of ICB (Industry Classification Benchmark).
Industry Sectors
Comments about industry sectors in these fund commentaries are based on Bloomberg industry classifications.
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| MANAGEMENT DISCUSSION OF FUND PERFORMANCE | May 31, 2012 |
ENY Guggenheim Canadian Energy Income ETF
Fund Overview
The Guggenheim Canadian Energy Income ETF, NYSE Arca ticker: ENY
(the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the Sustainable Canadian Energy Income Index (the “Index”).
The Index is comprised of approximately 30 stocks selected, based on investment and other criteria, from a universe of companies listed on the Toronto Stock Exchange (the “TSX”), NYSE AMEX, Nasdaq Stock Market or New York Stock Exchange. The universe of companies includes approximately 200 TSX-listed oil and gas sector securities including royalty trusts and approximately 25 oil sands resource producers that are classified as oil and gas producers. The companies in the universe are selected using criteria as identified by Sustainable Wealth Management, Ltd. (the “Index Provider”).
The Fund will invest at least 90% of its total assets in securities that comprise the Index. Guggenheim Funds Investment Advisors, LLC, the Fund’s 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 May 31, 2012.
On a market price basis, the Fund generated a total return of -31.00%, which included a decrease in market price over the period to $14.73 as of May 31, 2012, from $22.06 on May 31, 2011. On an NAV basis, the Fund generated a total return of -30.45%, which included a decrease in NAV over the period to $14.83 as of May 31, 2012, from $22.03 on May 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 Canadian equity market comparison purposes, the Index returned -29.41% and the S&P/TSX Composite Index (“S&P/TSX”) returned -19.54% for the 12-month period ended May 31, 2012.
The Fund made quarterly distributions per share of $0.105 on June 30, 2011; $0.106 on September 30, 2011; $0.141 on December 30, 2011; and $0.118 on March 30, 2012.
In addition, the Fund made a supplemental distribution of $0.086 per share on December 30, 2011, which was characterized as ordinary income.
Performance Attribution
Since more than 90% of the Fund’s portfolio is invested in the energy sector, the return of this sector was the main determinant of the Fund’s return, and it was the major source of the Fund’s negative return for the 12-month period ended May 31, 2012. The Fund also has positions in the utilities and industrial sectors, which had minimal impact on the Fund’s return.
Positions that contributed most significantly to the Fund’s return included Sinopec Daylight Energy Ltd., which is engaged in oil and gas exploration, exploitation, development and production in Alberta and British Columbia (not held in the Fund’s portfolio at period end); PetroBakken Energy Ltd., Class A, which explores for and produces light oil in Canada (0.9% of the Fund’s long-term investments at period end); and Provident Energy Ltd., which owns and operates a natural gas liquids midstream services and marketing business (not held in the Fund’s portfolio at period end). Positions that detracted most significantly included Connacher Oil & Gas Ltd., an integrated energy company (not held in the Fund’s portfolio at period end); BlackPearl Resources, Inc., an oil and gas exploration company (4.6% of the Fund’s long-term investments at period end) and Petrobank Energy & Resources Ltd., which explores for and develops oil and natural gas in Alberta, Canada (4.3% of the Fund’s long-term investments at period end).
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| MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued | May 31, 2012 |
TAO Guggenheim China Real Estate ETF
Fund Overview
The Guggenheim China Real Estate ETF, NYSE Arca ticker: TAO (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 Real Estate Index (the “Index”).
The Index is designed to measure and monitor the performance of the investable universe of publicly-traded companies and real estate investment trusts (REITs) which are open to foreign ownership and derive a majority of their revenues from real estate development, management and/or ownership of property in China or the Special Administrative Regions of China, such as Hong Kong and Macau. The Index was created by AlphaShares, LLC and is maintained by Standard & Poor’s.
The Fund will invest at least 90% 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 representing common stocks included in the Index (or underlying securities representing the ADRs, ADSs, GDRs and IDRs included in the Index). Guggenheim Funds Investment Advisors, LLC, the Fund’s 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 May 31, 2012.
On a market price basis, the Fund generated a total return of -15.49%, which included a decrease in market price over the period to $16.74 as of May 31, 2012, from $20.07 on May 31, 2011. On an NAV basis, the Fund generated a total return of -15.90%, which included a decrease in NAV over the period to $16.72 as of May 31, 2012, from $20.14 on May 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 market comparison purposes, the Index returned -15.52% and the MSCI China Index, which measures performance of the Chinese equity market, returned
-20.79% for the same period.
-20.79% for the same period.
The Fund made an annual distribution on December 30, 2011, of $0.193 per share, which was characterized as ordinary income.
Performance Attribution
Nearly all of the Fund’s investments are in the real estate holding and development businesses and are classified in the financial and diversified sectors. For the 12-month period ended May 31, 2012, both sectors detracted from the Fund’s return. The top-three contributors to return were in the financial sector. They were Link Real Estate Investment Trust, a real estate investment trust (REIT) based in Hong Kong that invests mainly in retail and car park facilities; China Resources Land Ltd., which through its subsidiaries develops and invests in properties and provides corporate financing and electrical engineering services; and China Overseas Land & Investment Ltd., which through its subsidiaries develops and invests in properties, constructs buildings and invests in Treasury securities and infrastructure projects (4.6%, 4.0% and 5.3%, respectively, of the Fund’s long-term investments at period end). Positions that detracted most significantly from the Fund’s return included Wharf Holdings Ltd., an investment holding company based in Hong Kong; Hongkong Land Holdings Ltd., a property investment, management and development group; and Cheung Kong Holdings Ltd., a Hong Kong-based company that invests in and manages property development and investment projects and hotel and serviced suite operations (5.1%, 5.3% and 4.5%, respectively, of the Fund’s long-term investments at period end).
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| MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued | May 31, 2012 |
HAO Guggenheim China Small Cap ETF
Fund Overview
The Guggenheim China Small Cap ETF, NYSE Arca ticker: HAO (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 Small Cap Index (the “Index”).
The Index is designed to measure and monitor the performance of publicly-traded mainland China-based small capitalization companies. The Index was created by AlphaShares, LLC (“AlphaShares”) and is maintained by Standard & Poor’s. For inclusion in the Index, AlphaShares defines small-capitalization companies as those companies with a maximum $1.5 billion float-adjusted market capitalization.
The Fund will invest at least 90% 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 representing common stocks included in the Index (or underlying securities representing the ADRs, ADSs, GDRs and IDRs included in the Index).
Guggenheim Funds Investment Advisors, LLC, the Fund’s 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 May 31, 2012.
On a market price basis, the Fund generated a total return of -29.15%, which included a decrease in market price over the period to $20.01 as of May 31, 2012, from $29.15 on May 31, 2011. On an NAV basis, the Fund generated a total return of -29.50%, which included a decrease in NAV over the period to $19.97 as of May 31, 2012, from $29.23 on May 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 market comparison purposes, the Index returned -28.56% and the MSCI China Index, which measures performance of the broad Chinese equity market, returned -20.79% for 12-month period ending May 31, 2012.
The Fund made an annual distribution of $0.620 per share on December 30, 2011, which was characterized as ordinary income.
Performance Attribution
For the 12-month period ended May 31, 2012, none of the sectors represented in the Fund contributed positively to the Fund’s return, with the consumer cyclical sector detracting most and utilities detracting least. Positions that contributed most significantly to the Fund’s return included Alibaba.com Ltd., which is a business-to-business e-commerce company that operates an English-language marketplace for global importers and exporters, as well as a Chinese-language marketplace for domestic China trade and a Japanese-language marketplace facilitating trade to and from Japan; Zoomlion Heavy Industry Science and Technology Co. Ltd., which manufactures and markets construction machinery, environmental machinery and satellite navigation products; and Shimao Property Holdings Ltd., which develops real estate projects in China (1.9%, 1.7% and 1.4%, respectively, of the Fund’s common stocks at period end). Positions that detracted most significantly from the Fund’s return included Renhe Commercial Holdings Co. Ltd., which develops underground shopping centers in China; Zhaojin Mining Industry Co. Ltd., which explores, mines, and produces gold; and Semiconductor Manufacturing International Corp., which manufactures, trades, packages, tests, and provides computer-aided design integrated circuits (0.3%, 0.8% and 0.5%, respectively, of the Fund’s common stocks at period end).
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| MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued | May 31, 2012 |
FRN Guggenheim Frontier Markets ETF
Fund Overview
The Guggenheim Frontier Markets ETF, NYSE Arca ticker: FRN (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 New Frontier DR Index (the “Frontier Index”).
The Frontier Index is composed of and tracks the performance of all liquid, as defined by BNY Mellon, the Fund’s index provider (the “Index Provider”), American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”) that trade on the London Stock Exchange (“LSE”), New York Stock Exchange (“NYSE”), NYSE Arca, Inc. (“NYSE Arca”), NYSE AMEX and Nasdaq Stock Market (“NASDAQ”) of Frontier Market countries, as defined by the Index Provider. The Index Provider defines Frontier Market countries based upon an evaluation of gross domestic product growth, per capita income growth, experienced and expected inflation rates, privatization of infrastructure and social inequalities. The countries currently are: Argentina, Bahrain, Jordan, Kuwait, Lebanon, Oman, Qatar, United Arab Emirates, Egypt, Ghana, Kenya, Malawi, Mauritius, Morocco, Nigeria, Tunisia, Zimbabwe, Bulgaria, Croatia, Czech Republic, Estonia, Georgia, Kazakhstan, Latvia, Lithuania, Poland, Romania, Slovak Republic, Slovenia, Ukraine, Bangladesh, Pakistan, Papua New Guinea, Sri Lanka, Vietnam, Peru, Chile, Colombia, Ecuador, Jamaica, Panama, Trinidad and Tobago. An ADR or GDR is determined to be liquid based upon an assessment of trading volume and market capitalization.
The Fund will invest at least 80% of its total assets in ADRs and GDRs that comprise the Index or in the stocks underlying such ADRs and GDRs. The Fund also will invest at least 80% of its total assets in securities of issuers from Frontier Market countries (whether directly or through ADRs or GDRs), as defined by the Index Provider. Guggenheim Funds Investment Advisors, LLC, the Fund’s 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 May 31, 2012.
On a market price basis, the Fund generated a total return of -12.27%, which included a decrease in market price over the period to $19.26 as of May 31, 2012, from $22.95 on May 31, 2011. On an NAV basis, the Fund generated a total return of -14.16%, which included a decrease in NAV over the period to $19.08 as of May 31, 2012, from $23.23 on May 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 emerging market comparison purposes, the Frontier Index returned -12.59% and the Morgan Stanley Capital International (“MSCI”) Emerging Markets Index returned -20.32% for the 12-month period ending May 31, 2012.
The Fund made an annual distribution of $0.824 per share on December 30, 2011, which was characterized as ordinary income.
Performance Attribution
For the 12-month period ending May 31, 2012, all sectors but one in which the Fund was invested had negative returns, detracting from the Fund’s return. The energy sector made a slight contribution to return, and the financial sector detracted most. Positions that contributed most significantly to the Fund’s return included Ecopetrol SA, ADR, an integrated oil company that owns interests in oil producing fields, refineries, ports and a transportation network throughout Colombia; Cia Cervecerias Unidas SA, ADR, a beer brewer and distributor of non-alcoholic beverages in Chile and Argentina; and Banco de Chile ADR, a deposit-gathering bank that offers retail and commercial banking services (11.3%, 2.0% and 3.9%, respectively, of the Fund’s long-term investments at period end). Positions that detracted most significantly from the Fund’s return included YPF SA, which explores for, develops, and produces oil and natural gas in South America, the United States, and Indonesia; Enersis SA, a Chilean company that generates and distributes electric energy; and Telecom Argentina SA, which provides telecommunications services in Argentina (1.1%, 5.8% and 1.4%, respectively, of the Fund’s long-term investments at period end).
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| MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued | May 31, 2012 |
HGI Guggenheim International Multi-Asset Income ETF
Fund Overview
The Guggenheim International Multi-Asset Income ETF, NYSE Arca ticker: HGI (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an index called the Zacks International Multi-Asset Income Index (the “Index”).
The Index is comprised of approximately 150 securities selected, based on investment and other criteria, from a universe of international companies, global real estate investment trusts (“REITs”), master limited partnerships (“MLPs”), Canadian royalty trusts, and American Depositary Receipts (“ADRs”) of emerging market companies and U.S. listed closed-end funds that invest in international companies, and at all times is comprised of at least 40% non-U.S. securities. The companies in the universe are selected using a proprietary strategy developed by Zacks Investment Research, Inc.
The Fund will invest at least 90% of its total assets in securities that comprise the Index and underlying securities representing the ADRs included in the Index. Guggenheim Funds Investment Advisors, LLC, the Fund’s 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 May 31, 2012.
On a market price basis, the Fund generated a total return of -20.81%, which included a decrease in market price over the period to $15.09 as of May 31, 2012, from $20.02 on May 31, 2011. On an NAV basis, the Fund generated a total return of -20.86%, which included a decrease in NAV over the period to $15.05 as of May 31, 2012, from $19.98 on May 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 market comparison purposes, the Index returned -19.88% and the Morgan Stanley Capital International Europe, Australasia, and Far East (MSCI EAFE) Index, an index designed to reflect the movements of stock markets in developed countries of Europe and the Pacific Basin, returned -20.49% for the same period.
The Fund made quarterly distributions per share of $0.309 on June 30, 2011, $0.247 on September 30, 2011, $0.113 on December 30, 2011 and $0.185 on March 30, 2012.
Performance Attribution
For the 12-month period ended May 31, 2012, all but one sector in which the Fund was invested had negative returns, detracting from the Fund’s return. The utilities sector contributed slightly to the Fund’s return, while the financial sector detracted most. Positions that contributed most significantly to the Fund’s return included Huaneng Power International, Inc., ADR, which builds and operates power plants in China; SandRidge Mississippian Trust I, which owns royalty interests in producing and developing oil wells in the Mississippian formation in Oklahoma; and Ecopetrol SA, ADR, an integrated oil company that owns interests in oil producing fields, refineries, ports and a transportation network throughout Colombia (1.1%, 2.2% and 0.8%, respectively, of the Fund’s long-term investments at period end). Positions that detracted most significantly from the Fund’s return included Alon Holdings Blue Square Israel Ltd., an Israeli company that operates retail stores and commercial real estate properties (not held in the Fund’s portfolio at period end); Enerplus Corp., a Canadian oil and gas exploration and production company that owns a large, diversified portfolio of income generating crude oil and natural gas properties (1.8% of the Fund’s long-term investments at period end); and Penn West Petroleum Ltd., an oil and natural gas producer based in Alberta, Canada (1.9% of the Fund’s long-term investments at period end).
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| MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued | May 31, 2012 |
SEA Guggenheim Shipping ETF
Fund Overview
The Guggenheim Shipping ETF, NYSE Arca ticker: SEA (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the Dow Jones Global Shipping IndexSM (the “Index”).
The Index is designed to measure the performance of high dividend-paying companies in the global shipping industry. CME Group Index Services LLC (the “Index Provider”) uses a rules-based methodology to rank companies by yield that are involved in the shipping industry globally that primarily transport goods and materials. The Index Provider considers a company to be in the shipping industry if its revenues are derived primarily from shipping activities (excluding companies solely involved in transporting passengers). The Index Provider determines whether a company is “high-dividend paying” by ranking it relative to other companies in the shipping industry based upon indicated annual yield (most recent distribution annualized and divided by the current share price). Prior to July 27, 2011, the Fund sought to replicate, before the Fund’s fees and expenses, the performance of the Delta Global Shipping Index.
The Fund will at all times invest at least 90% of its total assets in common stock, American Depositary Receipts (“ADRs”), Global Depositary Receipts (“GDRs”) and master limited partnerships (“MLPs”) that comprise the Index and the underlying stocks in respect of the ADRs and GDRs in the Index. Guggenheim Funds Investment Advisors, LLC, the Fund’s 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 May 31, 2012.
On a market price basis, the Fund generated a total return of -32.10%, which included a decrease in market price over the period to $15.99 as of May 31, 2012, from $24.67 on May 31, 2011. On an NAV basis, the Fund generated a total return of -31.98%, which included a decrease in NAV over the period to $16.03 as of May 31, 2012, from $24.69 on May 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 market comparison purposes, the Index returned -27.61% and the MSCI World Index, an index designed to measure the equity market performance of developed markets, returned -11.02% for the same period.
The Fund made quarterly distributions per share of $0.684 on June 30, 2011, $0.077 on September 30, 2011, $0.092 on December 30, 2011 and $0.103 on March 30, 2012.
Performance Attribution
Most of the Fund’s portfolio is invested in the industrial sector, and it was the largest detractor from return. The non-cyclical consumer sector was the only contributor to return. Positions that contributed most to the Fund’s return included Teekay LNG Partners, LP, a provider of marine transportation services to producers of liquefied natural gas, liquefied petroleum gas and crude oil; Alexander & Baldwin, Inc., which includes a subsidiary that is engaged in real estate and agricultural businesses that develop real property in Hawaii and the mainland, and grows sugar cane and coffee; and Seaspan Corp., which operates a fleet of containerships (4.7%, 6.1% and 3.6%, respectively, of the Fund’s long-term investments at period end). Positions that detracted most significantly from the Fund’s return included three Japanese marine transportation companies: Mitsui OSK Lines Ltd.; Nippon Yusen KK; and Kawasaki Kisen Kaisha Ltd. (8.8%, 9.6% and 4.4%, respectively, of the Fund’s long-term investments at period end).
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 11 |
| MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued | May 31, 2012 |
CUT Guggenheim Timber ETF
Fund Overview
The Guggenheim Timber ETF, NYSE Arca ticker: CUT (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the Beacon Global Timber Index (the “Index”).
All securities in the Index are selected from the universe of global timber companies. Beacon Indexes LLC (“Beacon” or the “Index Provider”) defines global timber companies as firms who own or lease forested land and harvest the timber from such forested land for commercial use and sale of wood-based products, including lumber, pulp or other processed or finished goods such as paper and packaging.
The Fund will invest at least 90% 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 the ADRs and GDRs included in the Index). Guggenheim Funds Investment Advisors, LLC, the Fund’s 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 May 31, 2012.
On a market price basis, the Fund generated a total return of -27.98%, which included a decrease in market price over the period to $15.75 as of May 31, 2012, from $22.38 on May 31, 2011. On an NAV basis, the Fund generated a total return of -28.20%, which included a decrease in NAV over the period to $15.71 as of May 31, 2012, from $22.39 on May 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 world market comparison purposes, the Index returned -27.36%; the Dow Jones Global Forestry & Paper Index returned -31.94%; and the MSCI World Index, an index designed to measure the equity market performance of developed markets, returned -11.02% for the same period.
The Fund made an annual distribution of $0.387 per share on December 30, 2011, which was characterized as ordinary income.
Performance Attribution
Since approximately 70% of the Fund’s portfolio is invested in the basic materials sector, return of this sector is the main determinant of the Fund’s return, and it was the major detractor from the Fund’s return for the 12-month period ended May 31, 2012. The Fund also has positions in the energy, financial and industrial sectors, all of which detracted from the Fund’s return.
Positions that contributed most significantly to the Fund’s return included American paper manufacturer Wausau Paper Corp. (not held in the Fund’s portfolio at period end); Weyerhaeuser Co., an integrated forest products company (5.0% of the Fund’s long-term investments at period end); and Rayonier Inc. REIT, an international forestry products company (5.2% of the Fund’s long-term investments at period end). Positions that detracted most significantly from the Fund’s return included Fibria Celulose SA, a Brazilian company involved in the renewable forest business (4.1% of the Fund’s long-term investments at period end); Smurfit Kappa Group PLC, one of the world’s largest integrated manufacturers of paper-based packaging products, with operations in Europe and Latin America (3.5% of the Fund’s long-term investments at period end); and Sino-Forest Corporation, a commercial forest plantation operator in the People’s Republic of China (not held in the Fund’s portfolio at period end).
| 12 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| MANAGEMENT DISCUSSION OF FUND PERFORMANCE continued | May 31, 2012 |
RMB Guggenheim Yuan Bond ETF
Fund Overview
The Guggenheim Yuan Bond ETF, NYSE Arca ticker: RMB (the “Fund”) seeks to replicate, before the Fund’s fees and expenses, the performance of the AlphaShares China Yuan Bond Index (the “Index”). The Index is a rules-based index comprised of, as of December 2, 2011, approximately 44 securities. The securities in the Index are bonds that are eligible for investment by U.S. and other foreign investors and denominated in Chinese Yuan, whether issued by Chinese or non-Chinese issuers and traded in the secondary market, a market commonly referred to as the “Dim Sum” bond market. The Fund will not invest in securities traded in mainland China. The Index includes bonds issued by mainland Chinese entities with a minimum of Yuan 1 billion outstanding par value, as well as bonds issued by non-mainland Chinese entities (which have no minimum outstanding par value requirement). All of the bond issues or issuers must have an investment grade rating by Moody’s Investors Service, Standard & Poor’s Ratings Services and/or Fitch Ratings. Bonds must have a minimum of one year maturity for inclusion in the Index. Only bonds that pay a fixed periodic coupon, that delay coupon payments until maturity, zero coupon bonds or floating rate bonds are eligible for inclusion in the Index. The interest rates of the floating rate bonds in the Index typically adjust based upon the then-current Shanghai Interbank Offered Rate on a quarterly basis. The Chinese Yuan-denominated debt securities in which the Fund invests are currently not listed on a stock exchange or a primary securities market where trading is conducted on a regular basis. The Index was created by AlphaShares, LLC and is maintained by Interactive Data Corporation.
The Fund will invest at least 80% of its total assets in fixed income securities that comprise the Index. Guggenheim Funds Investment Advisors, LLC (the “Investment Adviser”), J.P. Morgan Investment Management, Inc. (“JPMIM”) and JF International Management Inc. (“JFIMI,” together with JPMIM, the “Investment Sub-Advisers”) seek 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 uses a sampling approach in seeking to achieve its investment objective. Sampling means that the Investment Adviser and Investment Sub-Advisers use quantitative analysis to select securities from the Index universe to obtain a representative sample of securities that resemble the Index in terms of key risk factors, performance attributes and other characteristics. These characteristics include maturity, credit quality, duration and other financial characteristics of fixed income securities.
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 abbreviated annual fiscal period from the Fund’s inception date of September 22, 2011, through May 31, 2012.
On a market price basis, the Fund generated a total return of 1.29%, which included an increase in market price over the period to $25.16 as of May 31, 2012, from $25.00 at inception. On an NAV basis, the Fund generated a total return of -0.31%, which included a decrease in NAV over the period to $24.76 as of May 31, 2012, from $25.00 at inception. 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 bond market comparison purposes, the Index returned 0.17% and the Bank of China Hong Kong Offshore RMB Bond Index, which also measures the performance of the Dim Sum bond market, but includes both investment grade and below investment grade rated securities, returned -0.22% for the period from the Fund’s inception date through May 31, 2012.
The Fund made the following monthly distributions per share during the abbreviated annual period ended May 31, 2012, all of which were characterized as ordinary income.
| Month | Distribution per Share | |
| November 2011 | $ | 0.017 |
| December | $ | 0.019 |
| January 2012 | $ | 0.021 |
| February | $ | 0.027 |
| March | $ | 0.025 |
| April | $ | 0.026 |
| May | $ | 0.029 |
Performance Attribution
For the period since inception through May 31, 2012, the sovereign sector made the largest contribution to return, followed by the auto manufacturers sector. The food and diversified holding companies sectors detracted most from the Fund’s return. Positions that contributed most significantly to the Fund’s return included 1.8% coupon 2015 bonds issued by the Government of China; 2.15% coupon 2016 bonds issued by Volkswagen International Finance NV, which provides financing of and participation in companies belonging to Volkswagen AG group; and two series of bonds issued by the Government of China: 1.4% coupon 2016 bonds and 0.6% coupon 2014 bonds (7.9%, 3.1%, 6.2% and 3.1% of the Fund’s total investments at period end). Positions that detracted most significantly from the Fund’s return included 2.7% coupon 2013 bonds issued by China Development Bank Corp. (9.9% of the Fund’s total investments at period end); 1.0% coupon 2013 bonds issued by the Hong Kong Ministry of Finance (not held in the Fund’s portfolio at period end); and 1.1% coupon 2014 bonds issued by Fonterra Cooperative Group Ltd., a New Zealand dairy cooperative (not held in the Fund’s portfolio at period end).
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 13 |
| May 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.
Equity Risk: The value of the securities held by the Funds will fall due to general market and economic conditions, perceptions regarding the industries in which the issuers of securities held by the Funds participate, or factors relating to specific companies in which the Funds invest.
Foreign Investment Risk: Investing in non-U.S. issuers may involve unique risks such as currency, political, and economic risk, as well as less market liquidity, generally greater market volatility and less complete financial information than for U.S. issuers.
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.
Non-Correlation Risk: The Funds’ return may not match the return of the Index including, but not limited to, operating expenses and costs in buying and selling securities to reflect changes in the Index. The Fund may not be fully invested at times. If the Fund utilizes a sampling approach or futures or other derivative positions, its return may not correlate with the Index return, as would be the case if it purchased all of the stocks with the same weightings as the Index.
Replication Management Risk: The Funds are not “actively” managed. Therefore, it would not necessarily sell a stock because the stock’s issuer was in financial trouble unless that stock is removed from 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: The 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.
Industry Risk: If the Index is comprised of issuers in a particular industry or sector, the Fund would therefore be focused in 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.
Emerging Markets Risk (CUT, FRN, HGI, TAO, HAO, RMB): 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.
Canadian Risk (ENY and HGI): Investing in Canadian royalty trusts and stocks listed on the TSX are subject to: Commodity Exposure Risk, Reliance on Exports Risk, U.S. Economic Risk and Structural Risk (Political Risk).
Master Limited Partnership (MLP) Risk (FRN and HGI): Investments in securities of MLPs involve risks that differ from an investment in common stock. Holders of the units of MLPs have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of MLPs.
China Investment Risk (HAO, TAO and RMB): 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. See prospectus for more information.
REIT Risk (CUT, HGI and TAO): Investments in securities of real estate companies involve risks. These risks include, among others, adverse changes in national, state or local real estate conditions; obsolescence of properties; changes in the availability, cost and terms of mortgage funds; and the impact of changes in environmental laws.
Risks of Investing In Other Investment Companies (HGI): Investments in these securities involve risks, including, among others, that shares of other investment companies are subject to the management fees and other expenses of those companies, and the purchase of shares of some investment companies (in the case of closed-end investment companies) may sometimes require the payment of substantial premiums above the value of such companies’ portfolio securities or net asset values.
Risks of Investing in Frontier Securities (FRN): Investment in securities in emerging market countries involves risks not associated with investments in securities in developed countries, including risks associated with expropriation and/or nationalization, political or social instability, armed conflict, the impact on the economy as a result of civil war, religious or ethnic unrest and the withdrawal or non-renewal of any license enabling the Fund to trade in securities of a particular country, confiscatory taxation, restrictions on transfers of assets, lack of uniform accounting, auditing and financial reporting standards, less publicly available financial and other information, diplomatic development which could affect U.S. investments in those countries and potential difficulties in enforcing contractual obligations. Frontier countries generally have smaller economies or less developed capital markets than traditional emerging markets, and, as a result, the risk of investing in emerging market countries are magnified in frontier countries. As of the date of this prospectus, a significant percentage of the Index is comprised of securities of companies from Poland, Chile and Egypt. To the extent that the index is focused on securities of any one country, including Poland, Chile or Egypt, the value of the index will be especially affected by adverse developments in such country, including the risks described above. Please note: the above risks are a broad overview of the potential risks associated with investing in the Frontier markets. Investing in securities of Frontier countries involves significant risk. The prospectus contains a more detailed discussion of these individual risks and should be evaluated when determining an investor’s risk tolerance.
Foreign Issuers Risk (RMB): Investments in Chinese Yuan-denominated bonds of foreign corporations, governments, agencies and instrumentalities are supranational agencies which have different risks than investing in U.S. companies.
Currency Risk (RMB): Changes in currency exchange rates and the relative value of the Chinese Yuan will affect the value of the Fund’s investment and the value of your Shares. Because the Fund’s net asset value (“NAV”) is determined on the basis of U.S. dollars, the U.S. dollar value of your investment in the Fund may go down if the value of the Chinese Yuan depreciates against the U.S. dollar.
Securities Lending Risk: Although each Fund will receive collateral in connection with all loans of its securities holdings, the Fund would be exposed to a risk of loss should a borrower default on its obligation to return the borrowed securities (e.g., the loaned securities may have appreciated beyond the value of the collateral held by the Fund). In addition, the Funds will bear the risk of loss of any cash collateral that they invest.
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.
| 14 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FUND SUMMARY & PERFORMANCE (Unaudited) | May 31, 2012 |
ENY Guggenheim Canadian Energy Income ETF
| Fund Statistics | ||||
| Share Price | $ | 14.73 | ||
| Net Asset Value | $ | 14.83 | ||
| Premium/Discount to NAV | -0.67 | % | ||
| Net Assets ($000) | $ | 90,015 |
| Total Returns | ||||||||||
| Three | Since | |||||||||
| One | Year | Inception | ||||||||
| (Inception 7/3/07) | Year | (Annualized) | (Annualized) | |||||||
| Guggenheim Canadian | ||||||||||
| Energy Income ETF | ||||||||||
| NAV | -30.45 | % | 5.13 | % | -6.35 | % | ||||
| Market | -31.00 | % | 4.21 | % | -6.49 | % | ||||
| Sustainable Canadian | ||||||||||
| Energy Income Index | -29.41 | % | 6.70 | % | -4.67 | % | ||||
| S&P/TSX Composite Index | -19.54 | % | 8.40 | % | -0.43 | % | ||||
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 $25.05 per share for share price returns or initial net asset value (NAV) of $25.05 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.84%. 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 0.79%. There is a contractual fee waiver currently in place for this Fund through December 31, 2014 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 |
| Energy | 97.5% |
| Utilities | 1.2% |
| Industrial | 1.2% |
| Total Long-Term Investments | 99.9% |
| Investments of Collateral for Securities Loaned | 30.5% |
| Total Investments | 130.4% |
| Liabilities in excess of Other Assets | -30.4% |
| Net Assets | 100.0% |
| % of Long-Term | |
| Country Breakdown | Investments |
| Canada | 100.0% |
| % of Long-Term | |
| Currency Denomination | Investments |
| Canadian Dollar | 100.0% |
| % of Long-Term | |
| Top Ten Holdings | Investments |
| Imperial Oil Ltd. | 7.3% |
| Suncor Energy, Inc. | 7.2% |
| Canadian Oil Sands Ltd. | 7.2% |
| Cenovus Energy, Inc. | 6.5% |
| Southern Pacific Resource Corp. | 6.2% |
| Canadian Natural Resources Ltd. | 5.3% |
| MEG Energy Corp. | 5.0% |
| BlackPearl Resources, Inc. | 4.6% |
| Baytex Energy Corp. | 4.5% |
| Athabasca Oil Corp. | 4.5% |
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.
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the Standard and Poor’s Toronto Stock Exchange Composite Index (S&P/TSX Composite Index). Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The S&P/TSX Composite Index is a capitalization-weighted index. The index is designed to measure performance of the broad Canadian economy through changes in the aggregate market value of stocks representing all major industries. It is not possible to invest directly in the S&P/TSX Composite 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 | 15 |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
TAO Guggenheim China Real Estate ETF
| Fund Statistics | ||||
| Share Price | $ | 16.74 | ||
| Net Asset Value | $ | 16.72 | ||
| Premium/Discount to NAV | 0.12 | % | ||
| Net Assets ($000) | $ | 18,558 |
| Total Returns | ||||||||||
| Three | Since | |||||||||
| One | Year | Inception | ||||||||
| (Inception 12/18/07) | Year | (Annualized) | (Annualized) | |||||||
| Guggenheim China | ||||||||||
| Real Estate ETF | ||||||||||
| NAV | -15.90 | % | 1.42 | % | -5.53 | % | ||||
| Market | -15.49 | % | 0.68 | % | -5.53 | % | ||||
| AlphaShares China | ||||||||||
| Real Estate Index | -15.52 | % | 2.16 | % | -4.68 | % | ||||
| MSCI China Index | -20.79 | % | 2.23 | % | -6.71 | % | ||||
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 $23.50 per share for share price returns or initial net asset value (NAV) of $23.50 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 1.02%. In the Financial Highlights section of the 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 1.35%. There is a contractual fee waiver currently in place for this Fund through December 31, 2014 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 |
| Financials/Real Estate | 88.1% |
| Diversified | 11.2% |
| Total Common Stocks | 99.3% |
| Investments of Collateral for Securities Loaned | 6.7% |
| Total Investments | 106.0% |
| Liabilities in excess of Other Assets | -6.0% |
| Net Assets | 100.0% |
| % of Long-Term | |
| Country Breakdown | Investments |
| China | 98.8% |
| Singapore | 1.2% |
| % of Long-Term | |
| Currency Denomination | Investments |
| Hong Kong Dollar | 93.7% |
| United States Dollar | 5.8% |
| Singapore Dollar | 0.5% |
| % of Long-Term | |
| Top Ten Holdings | Investments |
| China Overseas Land & Investment Ltd. | 5.3% |
| Hongkong Land Holdings Ltd. | 5.3% |
| Wharf Holdings Ltd. | 5.1% |
| Hang Lung Properties Ltd. | 4.9% |
| Sino Land Co. Ltd. | 4.7% |
| Henderson Land Development Co. Ltd. | 4.7% |
| Link Real Estate Investment Trust, REIT | 4.6% |
| Cheung Kong Holdings Ltd. | 4.5% |
| Hang Lung Group Ltd. | 4.4% |
| Sun Hung Kai Properties Ltd. | 4.1% |
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.
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.
| 16 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
HAO Guggenheim China Small Cap ETF
| Fund Statistics | ||||
| Share Price | $ | 20.01 | ||
| Net Asset Value | $ | 19.97 | ||
| Premium/Discount to NAV | 0.20 | % | ||
| Net Assets ($000) | $ | 164,773 |
| Total Returns | ||||||||||
| Three | Since | |||||||||
| One | Year | Inception | ||||||||
| (Inception 1/30/08) | Year | (Annualized) | (Annualized) | |||||||
| Guggenheim China | ||||||||||
| Small Cap ETF | ||||||||||
| NAV | -29.50 | % | 0.37 | % | -3.26 | % | ||||
| Market | -29.15 | % | -0.38 | % | -3.21 | % | ||||
| AlphaShares China | ||||||||||
| Small Cap Index | -28.56 | % | 1.47 | % | -2.06 | % | ||||
| MSCI China Index | -20.79 | % | 2.23 | % | -3.88 | % | ||||
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 $24.34 per share for share price returns or initial net asset value (NAV) of $24.34 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.89%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.75% while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.92%. There is a contractual fee waiver currently in place for this Fund through December 31, 2014 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.70% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.70%. Without this expense cap, actual returns would be lower.
| Portfolio Breakdown | % of Net Assets |
| Industrial | 26.0% |
| Financial | 18.1% |
| Consumer, Cyclical | 16.4% |
| Consumer, Non-cyclical | 15.6% |
| Basic Materials | 9.9% |
| Communications | 4.8% |
| Utilities | 4.5% |
| Technology | 1.8% |
| Energy | 1.7% |
| Diversified | 0.4% |
| Total Long-Term Investments | 99.2% |
| Investments of Collateral for Securities Loaned | 23.4% |
| Total Investments | 122.6% |
| Liabilities in excess of Other Assets | -22.6% |
| Net Assets | 100.0% |
% of Long-Term | |
| Country Breakdown | Investments |
| China | 99.3% |
| Singapore | 0.7% |
% of Long-Term | |
| Currency Denomination | Investments |
| Hong Kong Dollar | 95.5% |
| United States Dollar | 3.2% |
| Singapore Dollar | 1.3% |
% of Long-Term | |
| Top Ten Holdings | Investments |
| Alibaba.com Ltd. | 1.9% |
| Zoomlion Heavy Industry Science and Technology Co. Ltd. | 1.7% |
| Longfor Properties Co. Ltd. | 1.5% |
| Tsingtao Brewery Co. Ltd. | 1.5% |
| Shimao Property Holdings Ltd. | 1.4% |
| Guangdong Investment Ltd. | 1.3% |
| China Shanshui Cement Group Ltd. | 1.2% |
| Agile Property Holdings Ltd. | 1.2% |
| China Railway Group Ltd. | 1.2% |
| Sino-Ocean Land Holdings Ltd. | 1.2% |
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.
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 17 |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
HAO Guggenheim China Small Cap ETF (continued)
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.
| 18 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
FRN Guggenheim Frontier Markets ETF
| Fund Statistics | ||||
| Share Price | $ | 19.26 | ||
| Net Asset Value | $ | 19.08 | ||
| Premium/Discount to NAV | 0.94 | % | ||
| Net Assets ($000) | $ | 133,397 |
| Total Returns | ||||||||||
| Three | Since | |||||||||
| One | Year | Inception | ||||||||
| (Inception 6/12/08) | Year | (Annualized) | (Annualized) | |||||||
| Guggenheim Frontier | ||||||||||
| Markets ETF | ||||||||||
| NAV | -14.16 | % | 12.20 | % | -4.10 | % | ||||
| Market | -12.27 | % | 12.58 | % | -3.87 | % | ||||
| BNY Mellon New | ||||||||||
| Frontier DR Index | -12.59 | % | 13.46 | % | -3.23 | % | ||||
| MSCI Emerging | ||||||||||
| Markets Index | -20.32 | % | 7.88 | % | -3.13 | % | ||||
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 $24.34 per share for share price returns or initial net asset value (NAV) of $24.34 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.80%. 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 0.81%. There is a contractual fee waiver currently in place for this Fund through December 31, 2014 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.
% of Long-Term | |
| Country Breakdown | Investments |
| Chile | 37.3% |
| Colombia | 17.9% |
| Egypt | 10.7% |
| Peru | 8.6% |
| Argentina | 6.7% |
| Kazakhstan | 4.9% |
| Lebanon | 4.4% |
| Nigeria | 4.3% |
| Oman | 1.8% |
| Ukraine | 1.3% |
| United States | 1.1% |
| Isle of Man | 1.0% |
% of Long-Term | |
| Currency Denomination | Investments |
| United States | 100.0% |
| Portfolio Breakdown | % of Net Assets |
| Financial | 33.7% |
| Energy | 18.0% |
| Basic Materials | 14.1% |
| Utilities | 13.0% |
| Consumer, Non-cyclical | 6.3% |
| Communications | 4.8% |
| Industrial | 4.5% |
| Consumer, Cyclical | 4.0% |
| Total Common Stocks and Preferred Stocks | 98.4% |
| Exchange Traded Fund | 1.1% |
| Investments of Collateral for Securities Loaned | 13.6% |
| Total Investments | 113.1% |
| Liabilities in excess of Other Assets | -13.1% |
| Net Assets | 100.0% |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 19 |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
FRN Guggenheim Frontier Markets ETF (continued)
| % of Long-Term | |
| Top Ten Holdings | Investments |
| Ecopetrol SA, ADR | 11.3% |
| Cia de Minas Buenaventura SA, ADR | 8.1% |
| Empresa Nacional de Electricidad SA, ADR | 6.8% |
| BanColombia SA, ADR | 6.6% |
| Sociedad Quimica y Minera de Chile SA, ADR | 6.1% |
| Enersis SA, ADR | 5.8% |
| Guaranty Trust Bank PLC, GDR | 4.3% |
| KazMunaiGas Exploratin Production JSC, GDR | 4.2% |
| Banco Santander Chile, ADR | 4.0% |
| Lan Airlines SA, ADR | 4.0% |
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.
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI Emerging Markets Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. It is not possible to invest directly in the MSCI Emerging Market 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 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
HGI Guggenheim International Multi-Asset Income ETF
| Fund Statistics | ||||
| Share Price | $ | 15.09 | ||
| Net Asset Value | $ | 15.05 | ||
| Premium/Discount to NAV | 0.27 | % | ||
| Net Assets ($000) | $ | 102,306 |
| Total Returns | ||||||||||
| Three | Since | |||||||||
| One | Year | Inception | ||||||||
| (Inception 7/11/07) | Year | (Annualized) | (Annualized) | |||||||
| Guggenheim International | ||||||||||
| Multi-Asset Income ETF | ||||||||||
| NAV | -20.86 | % | 6.23 | % | -5.61 | % | ||||
| Market | -20.81 | % | 6.00 | % | -5.57 | % | ||||
| Zacks International | ||||||||||
| Multi-Asset | ||||||||||
| Income Index | -19.88 | % | 6.99 | % | -5.01 | % | ||||
| MSCI EAFE Index | -20.49 | % | 3.39 | % | -7.89 | % | ||||
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 the 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 $24.98 per share for share price returns or initial net asset value (NAV) of $24.98 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 1.09%. 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 0.92%. There is a contractual fee waiver currently in place for this Fund through December 31, 2014 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.
| % of Long-Term | |
| Country Breakdown | Investments |
| United States | 14.4% |
| United Kingdom | 11.8% |
| France | 7.4% |
| Germany | 7.2% |
| Brazil | 5.4% |
| Japan | 5.4% |
| Canada | 4.8% |
| Netherlands | 4.7% |
| China | 4.6% |
| Australia | 4.3% |
| Hong Kong | 4.2% |
| Chile | 3.2% |
| Spain | 2.2% |
| Bermuda | 2.1% |
| Taiwan | 1.9% |
| Italy | 1.6% |
| Switzerland | 1.5% |
| Colombia | 1.3% |
| South Africa | 1.2% |
| Portugal | 1.2% |
| Singapore | 1.2% |
| Indonesia | 1.0% |
| Mexico | 1.0% |
| Norway | 0.9% |
| Channel Islands | 0.9% |
| Philippines | 0.9% |
| India | 0.7% |
| Sweden | 0.7% |
| Israel | 0.6% |
| Austria | 0.5% |
| Finland | 0.4% |
| Peru | 0.3% |
| Denmark | 0.3% |
| Cayman Islands | 0.2% |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 21 |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
HGI Guggenheim International Multi-Asset Income ETF continued
| Portfolio Breakdown | % of Net Assets |
| Communications | 17.3% |
| Financial | 17.2% |
| Energy | 11.2% |
| Consumer, Non-cyclical | 10.2% |
| Basic Materials | 10.1% |
| Industrial | 8.1% |
| Utilities | 6.7% |
| Consumer, Cyclical | 5.3% |
| Technology | 2.2% |
| Diversified | 1.2% |
| Total Common Stocks, Preferred Stocks and | |
| Master Limited Partnerships | 89.5% |
| Closed End Funds | 9.9% |
| Rights | 0.1% |
| Total Long-Term Investments | 99.5% |
| Investments of Collateral for Securities Loaned | 15.8% |
| Total Investments | 115.3% |
| Liabilities in excess of Other Assets | -15.3% |
| Net Assets | 100.0% |
% of Long-Term | |
| Currency Denomination | Investments |
| United States Dollar | 40.5% |
| Euro | 25.3% |
| Pound Sterling | 12.7% |
| Hong Kong Dollar | 6.7% |
| Japanese Yen | 5.3% |
| Australian Dollar | 4.3% |
| All Other Currencies | 5.2% |
% of Long-Term | |
| Top Ten Holdings | Investments |
| SandRidge Mississippian Trust I | 2.2% |
| Chesapeake Granite Wash Trust | 2.2% |
| Penn West Petroleum Ltd. | 1.9% |
| Enerplus Corp. | 1.8% |
| Cia Energetica de Minas Gerais, ADR | 1.4% |
| Fly Leasing Ltd., ADR | 1.4% |
| Telefonica Brasil SA, ADR | 1.4% |
| Corpbanca, ADR | 1.2% |
| Chunghwa Telecom Co. Ltd., ADR | 1.2% |
| Portugal Telecom SGPS SA | 1.2% |
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.
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI EAFE Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI EAFE Index is a capitalization weighted measure of stock markets in Europe, Australasia and the Far East. It is not possible to invest directly in the MSCI EAFE 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 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
SEA Guggenheim Shipping ETF
| Fund Statistics | ||||
| Share Price | $ | 15.99 | ||
| Net Asset Value | $ | 16.03 | ||
| Premium/Discount to NAV | -0.25 | % | ||
| Net Assets ($000) | $ | 30,452 |
| Total Returns | |||||||
| Since | |||||||
| One | Inception | ||||||
| (Inception 6/11/10) | Year | (Annualized) | |||||
| Guggenheim Shipping ETF | |||||||
| NAV | -31.98 | % | -19.12 | % | |||
| Market | -32.10 | % | -19.23 | % | |||
| Dow Jones Global | |||||||
Shipping IndexSM | -27.61 | % | -11.51 | % | |||
| Delta Global Shipping | |||||||
| Index/Dow Jones Global | |||||||
Shipping IndexSM | -30.79 | %1 | -18.26 | %2 | |||
| MSCI World Index | -11.02 | % | 7.02 | % | |||
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 $25.96 per share for share price returns or initial net asset value (NAV) of $25.96 per share for NAV returns. Returns for periods of less than one year are not annualized.
The Fund’s annual operating ratio of 0.65% is expressed as a unitary fee and covers all expenses of the Fund, except distributions fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses.
| Portfolio Breakdown | % of Net Assets |
| Industrials | 90.3% |
| Financial | 4.9% |
| Consumer, Non-cyclical | 4.0% |
| Total Common Stock and Master Limited Partnerships | 99.2% |
| Investments of Collateral for Securities Loaned | 25.1% |
| Total Investments | 124.3% |
| Liabilities in excess of Other Assets | -24.3% |
| Net Assets | 100.0% |
% of Long-Term | |
| Country Breakdown | Investments |
| Marshall Islands | 29.9% |
| Bermuda | 25.0% |
| Japan | 22.8% |
| United States | 9.8% |
| Singapore | 9.2% |
| Denmark | 3.3% |
% of Long-Term | |
| Currency Denomination | Investments |
| United States Dollar | 51.2% |
| Japanese Yen | 22.8% |
| Singapore Dollar | 9.2% |
| Hong Kong Dollar | 8.3% |
| Norwegian Krone | 5.2% |
| Danish Krone | 3.3% |
% of Long-Term | |
| Top Ten Holdings | Investments |
| Nippon Yusen KK | 9.6% |
| Mitsui OSK Lines Ltd. | 8.8% |
| SembCorp Marine Ltd. | 6.3% |
| Alexander & Baldwin, Inc. | 6.1% |
| COSCO Pacific Ltd. | 5.0% |
| Teekay LNG Partners, LP | 4.7% |
| Kawasaki Kisen Kaisha Ltd. | 4.4% |
| Teekay Corp. | 4.1% |
| Teekay Offshore Partners, LP | 4.1% |
| Ship Finance International Ltd. | 4.0% |
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.
1 The benchmark return reflects the blended return of the Delta Global Shipping Index from 5/31/11 - 7/26/11 and the return of the Dow Jones Global Shipping IndexSM from 7/27/11 - 5/31/12.
2 The benchmark return reflects the blended return of the Delta Global Shipping Index from 6/11/10 - 7/26/11 and the return of the Dow Jones Global Shipping IndexSM from 7/27/11 - 5/31/12.
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 23 |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
SEA Guggenheim Shipping ETF continued |
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 is designed to measure equity market performance of the 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.
| 24 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
CUT Guggenheim Timber ETF
| Fund Statistics | ||||
| Share Price | $ | 15.75 | ||
| Net Asset Value | $ | 15.71 | ||
| Premium/Discount to NAV | 0.25 | % | ||
| Net Assets ($000) | $ | 106,054 |
| Total Returns | ||||||||||
| Since | ||||||||||
| One | Three Year | Inception | ||||||||
| (Inception 11/9/07) | Year | (Annualized) | (Annualized) | |||||||
| Guggenheim Timber ETF | ||||||||||
| NAV | -28.20 | % | 4.51 | % | -7.78 | % | ||||
| Market | -27.98 | % | 4.22 | % | -7.74 | % | ||||
| Beacon Global Timber | ||||||||||
| Index | -27.36 | % | 5.79 | % | -6.58 | % | ||||
| MSCI World Index | -11.02 | % | 8.96 | % | -4.64 | % | ||||
| Dow Jones Global | ||||||||||
| Forestry & Paper Index | -31.94 | % | 5.35 | % | -11.87 | % | ||||
| STOXX Europe Total Market | ||||||||||
| Forestry & Paper Index | -38.62 | % | 9.51 | % | -11.72 | % | ||||
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 $24.91 per share for share price returns or initial net asset value (NAV) of $24.91 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.82%. 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 determined to be 0.82%. There is a contractual fee waiver currently in place for this Fund through December 31, 2014 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 |
| Basic Materials | 68.9% |
| Financial | 18.1% |
| Industrial | 4.7% |
| Energy | 1.1% |
| Total Common Stocks | 92.8% |
| Participation Notes | 6.9% |
| Investments of Collateral for Securities Loaned | 7.0% |
| Total Investments | 106.7% |
| Liabilities in excess of Other Assets | -6.7% |
| Net Assets | 100.0% |
% of Long-Term | |
| Country Breakdown | Investments |
| United States | 37.7% |
| Japan | 14.5% |
| Brazil | 11.1% |
| Canada | 8.7% |
| Sweden | 8.4% |
| Finland | 8.2% |
| Portugal | 4.0% |
| Ireland | 3.5% |
| South Africa | 2.3% |
| Spain | 1.1% |
| Australia | 0.5% |
% of Long-Term | |
| Currency Denomination | Investments |
| United States Dollar | 48.8% |
| Euro | 16.8% |
| Japanese Yen | 14.5% |
| Canadian Dollar | 8.7% |
| Swedish Krona | 8.4% |
| All other currencies | 2.8% |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 25 |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
CUT Guggenheim Timber ETF (continued)
| % of Long-Term | |
| Top Ten Holdings | Investments |
| Rayonier, Inc., REIT | 5.2% |
| Weyerhaeuser Co., REIT | 5.0% |
| Plum Creek Timber Co., Inc., REIT | 4.9% |
| MeadWestvaco Corp. | 4.9% |
| West Fraser Timber Co. Ltd. | 4.9% |
| Greif, Inc., Class A | 4.7% |
| International Paper Co. | 4.5% |
Morgan Stanley BV certificates linked to the performance of Duratex SA, Series 0002 | 4.4% |
| Domtar Corp. | 4.4% |
| Svenska Cellulosa AB, B Shares | 4.4% |
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.
| This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the Dow Jones Global Forestry & Paper Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The Dow Jones Global Forestry & Paper Index is a float-adjusted market capitalization weighted index that provides a broad measure of the world forestry and paper markets. It is not possible to invest directly in the Dow Jones Global Forestry & Paper 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. |
| 26 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
RMB Guggenheim Yuan Bond ETF |
| Fund Statistics | ||||
| Share Price | $ | 25.16 | ||
| Net Asset Value | $ | 24.76 | ||
| Premium/Discount to NAV | 1.62 | % | ||
| Net Assets ($000) | $ | 4,953 |
| Total Returns | |
| Since | |
| (Inception 9/22/11) | Inception |
| Guggenheim Yuan | |
| Bond ETF | |
| NAV | -0.31% |
| Market | 1.29% |
| AlphaShares China | |
| Yuan Bond Index | 0.17% |
| Bank of China Hong Kong Offshore | |
| RMB Bond Index | -0.22% |
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 $25.00 per share for share price returns or initial net asset value (NAV) of $25.00 per share for NAV returns. Returns for periods of less than one year are not annualized.
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 |
| Banks | 41.6% |
| Sovereign | 20.1% |
| Diversified Financial Services | 6.3% |
| Distribution & Wholesale | 3.3% |
| Retail | 3.2% |
| Home Furnishings | 3.1% |
| Investment Companies | 3.1% |
| Food | 3.1% |
| Auto Manufacturers | 3.1% |
| Oil & Gas | 3.1% |
| Chemicals | 3.1% |
| Real Estate | 3.1% |
| Gas | 2.9% |
| Total Investments | 99.1% |
| Other Assets in excess of Liabilities | 0.9% |
| Net Assets | 100.0% |
% of Total | |
| Country Breakdown | Investments |
| China | 58.8% |
| Hong Kong | 9.6% |
| Japan | 6.4% |
| Netherlands | 6.3% |
| Germany | 3.2% |
| Cayman Islands | 3.2% |
| United States | 3.2% |
| United Kingdom | 3.1% |
| France | 3.1% |
| Singapore | 3.1% |
% of Total | |
| Credit Quality | Investments |
| AA | 46.2% |
| A | 34.7% |
| BBB | 3.1% |
| NR | 16.0% |
| Represents Standard & Poor’s rating as a percentage of total investments. For securities not rated by Standard & Poor’s Rating Group, the rating by Moody’s Investor Services, Inc. or Fitch Ratings is provided. Credit quality, as rated by Standard & Poor’s, Moody’s or Fitch, is an assessment of the credit worthiness of an issuer of a security. Credit ratings shown are ordered from highest to lowest, are related to the underlying bonds and not the Fund or its value, and are subject to change. Bonds rated BBB and above are considered investment grade and those rated below BBB are considered non-investment grade. |
| % of Total | |
| Currency Denomination | Investments |
| Chinese Renminbi | 100.0% |
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, credit quality and currency denomination are shown as a percentage of total 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 | 27 |
| FUND SUMMARY & PERFORMANCE (Unaudited) continued | May 31, 2012 |
RMB Guggenheim Yuan Bond ETF continued
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the Bank of China Hong Kong Offshore RMB Bond Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The Bank of China Hong Kong Offshore RMB Bond Index tracks the total return performance of offshore RMB denominated bonds which are issued outside the Mainland of China and fulfill a set of pre-specified and transparent criteria for eligibility. 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.
| 28 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| OVERVIEW OF FUND EXPENSES (Unaudited) | May 31, 2012 |
As a shareholder of Guggenheim Canadian Energy Income ETF; Guggenheim China Real Estate ETF; Guggenheim China Small Cap ETF; Guggenheim Frontier Markets ETF; Guggenheim International Multi-Asset Income ETF; Guggenheim Shipping ETF; Guggenheim Timber ETF and Guggenheim Yuan Bond ETF, you incur advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended May 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 | Period1 | ||||||||
| 12/01/11 | 5/31/12 | 5/31/12 | 12/01/11 - 5/31/12 | ||||||||
Guggenheim Canadian Energy Income ETF2 | |||||||||||
| Actual | $ | 1,000.00 | $ | 900.18 | 0.70% | $ | 3.33 | ||||
| Hypothetical | 1,000.00 | 1,021.50 | 0.70% | 3.54 | |||||||
| (5% annual return before expenses) | |||||||||||
Guggenheim China Real Estate ETF2 | |||||||||||
| Actual | 1,000.00 | 1,166.59 | 0.70% | 3.79 | |||||||
| Hypothetical | 1,000.00 | 1,021.50 | 0.70% | 3.54 | |||||||
| (5% annual return before expenses) | |||||||||||
Guggenheim China Small Cap ETF2 | |||||||||||
| Actual | 1,000.00 | 1,004.69 | 0.75% | 3.76 | |||||||
| Hypothetical | 1,000.00 | 1,021.25 | 0.75% | 3.79 | |||||||
| (5% annual return before expenses) | |||||||||||
Guggenheim Frontier Markets ETF2 | |||||||||||
| Actual | 1,000.00 | 1,037.51 | 0.70% | 3.57 | |||||||
| Hypothetical | 1,000.00 | 1,021.50 | 0.70% | 3.54 | |||||||
| (5% annual return before expenses) | |||||||||||
Guggenheim International Multi-Asset Income ETF2 | |||||||||||
| Actual | 1,000.00 | 935.55 | 0.70% | 3.39 | |||||||
| Hypothetical | 1,000.00 | 1,021.50 | 0.70% | 3.54 | |||||||
| (5% annual return before expenses) | |||||||||||
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 29 |
| OVERVIEW OF FUND EXPENSES (Unaudited) continued | May 31, 2012 |
| Annualized | Expenses | ||||||||||||
| Beginning | Ending | Expense | Paid | ||||||||||
| Account | Account | Ratio for the | During | ||||||||||
| Value | Value | Six Months Ended | Period1 | ||||||||||
| 12/01/11 | 5/31/12 | 5/31/12 | 12/01/11 - 5/31/12 | ||||||||||
| Guggenheim Shipping ETF | |||||||||||||
| Actual | $ | 1,000.00 | $ | 1,155.06 | 0.65 | % | $ | 3.50 | |||||
| Hypothetical | 1,000.00 | 1,021.75 | 0.65 | % | 3.29 | ||||||||
| (5% annual return before expenses) | |||||||||||||
Guggenheim Timber ETF2 | |||||||||||||
| Actual | 1,000.00 | 955.26 | 0.70 | % | 3.42 | ||||||||
| Hypothetical | 1,000.00 | 1,021.50 | 0.70 | % | 3.54 | ||||||||
| (5% annual return before expenses) | |||||||||||||
| Guggenheim Yuan Bond ETF | |||||||||||||
| Actual | 1,000.00 | 1,004.66 | 0.65 | % | 3.26 | ||||||||
| Hypothetical (5% annual return before expenses) | 1,000.00 | 1,021.75 | 0.65 | % | 3.29 | ||||||||
| 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 May 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 183/366. |
| 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.
| 30 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| PORTFOLIO OF INVESTMENTS | May 31, 2012 |
ENY Guggenheim Canadian Energy Income ETF
| Number | |||||
| of Shares | Description | Value | |||
| Long-Term Investments - 99.9% | |||||
| Common Stocks - 99.9% | |||||
| Canada - 99.9% | |||||
| 37,420 | AltaGas Ltd.(a) | $ | 1,040,448 | ||
| 49,646 | ARC Resources Ltd.(a) | 991,674 | |||
| 391,716 | Athabasca Oil Corp.(b) | 4,042,715 | |||
| 93,034 | Baytex Energy Corp.(a) | 4,067,880 | |||
| 1,111,329 | BlackPearl Resources, Inc.(b) | 4,120,007 | |||
| 59,425 | Bonavista Energy Corp.(a) | 1,016,042 | |||
| 22,547 | Bonterra Energy Corp. | 1,013,505 | |||
| 93,787 | Canadian Energy Services & Technology Corp. | 989,662 | |||
| 166,566 | Canadian Natural Resources Ltd. | 4,769,596 | |||
| 333,066 | Canadian Oil Sands Ltd. | 6,460,027 | |||
| 184,709 | Cenovus Energy, Inc. | 5,804,478 | |||
| 26,554 | Crescent Point Energy Corp.(a) | 1,018,527 | |||
| 58,578 | Enbridge, Inc. | 2,307,944 | |||
| 31,309 | EnCana Corp.(a) | 623,883 | |||
| 50,460 | Enerplus Corp.(a) | 698,100 | |||
| 58,879 | Freehold Royalties Ltd.(a) | 1,011,255 | |||
| 58,174 | Gibson Energy, Inc. | 1,181,677 | |||
| 198,912 | Horizon North Logistics, Inc. | 1,086,930 | |||
| 162,556 | Husky Energy, Inc.(a) | 3,658,216 | |||
| 164,799 | Imperial Oil Ltd.(a) | 6,604,370 | |||
| 2,883,554 | Ivanhoe Energy, Inc.(b) | 2,254,951 | |||
| 27,777 | Keyera Corp.(a) | 1,127,653 | |||
| 135,373 | MEG Energy Corp.(b) | 4,502,413 | |||
| 156,443 | Nexen, Inc. | 2,446,782 | |||
| 42,263 | Pembina Pipeline Corp.(a) | 1,135,527 | |||
| 249,462 | Pengrowth Energy Corp.(a) | 1,772,582 | |||
| 58,134 | Penn West Petroleum Ltd.(a) | 773,399 | |||
| 70,019 | PetroBakken Energy Ltd., Class A(a) | 772,656 | |||
| 375,387 | Petrobank Energy & Resources Ltd.(b) | 3,906,808 | |||
| 67,914 | Peyto Exploration & Development Corp. | 1,142,172 | |||
| 114,885 | Progress Energy Resources Corp. | 1,241,131 | |||
| 148,183 | Savanna Energy Services Corp. | 1,137,338 | |||
| 3,825,668 | Southern Pacific Resource Corp.(b) | 5,614,033 | |||
| 239,485 | Suncor Energy, Inc.(a) | 6,480,754 | |||
| 27,231 | TransCanada Corp. | 1,112,848 | |||
| 79,392 | Veresen, Inc.(a) | 994,891 | |||
| 24,381 | Vermilion Energy, Inc.(a) | 1,023,446 | |||
| (Cost $113,779,319) | 89,946,320 | ||||
| Investments of Collateral for | |||||
| Securities Loaned - 30.5% | |||||
| 27,396,257 | BNY Mellon Securities Lending Overnight Fund, | ||||
| 0.2175%(c) (d) | |||||
| (Cost $27,396,257) | $27,396,257 | ||||
| Total Investments - 130.4% | |||||
| (Cost $141,175,576) | 117,342,577 | ||||
| Liabilities in excess of Other Assets - (30.4%) | (27,327,579 | ) | |||
| Net Assets - 100.0% | $90,014,998 |
| (a) | Security, or portion thereof, was on loan at May 31, 2012. |
| (b) | Non-income producing security. |
| (c) | At May 31, 2012, the total market value of the Fund’s securities on loan was $25,935,424 and the total market value of the collateral held by the Fund was $27,396,257. |
| (d) | Interest rate shown reflects yield as of May 31, 2012. |
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 31 |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
TAO Guggenheim China Real Estate ETF
| Number | |||||
| of Shares | Description | Value | |||
| Common Stocks - 99.3% | |||||
| Diversified - 11.2% | |||||
| 69,500 | Swire Pacific Ltd., Class A | $ | 749,550 | ||
| 182,500 | Swire Pacific Ltd., Class B | 395,060 | |||
| 179,000 | Wharf Holdings Ltd. | 935,265 | |||
| 2,079,875 | |||||
| Financial - 88.1% | |||||
| 246,000 | Agile Property Holdings Ltd. | 285,595 | |||
| 504,000 | Champion Real Estate Investment Trust, REIT | 203,916 | |||
| 72,000 | Cheung Kong Holdings Ltd. | 830,321 | |||
| 468,000 | China Overseas Land & Investment Ltd. | 978,109 | |||
| 388,000 | China Resources Land Ltd.(a) | 731,920 | |||
| 92,000 | Chinese Estates Holdings Ltd. | 106,689 | |||
| 1,105,524 | Country Garden Holdings Co. Ltd.(b) | 414,526 | |||
| 16,175 | E-House China Holdings Ltd., ADR | 88,154 | |||
| 929,000 | Evergrande Real Estate Group Ltd.(a) | 509,936 | |||
| 222,000 | Fortune Real Estate Investment Trust, REIT (Singapore) | 125,576 | |||
| 652,000 | Franshion Properties China Ltd. | 191,546 | |||
| 514,000 | Glorious Property Holdings Ltd.(b) | 69,541 | |||
| 51,000 | Great Eagle Holdings Ltd. | 127,223 | |||
| 118,500 | Greentown China Holdings Ltd. | 74,360 | |||
| 195,600 | Guangzhou R&F Properties Co. Ltd. | 257,579 | |||
| 141,000 | Hang Lung Group Ltd. | 815,748 | |||
| 283,000 | Hang Lung Properties Ltd. | 902,511 | |||
| 173,000 | Henderson Land Development Co. Ltd. | 871,593 | |||
| 174,000 | Hongkong Land Holdings Ltd. | 974,400 | |||
| 126,000 | Hopewell Holdings Ltd. | 327,954 | |||
| 122,000 | Hopson Development Holdings Ltd.(a) (b) | 65,867 | |||
| 117,000 | Hysan Development Co. Ltd. | 461,316 | |||
| 357,000 | Kaisa Group Holdings Ltd.(b) | 64,860 | |||
| 147,000 | Kerry Properties Ltd. | 585,284 | |||
| 246,500 | KWG Property Holding Ltd.(a) | 146,423 | |||
| 222,500 | Link Real Estate Investment Trust, REIT | 854,352 | |||
| 240,500 | Longfor Properties Co. Ltd. | 373,106 | |||
| 565,600 | New World China Land Ltd. | 199,687 | |||
| 703,000 | New World Development Co. Ltd. | 757,273 | |||
| 372,000 | Poly Hong Kong Investments Ltd.(a) (b) | 180,707 | |||
| 1,584,000 | Renhe Commercial Holdings Co. Ltd.(a) | 79,600 | |||
| 396,000 | Shenzhen Investment Ltd. | 89,805 | |||
| 263,500 | Shimao Property Holdings Ltd. | 353,106 | |||
| 516,300 | Shui On Land Ltd. | 204,236 | |||
| 633,400 | Sino Land Co. Ltd. | 874,910 | |||
| 686,500 | Sino-Ocean Land Holdings Ltd. | 282,177 | |||
| 357,500 | Soho China Ltd. | 242,300 | |||
| 67,000 | Sun Hung Kai Properties Ltd. | 758,847 | |||
| 173,000 | Tian An China Investment | 82,255 | |||
| 159,000 | Wheelock & Co. Ltd. | 474,284 | |||
| 127,000 | Yanlord Land Group Ltd. (Singapore)(a) (b) | 101,009 | |||
| 992,000 | Yuexiu Property Co. Ltd. | 239,025 | |||
| 16,357,626 | |||||
| Total Common Stocks - 99.3% | |||||
| (Cost $23,860,995) | 18,437,501 | ||||
| Investments of Collateral for | |||||
| Securities Loaned - 6.7% | |||||
| 1,239,327 | BNY Mellon Securities Lending Overnight Fund, | ||||
| 0.2175%(c) (d) | |||||
| (Cost $1,239,327) | 1,239,327 | ||||
| Total Investments - 106.0% | |||||
| (Cost $25,100,322) | 19,676,828 | ||||
| Liabilities in excess of Other Assets - (6.0%) | (1,118,412 | ) | |||
| Net Assets - 100.0% | $ | 18,558,416 |
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
| (a) | Security, or portion thereof, was on loan at May 31, 2012. |
| (b) | Non-income producing security. |
| (c) | At May 31, 2012, the total market value of the Fund’s securities on loan was $1,087,932 and the total market value of the collateral held by the Fund was $1,239,327. |
| (d) | Interest rate shown reflects yield as of May 31, 2012. |
| Securities are classified by sectors that represent broad groupings of related industries. |
| See notes to financial statements. |
| 32 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
HAO Guggenheim China Small Cap ETF
| Number | |||||
| of Shares | Description | Value | |||
| Long-Term Investments - 99.2% | |||||
| Common Stocks - 99.2% | |||||
| Basic Materials - 9.9% | |||||
| 1,378,000 | Angang Steel Co. Ltd. | $ | 790,132 | ||
| 732,019 | Billion Industrial Holdings Ltd. | 395,209 | |||
| 2,875,025 | CGN Mining Co. Ltd.(b) | 333,407 | |||
| 2,258,000 | China BlueChemical Ltd. | 1,559,479 | |||
| 4,058,000 | China Forestry Holdings Co. Ltd. (a) | – | |||
| 1,120,023 | China Hongqiao Group Ltd. | 529,643 | |||
| 4,744,000 | China Lumena New Materials Corp.(c) | 855,782 | |||
| 1,667,000 | China Molybdenum Co. Ltd.(b) (c) | 644,388 | |||
| 860,000 | China Qinfa Group Ltd.(b) | 137,408 | |||
| 1,107,000 | China Vanadium Titano - Magnetite Mining Co. Ltd. | 191,136 | |||
| 1,365,000 | Dongyue Group(c) | 882,932 | |||
| 937,000 | Fufeng Group Ltd. | 344,092 | |||
| 2,070,000 | Hunan Nonferrous Metal Corp. Ltd.(b) (c) | 613,464 | |||
| 2,076,000 | Lee & Man Paper Manufacturing Ltd. | 912,163 | |||
| 2,194,000 | Maanshan Iron & Steel (b) (c) | 531,478 | |||
| 1,920,000 | Minmetals Resources Ltd.(b) (c) | �� | 823,827 | ||
| 2,127,000 | Nine Dragons Paper Holdings Ltd. | 1,334,711 | |||
| 1,072,500 | Real Gold Mining Ltd.(a) (b) (c) | – | |||
| 802,007 | Sateri Holdings Ltd. | 193,246 | |||
| 5,994,000 | Shougang Concord International Enterprises Co. Ltd.(b) (c) | 266,457 | |||
| 2,264,000 | Sinofert Holdings Ltd.(c) | 390,906 | |||
| 2,964,000 | Sinopec Shanghai Petrochemical Co. Ltd. | 851,675 | |||
| 1,770,000 | Sinopec Yizheng Chemical Fibre Co. Ltd.(b) (c) | 369,470 | |||
| 951,000 | Xinjiang Xinxin Mining Industry Co. Ltd. | 224,245 | |||
| 1,695,000 | Yingde Gases Group Company Ltd.(b) | 1,548,484 | |||
| 350,000 | Yip’s Chemical Holdings Ltd. | 270,138 | |||
| 1,115,500 | Zhaojin Mining Industry Co. Ltd. | 1,313,731 | |||
| 16,307,603 | |||||
| Communications - 4.8% | |||||
| 1,834,000 | Alibaba.com Ltd.(b) | 3,171,338 | |||
| 64,689 | AsiaInfo-Linkage, Inc.(b) (c) | 685,703 | |||
| 765,500 | BYD Electronic International Co. Ltd. | 202,204 | |||
| 3,038,000 | China Communications Services Corp. Ltd. | 1,514,919 | |||
| 1,684,000 | China Wireless Technologies Ltd. | 264,724 | |||
| 1,039,900 | Comba Telecom Systems Holdings Ltd. | 470,316 | |||
| 109,404 | Giant Interactive Group, Inc., ADR | 548,114 | |||
| 105,864 | Renren, Inc., ADR(b) (c) | 502,854 | |||
| 731,000 | TCL Communication Technology Holdings Ltd. | 258,083 | |||
| 3,323,400 | VODone Ltd. | 329,734 | |||
| 7,947,989 | |||||
| Consumer, Cyclical - 16.4% | |||||
| 753,000 | 361 Degrees International Ltd.(c) | 189,200 | |||
| 985,000 | Anta Sports Products Ltd. | 807,205 | |||
| 1,727,002 | Boshiwa International Holding Ltd.(a) (c) | 310,426 | |||
| 3,322,000 | Bosideng International Holdings Ltd. | 766,202 | |||
| 3,647,000 | China Dongxiang Group Co. | 465,223 | |||
| 1,992,000 | China Eastern Airlines Corp. Ltd.(b) (c) | 562,114 | |||
| 5,373,000 | China Hongxing Sports Ltd.(a) (b) | – | |||
| 684,000 | China Lilang Ltd. | 512,062 | |||
| 2,210,000 | China Southern Airlines Co. Ltd.(c) | 942,564 | |||
| 3,388,000 | China Travel International Investments | 632,998 | |||
| 765,000 | China ZhengTong Auto Services Holdings Ltd.(b) (c) | 478,073 | |||
| 830,023 | Costin New Materials Group Ltd. | 364,700 | |||
| 973,000 | Digital China Holdings Ltd. | 1,579,698 | |||
| 786,000 | Golden Eagle Retail Group Ltd.(c) | 1,717,667 | |||
| 496,000 | Great Wall Motor Co. Ltd. | 1,018,734 | |||
| 1,020,000 | Haier Electronics Group Co. Ltd.(b) | 1,199,946 | |||
| 2,152,000 | Hengdeli Holdings Ltd.(c) | 632,219 | |||
| 38,101 | Home Inns & Hotels Management, Inc., ADR(b) (c) | 816,123 | |||
| 1,388,500 | Intime Department Store Group Co. Ltd. | 1,443,810 | |||
| 927,000 | LI Ning Co. Ltd. | 754,897 | |||
| 1,220,000 | Maoye International Holdings Ltd. | 245,231 | |||
| 828,000 | Minth Group Ltd. | 970,873 | |||
| 1,543,500 | Parkson Retail Group Ltd. | 1,535,376 | |||
| 3,344,000 | PCD Stores Group Ltd.(c) | 340,396 | |||
| 1,022,000 | Peak Sport Products Co. Ltd.(c) | 180,411 | |||
| 400,000 | Ports Design Ltd.(c) | 396,864 | |||
| 2,123,000 | Pou Sheng International Holdings Ltd.(b) | 172,338 | |||
| 946,000 | Qingling Motors Co. Ltd. | 254,758 | |||
| 1,760,000 | Shanghai Jin Jiang International Hotels Group Co. Ltd.(b) | 226,779 | |||
| 976,700 | Shanghai Pharmaceuticals Holding Co. Ltd. | 1,186,762 | |||
| 458,000 | Shenzhou International Group Holdings Ltd. | 814,395 | |||
| 841,500 | Sinotruk Hong Kong Ltd. | 466,244 | |||
| 1,448,019 | Springland International Holdings Ltd. | 917,973 | |||
| 818,000 | TCL Multimedia Technology Holdings Ltd. | 486,952 | |||
| 524,000 | Weiqiao Textile Co. | 218,084 | |||
| 691,500 | Wumart Stores, Inc. | 1,523,628 | |||
| 557,000 | Xinhua Winshare Publishing and Media Co. Ltd. | 238,996 | |||
| 675,000 | XTEP International Holdings | 272,232 | |||
| 1,166,000 | Ying LI International Real Estate Ltd. (Singapore) (b) | 235,236 | |||
| 698,000 | Zhongsheng Group Holdings Ltd.(c) | 1,124,233 | |||
| 27,001,622 | |||||
| Consumer, Non-cyclical - 15.6% | |||||
| 11,261 | 51job, Inc., ADR(b) | 523,637 | |||
| 628,000 | Anhui Expressway Co. | 277,552 | |||
| 2,516,000 | Anxin-China Holdings Ltd. | 470,077 | |||
| 847,000 | Asian Citrus Holdings Ltd. | 425,636 | |||
| 227,000 | Beijing Jingkelong Co. Ltd. | 168,769 | |||
| 197,019 | Biostime International Holdings Ltd.(c) | 494,524 | |||
| 2,164,000 | China Agri-Industries Holdings Ltd. | 1,558,690 |
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 33 | |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
HAO Guggenheim China Small Cap ETF continued
| Number | |||||
| of Shares | Description | Value | |||
| Consumer, Non-cyclical continued | |||||
| 389,000 | China Fishery Group Ltd. | $ | 264,113 | ||
| 922,000 | China Foods Ltd. | 849,430 | |||
| 663,000 | China Huiyuan Juice Group Ltd. | 207,592 | |||
| 1,349,020 | China Medical System Holdings Ltd.(c) | 573,618 | |||
| 515,000 | China Minzhong Food Corp. Ltd. (Singapore) (b) | 231,775 | |||
| 4,263,042 | China Modern Dairy Holdings Ltd.(b) (c) | 1,098,602 | |||
| 930,000 | China Pharmaceutical Group Ltd. | 161,774 | |||
| 499,000 | China Shineway Pharmaceutical Group Ltd. | 766,421 | |||
| 1,520,000 | China Tontine Wines Group Ltd. | 142,974 | |||
| 6,096,000 | CP Pokphand Co.(c) | 793,336 | |||
| 1,348,000 | Dalian Port PDA Co. Ltd. | 293,540 | |||
| 2,424,000 | Global Bio-Chem Technology Group Co. Ltd. | 412,285 | |||
| 282,000 | Guangzhou Pharmaceutical Co. Ltd.(c) | 461,470 | |||
| 1,310,400 | Hua Han Bio-Pharmaceutical Holdings Ltd. | 221,190 | |||
| 1,562,000 | Jiangsu Expressway Co. Ltd. | 1,487,360 | |||
| 476,000 | Lianhua Supermarket Holdings Co. Ltd.(c) | 532,988 | |||
| 601,019 | Microport Scientific Corp. | 263,304 | |||
| 761,000 | People’s Food Holdings Ltd. | 271,628 | |||
| 930,000 | Real Nutriceutical Group Ltd.(c) | 250,449 | |||
| 1,590,000 | Shenguan Holdings Group Ltd. | 895,301 | |||
| 954,000 | Shenzhen Expressway Co. Ltd. | 358,940 | |||
| 10,715,000 | Shenzhen International Holdings Ltd. | 655,808 | |||
| 1,128,000 | Sichuan Expressway Co. Ltd. | 396,792 | |||
| 2,454,032 | Sihuan Pharmaceutical Holdings Group Ltd.(c) | 841,110 | |||
| 514,000 | Silver Base Group Holdings Ltd.(c) | 241,739 | |||
| 2,468,000 | Sino Biopharmaceutical | 756,855 | |||
| 1,302,019 | Tibet 5100 Water Resources Holdings Ltd.(c) | 278,494 | |||
| 242,000 | Tong Ren Tang Technologies Co. Ltd. | 352,358 | |||
| 380,000 | Tsingtao Brewery Co. Ltd.(c) | 2,382,084 | |||
| 1,206,000 | Uni-President China Holdings Ltd. | 1,062,904 | |||
| 724,000 | United Laboratories International Holdings Ltd.(c) | 319,980 | |||
| 475,000 | Vinda International Holdings Ltd. | 776,075 | |||
| 77,033 | WuXi PharmaTech Cayman, Inc., ADR(b) | 1,133,926 | |||
| 2,154,032 | Yashili International Holdings Ltd. | 369,143 | |||
| 788,000 | Yuexiu Transport Infrastructure Ltd. | 376,696 | |||
| 1,836,000 | Zhejiang Expressway Co. Ltd. | 1,263,295 | |||
| 25,664,234 | |||||
| Diversified - 0.4% | |||||
| 3,792,000 | Citic Resources Holdings Ltd.(b) | 596,100 | |||
| Energy - 1.7% | |||||
| 1,727,032 | China Suntien Green Energy Corp. Ltd. | 309,319 | |||
| 712,000 | CIMC Enric Holdings Ltd. | 376,144 | |||
| 1,227,000 | Hidili Industry International Development Ltd.(c) | 376,281 | |||
| 73,022 | LDK Solar Co. Ltd., ADR(b) (c) | 132,170 | |||
| 1,578,030 | MIE Holdings Corp. | 396,498 | |||
| 5,194,000 | United Energy Group Ltd.(b) | 796,415 | |||
| 2,475,035 | Winsway Coking Coal Holding Ltd. | 452,856 | |||
| 2,839,683 | |||||
| Financial - 18.1% | |||||
| 1,660,000 | Agile Property Holdings Ltd. | 1,927,186 | |||
| 1,300,000 | Beijing Capital Land Ltd.(c) | 333,340 | |||
| 1,106,000 | China Everbright Ltd. | 1,476,405 | |||
| 594,000 | China Overseas Grand Oceans Group Ltd. | 786,811 | |||
| 1,538,000 | China SCE Property Holdings Ltd. | 336,896 | |||
| 2,416,000 | China South City Holdings Ltd.(c) | 286,402 | |||
| 3,193,028 | Chongqing Rural Commercial Bank(c) | 1,361,825 | |||
| 109,211 | E-House China Holdings Ltd., ADR | 595,200 | |||
| 2,302,500 | Fantasia Holdings Group Co. Ltd. | 246,246 | |||
| 1,970,000 | Far East Horizon Ltd. | 1,330,112 | |||
| 4,324,000 | Franshion Properties China Ltd. | 1,270,314 | |||
| 3,377,000 | Glorious Property Holdings Ltd.(c) | 456,889 | |||
| 778,000 | Greentown China Holdings Ltd. | 488,202 | |||
| 1,292,800 | Guangzhou R&F Properties Co. Ltd.(c) | 1,702,444 | |||
| 2,353,000 | Kaisa Group Holdings Ltd.(b) | 427,496 | |||
| 1,630,500 | KWG Property Holding Ltd.(c) | 968,529 | |||
| 1,615,000 | Longfor Properties Co. Ltd. | 2,505,473 | |||
| 1,234,000 | Mingfa Group International Co. Ltd.(c) | 332,317 | |||
| 2,458,000 | Poly Hong Kong Investments Ltd.(b) (c) | 1,194,026 | |||
| 1,724,000 | Powerlong Real Estate Holdings Ltd. | 255,462 | |||
| 10,602,000 | Renhe Commercial Holdings Co. Ltd.(c) | 532,774 | |||
| 625,000 | Shanghai Industrial Holdings Ltd. | 1,747,553 | |||
| 2,628,000 | Shenzhen Investment Ltd. | 595,976 | |||
| 1,768,500 | Shimao Property Holdings Ltd.(c) | 2,369,895 | |||
| 4,620,000 | Sino-Ocean Land Holdings Ltd.(c) | 1,898,993 | |||
| 2,374,000 | Soho China Ltd. | 1,609,004 | |||
| 1,836,035 | Sunac China Holdings Ltd. | 579,613 | |||
| 851,000 | Yanlord Land Group Ltd. (Singapore)(c) | 676,838 | |||
| 6,576,000 | Yuexiu Property Co. Ltd. | 1,584,507 | |||
| 29,876,728 | |||||
| Industrial - 26.0% | |||||
| 544,500 | Asia Cement China Holdings Corp. | 231,528 | |||
| 2,572,000 | AviChina Industry & Technology Co. Ltd. | 1,000,849 | |||
| 1,487,500 | BBMG Corp. | 1,182,586 | |||
| 2,366,000 | Beijing Capital International Airport Co. Ltd. | 1,490,783 | |||
| 372,000 | Chiho-Tiande Group Ltd. | 195,566 | |||
| 2,458,000 | China Aerospace International Holdings Ltd. | 196,365 | |||
| 719,000 | China Automation Group Ltd. | 187,142 | |||
| 3,284,500 | China COSCO Holdings Co. Ltd.(c) | 1,574,356 | |||
| 2,335,000 | China Everbright International Ltd. | 1,050,033 | |||
| 1,095,000 | China High Precision Automation Group Ltd.(a) (c) | 378,834 | |||
| 1,467,000 | China High Speed Transmission Equipment Group Co. Ltd.(b) (c) | 604,882 | |||
| 1,145,000 | China Liansu Group Holdings Ltd. | 600,469 |
| See notes to financial statements. |
| 34 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
HAO Guggenheim China Small Cap ETF continued
| Number | |||||
| of Shares | Description | Value | |||
| Industrial continued | |||||
| 706,200 | China Metal Recycling Holdings Ltd.(c) | $ | 647,886 | ||
| 1,481,000 | China National Materials Co. Ltd. | 473,257 | |||
| 2,441,000 | China Railway Construction Corp. Ltd. | 1,896,600 | |||
| 4,947,000 | China Railway Group Ltd. | 1,912,291 | |||
| 4,131,000 | China Rongsheng Heavy Industries Group Holdings Ltd.(c) | 1,133,771 | |||
| 2,515,000 | China Shanshui Cement Group Ltd. | 2,005,947 | |||
| 4,773,000 | China Shipping Container Lines Co. Ltd.(b) (c) | 1,199,269 | |||
| 1,650,000 | China Shipping Development Co. Ltd. | 892,943 | |||
| 1,756,000 | China State Construction International Holdings Ltd.(c) | 1,604,211 | |||
| 1,783,200 | China Zhongwang Holdings Ltd. (b) (c) | 696,199 | |||
| 1,394,000 | Chongqing Machinery & Electric Co. Ltd. | 238,894 | |||
| 766,000 | Cosco International Holdings Ltd. | 304,985 | |||
| 2,380,000 | CSR Corp. Ltd.(c) | 1,830,805 | |||
| 432,200 | Dongfang Electric Corp. Ltd. | 1,009,099 | |||
| 522,000 | First Tractor Co. Ltd.(b) | 462,753 | |||
| 1,616,000 | Fook Woo Group Holdings Ltd.(a) (b) (c) | – | |||
| 1,154,023 | Greatview Aseptic Packaging Co. Ltd.(b) | 565,052 | |||
| 1,814,000 | Guangshen Railway Co. Ltd.(c) | 586,681 | |||
| 266,200 | Guangzhou Shipyard International Co. Ltd.(b) | 189,681 | |||
| 708,000 | Haitian International Holdings Ltd. | 730,729 | |||
| 868,000 | Harbin Electric Co. Ltd. | 842,181 | |||
| 865,500 | International Mining Machinery Holdings Ltd. (a) | 947,931 | |||
| 1,184,000 | Kingboard Laminates Holdings Ltd. | 433,272 | |||
| 2,448,000 | Lonking Holdings Ltd.(c) | 760,185 | |||
| 3,651,000 | Metallurgical Corp. of China Ltd. | 804,449 | |||
| 2,763,000 | NVC Lighting Holdings Ltd. | 633,712 | |||
| 1,101,000 | Sany Heavy Equipment International Holdings Co. Ltd. | 669,607 | |||
| 3,796,000 | Shanghai Electric Group Co. Ltd. | 1,707,035 | |||
| 2,277,000 | Sinotrans Ltd. | 378,480 | |||
| 1,770,500 | Sinotrans Shipping Ltd. | 408,357 | |||
| 890,000 | Sound Global Ltd. (Singapore) | 390,184 | |||
| 163,045 | Suntech Power Holdings Co. Ltd., ADR(b) (c) | 269,024 | |||
| 1,076,023 | Tech Pro Technology Development Ltd. | 422,875 | |||
| 6,194,000 | Tianjin Port Development Holdings Ltd.(c) | 742,241 | |||
| 886,000 | Tianneng Power International Ltd.(c) | 473,775 | |||
| 584,000 | Wasion Group Holdings Ltd. | 218,976 | |||
| 3,168,031 | West China Cement Ltd.(c) | 722,526 | |||
| 637,219 | Xinjiang Goldwind Science & Technology Co. Ltd.(c) | 275,879 | |||
| 2,530,032 | Yuanda China Holdings Ltd. | 306,439 | |||
| 587,000 | Zhuzhou CSR Times Electric Co. Ltd. | 1,709,375 | |||
| 1,849,600 | Zoomlion Heavy Industry Science and Technology Co. Ltd.(c) | 2,712,132 | |||
| 42,903,081 | |||||
| Technology - 1.8% | |||||
| 13,378,000 | Apollo Solar Energy Technology Holdings Ltd.(b) | 353,375 | |||
| 1,100,032 | Chinasoft International Ltd.(b) | 283,482 | |||
| 2,994,000 | Citic 21CN Co. Ltd.(b) | 152,384 | |||
| 899,000 | Kingsoft Corp. Ltd. | 419,333 | |||
| 25,188,000 | Semiconductor Manufacturing International Corp.(b) (c) | 843,835 | |||
| 1,132,000 | TPV Technology Ltd. | 265,466 | |||
| 1,184,500 | Travelsky Technology Ltd. | 639,499 | |||
| 2,957,374 | |||||
| Utilities - 4.5% | |||||
| 3,178,038 | China Datang Corp. Renewable Power Co. Ltd. | 429,971 | |||
| 2,013,000 | China Power International Development Ltd.(c) | 420,194 | |||
| 850,000 | China Resources Gas Group Ltd. | 1,618,766 | |||
| 4,224,000 | Datang International Power Generation Co. Ltd. | 1,458,644 | |||
| 3,150,000 | Guangdong Investment Ltd. | 2,086,241 | |||
| 1,808,000 | Huadian Power International Co. | 396,039 | |||
| 3,698,041 | Huaneng Renewables Corp. Ltd.(b) | 652,804 | |||
| 634,000 | Tianjin Development Holdings Ltd.(b) | 303,894 | |||
| 7,366,553 | |||||
| Total Common Stocks - 99.2% | |||||
| (Cost $214,331,275) | 163,460,967 | ||||
| Investments of Collateral for | |||||
| Securities Loaned - 23.4% | |||||
| 38,475,807 | BNY Mellon Securities Lending Overnight Fund, | ||||
| 0.2175%(d) (e) | |||||
| (Cost $38,475,807) | 38,475,807 | ||||
| Total Investments - 122.6% | |||||
| (Cost $252,807,082) | 201,936,774 | ||||
| Liabilities in excess of Other Assets - (22.6%) | (37,164,217 | ) | |||
| Net Assets - 100.0% | $164,772,557 |
| ADR - American Depositary Receipt | |
| (a) | Security is valued 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 $1,637,191 which represents 1.0% of net assets. |
| (b) | Non-income producing security. |
| (c) | Security, or portion thereof, was on loan at May 31, 2012. |
| (d) | At May 31, 2012, the total market value of the Fund’s securities on loan was $32,970,221 and the total market value of the collateral held by the Fund was $38,477,810 consisting of cash collateral of $38,475,807 and U.S. Government and Agency securities valued at $2,003. |
| (e) | Interest rate shown reflects yield as of May 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 | 35 |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
FRN Guggenheim Frontier Markets ETF |
| Number | |||||
| of Shares | Description | Value | |||
| Long-Term Investments - 99.5% | |||||
| Common Stocks - 83.6% | |||||
| Argentina - 5.9% | |||||
| 76,619 | Banco Macro SA, ADR(a) (b) | $ | 978,425 | ||
| 117,865 | BBVA Banco Frances SA, ADR(b) | 453,780 | |||
| 81,515 | Cresud SACIF y A, ADR | 577,942 | |||
| 194,423 | Grupo Financiero Galicia SA, ADR(a) | 880,736 | |||
| 63,052 | IRSA Inversiones y Representaciones SA, ADR | 432,537 | |||
| 108,600 | Pampa Energia SA, ADR (b) | 510,420 | |||
| 79,237 | Petrobras Argentina SA, ADR(b) | 679,061 | |||
| 155,964 | Telecom Argentina SA, ADR | 1,888,724 | |||
| 119,094 | YPF SA, ADR | 1,523,212 | |||
| 7,924,837 | |||||
| Chile - 29.6% | |||||
| 62,313 | Banco de Chile, ADR(a) | 5,127,737 | |||
| 71,565 | Banco Santander Chile, ADR | 5,327,299 | |||
| 41,682 | Cia Cervecerias Unidas SA, ADR | 2,708,079 | |||
| 150,428 | Corpbanca, ADR(a) | 2,793,448 | |||
| 189,903 | Empresa Nacional de Electricidad SA, ADR | 8,993,806 | |||
| 447,412 | Enersis SA, ADR | 7,695,486 | |||
| 212,058 | Lan Airlines SA, ADR(a) | 5,318,415 | |||
| 43,087 | Vina Concha y Toro SA, ADR(a) | 1,559,749 | |||
| 39,524,019 | |||||
| Colombia - 11.3% | |||||
| 252,019 | Ecopetrol SA, ADR(a) | 15,010,252 | |||
| Egypt - 10.6% | |||||
| 991,773 | Commercial International Bank Egypt SAE, GDR | 3,967,092 | |||
| 363,344 | Egyptian Financial Group-Hermes Holding, GDR(a) (b) | 1,344,373 | |||
| 130,602 | Orascom Construction Industries, GDR(a) | 5,314,195 | |||
| 1,057,414 | Orascom Telecom Holding SAE, GDR(b) | 2,629,789 | |||
| 864,449 | Orascom Telecom Media And Technology Holding | ||||
| SAE, GDR(b) | 899,027 | ||||
| 14,154,476 | |||||
| Isle of Man - 1.0% | |||||
| 130,175 | Zhaikmunai, LP, GDR(a) (b) | 1,269,206 | |||
| Kazakhstan - 4.9% | |||||
| 185,785 | Halyk Savings Bank of Kazakhstan JSC, GDR(a) (b) | 1,021,818 | |||
| 297,004 | KazMunaiGas Exploration Production JSC, GDR | 5,518,334 | |||
| 6,540,152 | |||||
| Lebanon - 4.4% | |||||
| 448,980 | Banque Audi sal- Audi Saradar Group, GDR | 2,895,921 | |||
| 79,152 | BLOM Bank SAL, GDR | 609,470 | |||
| 198,720 | Solidere, GDR | 2,412,461 | |||
| 5,917,852 | |||||
| Nigeria - 4.3% | |||||
| 1,061,960 | Guaranty Trust Bank PLC, GDR(a) | 5,686,796 | |||
| Oman - 1.7% | |||||
| 384,944 | BankMuscat SAOG, GDR | 2,328,911 | |||
| Peru - 8.6% | |||||
| 63,786 | Cementos Pacasmayo SAA, ADR(b) | 695,905 | |||
| 275,420 | Cia de Minas Buenaventura SA, ADR | 10,779,939 | |||
| 11,475,844 | |||||
| Ukraine - 1.3% | |||||
| 61,899 | Avangardco Investments Public Ltd., GDR(b) | 726,694 | |||
| 88,545 | MHP SA, GDR(b) | 956,286 | |||
| 1,682,980 | |||||
| Total Common Stocks - 83.6% | |||||
| (Cost $137,787,215) | 111,515,325 | ||||
| Preferred Stocks - 14.8% | |||||
| Argentina - 0.7% | |||||
| 58,592 | Nortel Inversora SA, Class B, ADR(b) | 943,331 | |||
| Chile - 7.5% | |||||
| 61,834 | Embotelladora Andina SA, Class B, ADR | 1,935,404 | |||
| 155,002 | Sociedad Quimica y Minera de Chile SA, ADR | 8,055,454 | |||
| 9,990,858 | |||||
| Colombia - 6.6% | |||||
| 147,418 | BanColombia SA, ADR | 8,728,620 | |||
| Total Preferred Stocks - 14.8% | |||||
| (Cost $21,074,723) | 19,662,809 | ||||
| Exchange Traded Fund - 1.1% | |||||
| 38,800 | Vanguard MSCI Emerging Markets ETF | ||||
| (Cost $1,631,058) | 1,475,176 | ||||
| Total Long-Term Investments - 99.5% | |||||
| (Cost $160,492,996) | 132,653,310 | ||||
| Investments of Collateral for Securities Loaned - 13.6% | |||||
| 18,194,112 | BNY Mellon Securities Lending Overnight Fund, | ||||
| 0.2175%(c) (d) | |||||
| (Cost $18,194,112) | 18,194,112 | ||||
| Total Investments - 113.1% | |||||
| (Cost $178,687,108) | 150,847,422 | ||||
| Liabilities in excess of Other Assets - (13.1%) | (17,450,893 | ) | |||
| Net Assets - 100.0% | $ | 133,396,529 |
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
JSC - Joint Stock Company
LP - Limited Partnership
PLC - Public Limited Company
SA - Corporation
SAA - Open Corporation
SAE - Corporation
SAL - Joint Stock Company
SAOG - Joint Stock Company
| (a) | Security, or portion thereof, was on loan at May 31, 2012. |
| (b) | Non-income producing security. |
| (c) | At May 31, 2012, the total market value of the Fund’s securities on loan was $17,539,709 and the total market value of the collateral held by the Fund was $18,194,112. |
| (d) | Interest rate shown reflects yield as of May 31, 2012. |
| See notes to financial statements. |
| 36 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
| HGI Guggenheim International Multi-Asset Income ETF |
| Number | |||||
| of Shares | Description | Value | |||
| Long-Term Investments - 99.5% | |||||
| Common Stocks - 81.3% | |||||
| Australia - 4.2% | |||||
| 394,720 | Alumina Ltd. | $ | 377,116 | ||
| 27,470 | Australia & New Zealand Banking Group Ltd. | 556,871 | |||
| 21,841 | BHP Billiton Ltd. | 677,274 | |||
| 30,123 | National Australia Bank Ltd. | 656,816 | |||
| 60,472 | Sims Metal Management Ltd. | 643,443 | |||
| 222,190 | Telstra Corp. Ltd. | 765,072 | |||
| 33,793 | Westpac Banking Corp. | 665,056 | |||
| 4,341,648 | |||||
| Austria - 0.5% | |||||
| 59,151 | Telekom Austria AG | 544,872 | |||
| Bermuda - 2.1% | |||||
| 640,000 | First Pacific Co. Ltd. | 659,721 | |||
| 117,615 | Fly Leasing Ltd., ADR | 1,439,608 | |||
| 2,099,329 | |||||
| Brazil - 2.1% | |||||
| 149,511 | Cia Siderurgica Nacional SA, ADR | 968,831 | |||
| 22,562 | Tim Participacoes SA, ADR | 551,641 | |||
| 30,763 | Ultrapar Participacoes SA, ADR | 628,181 | |||
| 2,148,653 | |||||
| Canada - 4.8% | |||||
| 21,536 | Baytex Energy Corp.(a) | 941,769 | |||
| 6,538 | Canadian Natural Resources Ltd. | 186,856 | |||
| 134,503 | Enerplus Corp.(a) | 1,856,141 | |||
| 145,609 | Penn West Petroleum Ltd. | 1,936,600 | |||
| 4,921,366 | |||||
| Cayman Islands - 0.2% | |||||
| 7,494 | Mindray Medical International Ltd., ADR(a) | 226,244 | |||
| Channel Islands - 0.9% | |||||
| 438 | Randgold Resources Ltd. | 35,022 | |||
| 3,407 | Shire PLC | 95,858 | |||
| 62,149 | WPP PLC | 740,383 | |||
| 871,263 | |||||
| Chile - 3.2% | |||||
| 8,108 | Banco de Chile, ADR(a) | 667,207 | |||
| 8,596 | Banco Santander Chile, ADR | 639,886 | |||
| 66,480 | Corpbanca, ADR(a) | 1,234,534 | |||
| 14,896 | Empresa Nacional de Electricidad SA, ADR | 705,475 | |||
| 3,247,102 | |||||
| China - 4.6% | |||||
| 5,903 | China Petroleum & Chemical Corp., ADR | 526,902 | |||
| 2,606,000 | Guangshen Railway Co. Ltd.(a) | 842,828 | |||
| 43,224 | Huaneng Power International, Inc., ADR(b) | 1,083,193 | |||
| 5,479 | PetroChina Co. Ltd., ADR | 690,737 | |||
| 2,964,000 | Sinopec Shanghai Petrochemical Co. Ltd. | 851,675 | |||
| 426,000 | Yanzhou Coal Mining Co. Ltd. | 716,875 | |||
| 4,712,210 | |||||
| Colombia - 0.8% | |||||
| 13,332 | Ecopetrol SA, ADR | 794,054 | |||
| Denmark - 0.3% | |||||
| 2,214 | Novo Nordisk A/S, Class B | 294,544 | |||
| Finland - 0.4% | |||||
| 157,601 | Nokia OYJ | 413,895 | |||
| France - 7.4% | |||||
| 4,478 | Air Liquide SA | 484,306 | |||
| 9,391 | Danone SA | 602,521 | |||
| 2,583 | Dassault Systemes SA | 234,868 | |||
| 73,489 | France Telecom SA | 923,193 | |||
| 22,950 | GDF Suez | 453,315 | |||
| 4,829 | L’Oreal SA | 542,867 | |||
| 34,046 | Peugeot SA | 335,759 | |||
| 8,849 | Publicis Groupe SA | 409,316 | |||
| 15,689 | Sanofi-Aventis SA | 1,066,927 | |||
| 22,665 | Societe Generale SA(b) | 450,068 | |||
| 102,380 | Veolia Environnement SA(a) | 1,169,164 | |||
| 21,507 | Vinci SA(a) | 859,065 | |||
| 7,531,369 | |||||
| Germany - 7.2% | |||||
| 4,310 | Adidas AG(a) | 320,758 | |||
| 46,460 | Aixtron SE(a) | 678,144 | |||
| 11,036 | Allianz SE | 997,620 | |||
| 10,380 | BASF SE | 723,601 | |||
| 9,651 | Bayer AG | 610,253 | |||
| 16,455 | Deutsche Bank AG(a) | 591,757 | |||
| 71,680 | Deutsche Telekom AG | 706,726 | |||
| 33,080 | E.ON AG | 604,528 | |||
| 3,991 | Fresenius Medical Care AG & Co. KGaA(a) | 264,942 | |||
| 8,063 | Henkel AG & Co. KGaA | 442,197 | |||
| 20,585 | RWE AG | 751,734 | |||
| 4,487 | SAP AG(a) | 257,425 | |||
| 2,680 | Volkswagen AG | 403,276 | |||
| 7,352,961 | |||||
| Hong Kong - 4.1% | |||||
| 233,800 | Bank of East Asia Ltd.(a) | 781,759 | |||
| 311,000 | Cathay Pacific Airways Ltd. | 480,074 | |||
| 952,000 | City Telecom HK Ltd. | 526,241 | |||
| 2,872 | CNOOC Ltd., ADR(a) | 515,093 | |||
| 538,000 | Sino Land Co. Ltd. | 743,135 | |||
| 111,000 | Swire Pacific Ltd., Class A | 1,197,124 | |||
| 4,243,426 |
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 37 |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
HGI Guggenheim International Multi-Asset Income ETF continued
| Number | |||||
| of Shares | Description | Value | |||
| India - 0.8% | |||||
| 5,395 | Infosys Technologies Ltd., ADR(a) | $ | 227,130 | ||
| 35,672 | Sterlite Industries India Ltd., ADR | 237,932 | |||
| 14,590 | Tata Motors Ltd., ADR | 303,326 | |||
| 768,388 | |||||
| Indonesia - 1.0% | |||||
| 32,439 | Telekomunikasi Indonesia Persero TBK PT, ADR | 1,056,214 | |||
| Israel - 0.6% | |||||
| 145,960 | Partner Communications Co. Ltd. | 657,358 | |||
| Italy - 1.6% | |||||
| 666,509 | Intesa Sanpaolo SpA | 826,577 | |||
| 12,668 | Luxottica Group SpA(a) | 409,597 | |||
| 503,270 | Telecom Italia SpA(a) | 415,364 | |||
| 1,651,538 | |||||
| Japan - 5.3% | |||||
| 64,000 | Hitachi Ltd. | 366,461 | |||
| 16,400 | Honda Motor Co. Ltd. | 525,369 | |||
| 53,000 | Kubota Corp. | 454,199 | |||
| 6,500 | Kyocera Corp. | 537,971 | |||
| 406,700 | Mizuho Financial Group, Inc. | 596,448 | |||
| 3,600 | Nidec Corp. | 293,821 | |||
| 21,100 | Nippon Telegraph & Telephone Corp. | 909,494 | |||
| 674 | NTT DoCoMo, Inc. | 1,075,271 | |||
| 3,120 | ORIX Corp. | 269,765 | |||
| 11,000 | Toyota Motor Corp. | 426,449 | |||
| 5,455,248 | |||||
| Mexico - 1.0% | |||||
| 5,229 | Coca-Cola Femsa SAB de CV, ADR | 601,544 | |||
| 4,985 | Fomento Economico Mexicano SAB de CV, ADR | 392,968 | |||
| 994,512 | |||||
| Netherlands - 4.6% | |||||
| 11,278 | Heineken NV | 537,498 | |||
| 57,366 | Koninklijke Ahold NV | 673,908 | |||
| 15,956 | Koninklijke DSM NV | 759,065 | |||
| 89,794 | Koninklijke KPN NV | 848,792 | |||
| 232,368 | PostNL NV | 782,062 | |||
| 109,443 | Reed Elsevier NV | 1,135,071 | |||
| 4,736,396 | |||||
| Norway - 0.9% | |||||
| 107,583 | Norsk Hydro ASA(a) | 446,557 | |||
| 11,934 | Yara International ASA | 449,279 | |||
| 895,836 | |||||
| Peru - 0.3% | |||||
| 7,731 | Cia de Minas Buenaventura SA, ADR | 302,591 | |||
| Philippines - 0.8% | |||||
| 16,153 | Philippine Long Distance Telephone Co., ADR | 866,931 | |||
| Portugal - 1.2% | |||||
| 318,103 | Portugal Telecom SGPS SA(a) | 1,201,195 | |||
| Singapore - 1.2% | |||||
| 87,000 | United Overseas Bank Ltd. | 1,194,204 | |||
| South Africa - 1.2% | |||||
| 22,725 | Gold Fields Ltd., ADR | 301,106 | |||
| 22,200 | Sasol Ltd., ADR | 943,056 | |||
| 1,244,162 | |||||
| Spain - 2.2% | |||||
| 111,909 | Banco Espanol de Credito SA | 347,309 | |||
| 99,334 | Banco Santander SA | 527,519 | |||
| 50,353 | Repsol YPF SA | 752,088 | |||
| 59,843 | Telefonica SA(a) | 661,274 | |||
| 2,288,190 | |||||
| Sweden - 0.7% | |||||
| 85,479 | Telefonaktiebolaget LM Ericsson | 727,726 | |||
| Switzerland - 1.5% | |||||
| 21,413 | Credit Suisse Group AG(b) | 405,674 | |||
| 20,887 | Novartis AG | 1,084,383 | |||
| 1,490,057 | |||||
| Taiwan - 1.9% | |||||
| 40,279 | Chunghwa Telecom Co. Ltd., ADR(a) | 1,201,925 | |||
| 51,607 | Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 708,564 | |||
| 1,910,489 | |||||
| United Kingdom - 11.7% | |||||
| 10,262 | Anglo American PLC | 311,315 | |||
| 16,450 | ARM Holdings PLC | 128,241 | |||
| 117,115 | BAE Systems PLC | 491,743 | |||
| 198,476 | Barclays PLC | 538,569 | |||
| 12,673 | BG Group PLC | 242,358 | |||
| 29,828 | BHP Billiton PLC | 777,941 | |||
| 57,807 | Bunzl PLC | 910,201 | |||
| 35,488 | Carnival PLC | 1,139,402 | |||
| 32,288 | Imperial Tobacco Group PLC | 1,163,882 | |||
| 31,538 | InterContinental Hotels Group PLC | 740,747 | |||
| 160,233 | Invensys PLC | 540,844 | |||
| 180,237 | Kingfisher PLC | 782,301 | |||
| 646,067 | Legal & General Group PLC | 1,097,811 | |||
| 61,301 | National Grid PLC | 613,285 | |||
| 100,209 | Prudential PLC | 1,045,725 | |||
| 167,886 | Rexam PLC | 1,041,876 | |||
| 10,538 | Rio Tinto PLC | 450,904 | |||
| 12,017,145 | |||||
| Total Common Stocks - 81.3% | |||||
| (Cost $97,531,558) | 83,201,116 |
| See notes to financial statements. |
| 38 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
HGI Guggenheim International Multi-Asset Income ETF continued
| Number | |||||
| of Shares | Description | Value | |||
| Preferred Stocks - 3.8% | |||||
| Brazil - 3.3% | |||||
| 12,941 | Cia de Bebidas das Americas, ADR | $ | 496,287 | ||
| 84,611 | Cia Energetica de Minas Gerais, ADR | 1,457,848 | |||
| 60,055 | Telefonica Brasil SA, ADR | 1,418,499 | |||
| 3,372,634 | |||||
| Colombia - 0.5% | |||||
| 8,703 | BanColombia SA, ADR | 515,305 | |||
| Total Preferred Stocks - 3.8% | |||||
| (Cost $4,143,813) | 3,887,939 | ||||
| Closed End Funds - 9.9% | |||||
| 87,014 | Alpine Global Premier Properties Fund(a) | 526,435 | |||
| 71,752 | Calamos Global Dynamic Income Fund | 574,734 | |||
| 66,423 | CBRE Clarion Global Real Estate Income Fund | 510,793 | |||
| 65,667 | Eaton Vance Tax-Advantaged Global Dividend Income Fund | 849,074 | |||
| 37,708 | Eaton Vance Tax-Advantaged Global Dividend | ||||
| Opportunities Fund | 654,234 | ||||
| 40,137 | First Trust Aberdeen Global Opportunity Income Fund(a) | 680,724 | |||
| 35,731 | GAMCO Natural Resources Gold & Income Trust | 504,879 | |||
| 69,550 | Invesco Van Kampen Dynamic Credit Opportunities Fund | 804,693 | |||
| 78,362 | MFS Charter Income Trust | 747,573 | |||
| 114,535 | MFS Multimarket Income Trust | 792,582 | |||
| 45,239 | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 668,180 | |||
| 134,761 | Wells Fargo Advantage Global Dividend Opportunity Fund | 1,063,264 | |||
| 48,571 | Wells Fargo Advantage Multi-Sector Income Fund | 728,565 | |||
| 27,984 | Western Asset Emerging Markets Debt Fund, Inc. | 537,293 | |||
| 37,286 | Western Asset Emerging Markets Income Fund, Inc.(a) | 514,547 | |||
| (Cost $10,948,350) | 10,157,570 | ||||
| Master Limited Partnerships - 4.4% | |||||
| United States - 4.4% | |||||
| 114,483 | Chesapeake Granite Wash Trust(a) | 2,230,129 | |||
| 83,207 | SandRidge Mississippian Trust I(a) | 2,259,070 | |||
| (Cost $5,278,966) | 4,489,199 | ||||
| Rights - 0.1% | |||||
| 4,478 | Air Liquide SA, 06/08/2012(c) | ||||
| (Cost $0) | 48,430 | ||||
| Total Long-Term Investments - 99.5% | |||||
| (Cost $117,902,687) | 101,784,254 | ||||
| Investments of Collateral for | |||||
| Securities Loaned - 15.8% | |||||
| 16,200,061 | BNY Mellon Securities Lending Overnight Fund, | ||||
| 0.2175%(d) (e) | |||||
| (Cost $16,200,061) | 16,200,061 | ||||
| Total Investments - 115.3% | |||||
| (Cost $134,102,748) | 117,984,315 | ||||
| Liabilities in excess of Other Assets - (15.3%) | (15,677,869 | ) | |||
| Net Assets - 100.0% | $ | 102,306,446 |
ADR - American Depositary Receipt
AG - Stock Corporation
ASA - Stock Company
A/S - Limited Liability Stock Company or Stock Company
KGaA - Limited Partnership
NV - Publicly Traded Company
OYJ - Public Traded Company
PLC - Public Limited Company
PT - Limited Liability Company
SA - Corporation
SpA - Limited Share Company
SE - Stock Corporation
SGPS - Holding Enterprise
SAB de CV - Publicly Traded Company
| (a) | Security, or portion thereof, was on loan at May 31, 2012. |
| (b) | Non-income producing security. |
| (c) | Security is valued 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 $48,430 which represents 0.1% of net assets. |
| (d) | At May 31, 2012, the total market value of the Fund’s securities on loan was $15,636,044 and the total market value of the collateral held by the Fund was $16,200,061. |
| (e) | Interest rate shown reflects yield as of May 31, 2012. |
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 39 |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
SEA Guggenheim Shipping ETF
| Number | |||||
| of Shares | Description | Value | |||
| Long-Term Investments - 99.2% | |||||
| Common Stocks - 84.6% | |||||
| Bermuda - 24.9% | |||||
| 1,226,000 | COSCO Pacific Ltd. | $ | 1,503,897 | ||
| 174,798 | Frontline Ltd. | 817,357 | |||
| 1,011,469 | Golden Ocean Group Ltd. | 761,243 | |||
| 61,366 | Knightsbridge Tankers Ltd.(a) | 569,477 | |||
| 81,323 | Nordic American Tankers Ltd.(a) | 1,019,790 | |||
| 2,239,000 | Pacific Basin Shipping Ltd. | 1,001,093 | |||
| 78,707 | Ship Finance International Ltd.(a) | 1,219,171 | |||
| 126,368 | Tsakos Energy Navigation Ltd. | 676,069 | |||
| 7,568,097 | |||||
| Denmark - 3.2% | |||||
| 37,998 | D/S Norden A/S | 985,105 | |||
| Japan - 22.6% | |||||
| 719,000 | Kawasaki Kisen Kaisha Ltd.(b) | 1,329,529 | |||
| 753,000 | Mitsui OSK Lines Ltd. | 2,659,963 | |||
| 1,083,000 | Nippon Yusen KK | 2,900,338 | |||
| 6,889,830 | |||||
| Marshall Islands - 15.1% | |||||
| 57,839 | Costamare, Inc.(a) | 769,837 | |||
| 217,450 | Navios Maritime Holdings, Inc. | 721,934 | |||
| 66,271 | Seaspan Corp.(a) | 1,076,241 | |||
| 45,733 | Teekay Corp. | 1,232,047 | |||
| 196,665 | Teekay Tankers Ltd., Class A(a) | 800,427 | |||
| 4,600,486 | |||||
| Singapore - 9.1% | |||||
| 1,054,000 | Neptune Orient Lines Ltd.(b) | 871,007 | |||
| 550,000 | SembCorp Marine Ltd. | 1,907,662 | |||
| 2,778,669 | |||||
| United States - 9.7% | |||||
| 35,852 | Alexander & Baldwin, Inc. | 1,829,169 | |||
| 102,609 | Overseas Shipholding Group, Inc.(a) | 1,120,491 | |||
| 2,949,660 | |||||
| Total Common Stocks - 84.6% | |||||
| (Cost $30,721,277) | 25,771,847 | ||||
| Master Limited Partnerships - 14.6% | |||||
| Marshall Islands - 14.6% | |||||
| 123,350 | Capital Product Partners, LP(a) | 901,688 | |||
| 65,805 | Navios Maritime Partners, LP(a) | 891,658 | |||
| 38,009 | Teekay LNG Partners, LP | 1,418,116 | |||
| 44,403 | Teekay Offshore Partners, LP | 1,229,963 | |||
| (Cost $4,189,157) | 4,441,425 | ||||
| Total Long-Term Investments - 99.2% | |||||
| (Cost $34,910,434) | 30,213,272 | ||||
| Investments of Collateral for | |||||
| Securities Loaned - 25.1% | |||||
| 7,633,550 | BNY Mellon Securities Lending Overnight Fund, | ||||
| 0.2175%(c) (d) | |||||
| (Cost $7,633,550) | $ | 7,633,550 | |||
| Total Investments - 124.3% | |||||
| (Cost $42,543,984) | 37,846,822 | ||||
| Liabilities in excess of Other Assets - (24.3%) | (7,394,372 | ) | |||
| Net Assets - 100.0% | $ | 30,452,450 |
A/S - Limited Liability Stock Company or Stock Company
KK - Joint Stock Company
LP - Limited Partnership
| (a) | Security, or portion thereof, was on loan at May 31, 2012. |
| (b) | Non-income producing security. |
| (c) | At May 31, 2012, the total market value of the Fund’s securities on loan was $7,404,626 and the total market value of the collateral held by the Fund was $7,633,550. |
| (d) | Interest rate shown reflects yield as of May 31, 2012. |
| See notes to financial statements. |
| 40 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
CUT Guggenheim Timber ETF
| Number | |||||
| of Shares | Description | Value | |||
| Long-Term Investments - 99.7% | |||||
| Common Stocks - 92.8% | |||||
| Australia - 0.5% | |||||
| 3,165,110 | Gunns Ltd.(a) (b) (g) | $ | 491,200 | ||
| Brazil - 4.1% | |||||
| 667,469 | Fibria Celulose SA, ADR(a) (b) | 4,351,898 | |||
| Canada - 8.7% | |||||
| 377,782 | Canfor Corp.(b) | 4,070,329 | |||
| 113,462 | West Fraser Timber Co. Ltd. | 5,136,352 | |||
| 9,206,681 | |||||
| Finland - 8.2% | |||||
| 790,551 | Stora ENSO OYJ, R Shares | 4,287,213 | |||
| 425,912 | UPM-Kymmene OYJ | 4,363,038 | |||
| 8,650,251 | |||||
| Ireland - 3.5% | |||||
| 587,156 | Smurfit Kappa Group PLC | 3,695,285 | |||
| Japan - 14.5% | |||||
| 553,500 | Hokuetsu Kishu Paper Co. Ltd. | 2,858,732 | |||
| 270,500 | Nippon Paper Group, Inc.(a) | 4,163,661 | |||
| 1,180,000 | OJI Paper Co. Ltd. | 4,454,250 | |||
| 469,500 | Sumitomo Forestry Co. Ltd. | 3,897,781 | |||
| 15,374,424 | |||||
| Portugal - 4.0% | |||||
| 2,031,171 | Portucel Empresa Produtora de Pasta e Papel SA | 4,219,222 | |||
| South Africa - 2.3% | |||||
| 314,894 | Mondi Ltd. | 2,452,931 | |||
| Spain - 1.1% | |||||
| 709,090 | Grupo Empresarial Ence SA | 1,192,386 | |||
| Sweden - 8.3% | |||||
| 164,435 | Holmen AB, B Shares | 4,199,755 | |||
| 327,507 | Svenska Cellulosa AB, B Shares | 4,657,565 | |||
| 8,857,320 | |||||
| United States - 37.6% | |||||
| 59,297 | Domtar Corp. | 4,690,986 | |||
| 113,948 | Greif, Inc., Class A | 4,984,085 | |||
| 162,775 | International Paper Co. | 4,753,030 | |||
| 187,290 | MeadWestvaco Corp. | 5,150,475 | |||
| 143,029 | Plum Creek Timber Co., Inc., REIT | 5,220,558 | |||
| 106,395 | Potlatch Corp., REIT | 3,049,281 | |||
| 128,415 | Rayonier, Inc., REIT | 5,517,993 | |||
| 130,462 | Wausau Paper Corp. | 1,201,555 | |||
| 267,653 | Weyerhaeuser Co., REIT | 5,328,971 | |||
| 39,896,934 | |||||
| Total Common Stocks - 92.8% | |||||
| (Cost $117,319,491) | 98,388,532 | ||||
| Participation Notes (c) - 6.9% | |||||
| Brazil - 6.9% | |||||
| 1,082,100 | Barclays Bank PLC certificates linked to the performance | ||||
| of Suzano Papel E Celulose SA, Series 0002(d) | 2,684,333 | ||||
| 982,900 | Morgan Stanley BV certificates linked to the performance | ||||
| of Duratex SA, Series 0002 | 4,691,922 | ||||
| (Cost $14,329,620) | 7,376,255 | ||||
| Total Long-Term Investments - 99.7% | |||||
| (Cost $131,649,111) | 105,764,787 | ||||
| Investments of Collateral for | |||||
| Securities Loaned - 7.0% | |||||
| 7,380,774 | BNY Mellon Securities Lending Overnight Fund, | ||||
| 0.2175%(e) (f) | |||||
| (Cost $7,380,774) | 7,380,774 | ||||
| Total Investments - 106.7% | |||||
| (Cost $139,029,885) | 113,145,561 | ||||
| Liabilities in excess of Other Assets - (6.7%) | (7,091,634 | ) | |||
| Net Assets - 100.0% | $ | 106,053,927 |
AB - Stock Company
ADR - American Depositary Receipt
BV - Limited Liability Company
OYJ - Public Traded Company
PLC - Public Limited Company
REIT - Real Estate Investment Trust
SA - Corporation
| (a) | Security, or portion thereof, was on loan at May 31, 2012. |
| (b) | Non-income producing security. |
| (c) | Participation notes are issued by banks or broker-dealers and are promissory notes that are designed to offer a return linked to the performance of a particular underlying equity security or market. The return on a participation note that is linked to a particular underlying security generally is increased to the extent of any dividends paid in connection with the underlying security. |
| (d) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2012 these securities amounted to $2,684,333, which represents 2.5% of net assets. |
| (e) | At May 31, 2012, the total market value of the Fund’s securities on loan was $7,079,182 and the total market value of the collateral held by the Fund was $7,380,774. |
| (f) | Interest rate shown reflects yield as of May 31, 2012. |
| (g) | Security is valued 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 $491,200 which represents 0.5% of net assets. |
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 41 |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
RMB Guggenheim Yuan Bond ETF
| Principal | Optional Call | |||||||||||
| Amount | Description | Rating* | Coupon | Maturity | Provisions** | Value | ||||||
| Corporate Bonds - 99.1% | ||||||||||||
| Auto Manufacturers - 3.1% | ||||||||||||
| CNY 1,000,000 | Volkswagen International Finance NV, Series EMTN (Netherlands) | A- | 2.15% | 05/23/2016 | N/A | $ | 154,464 | |||||
| Banks - 41.6% | ||||||||||||
| 1,500,000 | Agricultural Bank of China Ltd., Series FXCD (China) | NR | 1.20% | 06/24/2013 | N/A | 230,948 | ||||||
| 1,000,000 | Agricultural Development Bank of China (China) | AA- | 3.00% | 01/17/2014 | N/A | 157,178 | ||||||
| 1,000,000 | Bank of China Ltd. (China) | A | 2.90% | 09/30/2013 | N/A | 157,135 | ||||||
| 1,500,000 | Bank of Communications Co. Ltd., Series FXCD (China) | NR | 1.00% | 03/04/2013 | N/A | 231,629 | ||||||
| 1,000,000 | China Construction Bank Corp./Hong Kong, Series FXCD (China) | NR | 1.05% | 06/03/2013 | N/A | 153,657 | ||||||
| 3,100,000 | China Development Bank Corp. (China) | AA- | 2.70% | 11/11/2013 | N/A | 486,932 | ||||||
| 3,000,000 | Export-Import Bank of China (China) | AA- | 2.65% | 12/02/2013 | N/A | 471,792 | ||||||
| 1,000,000 | Industrial & Commercial Bank of China Asia Ltd., Series EMTN (Hong Kong) | NR | 6.00% | 11/04/2021 | 11/05/16 @ 100 | 167,511 | ||||||
| 2,056,782 | ||||||||||||
| Chemicals - 3.1% | ||||||||||||
| 1,000,000 | Air Liquide Finance SA (France) | A | 3.00% | 09/19/2016 | N/A | 153,789 | ||||||
| Distribution & Wholesale - 3.3% | ||||||||||||
| 1,000,000 | Mitsui & Co. Ltd., Series EMTN (Japan) | A+ | 4.25% | 03/01/2017 | N/A | 158,136 | ||||||
| Diversified Financial Services - 6.3% | ||||||||||||
| 1,000,000 | Caterpillar Financial Services Corp., Series EMTN | A | 1.35% | 07/12/2013 | N/A | 154,392 | ||||||
| 1,000,000 | Hitachi Capital Corp., Series EMTN (Japan) | A- | 3.75% | 03/22/2015 | N/A | 156,629 | ||||||
| 311,021 | ||||||||||||
| Food - 3.1% | ||||||||||||
| 1,000,000 | Unilever NV (Netherlands) | A+ | 1.15% | 03/31/2014 | N/A | 155,062 | ||||||
| Gas - 2.9% | ||||||||||||
| 1,000,000 | HKCG Finance Ltd., Series EMTN (Hong Kong) | A+ | 1.40% | 04/11/2016 | N/A | 145,941 | ||||||
| Home Furnishings - 3.1% | ||||||||||||
| 1,000,000 | BSH Bosch und Siemens Hausgeraete GmbH, Series REGS (Germany) | A | 2.38% | 09/29/2014 | N/A | 155,575 | ||||||
| Investment Companies - 3.1% | ||||||||||||
| 1,000,000 | MTR Corp. Cayman Islands Ltd. (Cayman Islands) | Aa1 | 0.63% | 06/17/2013 | N/A | 155,490 | ||||||
| Oil & Gas - 3.1% | ||||||||||||
| 1,000,000 | BP Capital Markets PLC, Series EMTN (United Kingdom) | A | 1.70% | 09/15/2014 | N/A | 154,159 | ||||||
| Real Estate - 3.1% | ||||||||||||
| 1,000,000 | Global Logistic Properties Ltd., Series REGS (Singapore) | Baa2 | 3.38% | 05/11/2016 | N/A | 151,981 | ||||||
| Retail - 3.2% | ||||||||||||
| 1,000,000 | Lotte Shopping Business Management Hong Kong Ltd. (Hong Kong) | A3 | 4.00% | 02/09/2015 | N/A | 157,560 | ||||||
| Sovereign - 20.1% | ||||||||||||
| 1,000,000 | China Government Bond, Series REGS (China) | AA- | 0.60% | 08/18/2014 | N/A | 153,367 | ||||||
| 2,500,000 | China Government Bond (China) | AA- | 1.80% | 12/01/2015 | N/A | 388,698 | ||||||
| 2,000,000 | China Government Bond, Series REGS (China) | AA- | 1.40% | 08/18/2016 | N/A | 304,426 | ||||||
| 1,000,000 | China Government Bond, Series REGS (China) | AA- | 1.94% | 08/18/2018 | N/A | 150,416 | ||||||
| 996,907 |
| See notes to financial statements. |
| 42 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| PORTFOLIO OF INVESTMENTS continued | May 31, 2012 |
RMB Guggenheim Yuan Bond ETF continued
| Description | Value | |||
| Total Corporate Bonds - 99.1% | ||||
| (Cost $4,935,206) | $ | 4,906,867 | ||
| Total Investments - 99.1% | ||||
| (Cost $4,935,206) | 4,906,867 | |||
| Other Assets in excess of Liabilities - 0.9% | 46,112 | |||
| Net Assets - 100.0% | $ | 4,952,979 |
N/A- Not Applicable
NV - Publicly Traded Company
PLC - Public Limited Company
SA - Corporation
GmbH - Limited Liability
| * | Ratings shown are per Standard & Poor’s Rating Group, Moody’s Investor Services, Inc. or Fitch Ratings. Securities classified as NR are not rated. (For securities not rated by Standard & Poor’s Rating Group, the rating by Moody’s Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor’s Rating Group and Moody’s Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares. |
| ** | Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates. |
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 43 |
| STATEMENT OF ASSETS AND LIABILITIES | May 31, 2012 |
| Guggenheim | Guggenheim | Guggenheim | Guggenheim | ||||||||||
| Canadian Energy | China Real Estate | China Small Cap | Frontier | ||||||||||
| Income ETF | ETF | ETF | Markets ETF | ||||||||||
| (ENY | ) | (TAO | ) | (HAO | ) | (FRN | ) | ||||||
| Assets | |||||||||||||
| Investments in securities, at value (including securities on loan) | $ | 117,342,577 | $ | 19,676,828 | $ | 201,936,774 | $ | 150,847,422 | |||||
| Foreign currency, at value | 100,280 | 26,616 | 117,514 | — | |||||||||
| Cash | 89,813 | 20,584 | 313,155 | 518,173 | |||||||||
| Receivables: | |||||||||||||
| Fund shares sold | — | — | — | — | |||||||||
| Investments sold | 1,008,046 | 845,596 | 522,959 | — | |||||||||
| Dividends | 185,534 | 80,825 | 1,330,459 | 323,833 | |||||||||
| Interest | — | — | — | — | |||||||||
| Securities lending income | 22,907 | 4,350 | 105,657 | 58,486 | |||||||||
| Tax reclaims | — | — | — | — | |||||||||
| Due from Adviser | — | 80,256 | — | — | |||||||||
| Other assets | 3,795 | 1,827 | 5,042 | 4,407 | |||||||||
| Total assets | 118,752,952 | 20,736,882 | 204,331,560 | 151,752,321 | |||||||||
| Liabilities | |||||||||||||
| Custodian bank | — | — | — | — | |||||||||
| Payables: | |||||||||||||
| Fund shares redeemed | — | 846,715 | — | — | |||||||||
| Investments purchased | 1,202,633 | — | 830,973 | — | |||||||||
| Administration fee payable | 2,304 | — | 4,013 | 3,245 | |||||||||
| Collateral for securities on loan | 27,396,257 | 1,239,327 | 38,475,807 | 18,194,112 | |||||||||
| Accrued advisory fees | 41,897 | — | 57,721 | 29,356 | |||||||||
| Accrued expenses | 94,863 | 92,424 | 190,489 | 129,079 | |||||||||
| Total liabilities | 28,737,954 | 2,178,466 | 39,559,003 | 18,355,792 | |||||||||
| Net Assets | $ | 90,014,998 | $ | 18,558,416 | $ | 164,772,557 | $ | 133,396,529 | |||||
| Composition of Net Assets | |||||||||||||
| Paid-in capital | $ | 172,810,799 | $ | 40,044,200 | $ | 269,498,081 | $ | 170,648,670 | |||||
| Accumulated undistributed net investment income | 8,346 | 366,628 | 1,107,514 | 2,536,338 | |||||||||
| Accumulated net realized gain (loss) on investments and currency transactions | (58,961,795 | ) | (16,428,908 | ) | (54,962,613 | ) | (11,948,793 | ) | |||||
| Net unrealized appreciation (depreciation) on investments and currency translation | (23,842,352 | ) | (5,423,504 | ) | (50,870,425 | ) | (27,839,686 | ) | |||||
| Net Assets | $ | 90,014,998 | $ | 18,558,416 | $ | 164,772,557 | $ | 133,396,529 | |||||
| Shares outstanding ($0.01 par value with unlimited amount authorized) | 6,070,000 | 1,110,000 | 8,250,000 | 6,990,000 | |||||||||
| Net Asset Value Per Share | $ | 14.83 | $ | 16.72 | $ | 19.97 | $ | 19.08 | |||||
| Investments in securities, at cost | $ | 141,175,576 | $ | 25,100,322 | $ | 252,807,082 | $ | 178,687,108 | |||||
| Foreign currency, at cost | $ | 100,280 | $ | 26,609 | $ | 117,500 | $ | — | |||||
| Securities on loan, at value | $ | 25,935,424 | $ | 1,087,932 | $ | 32,970,221 | $ | 17,539,709 | |||||
| See notes to financial statements. |
| 44 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| May 31, 2012 |
| Guggenheim | |||||||||||||
| International Multi-Asset | Guggenheim | Guggenheim | Guggenheim | ||||||||||
| Income ETF | Shipping ETF | Timber ETF | Yuan Bond ETF | ||||||||||
| (HGI | ) | (SEA | ) | (CUT | ) | (RMB | ) | ||||||
| $ | 117,984,315 | $ | 37,846,822 | $ | 113,145,561 | $ | 4,906,867 | ||||||
| 54,304 | — | 7 | 37,309 | ||||||||||
| — | 51,129 | 58,956 | 1,019 | ||||||||||
| — | — | 785,865 | — | ||||||||||
| — | — | — | 299,992 | ||||||||||
| 549,024 | 177,737 | 337,405 | — | ||||||||||
| — | — | — | 25,642 | ||||||||||
| 58,990 | 24,173 | 6,686 | — | ||||||||||
| 49,692 | 3,491 | 56,692 | — | ||||||||||
| — | — | — | — | ||||||||||
| 3,711 | — | 4,113 | — | ||||||||||
| 118,700,036 | 38,103,352 | 114,395,285 | 5,270,829 | ||||||||||
| 35,818 | — | — | — | ||||||||||
| — | — | — | — | ||||||||||
| 15,534 | — | 783,308 | 315,100 | ||||||||||
| 2,503 | — | 2,631 | — | ||||||||||
| 16,200,061 | 7,633,550 | 7,380,774 | — | ||||||||||
| 36,242 | 17,352 | 50,463 | 2,750 | ||||||||||
| 103,432 | — | 124,182 | — | ||||||||||
| 16,393,590 | 7,650,902 | 8,341,358 | 317,850 | ||||||||||
| $ | 102,306,446 | $ | 30,452,450 | $ | 106,053,927 | $ | 4,952,979 | ||||||
| $ | 138,616,591 | $ | 39,062,021 | $ | 173,658,655 | $ | 4,988,600 | ||||||
| 99,612 | 158,860 | 1,803,075 | 1,579 | ||||||||||
| (20,283,408 | ) | (4,073,507 | ) | (43,529,736 | ) | (8,332 | ) | ||||||
| (16,126,349 | ) | (4,694,924 | ) | (25,878,067 | ) | (28,868 | ) | ||||||
| $ | 102,306,446 | $ | 30,452,450 | $ | 106,053,927 | $ | 4,952,979 | ||||||
| 6,800,000 | 1,900,000 | 6,750,000 | 200,000 | ||||||||||
| $ | 15.05 | $ | 16.03 | $ | 15.71 | $ | 24.76 | ||||||
| $ | 134,102,748 | $ | 42,543,984 | $ | 139,029,885 | $ | 4,935,206 | ||||||
| $ | 54,560 | $ | — | $ | 7 | $ | 37,641 | ||||||
| $ | 15,636,044 | $ | 7,404,626 | $ | 7,079,182 | $ | — |
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 45 |
STATEMENT OF OPERATIONS For the year ended May 31, 2012 | May 31, 2012 |
| Guggenheim | Guggenheim | Guggenheim | Guggenheim | ||||||||||
| Canadian Energy | China Real Estate | China Small Cap | Frontier | ||||||||||
| Income ETF | ETF | ETF | Markets ETF | ||||||||||
| (ENY | ) | (TAO | ) | (HAO | ) | (FRN | ) | ||||||
| Investment Income | |||||||||||||
| Dividend income | $ | 5,007,713 | $ | 732,366 | $ | 4,198,619 | $ | 5,335,626 | |||||
| Less Return of capital distributions received | — | — | — | — | |||||||||
| Foreign taxes withheld | (751,291 | ) | (3,191 | ) | (138,887 | ) | (709,902 | ) | |||||
| Net dividend income | 4,256,422 | 729,175 | 4,059,732 | 4,625,724 | |||||||||
| Interest | — | — | — | — | |||||||||
| Foreign taxes withheld | — | — | — | — | |||||||||
| Net securities lending income | 299,179 | 53,256 | 1,515,011 | 658,026 | |||||||||
| Total income | 4,555,601 | 782,431 | 5,574,743 | 5,283,750 | |||||||||
| Expenses | |||||||||||||
| Advisory fee <Note 3> | 686,768 | 112,973 | 1,048,228 | 732,879 | |||||||||
| Administration fee | 37,676 | 6,213 | 51,171 | 40,308 | |||||||||
| Custodian fee | 103,369 | 98,214 | 270,841 | 148,003 | |||||||||
| Licensing | 141,944 | 22,595 | 262,185 | 146,576 | |||||||||
| Listing fee and expenses | 5,000 | 5,000 | 5,000 | 5,000 | |||||||||
| Printing expenses | 43,042 | 14,216 | 47,920 | 44,968 | |||||||||
| Professional fees | 31,776 | 21,119 | 29,202 | 32,361 | |||||||||
| Trustees’ fees and expenses | 5,403 | 5,722 | 15,409 | 10,060 | |||||||||
| Miscellaneous | 22,198 | 19,736 | 25,622 | 19,356 | |||||||||
| Total expenses | 1,077,176 | 305,788 | 1,755,578 | 1,179,511 | |||||||||
| Advisory fees waived | (115,702 | ) | (112,973 | ) | (326,508 | ) | (155,443 | ) | |||||
| Other expenses waived or reimbursed | — | (34,653 | ) | — | — | ||||||||
| Net expenses | 961,474 | 158,162 | 1,429,070 | 1,024,068 | |||||||||
| Net Investment Income | 3,594,127 | 624,269 | 4,145,673 | 4,259,682 | |||||||||
| Realized and Unrealized Gain (Loss) | |||||||||||||
| Net realized gain (loss) on | |||||||||||||
| Investments | (41,182,952 | ) | (961,104 | ) | (40,629,447 | ) | (5,578,916 | ) | |||||
| In-kind transactions | 2,497,158 | (800,750 | ) | (10,135,910 | ) | 107,782 | |||||||
| Foreign currency transactions | (107,102 | ) | (38 | ) | (539 | ) | — | ||||||
| Net realized gain (loss) | (38,792,896 | ) | (1,761,892 | ) | (50,765,896 | ) | (5,471,134 | ) | |||||
| Net change in unrealized appreciation (depreciation) on | |||||||||||||
| Investments | (26,142,334 | ) | (5,122,637 | ) | (37,771,150 | ) | (28,138,249 | ) | |||||
| Foreign currency translation | (9,195 | ) | 64 | 940 | — | ||||||||
| Net unrealized appreciation (depreciation) | (26,151,529 | ) | (5,122,573 | ) | (37,770,210 | ) | (28,138,249 | ) | |||||
| Net realized and unrealized gain (loss) | (64,944,425 | ) | (6,884,465 | ) | (88,536,106 | ) | (33,609,383 | ) | |||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (61,350,298 | ) | $ | (6,260,196 | ) | $ | (84,390,433 | ) | $ | (29,349,701 | ) | |
| 1 | Commencement of investment operations - September 22, 2011 |
| See notes to financial statements. |
| 46 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| May 31, 2012 |
| Guggenheim | |||||||||||||
| International Multi-Asset | Guggenheim | Guggenheim | Guggenheim | ||||||||||
| Income ETF | Shipping ETF | Timber ETF | Yuan Bond ETF | ||||||||||
| (HGI | ) | (SEA | ) | (CUT | ) | (RMB | )1 | ||||||
| $ | 5,531,069 | $ | 1,394,027 | $ | 4,107,678 | $ | — | ||||||
| (27,247 | ) | (398,677 | ) | — | — | ||||||||
| (376,522 | ) | (12,087 | ) | (310,113 | ) | ||||||||
| 5,127,300 | 983,263 | 3,797,565 | — | ||||||||||
| — | — | — | 62,324 | ||||||||||
| — | — | — | (78 | ) | |||||||||
| 301,274 | 123,874 | 158,448 | — | ||||||||||
| 5,428,574 | 1,107,137 | 3,956,013 | 62,246 | ||||||||||
| 473,164 | 179,786 | 660,840 | 22,430 | ||||||||||
| 26,024 | — | 36,317 | — | ||||||||||
| 155,967 | — | 103,520 | — | ||||||||||
| 116,949 | — | 180,752 | — | ||||||||||
| 5,000 | — | 5,000 | — | ||||||||||
| 23,547 | — | 38,758 | — | ||||||||||
| 36,413 | — | 32,171 | — | ||||||||||
| 8,421 | — | 9,371 | — | ||||||||||
| 19,951 | — | 24,283 | — | ||||||||||
| 865,436 | 179,786 | 1,091,012 | 22,430 | ||||||||||
| (203,298 | ) | — | (165,835 | ) | — | ||||||||
| — | — | — | — | ||||||||||
| 662,138 | 179,786 | 925,177 | 22,430 | ||||||||||
| 4,766,436 | 927,351 | 3,030,836 | 39,816 | ||||||||||
| (10,443,299 | ) | (4,020,582 | ) | (18,908,822 | ) | 11,653 | |||||||
| 4,617,054 | 3,461,563 | 6,890,910 | — | ||||||||||
| (102,991 | ) | (26,307 | ) | (124,550 | ) | (36,822 | ) | ||||||
| (5,929,236 | ) | (585,326 | ) | (12,142,462 | ) | (25,169 | ) | ||||||
| (23,225,102 | ) | (3,025,955 | ) | (48,343,101 | ) | (28,339 | ) | ||||||
| (14,310 | ) | 1,927 | (3,461 | ) | (529 | ) | |||||||
| (23,239,412 | ) | (3,024,028 | ) | (48,346,562 | ) | (28,868 | ) | ||||||
| (29,168,648 | ) | (3,609,354 | ) | (60,489,024 | ) | (54,037 | ) | ||||||
| $ | (24,402,212 | ) | $ | (2,682,003 | ) | $ | (57,458,188 | ) | $ | (14,221 | ) |
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 47 |
| STATEMENTS OF CHANGES IN NET ASSETS | May 31, 2012 |
| Guggenheim Canadian | |||||||
| Energy Income ETF | |||||||
(ENY) | |||||||
| For the Year | For the Year | ||||||
| Ended | Ended | ||||||
| May 31, 2012 | May 31, 2011 | ||||||
| Increase (Decrease) in Net Assets Resulting from Operations | |||||||
| Net investment income | $ | 3,594,127 | $ | 3,242,950 | |||
| Net realized gain (loss) | (38,792,896 | ) | 30,627,098 | ||||
| Net unrealized appreciation (depreciation) | (26,151,529 | ) | (8,330,040 | ) | |||
| Net increase (decrease) in net assets resulting from operations | (61,350,298 | ) | 25,540,008 | ||||
| Distribution to Shareholders | |||||||
| From and in excess of net investment income | (4,070,916 | ) | (2,620,250 | ) | |||
| Return of capital | (172,854 | ) | — | ||||
| Total distributions | (4,243,770 | ) | (2,620,250 | ) | |||
| Capital Share Transactions | |||||||
| Proceeds from sale of shares | 16,593,797 | 243,024,434 | |||||
| Cost of shares redeemed | (90,554,537 | ) | (111,023,386 | ) | |||
| Net increase (decrease) from capital share transactions | (73,960,740 | ) | 132,001,048 | ||||
| Total increase (decrease) in net assets | (139,554,808 | ) | 154,920,806 | ||||
| Net Assets | |||||||
| Beginning of period | 229,569,806 | 74,649,000 | |||||
| End of period | $ | 90,014,998 | $ | 229,569,806 | |||
| Accumulated undistributed net investment income (loss) at end of period | $ | 8,346 | $ | 186,568 | |||
| Changes in Shares Outstanding | |||||||
| Shares sold | 900,000 | 11,280,000 | |||||
| Shares redeemed | (5,250,000 | ) | (5,380,000 | ) | |||
| Shares outstanding, beginning of period | 10,420,000 | 4,520,000 | |||||
| Shares outstanding, end of period | 6,070,000 | 10,420,000 | |||||
| See notes to financial statements. |
| 48 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| May 31, 2012 |
Guggenheim China Real Estate ETF (TAO) | Guggenheim China Small Cap ETF (HAO) | Guggenheim Frontier Markets ETF (FRN) | Guggenheim International Multi-Asset Income ETF (HGI) | |||||||||||||||||||||
For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | |||||||||||||||||
| $ | 624,269 | $ | 924,802 | $ | 4,145,673 | $ | 5,167,649 | $ | 4,259,682 | $ | 4,545,485 | $ | 4,766,436 | $ | 3,576,846 | |||||||||
| (1,761,892 | ) | 3,755,562 | (50,765,896 | ) | 47,861,894 | (5,471,134 | ) | 14,404,312 | (5,929,236 | ) | 3,898,034 | |||||||||||||
| (5,122,573 | ) | 5,251,833 | (37,770,210 | ) | 9,292,118 | (28,138,249 | ) | (212,858 | ) | (23,239,412 | ) | 10,423,123 | ||||||||||||
| (6,260,196 | ) | 9,932,197 | (84,390,433 | ) | 62,321,661 | (29,349,701 | ) | 18,736,939 | (24,402,212 | ) | 17,898,003 | |||||||||||||
| (233,530 | ) | (498,780 | ) | (4,836,000 | ) | (6,445,650 | ) | (5,553,760 | ) | (1,265,040 | ) | (4,503,888 | ) | (3,195,800 | ) | |||||||||
| — | — | — | — | — | — | (71,512 | ) | — | ||||||||||||||||
| (233,530 | ) | (498,780 | ) | (4,836,000 | ) | (6,445,650 | ) | (5,553,760 | ) | (1,265,040 | ) | (4,575,400 | ) | (3,195,800 | ) | |||||||||
| 10,283,066 | 22,004,737 | 34,114,502 | 264,071,727 | 36,836,204 | 205,243,459 | 64,159,072 | 69,971,720 | |||||||||||||||||
| (12,627,475 | ) | (49,525,374 | ) | (107,488,523 | ) | (283,858,602 | ) | (51,859,839 | ) | (71,279,920 | ) | (34,770,261 | ) | (37,514,610 | ) | |||||||||
| (2,344,409 | ) | (27,520,637 | ) | (73,374,021 | ) | (19,786,875 | ) | (15,023,635 | ) | 133,963,539 | 29,388,811 | 32,457,110 | ||||||||||||
| (8,838,135 | ) | (18,087,220 | ) | (162,600,454 | ) | 36,089,136 | (49,927,096 | ) | 151,435,438 | 411,199 | 47,159,313 | |||||||||||||
| 27,396,551 | 45,483,771 | 327,373,011 | 291,283,875 | 183,323,625 | 31,888,187 | 101,895,247 | 54,735,934 | |||||||||||||||||
| $ | 18,558,416 | $ | 27,396,551 | $ | 164,772,557 | $ | 327,373,011 | $ | 133,396,529 | $ | 183,323,625 | $ | 102,306,446 | $ | 101,895,247 | |||||||||
| $ | 366,628 | $ | (304,685 | ) | $ | 1,107,514 | $ | 1,362,864 | $ | 2,536,338 | $ | 3,830,416 | $ | 99,612 | $ | 283,066 | ||||||||
| 550,000 | 1,100,000 | 1,550,000 | 8,920,000 | 1,650,000 | 9,280,000 | 3,700,000 | 3,700,000 | |||||||||||||||||
| (800,000 | ) | (2,580,000 | ) | (4,500,000 | ) | (9,640,000 | ) | (2,550,000 | ) | (3,150,000 | ) | (2,000,000 | ) | (2,000,000 | ) | |||||||||
| 1,360,000 | 2,840,000 | 11,200,000 | 11,920,000 | 7,890,000 | 1,760,000 | 5,100,000 | 3,400,000 | |||||||||||||||||
| 1,110,000 | 1,360,000 | 8,250,000 | 11,200,000 | 6,990,000 | 7,890,000 | 6,800,000 | 5,100,000 | |||||||||||||||||
| See notes to financial statements. |
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 49
| STATEMENTS OF CHANGES IN NET ASSETS continued | May 31, 2012 |
| Increase (Decrease) in Net Assets Resulting from Operations |
| Net investment income |
| Net realized gain (loss) |
| Net unrealized appreciation (depreciation) |
| Net increase (decrease) in net assets resulting from operations |
| Distribution to Shareholders |
| From and in excess of net investment income |
| Return of capital |
| Total distributions |
| Capital Share Transactions |
| Proceeds from sale of shares |
| Cost of shares redeemed |
| Net increase (decrease) from capital share transactions |
| Total increase (decrease) in net assets |
| Net Assets |
| Beginning of period |
| End of period |
| Accumulated undistributed net investment income (loss) at end of period |
| Changes in Shares Outstanding |
| Shares sold |
| Shares redeemed |
| Shares outstanding, beginning of period |
| Shares outstanding, end of period |
| 1 | Commencement of investment operations - June 11, 2010 |
| 2 | Commencement of investment operations - September 22, 2011 |
| See notes to financial statements. |
| 50 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| May 31, 2012 |
Guggenheim Shipping ETF (SEA) | Guggenheim Timber ETF (CUT) | Guggenheim Yuan Bond ETF (RMB) | |||||||||||||||||
For the Year Ended May 31, 2012 | For the Period Ended1 May 31, 2011 | For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | For the Period Ended2 May 31, 2012 | |||||||||||||||
| $ | 927,351 | $ | 570,931 | $ | 3,030,836 | $ | 6,714,335 | $ | 39,816 | ||||||||||
| (585,326 | ) | 165,010 | (12,142,462 | ) | 336,421 | (25,169 | ) | ||||||||||||
| (3,024,028 | ) | (1,670,896 | ) | (48,346,562 | ) | 26,480,453 | (28,868 | ) | |||||||||||
| (2,682,003 | ) | (934,955 | ) | (57,458,188 | ) | 33,531,209 | (14,221 | ) | |||||||||||
| (869,900 | ) | (271,500 | ) | (2,496,150 | ) | (4,128,300 | ) | (21,400 | ) | ||||||||||
| — | — | — | — | (11,400 | ) | ||||||||||||||
| (869,900 | ) | (271,500 | ) | (2,496,150 | ) | (4,128,300 | ) | (32,800 | ) | ||||||||||
| 41,081,606 | 18,927,409 | 13,031,462 | 118,597,400 | 5,000,000 | |||||||||||||||
| (19,420,751 | ) | (5,377,456 | ) | (75,409,500 | ) | (32,155,470 | ) | — | |||||||||||
| 21,660,855 | 13,549,953 | (62,378,038 | ) | 86,441,930 | 5,000,000 | ||||||||||||||
| 18,108,952 | 12,343,498 | (122,332,376 | ) | 115,844,839 | 4,952,979 | ||||||||||||||
| 12,343,498 | — | 228,386,303 | 112,541,464 | — | |||||||||||||||
| $ | 30,452,450 | $ | 12,343,498 | $ | 106,053,927 | $ | 228,386,303 | $ | 4,952,979 | ||||||||||
| $ | 158,860 | $ | 221,883 | $ | 1,803,075 | $ | 2,186,890 | $ | 1,579 | ||||||||||
| 2,500,000 | 700,000 | 700,000 | 5,550,000 | 200,000 | |||||||||||||||
| (1,100,000 | ) | (200,000 | ) | (4,150,000 | ) | (1,710,000 | ) | — | |||||||||||
| 500,000 | — | 10,200,000 | 6,360,000 | — | |||||||||||||||
| 1,900,000 | 500,000 | 6,750,000 | 10,200,000 | 200,000 | |||||||||||||||
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 51 | |
| FINANCIAL HIGHLIGHTS | May 31, 2012 |
ENY Guggenheim Canadian Energy Income ETF
Per share operating performance for a share outstanding throughout the period | For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | For the Year Ended May 31, 2010 | For the Year Ended May 31, 2009 | For the Period July 3, 2007** through May 31, 2008 | |||||||||||
| Net asset value, beginning of period | $ | 22.03 | $ | 16.52 | $ | 14.10 | $ | 31.58 | $ | 25.05 | ||||||
| Income from investment operations | ||||||||||||||||
Net investment income (a) | 0.46 | 0.52 | 0.47 | 1.08 | 0.85 | |||||||||||
| Net realized and unrealized gain (loss) | (7.10 | ) | 5.51 | 2.55 | (17.49 | ) | 6.41 | |||||||||
| Total from investment operations | (6.64 | ) | 6.03 | 3.02 | (16.41 | ) | 7.26 | |||||||||
| Distributions to shareholders | ||||||||||||||||
| From and in excess of net investment income | (0.54 | ) | (0.52 | ) | (0.60 | ) | (1.07 | ) | (0.73 | ) | ||||||
| Return of capital | (0.02 | ) | — | — | — | — | ||||||||||
| Total distributions to shareholders | (0.56 | ) | (0.52 | ) | (0.60 | ) | (1.07 | ) | (0.73 | ) | ||||||
| Net asset value, end of period | $ | 14.83 | $ | 22.03 | $ | 16.52 | $ | 14.10 | $ | 31.58 | ||||||
| Market value, end of period | $ | 14.73 | $ | 22.06 | $ | 16.50 | $ | 14.38 | $ | 31.71 | ||||||
Total return* (b) | ||||||||||||||||
| Net asset value | -30.45 | % | 37.22 | % | 21.75 | % | -51.89 | % | 29.62 | % | ||||||
| Ratios and supplemental data | ||||||||||||||||
| Net assets, end of period (thousands) | $ | 90,015 | $ | 229,570 | $ | 74,649 | $ | 37,791 | $ | 34,102 | ||||||
| Ratio of net expenses to average net assets* | 0.70 | % | 0.70 | % | 0.70 | % | 0.71 | % | 0.83 | %(c) | ||||||
| Ratio of net investment income to average net assets* | 2.62 | % | 2.59 | % | 2.89 | % | 7.03 | % | 3.57 | %(c) | ||||||
Portfolio turnover rate (d) | 81 | % | 34 | % | 58 | % | 68 | % | 31 | % | ||||||
| * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||||||
| Ratio of total expenses to average net assets | 0.79 | % | 0.84 | % | 0.89 | % | 1.23 | % | 1.24 | %(c) | ||||||
| Ratio of net investment income to average net assets | 2.53 | % | 2.45 | % | 2.70 | % | 6.51 | % | 3.16 | %(c) | ||||||
| ** | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods of less than one year and does not include securities received or delivered from processing creations or redemptions. |
| See notes to financial statements. |
| 52 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FINANCIAL HIGHLIGHTS continued | May 31, 2012 |
TAO Guggenheim China Real Estate ETF
Per share operating performance for a share outstanding throughout the period | For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | For the Year Ended May 31, 2010 | For the Year Ended May 31, 2009 | For the Period December 18, 2007** through May 31, 2008 | |||||||||||
| Net asset value, beginning of period | $ | 20.14 | $ | 16.02 | $ | 16.87 | $ | 20.68 | $ | 23.50 | ||||||
| Income from investment operations | ||||||||||||||||
Net investment income (a) | 0.47 | 0.35 | 0.29 | 0.39 | 0.17 | |||||||||||
| Net realized and unrealized gain (loss) | (3.70 | ) | 3.92 | (0.57 | ) | (3.82 | ) | (2.99 | ) | |||||||
| Total from investment operations | (3.23 | ) | 4.27 | (0.28 | ) | (3.43 | ) | (2.82 | ) | |||||||
| Distributions to shareholders | ||||||||||||||||
| From and in excess of net investment income | (0.19 | ) | (0.15 | ) | (0.57 | ) | (0.38 | ) | — | |||||||
| Net asset value, end of period | $ | 16.72 | $ | 20.14 | $ | 16.02 | $ | 16.87 | $ | 20.68 | ||||||
| Market value, end of period | $ | 16.74 | $ | 20.07 | $ | 15.89 | $ | 17.27 | $ | 20.91 | ||||||
Total return* (b) | ||||||||||||||||
| Net asset value | -15.90 | % | 26.68 | % | -2.10 | % | -15.44 | % | -12.00 | % | ||||||
| Ratios and supplemental data | ||||||||||||||||
| Net assets, end of period (thousands) | $ | 18,558 | $ | 27,397 | $ | 45,484 | $ | 39,802 | $ | 28,949 | ||||||
| Ratio of net expenses to average net assets* | 0.70 | % | 0.70 | % | 0.70 | % | 0.78 | % | 0.95 | %(c) | ||||||
| Ratio of net investment income to average net assets* | 2.76 | % | 1.83 | % | 1.64 | % | 3.00 | % | 1.64 | %(c) | ||||||
Portfolio turnover rate (d) | 14 | % | 17 | % | 15 | % | 47 | % | 1 | % | ||||||
| * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||||||
| Ratio of total expenses to average net assets | 1.35 | % | 1.02 | % | 0.92 | % | 1.74 | % | 1.50 | %(c) | ||||||
| Ratio of net investment income to average net assets | 2.11 | % | 1.51 | % | 1.42 | % | 2.04 | % | 1.09 | %(c) | ||||||
| ** | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods of less than one year and does not include securities received or delivered from processing creations or redemptions. |
| See notes to financial statements. |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 53 |
| FINANCIAL HIGHLIGHTS continued | May 31, 2012 |
HAO Guggenheim China Small Cap ETF
Per share operating performance for a share outstanding throughout the period | For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | For the Year Ended May 31, 2010 | For the Year Ended May 31, 2009 | For the Period January 30, 2008** through May 31, 2008 | |||||||||||
| Net asset value, beginning of period | $ | 29.23 | $ | 24.44 | $ | 20.70 | $ | 24.04 | $ | 24.34 | ||||||
| Income from investment operations | ||||||||||||||||
Net investment income (a) | 0.50 | 0.39 | 0.25 | 0.27 | 0.27 | |||||||||||
| Net realized and unrealized gain (loss) | (9.14 | ) | 4.84 | 3.52 | (3.51 | ) | (0.57 | ) | ||||||||
| Total from investment operations | (8.64 | ) | 5.23 | 3.77 | (3.24 | ) | (0.30 | ) | ||||||||
| Distributions to shareholders | ||||||||||||||||
| From and in excess of net investment income | (0.62 | ) | (0.44 | ) | (0.03 | ) | (0.10 | ) | — | |||||||
| Net asset value, end of period | $ | 19.97 | $ | 29.23 | $ | 24.44 | $ | 20.70 | $ | 24.04 | ||||||
| Market value, end of period | $ | 20.01 | $ | 29.15 | $ | 24.30 | $ | 21.22 | $ | 24.39 | ||||||
Total return* (b) | ||||||||||||||||
| Net asset value | -29.50 | % | 21.36 | % | 18.20 | % | -13.27 | % | -1.23 | % | ||||||
| Ratios and supplemental data | ||||||||||||||||
| Net assets, end of period (thousands) | $ | 164,773 | $ | 327,373 | $ | 291,284 | $ | 62,938 | $ | 11,540 | ||||||
| Ratio of net expenses to average net assets* | 0.75 | % | 0.75 | % | 0.75 | % | 0.88 | % | 1.00 | %(c) | ||||||
| Ratio of net investment income to average net assets* | 2.17 | % | 1.33 | % | 1.00 | % | 1.86 | % | 3.44 | %(c) | ||||||
Portfolio turnover rate (d) | 35 | % | 11 | % | 46 | % | 65 | % | 1 | % | ||||||
| * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||||||
| Ratio of total expenses to average net assets | 0.92 | % | 0.89 | % | 0.91 | % | 1.64 | % | 3.16 | %(c) | ||||||
| Ratio of net investment income to average net assets | 2.00 | % | 1.19 | % | 0.84 | % | 1.10 | % | 1.28 | %(c) | ||||||
| ** | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods of less than one year and does not include securities received or delivered from processing creations or redemptions. |
| See notes to financial statements. |
| 54 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FINANCIAL HIGHLIGHTS continued | May 31, 2012 |
FRN Guggenheim Frontier Markets ETF |
Per share operating performance for a share outstanding throughout the period | For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | For the Year Ended May 31, 2010 | For the period June 12, 2008** through May 31, 2009 | |||||||||
| Net asset value, beginning of period | $ | 23.23 | $ | 18.12 | $ | 14.49 | $ | 24.34 | |||||
| Income from investment operations | |||||||||||||
Net investment income (a) | 0.59 | 0.64 | 0.55 | 0.36 | |||||||||
| Net realized and unrealized gain (loss) | (3.92 | ) | 4.60 | 3.46 | (10.12 | ) | |||||||
| Total from investment operations | (3.33 | ) | 5.24 | 4.01 | (9.76 | ) | |||||||
| Distributions to shareholders | |||||||||||||
| From and in excess of net investment income | (0.82 | ) | (0.13 | ) | (0.38 | ) | (0.09 | ) | |||||
| Net asset value, end of period | $ | 19.08 | $ | 23.23 | $ | 18.12 | $ | 14.49 | |||||
| Market value, end of period | $ | 19.26 | $ | 22.95 | $ | 18.67 | $ | 14.48 | |||||
Total return* (b) | |||||||||||||
| Net asset value | -14.16 | % | 28.87 | % | 27.69 | % | -40.03 | % | |||||
| Ratios and supplemental data | |||||||||||||
| Net assets, end of period (thousands) | $ | 133,397 | $ | 183,324 | $ | 31,888 | $ | 15,066 | |||||
| Ratio of net expenses to average net assets* | 0.70 | % | 0.70 | % | 0.70 | % | 0.95 | %(c) | |||||
| Ratio of net investment income to average net assets* | 2.91 | % | 2.84 | % | 3.09 | % | 2.65 | %(c) | |||||
Portfolio turnover rate (d) | 30 | % | 9 | % | 25 | % | 29 | % | |||||
| * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | |||||||||||||
| Ratio of expenses to average net assets | 0.81 | % | 0.80 | % | 1.11 | % | 2.22 | %(c) | |||||
| Ratio of net investment income to average net assets | 2.80 | % | 2.74 | % | 2.68 | % | 1.38 | %(c) | |||||
| ** | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods of less than one year and does not include securities received or delivered from processing creations or redemptions. |
| See notes to financial statements. |
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 55
| FINANCIAL HIGHLIGHTS continued | May 31, 2012 |
HGI Guggenheim International Multi-Asset Income ETF
Per share operating performance for a share outstanding throughout the period | For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | For the Year Ended May 31, 2010 | For the Year Ended May 31, 2009 | For the Period July 11, 2007** through May 31, 2008 | |||||||||||
| Net asset value, beginning of period | $ | 19.98 | $ | 16.10 | $ | 14.31 | $ | 23.09 | $ | 24.98 | ||||||
| Income from investment operations | ||||||||||||||||
Net investment income (a) | 0.86 | 0.88 | 0.68 | 0.78 | 0.88 | |||||||||||
| Net realized and unrealized gain (loss) | (4.94 | ) | 3.80 | 1.74 | (8.61 | ) | (2.15 | ) | ||||||||
| Total from investment operations | (4.08 | ) | 4.68 | 2.42 | (7.83 | ) | (1.27 | ) | ||||||||
| Distributions to shareholders | ||||||||||||||||
| From and in excess of net investment income | (0.84 | ) | (0.80 | ) | (0.63 | ) | (0.86 | ) | (0.62 | ) | ||||||
| Return of capital | (0.01 | ) | — | — | (0.09 | ) | — | |||||||||
| Total distribution to shareholders | (0.85 | ) | (0.80 | ) | (0.63 | ) | (0.95 | ) | (0.62 | ) | ||||||
| Net asset value, end of period | $ | 15.05 | $ | 19.98 | $ | 16.10 | $ | 14.31 | $ | 23.09 | ||||||
| Market value, end of period | $ | 15.09 | $ | 20.02 | $ | 16.09 | $ | 14.44 | $ | 24.00 | ||||||
Total return* (b) | ||||||||||||||||
| Net asset value | -20.86 | % | 29.68 | % | 16.81 | % | -33.80 | % | -5.02 | % | ||||||
| Ratios and supplemental data | ||||||||||||||||
| Net assets, end of period (thousands) | $ | 102,306 | $ | 101,895 | $ | 54,736 | $ | 14,311 | $ | 9,234 | ||||||
Ratio of net expenses to average net assets*(e) | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 1.10 | %(c) | ||||||
| Ratio of net investment income to average net assets* | 5.04 | % | 4.71 | % | 4.01 | % | 5.56 | % | 4.26 | %(c) | ||||||
Portfolio turnover rate(d) | 73 | % | 44 | % | 42 | % | 114 | % | 114 | % | ||||||
| * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||||||
Ratio of total expenses to average net assets (e) | 0.92 | % | 0.94 | % | 1.04 | % | 1.98 | % | 2.61 | %(c) | ||||||
| Ratio of net investment income to average net assets | 4.82 | % | 4.47 | % | 3.67 | % | 4.28 | % | 2.75 | %(c) | ||||||
| ** | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods of less than one year and does not include securities received or delivered from processing creations or redemptions. |
| (e) | Expense ratio does not reflect fees and expenses incurred indirectly by the Fund as a result of its investments in shares of other investment companies. If these fees were included in the expense ratio, the net impact to the expense ratio would be approximately 0.14% for the year ended May 31, 2012, 0.15% for the year ended May 31, 2011, 0.19% for the year ended May 31, 2010, 0.16% for the year ended May 31, 2009, and 0.24% for the period July 11, 2007 through May 31, 2008. |
| See notes to financial statements. |
| 56 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FINANCIAL HIGHLIGHTS continued | May 31, 2012 |
SEA Guggenheim Shipping ETF
| For the Period | |||||||
| For the Year | June 11, 2010* | ||||||
| Per share operating performance | Ended | through | |||||
| for a share outstanding throughout the period | May 31, 2012 | May 31, 2011 | |||||
| Net asset value, beginning of period | $ | 24.69 | $ | 25.96 | |||
| Income from investment operations | |||||||
| Net investment income (a) | 0.56 | 1.10 | |||||
| Net realized and unrealized loss | (8.26 | ) | (1.89 | ) | |||
| Total from investment operations | (7.70 | ) | (0.79 | ) | |||
| Distributions to shareholders | |||||||
| From and in excess of net investment income | (0.96 | ) | (0.48 | ) | |||
| Net asset value, end of period | $ | 16.03 | $ | 24.69 | |||
| Market value, end of period | $ | 15.99 | $ | 24.67 | |||
Total return (b) | |||||||
| Net asset value | -31.98 | % | -3.21 | % | |||
| Ratios and supplemental data | |||||||
| Net assets, end of period (thousands) | $ | 30,452 | $ | 12,343 | |||
| Ratio of net expenses to average net assets | 0.65 | % | 0.65 | %(c) | |||
| Ratio of net investment income to average net assets | 3.35 | % | 4.14 | %(c) | |||
Portfolio turnover rate (d) | 43 | % | 28 | % |
| * | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods of less than one year and does not include securities received or delivered from processing creations or redemptions. |
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 57 |
| FINANCIAL HIGHLIGHTS continued | May 31, 2012 |
CUT Guggenheim Timber Index ETF
Per share operating performance for a share outstanding throughout the period | For the Year Ended May 31, 2012 | For the Year Ended May 31, 2011 | For the Year Ended May 31, 2010 | For the Year Ended May 31, 2009 | For the Period November 9, 2007** through May 31, 2008 | |||||||||||
| Net asset value, beginning of period | $ | 22.39 | $ | 17.70 | $ | 14.53 | $ | 22.03 | $ | 24.91 | ||||||
| Income from investment operations | ||||||||||||||||
Net investment income (a) | 0.42 | 0.94 | 0.25 | 0.47 | 0.33 | |||||||||||
| Net realized and unrealized gain (loss) | (6.71 | ) | 4.34 | 2.97 | (7.56 | ) | (3.13 | ) | ||||||||
| Total from investment operations | (6.29 | ) | 5.28 | 3.22 | (7.09 | ) | (2.80 | ) | ||||||||
| Distributions to shareholders | ||||||||||||||||
| From net investment income | (0.39 | ) | (0.59 | ) | (0.05 | ) | (0.41 | ) | (0.08 | ) | ||||||
| Net asset value, end of period | $ | 15.71 | $ | 22.39 | $ | 17.70 | $ | 14.53 | $ | 22.03 | ||||||
| Market value, end of period | $ | 15.75 | $ | 22.38 | $ | 17.65 | $ | 14.69 | $ | 22.25 | ||||||
Total return* (b) | ||||||||||||||||
| Net asset value | -28.20 | % | 30.15 | % | 22.15 | % | -31.77 | % | -11.25 | % | ||||||
| Ratios and supplemental data | ||||||||||||||||
| Net assets, end of period (thousands) | $ | 106,054 | $ | 228,386 | $ | 112,541 | $ | 45,915 | $ | 57,277 | ||||||
| Ratio of net expenses to average net assets* | 0.70 | % | 0.70 | % | 0.70 | % | 0.71 | % | 0.95 | %(c) | ||||||
| Ratio of net investment income to average net assets* | 2.29 | % | 4.52 | % | 1.46 | % | 3.36 | % | 2.72 | %(c) | ||||||
Portfolio turnover rate (d) | 56 | % | 29 | % | 39 | % | 58 | % | 23 | % | ||||||
| * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||||||
| Ratio of total expenses to average net assets | 0.82 | % | 0.82 | % | 0.86 | % | 1.08 | % | 1.43 | %(c) | ||||||
| Ratio of net investment income to average net assets | 2.17 | % | 4.40 | % | 1.30 | % | 2.99 | % | 2.24 | %(c) | ||||||
| ** | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods of less than one year and does not include securities received or delivered from processing creations or redemptions. |
| See notes to financial statements. |
| 58 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| FINANCIAL HIGHLIGHTS continued | May 31, 2012 |
RMB Guggenheim Yuan Bond ETF
| For the Period | ||||
| September 22, 2011* | ||||
| Per share operating performance | through | |||
| for a share outstanding throughout the period | May 31, 2012 | |||
| Net asset value, beginning of period | $ | 25.00 | ||
| Income from investment operations | ||||
Net investment income (a) | 0.20 | |||
| Net realized and unrealized loss | (0.28 | ) | ||
| Total from investment operations | (0.08 | ) | ||
| Distributions to shareholders | ||||
| From net investment income | (0.10 | ) | ||
| Return of capital | (0.06 | ) | ||
| Total distributions to shareholders | (0.16 | ) | ||
| Net asset value, end of period | $ | 24.76 | ||
| Market value, end of period | $ | 25.16 | ||
Total return (b) | ||||
| Net asset value | -0.31 | % | ||
| Ratios and supplemental data | ||||
| Net assets, end of period (thousands) | $ | 4,953 | ||
| Ratio of net expenses to average net assets | 0.65 | %(c) | ||
| Ratio of net investment income to average net assets | 1.15 | %(c) | ||
Portfolio turnover rate (d) | 54 | % |
| * | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods of less than one year and does not include securities received or delivered from processing creations or redemptions. |
| See notes to financial statements. | |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 59 | |
| NOTES TO FINANCIAL STATEMENTS | May 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 organized as an open-end, management investment company that was organized as a Delaware statutory trust on June 8, 2006.
The following eight portfolios have an annual reporting period ended on May 31, 2012:
| Guggenheim Canadian Energy Income ETF | |
| Guggenheim China Real Estate ETF | |
| Guggenheim China Small Cap ETF | |
| Guggenheim Frontier Markets ETF | |
| Guggenheim International Multi-Asset Income ETF | |
| Guggenheim Shipping ETF | |
| Guggenheim Timber ETF | |
| Guggenheim Yuan Bond 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, of the following market indices:
| Fund | Index |
| Guggenheim Canadian Energy Income ETF | Sustainable Canadian Energy Income Index |
| Guggenheim China Real Estate ETF | AlphaShares China Real Estate Index |
| Guggenheim China Small Cap ETF | AlphaShares China Small Cap Index |
| Guggenheim Frontier Markets ETF | BNY Mellon New Frontier DR Index |
| Guggenheim International Multi-Asset | Zacks International Multi-Asset |
| Income ETF | Income Index |
| Guggenheim Shipping ETF | Dow Jones Global Shipping Index |
| Guggenheim Timber ETF | Beacon Global Timber Index |
| Guggenheim Yuan Bond ETF | AlphaShares China Yuan Bond 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 (“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).
| 60 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS continued | May 31, 2012 |
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. There were various factors considered in reaching fair valuation determinations including, but not limited to, the following: the type of security, publicly available information regarding the security, trading activity of the security, quotations or evaluated prices from broker-dealers and/or pricing services and the price and extent of public trading in similar securities of the issuer or of comparable companies.
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 as of May 31, 2012:
| Guggenheim China Small Cap ETF | |||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | |||||||||
| (value in $000s) | |||||||||||||
| Assets: | |||||||||||||
| Common Stocks: | |||||||||||||
| Basic Materials | $ | 16,308 | $ | — | $ | – | * | $ | 16,308 | ||||
| Communications | 7,948 | — | — | 7,948 | |||||||||
| Consumer, Cyclical | 26,692 | 310 | – | * | 27,002 | ||||||||
| Consumer, Non-cyclical | 25,664 | — | — | 25,664 | |||||||||
| Diversified | 596 | — | — | 596 | |||||||||
| Energy | 2,840 | — | 2,840 | ||||||||||
| Financial | 29,877 | — | — | 29,877 | |||||||||
| Industrial | 41,576 | 1,327 | – | * | 42,903 | ||||||||
| Technology | 2,957 | — | — | 2,957 | |||||||||
| Utilities | 7,366 | — | — | 7,366 | |||||||||
| Investments of Collateral | |||||||||||||
| for Securities Loaned | 38,476 | 38,476 | |||||||||||
| Total | $ | 200,300 | $ | 1,637 | $ | – | * | $ | 201,937 |
*Market value is less than the minimum amount disclosed.
The transfers in and out of the valuation levels for the Fund 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: | $ | 1,327 | ||
| Transfers from Level 1 to Level 3: | $ | – | * | |
| Transfers from Level 2 to Level 3: | $ | – | * |
*Market value is less than the minimum amount disclosed.
Guggenheim China Small Cap ETF had transfers from Level 1 to Level 2 as a result of China High Precision Automation Group Ltd and International Mining Machinery Holdings Ltd not trading on a principal exchange on May 31, 2012. The transfer from Level 1 to Level 3 was as a result of Fook Woo Group Holdings Ltd. being halted on the principal exchange on which it trades, and negative public information on the company. The transfer from Level 2 to Level 3 was as a result of Real Gold Mining Ltd. and China Hongxing Sports Ltd. being halted the principal exchange on which they trade and negative public information on the companies.
With regards to the fair valuation of China Forestry Holdings Co. Ltd, Real Gold Mining Ltd, China Hongxing Sports Ltd, and Fook Woo Group Holdings Ltd, there were various factors considered in reaching a fair value determination, including but not limited to, the following: the type of security, public information made available by the issuer, public information from the primary stock exchange on which the issuer trades, the shares being halted on the principal exchange for an extended period of time and negative public information on the companies..
The following table presents the activity of the Fund’s investments measured at fair value using significant unobservable inputs (Level 3 valuations) for the period ended May 31, 2012.
| Level 3 Holdings | Securities | |||
| Beginning Balance at 5/31/11 | $ | — | * | |
| Net Realized Gain/Loss | — | |||
| Change in Unrealized Gain/Loss | — | |||
| Purchases | — | |||
| Sales | — | |||
| Transfers In | — | * | ||
| Transfers Out | — | |||
| Ending Balance at 5/31/12 | $ | — | * |
| Guggenheim International Multi-Asset Income ETF |
| Description | Level 1 | Level 2 | Level 3 | Total | |||||||||
| (value in $000s) | |||||||||||||
| Assets: | |||||||||||||
| Common Stocks | $ | 83,201 | $ | — | $ | — | $ | 83,201 | |||||
| Preferred Stock | 3,888 | — | — | 3,888 | |||||||||
| Closed End Funds | 10,158 | — | — | 10,158 | |||||||||
| Master Limited | |||||||||||||
| Partnerships | 4,489 | — | — | 4,489 | |||||||||
| Rights | — | 48 | — | 48 | |||||||||
| Investments of Collateral | |||||||||||||
| for Securities Loaned | 16,200 | — | — | 16,200 | |||||||||
| Total | $ | 117,936 | $ | 48 | $ | — | $ | 117,984 |
There were no transfers between levels.
| Guggenheim Timber ETF |
| Description | Level 1 | Level 2 | Level 3 | Total | |||||||||
| (value in $000s) | |||||||||||||
| Assets: | |||||||||||||
| Common Stocks: | |||||||||||||
| Basic Materials | $ | 72,604 | $ | 491 | $ | — | $ | 73,095 | |||||
| Energy | 1,193 | — | — | 1,193 | |||||||||
| Financial | 19,117 | — | — | 19,117 | |||||||||
| Industrial | 4,984 | — | — | 4,984 | |||||||||
| Participation Notes | — | 7,376 | — | 7,376 | |||||||||
| Investments of Collateral | |||||||||||||
| for Securities Loaned | 7,381 | — | — | 7,381 | |||||||||
| Total | $ | 105,279 | $ | 7,867 | $ | — | $ | 113,146 |
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| NOTES TO FINANCIAL STATEMENTS continued | May 31, 2012 |
The transfers in and out of the valuation levels for the Fund 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: | $ | 491 |
The transfer from Level 1 to Level 2 was the result of Gunns Ltd. being halted on the principal exchange pending an announcement in respect to capital raising.
| Guggenheim Yuan Bond ETF |
| Description | Level 1 | Level 2 | Level 3 | Total | |||||||||
| (value in $000s) | |||||||||||||
| Assets: | |||||||||||||
| Corporate Bonds | $ | — | $ | 4,907 | $ | — | $ | 4,907 | |||||
| Total | $ | — | $ | 4,907 | $ | — | $ | 4,907 |
All securities held by Guggenheim Canadian Energy Income ETF, Guggenheim China Real Estate ETF, Guggenheim Frontier Markets ETF and Guggenheim Shipping ETF were valued using quoted prices in active markets (Level 1).
For the Guggenheim Frontier Markets ETF, the transfer in and out of the valuation levels for the Fund as of the report date when compared to the valuation levels at the end of the previous fiscal year are detailed below.
| $ | (000s | ) | ||
| Transfer from Level 2 to Level 1 | $ | 2,329 |
(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.
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, are 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.
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. Distribution frequency is as follows:
| Fund | Frequency |
| Guggenheim Canadian Energy Income ETF | Quarterly |
| Guggenheim China Real Estate ETF | Annual |
| Guggenheim China Small Cap ETF | Annual |
| Guggenheim Frontier Markets ETF | Annual |
| Guggenheim International Multi-Asset Income ETF | Quarterly |
| Guggenheim Shipping ETF | Quarterly |
| Guggenheim Timber ETF | Annual |
| Guggenheim Yuan Bond ETF | Monthly |
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) Securities 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. 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
| 62 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS continued | May 31, 2012 |
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.
(f) Recent Accounting Pronouncements
On May 12, 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-04, modifying Topic 820, Fair Value Measurements and Disclosures. At the same time, the International Accounting Standards Board (“IASB”) issued International Financial Reporting Standard (“IFRS”) 13, Fair Value Measurement. The objective of the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, the ASU requires reporting entities to disclose (i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers, (ii) for Level 3 fair value measurements, quantitative information about significant unobservable inputs used, (iii) a description of the valuation processes used by the reporting entity, and (iv) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of the ASU is for interim and annual periods beginning after December 15, 2011, and it is therefore not effective for the current fiscal year. Guggenheim Funds Investment Advisors, LLC (the “Investment Adviser”) is in the process of assessing the impact of the updated standards on the Funds’ financial statements.
Note 3 – Investment Advisory Agreement, Sub-Advisory Agreement and Other Agreements:
Pursuant to an Investment Advisory Agreement (the “Agreement”) between the Trust, on behalf of each Fund, and 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 Canadian Energy Income ETF | 0.50% |
| Guggenheim China Real Estate ETF | 0.50% |
| Guggenheim China Small Cap ETF | 0.55% |
| Guggenheim Frontier Markets ETF | 0.50% |
| Guggenheim International Multi-Asset Income ETF | 0.50% |
| Guggenheim Timber ETF | 0.50% |
Pursuant to the Agreement, the Funds listed in the following table pay 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 Shipping ETF | 0.65% |
| Guggenheim Yuan Bond ETF | 0.65% |
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 its unitary fee structure, the Guggenheim Shipping ETF and Guggenheim Yuan Bond ETF do not pay a separate Fund Administration fee.
For the year ended May 31, 2012, the following Funds recognized Fund Administration expenses and waived Fund Administration expenses as follows:
| Fund Administration | Fund Administration | ||||||
| Expense | Expense Waived | ||||||
| Guggenheim Canadian Energy Income ETF | $ | 37,676 | $ | — | |||
| Guggenheim China Real Estate ETF | 6,213 | 6,213 | |||||
| Guggenheim China Small Cap ETF | 51,171 | — | |||||
| Guggenheim Frontier Markets ETF | 40,308 | — | |||||
| Guggenheim International Multi-Asset Income ETF | 26,024 | — | |||||
| Guggenheim Timber ETF | 36,317 | -– | |||||
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.
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 63 |
| NOTES TO FINANCIAL STATEMENTS continued | May 31, 2012 |
J.P. Morgan Investment Management, Inc. (“JPMIM”) and JF International Management Inc. (“JFIMI”, and with JPMIM, the “Investment Sub-Advisers”) act as the sub-advisers for Guggenheim Yuan Bond ETF, pursuant to the sub-advisory agreement with the Investment Adviser. In this capacity, the Investment Sub-Advisers supervise and manage the investment portfolio for the aforementioned Fund, and direct the purchases and sales of the Fund’s investment securities.
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 the Guggenheim Shipping ETF and Guggenheim Yuan Bond 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, 2014:
| Fund | Rate |
| Guggenheim Canadian Energy Income ETF | 0.65% |
| Guggenheim China Real Estate ETF | 0.65% |
| Guggenheim China Small Cap ETF | 0.70% |
| Guggenheim Frontier Markets ETF | 0.65% |
| Guggenheim International Multi-Asset Income ETF | 0.65% |
| Guggenheim Timber 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 May 31, 2012, the Investment Adviser waived fees and reimbursed the following fees and expenses:
Potentially Recoverable Expenses Expiring | ||||||||||
| Advisory Fees | Expenses | |||||||||
| Waived | Reimbursed | 2013 | ||||||||
| Guggenheim Canadian Energy | ||||||||||
| Income ETF | $ | 115,702 | $ | — | $ | — | ||||
| Guggenheim China Real Estate ETF | 112,973 | 34,653 | — | |||||||
| Guggenheim China Small Cap ETF | 326,508 | — | — | |||||||
| Guggenheim Frontier Markets ETF | 155,443 | — | 417,118 | * | ||||||
| Guggenheim International Multi-Asset | ||||||||||
| Income ETF | 203,298 | — | — | |||||||
| Guggenheim Timber ETF | 165,835 | — | — | |||||||
| * | Per the Expense Reimbursement Agreement discussed above, this year represents the last year the Fund will be eligible to recover fees and expenses. |
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 Canadian Energy Income ETF | Sustainable Wealth Management, Ltd. |
| Guggenheim China Real Estate ETF | AlphaShares LLC |
| Guggenheim China Small Cap ETF | AlphaShares LLC |
| Guggenheim Frontier Markets ETF | The Bank of New York Mellon Corp. |
| Guggenheim International Multi-Asset Income ETF | Zacks Investment Research, Inc. |
| Guggenheim Shipping ETF | CME Group Index Services LLC |
| Guggenheim Timber ETF | Beacon Indexes LLC |
| Guggenheim Yuan Bond ETF | AlphaShares LLC |
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, the Funds intend not to be subject to U.S. federal excise tax.
| 64 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS continued | May 31, 2012 |
At May 31, 2012, the cost of investments, accumulated unrealized appreciation/depreciation on investments, excluding foreign currency, for federal income tax purposes were as follows:
Cost of Investments for Tax Purposes | Gross Tax Unrealized Appreciation | Gross Tax Unrealized Depreciation | Net Tax Unrealized Appreciation (Depreciation) | Net Tax Unrealized Appreciation (Depreciation) on Foreign Currency | ||||||||||||
| Guggenheim Canadian Energy Income ETF | $ | 141,443,098 | $ | 858,838 | $ | (24,959,359 | ) | $ | (24,100,521 | ) | $ | (9,352 | ) | |||
| Guggenheim China Real Estate ETF | 25,362,322 | 49,914 | (5,735,408 | ) | (5,685,494 | ) | (10 | ) | ||||||||
| Guggenheim China Small Cap ETF | 255,526,424 | 9,173,829 | (62,763,479 | ) | (53,589,650 | ) | (117 | ) | ||||||||
| Guggenheim Frontier Markets ETF | 178,990,512 | 4,444,582 | (32,587,672 | ) | (28,143,090 | ) | — | |||||||||
| Guggenheim International Multi-Asset Income ETF | 134,724,035 | 1,551,963 | (18,291,683 | ) | (16,739,720 | ) | (7,916 | ) | ||||||||
| Guggenheim Shipping ETF | 43,610,053 | 728,035 | (6,491,266 | ) | (5,763,231 | ) | 2,239 | |||||||||
| Guggenheim Timber ETF | 141,158,344 | 2,728,801 | (30,741,584 | ) | (28,012,783 | ) | 6,257 | |||||||||
| Guggenheim Yuan Bond ETF | 4,935,206 | 5,853 | (34,192 | ) | (28,339 | ) | (529 | ) | ||||||||
Tax components of the following balances as of May 31, 2012 were as follows:
Undistributed Ordinary Income/ (Accumulated Ordinary Loss) | Undistributed Long-Term Gains/ (Accumulated Capital & Other Loss) | ||||||
| Guggenheim Canadian Energy Income ETF | $ | — | $ | (58,685,928 | ) | ||
| Guggenheim China Real Estate ETF | 590,432 | (16,390,712 | ) | ||||
| Guggenheim China Small Cap ETF | 1,349,395 | (52,485,152 | ) | ||||
| Guggenheim Frontier Markets ETF | 2,537,032 | (11,646,083 | ) | ||||
| Guggenheim International Multi-Asset Income ETF | — | (19,562,509 | ) | ||||
| Guggenheim Shipping ETF | 205,011 | (3,053,590 | ) | ||||
| Guggenheim Timber ETF | 1,803,075 | (41,401,277 | ) | ||||
| Guggenheim Yuan Bond ETF | 1,579 | (8,332 | ) | ||||
At May 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 investment in real estate investment trusts, investments in partnerships, wash sales from redemption in-kind transactions, return of capital, and net investment losses. Net investment income, net realized gains and net assets were not affected by these changes.
Undistributed Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | Paid In Capital | ||||||||
| Guggenheim Canadian Energy | ||||||||||
| Income ETF | $ | 298,567 | $ | (2,402,527 | ) | $ | 2,103,960 | |||
| Guggenheim China Real Estate ETF | 280,574 | 772,033 | (1,052,607 | ) | ||||||
| Guggenheim China Small Cap ETF | 434,977 | 10,132,932 | (10,567,909 | ) | ||||||
| Guggenheim Frontier Markets ETF | — | (107,782 | ) | 107,782 | ||||||
| Guggenheim International | ||||||||||
| Multi-Asset Income ETF | (446,002 | ) | (4,183,546 | ) | 4,629,548 | |||||
| Guggenheim Shipping ETF | (120,474 | ) | (3,360,163 | ) | 3,480,637 | |||||
| Guggenheim Timber ETF | (918,501 | ) | (6,005,949 | ) | 6,924,450 | |||||
| Guggenheim Yuan Bond ETF | (16,837 | ) | 16,837 | — | ||||||
Distributions to Shareholders:
The tax character of distributions paid during the year ended May 31, 2012 was as follows:
| Distributions paid from Ordinary Income | ||||
| Guggenheim Canadian Energy Income ETF | $ | 4,070,916 | ||
| Guggenheim China Real Estate ETF | 233,530 | |||
| Guggenheim China Small Cap ETF | 4,836,000 | |||
| Guggenheim Frontier Markets ETF | 5,553,760 | |||
| Guggenheim International Multi-Asset Income ETF | 4,503,888 | |||
| Guggenheim Shipping ETF | 869,900 | |||
| Guggenheim Timber ETF | 2,496,150 | |||
| Guggenheim Yuan Bond ETF | 21,400 | |||
| Distributions paid from Return of Capital | ||||
| Guggenheim Canadian Energy Income ETF | $ | 172,854 | ||
| Guggenheim International Multi-Asset Income ETF | 71,512 | |||
| Guggenheim Yuan Bond ETF | 11,400 | |||
The tax character of distributions paid during the year ended May 31, 2011 was as follows: | ||||
| Distributions paid from Ordinary Income | ||||
| Guggenheim Canadian Energy Income ETF | $ | 2,620,250 | ||
| Guggenheim China Real Estate ETF | 498,780 | |||
| Guggenheim China Small Cap ETF | 6,445,650 | |||
| Guggenheim Frontier Markets ETF | 1,265,040 | |||
| Guggenheim International Multi-Asset Income ETF | 3,195,800 | |||
| Guggenheim Shipping ETF | 271,500 | |||
| Guggenheim Timber ETF | 4,128,300 | |||
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 65 |
| NOTES TO FINANCIAL STATEMENTS continued | May 31, 2012 |
| At May 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. |
Capital Loss Expiring in 2016 | Capital Loss Expiring in 2017 | Capital Loss Expiring in 2018 | Capital Loss Expiring in 2019 | Unlimited Short-Term Capital Loss | Unlimited Long-Term Capital Loss | Total | ||||||||||||||||
| Guggenheim Canadian Energy Income ETF | $ | — | $ | 3,706,876 | $ | 12,869,693 | $ | 1,166,108 | $ | 38,050,762 | $ | 83,456 | $ | 55,876,895 | ||||||||
| Guggenheim China Real Estate ETF | — | — | 6,825,537 | — | 8,267,173 | 858,537 | 15,951,247 | |||||||||||||||
| Guggenheim China Small Cap ETF | — | — | 6,954,707 | — | 5,228,414 | 4,998,544 | 17,181,665 | |||||||||||||||
| Guggenheim Frontier Markets ETF | — | 241,589 | 3,686,218 | 364,152 | 2,328,724 | 2,261,479 | 8,882,162 | |||||||||||||||
Guggenheim International Multi-Asset Income ETF | 434,730 | 2,191,498 | 4,095,993 | 2,536,694 | 6,405,685 | 1,503,338 | 17,167,938 | |||||||||||||||
| Guggenheim Shipping ETF | — | — | — | — | 1,664,924 | 648,094 | 2,313,018 | |||||||||||||||
| Guggenheim Timber ETF | — | 3,823,203 | 18,282,954 | 1,567,565 | 11,612,370 | 4,787,184 | 40,073,276 | |||||||||||||||
| Guggenheim Yuan Bond ETF | — | — | — | — | — | — | — | |||||||||||||||
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 May 31, 2012, the following Funds incurred and will elect to defer net capital losses, currency losses and passive foreign investment company (PFIC) losses as follows:
| Post-October | |||||||
| Post-October | Foreign | ||||||
| Capital | Currency and | ||||||
| Losses | PFIC Losses | ||||||
| Guggenheim Canadian Energy Income ETF | $ | 2,809,033 | $ | — | |||
| Guggenheim China Real Estate ETF | 439,465 | — | |||||
| Guggenheim China Small Cap ETF | 35,303,487 | — | |||||
| Guggenheim Frontier Markets ETF | 2,763,921 | — | |||||
| Guggenheim International Multi-Asset Income ETF | 2,394,571 | — | |||||
| Guggenheim Shipping ETF | 740,572 | — | |||||
| Guggenheim Timber ETF | 1,328,001 | — | |||||
| Guggenheim Yuan Bond ETF | 8,332 | — |
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 May 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 Canadian Energy Income ETF | $ | 113,574,653 | $ | 114,473,827 | |||
| Guggenheim China Real Estate ETF | 3,638,719 | 3,130,013 | |||||
| Guggenheim China Small Cap ETF | 69,591,739 | 67,636,849 | |||||
| Guggenheim Frontier Markets ETF | 44,389,364 | 45,436,052 | |||||
| Guggenheim International Multi-Asset Income ETF | 71,079,397 | 70,212,435 | |||||
| Guggenheim Shipping ETF | 12,102,343 | 11,833,394 | |||||
| Guggenheim Timber ETF | 76,156,073 | 78,583,437 | |||||
| Guggenheim Yuan Bond ETF | 7,558,923 | 2,632,839 |
For the year ended May 31, 2012, in-kind transactions were as follows:
| Purchases | Sales | ||||||
| Guggenheim Canadian Energy Income ETF | $ | 16,665,141 | $ | 90,373,541 | |||
| Guggenheim China Real Estate ETF | 10,281,982 | 12,612,244 | |||||
| Guggenheim China Small Cap ETF | 33,945,963 | 107,326,254 | |||||
| Guggenheim Frontier Markets ETF | 36,831,719 | 51,835,923 | |||||
| Guggenheim International Multi-Asset Income ETF | 63,976,607 | 34,875,558 | |||||
| Guggenheim Shipping ETF | 41,080,646 | 19,417,151 | |||||
| Guggenheim Timber ETF | 12,341,897 | 71,278,299 | |||||
| Guggenheim Yuan Bond ETF | — | — |
Note 6 – Capital:
Shares are issued and redeemed by the Funds only in Creation Unit size aggregations of 50,000 to 100,000 shares. Such transactions are only permitted on an in-kind basis, with separate cash payment, which is balancing each component to equate the transaction to the net asset value
| 66 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS continued | May 31, 2012 |
per share of the Fund on the transaction date. Creation or redemption transaction fees ranging from $500 to $4,000 are charged to those persons creating or redeeming Creation Units. An additional charge of up to four times the Creation or Redemption 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.
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 class 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.
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 Fund’s financial statements, except as noted below. On May 31, 2012, the Board of Trustees declared the following dividends payable on June 7, 2012 to shareholders of record on June 5, 2012. The dividend rates per share were as follows:
| Fund | Rate | |||
| Guggenheim Yuan Bond ETF | $ | 0.030 |
Subsequent to May 31, 2012, the Board of Trustees declared the following dividends payable July 9, 2012, to shareholders of record on July 5, 2012. The dividend rates per share were as follows:
| Fund | Rate | |||
| Guggenheim Yuan Bond ETF | $ | 0.030 |
Subsequent to May 31, 2012, the Board of Trustees declared the following dividends payable on June 29, 2012, to shareholders of record on June 27, 2012. The dividend rates per share were as follows:
| Fund | Rate | |||
| Guggenheim Canadian Energy Income ETF | $ | 0.102 | ||
| Guggenheim International Multi-Asset Income ETF | 0.231 | |||
| Guggenheim Shipping ETF | 0.211 |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 67 |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | May 31, 2012 |
| The Board of Trustees and Shareholders of |
| Claymore Exchange-Traded Fund Trust 2 |
| We have audited the accompanying statements of assets and liabilities of Guggenheim Canadian Energy Income ETF, Guggenheim China Real Estate ETF, Guggenheim China Small Cap ETF, Guggenheim Frontier Markets ETF, Guggenheim International Multi- Asset Income ETF, Guggenheim Shipping ETF, Guggenheim Timber ETF, and Guggenheim Yuan Bond ETF (eight of the funds constituting the Claymore Exchange-Traded Fund Trust 2) (collectively, the Funds), including the portfolios of investments, as of May 31, 2012, and the related statements of operations, the statements of changes in net assets and financials highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. |
| We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of May 31, 2012, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion. |
| In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective eight Funds constituting the Claymore Exchange-Traded Fund Trust 2 at May 31, 2012, and the results of their operations, the changes in their net assets and financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles. |
Chicago, Illinois
July 25, 2012
| 68 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| SUPPLEMENTAL INFORMATION (Unaudited) | May 31, 2012 |
Federal Income Tax Information
The Trust intends to designate the maximum amount of dividends that qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003.
In January 2013, shareholders will be advised on IRS Form 1099 DIV or substitute 1099DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2012.
The Trust’s investment income (dividend income plus short-term gains, if any) qualifies as follows:
Guggenheim Canadian Energy Income ETF intends to designate $750,932 of foreign tax withholding on foreign source income of $5,008,298.
Guggenheim Frontier Markets ETF intends to designate $709,886 of foreign tax withholding on foreign source income of $5,192,715.
Guggenheim International Multi-Asset Income ETF intends to designate $376,506 of foreign tax withholding on foreign source income of $4,139,485.
Guggenheim Timber ETF intends to designate $310,113 of foreign tax withholding on foreign source income of $2,520,364.
The Trust’s investment income (divided income plus short-term gain, if any) qualifies as follows:
| Qualified | Dividend | ||||||
| dividend income | received deduction | ||||||
| Guggenheim Canadian Energy Income ETF | 59.32 | % | 0.00 | % | |||
| Guggenheim China Real Estate ETF | 0.56 | % | 0.00 | % | |||
| Guggenheim China Small Cap ETF | 25.19 | % | 0.00 | % | |||
| Guggenheim Frontier Markets ETF | 84.44 | % | 0.00 | % | |||
| Guggenheim International Multi-Asset Income ETF | 63.43 | % | 0.10 | % | |||
| Guggenheim Shipping ETF | 57.15 | % | 0.16 | % | |||
| Guggenheim Timber ETF | 96.32 | % | 12.95 | % | |||
| Guggenheim Yuan Bond ETF | 0.00 | % | 0.00 | % | |||
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 69 |
| SUPPLEMENTAL INFORMATION (Unaudited) continued | May 31, 2012 |
Trustees
The Trustees of the Trust and their principal business occupations during the past five years:
Name, Address*, Year of Birth and Position(s) held with Registrant | Term of Office** and Length of Time Served | Principal Occupations during the Past Five Years and Other Affiliations | Number of Funds in the Fund Complex*** Overseen by Trustee | Other Directorships Held by Trustee during the Past Five Years | ||||
| Independent Trustees: | ||||||||
Randall C. Barnes Year of Birth: 1951 Trustee | Since 2006 | Private Investor (2001-present). Formerly, Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997), President, Pizza Hut International (1991-1993) and Senior Vice President, Strategic Planning and New Business Development of PepsiCo, Inc. (1987-1990). | 55 | None | ||||
Roman Friedrich III Year of birth: 1946 Trustee | Since 2010 | Founder and President of Roman Friedrich & Company, Ltd., a mining and metals investment bank (1998-present). Formerly, Senior Managing Director of MLV & Co., LLC, an investment bank and institutional broker- dealer specializing in capital intensive industries such as energy, metals and mining (2010-2011). | 50 | Director of Blue Sky Uranium Corp. (2011-present), Zincore Metals, Inc. (2009-present). Previously, Director of Axiom Gold and Silver Corp. (2011-2012), Stratagold Corp. (2003-2009); Gateway Gold Corp. (2004-2008) and GFM Resources Ltd. (2005-2010). | ||||
Robert B. Karn III Year of Birth: 1942 Trustee | Since 2010 | Consultant (1998-present). Previously, Managing Partner, Financial and Economic Consulting, St. Louis office of Arthur Andersen, LLP (1965-1998). | 50 | Director of Peabody Energy Company (2003-present), GP Natural Resource Partners LLC (2002-present). | ||||
Ronald A. Nyberg Year of Birth: 1953 Trustee | Since 2006 | Partner of Nyberg & Cassioppi, LLC, a law firm specializing in corporate law, estate planning and business transactions (2000-present). Formerly, Executive Vice President, General Counsel and Corporate Secretary of Van Kampen Investments (1982-1999). | 57 | None | ||||
Ronald E. Toupin, Jr. Year of Birth: 1958 Trustee | Since 2006 | Portfolio Consultant (2010-present). Formerly, Vice President, Manager and Portfolio Manager of Nuveen Asset Management (1998-1999), Vice President of Nuveen Investment Advisory Corp. (1992-1999), Vice President and Manager of Nuveen Unit Investment Trusts (1991-1999), and Assistant Vice President and Portfolio Manager of Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 54 | Trustee, Bennett Group of Funds (2011-present) | ||||
| Interested Trustee: | ||||||||
Donald C. Cacciapaglia† Year of Birth: 1951 Trustee, Chief Executive Officer | Since 2012 | Senior Managing Director of Guggenheim Investments; President and Chief Executive Officer of Guggenheim Funds Distributors, LLC and President and Chief Executive Officer of Guggenheim Funds Investment Advisors, LLC (2010 – present); Chief Executive officer of funds in the Fund Complex and President and Chief Executive Officer of funds in the Rydex fund complex (2012-present). Formerly, Chief Operating Officer of Guggenheim Partners Asset Management, LLC (2010 – 2011); Chairman and CEO of Channel Capital Group Inc. and Channel Capital Group LLC (2002-2010); Managing Director of PaineWebber (1996-2002). | 50 | Trustee, Rydex Dynamic Funds, Rydex ETF Trust, Rydex Series Funds and Rydex Variable Trust (2012-present); Independent Board Member, Equitrust Life Insurance Company, Guggenheim Life and Annuity Company, and Paragon Life Insurance Company of Indiana. (2011-present) |
| * | Address for all Trustees unless otherwise noted: 2455 Corporate West Drive, Lisle, IL 60532 |
| ** | This is the period for which the Trustee began serving the Trust. Each Trustee is expected to serve an indefinite term, until his successor is elected. |
| *** | As of period end. The Guggenheim Funds Fund Complex consists of U.S. registered investment companies advised or serviced by Guggenheim Funds Investment Advisors, LLC and/or Guggenheim Funds Distributors, LLC. The Guggenheim Funds Fund Complex is overseen by multiple Boards of Trustees. |
| † | Mr. Donald C. Cacciapaglia is an “interested person” (as defined in section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of his position as the President and CEO of the Investment Adviser and Distributor. |
| 70 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| May 31, 2012 |
Officers
The Officers of the Trust and their principal occupations during the past five years:
| Name, Address*, Year of Birth and Position(s) held with Registrant | Term of Office** and Length of Time Served | Principal Occupations During the Past Five Years and Other Affiliations | ||
| Officers: | ||||
Donald C. Cacciapaglia Year of Birth: 1951 Trustee, Chief Executive Officer | Since 2012 | Senior Managing Director of Guggenheim Investments; President and Chief Executive Officer of Guggenheim Funds Distributors, LLC and President and Chief Executive Officer of Guggenheim Funds Investment Advisors, LLC (2010 – present); Chief Executive officer of funds in the Fund Complex and President and Chief Executive Officer of funds in the Rydex fund complex (2012-present). Formerly, Chief Operating Officer of Guggenheim Partners Asset Management, LLC (2010 – 2011); Chairman and CEO of Channel Capital Group Inc. and Channel Capital Group LLC (2002-2010); Managing Director of PaineWebber (1996-2002). | ||
Kevin M. Robinson Year of birth: 1959 Chief Legal Officer | Since 2008 | Senior Managing Director and General Counsel of Guggenheim Funds Investment Advisors, LLC, Guggenheim Funds Distributors, LLC and Guggenheim Funds Services LLC (2007-present). Chief Legal Officer and/or Chief Executive Officer of certain other funds in the Fund Complex. Formerly, Associate General Counsel and Assistant Corporate Secretary of NYSE Euronext, Inc. (2000-2007). | ||
John Sullivan Year of Birth: 1955 Chief Accounting Officer, Chief Financial Officer and Treasurer | Since 2010 | Senior Managing Director of Guggenheim Funds Investment Advisors, LLC and Guggenheim Funds Distributors, LLC (2010-present). Chief Financial Officer, Chief Accounting Officer and Treasurer of certain other funds in the Fund Complex. Formerly, Chief Compliance Officer, Van Kampen Funds (2004–2010). | ||
Ann E. Edgeworth Year of Birth: 1961 Interim Chief Compliance Officer | Since 2012 | Director, Foreside Compliance Services, LLC (2011-present). Formerly, Vice President, State Street Corporation (2007-2011); Director, Investors Bank & Trust (2004-2007). | ||
Mark E. Mathiasen Year of Birth: 1978 Secretary | Since 2011 | Director; Associate General Counsel of Guggenheim Funds Services, LLC (2012-present). Secretary of certain other funds in the Fund Complex. Formerly, Vice President; Assistant General Counsel of Guggenheim Funds Services LLC (2007-2012). Secretary of certain funds in the Fund Complex. Formerly, Law Clerk, Idaho State Courts (2003-2006). | ||
Stevens T. Kelly Year of Birth: 1982 Assistant Secretary | Since 2012 | Assistant General Counsel of Guggenheim Funds Services, LLC (2011-present). Assistant Secretary of certain other funds in the Fund Complex. Formerly, Associate at K&L Gates LLP (2008-2011), J.D., University of Wisconsin Law School (2005-2008). | ||
William H. Belden, III Year of Birth: 1965 Vice President | Since 2006 | Managing Director of Guggenheim Funds Investment Advisors, LLC (2005-present). Formerly, Vice President of Product Management at Northern Trust Global Investments (1999-2005). |
| * | Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532 |
| ** | Officers serve at the pleasure of the Board of Trustees and until his or her successor is appointed and qualified or until his or her earlier resignation or removal. |
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 71 |
| CONSIDERATIONS REGARDING ANNUAL REVIEW OF THE INVESTMENT ADVISORY | |
| AGREEMENTS AND INVESTMENT SUBADVISORY AGREEMENT | May 31, 2012 |
On May 16, 2012 (the “May Meeting”), the Boards of Trustees (together, the “Board”) of Claymore Exchange-Traded Fund Trust and Claymore Exchange-Traded Fund Trust 2 (together the “Trusts,” with the separate series thereof referred to individually as a “Fund” and collectively as the “Funds”), including those trustees who are not “interested persons” as defined by the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), on the recommendation of the Board’s Contracts Review Committee (referred to as the “Committee” and consisting solely of the Independent Trustees), considered the renewal of the investment advisory agreements (the “Investment Advisory Agreements”) between the Trusts and Guggenheim Funds Investment Advisors, LLC (the “Adviser” or “GFIA”) on behalf of the following Funds:
| Claymore Exchange-Traded Fund Trust |
| Guggenheim BRIC ETF |
| Guggenheim Defensive Equity ETF |
| Guggenheim Insider Sentiment ETF |
| Guggenheim Mid-Cap Core ETF |
| Guggenheim Multi-Asset Income ETF |
| Guggenheim Raymond James SB-1 Equity ETF |
| Guggenheim Spin-Off ETF |
| Wilshire 4500 Completion ETF |
| Wilshire 5000 Total Market ETF |
| Wilshire Micro-Cap ETF |
| Wilshire US REIT ETF |
| Guggenheim Enhanced Core Bond ETF |
| Guggenheim Enhanced Short Duration Bond ETF |
| Guggenheim BulletShares 2012 Corporate Bond ETF |
| Guggenheim BulletShares 2013 Corporate Bond ETF |
| Guggenheim BulletShares 2014 Corporate Bond ETF |
| Guggenheim BulletShares 2015 Corporate Bond ETF |
| Guggenheim BulletShares 2016 Corporate Bond ETF |
| Guggenheim BulletShares 2017 Corporate Bond ETF |
| Guggenheim BulletShares 2018 Corporate Bond ETF |
| Guggenheim BulletShares 2019 Corporate Bond ETF |
| Guggenheim BulletShares 2020 Corporate Bond ETF |
| Guggenheim BulletShares 2021 Corporate Bond ETF |
| Guggenheim BulletShares 2012 High Yield Corporate Bond ETF |
| Guggenheim BulletShares 2013 High Yield Corporate Bond ETF |
| Guggenheim BulletShares 2014 High Yield Corporate Bond ETF |
| Guggenheim BulletShares 2015 High Yield Corporate Bond ETF |
| Guggenheim BulletShares 2016 High Yield Corporate Bond ETF |
| Guggenheim BulletShares 2017 High Yield Corporate Bond ETF |
| Guggenheim BulletShares 2018 High Yield Corporate Bond ETF |
| Guggenheim BulletShares 2019 High Yield Corporate Bond ETF |
| Guggenheim BulletShares 2020 High Yield Corporate Bond ETF |
| Guggenheim S&P Global Dividend Opportunities Index ETF |
| Claymore Exchange-Traded Fund Trust 2 |
| 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 |
| Guggenheim Canadian Energy Income ETF |
| Guggenheim China Real Estate ETF |
| Guggenheim China Small Cap ETF |
| Guggenheim Frontier Markets ETF |
| Guggenheim International Multi-Asset Income ETF |
| Guggenheim Shipping ETF |
| Guggenheim Timber ETF |
The Board also considered the renewal of the Investment Subadvisory Agreement (“Subadvisory Agreement”) by and among Claymore Exchange-Traded Fund Trust, the Adviser and Guggenheim Partners Asset Management, LLC (n/k/a Guggenheim Partners Investment Management, LLC) (the “Subadviser”) with respect to Wilshire 4500 Completion ETF, Wilshire 5000 Total Market ETF and Wilshire US Real Estate Investment Trust (the “Subadvised Funds”). As part of its review process, the Committee was represented by independent legal counsel. Independent legal counsel reviewed with the Committee various factors relevant to the consideration of advisory agreements and the legal responsibilities of the Trustees related to such consideration. The Board and Committee took into account various materials received from the Adviser, the Subadviser and independent legal counsel. The Board and Committee also considered the variety of written materials, reports and oral presentations received throughout the year regarding performance and operating results of the Funds.
The Committee met independently of the Funds’ management to consider the renewal of the investment advisory agreements. In preparation for its review, the Committee worked with independent legal counsel to determine the nature of information to be requested, and independent legal counsel, on behalf of the Committee, sent a formal request for information to the Adviser and Subadviser. The Adviser and Subadviser provided extensive information in response to the initial request and to subsequent requests. Among other information, the Adviser and Subadviser provided information to assist the Committee in assessing the nature and quality of services provided, information provided by the Adviser comparing the investment advisory fees and expense ratios of the Funds to other exchange-traded funds and to other funds in a peer group provided by the Adviser, information about the Adviser’s and Subadviser’s financial position, the profitability from the Investment Advisory Agreements to the Adviser, the profitability of the Subadvisory Agreements to the Subadviser and the compliance programs of the Adviser and Subadviser.
Based upon its review, the Board and the Committee concluded that it was in the best interests of the Funds to renew the Investment Advisory Agreements and in addition, with respect to the Subadvised Funds, to renew the Subadvisory Agreement. In reaching this conclusion for the
| 72 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| CONSIDERATIONS REGARDING ANNUAL REVIEW OF THE INVESTMENT ADVISORY | |
| AGREEMENTS AND INVESTMENT SUBADVISORY AGREEMENT continued | May 31, 2012 |
Funds, no single factor was determinative in the Board’s analysis, but rather the Board considered a variety of factors.
Investment Advisory Agreement
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services provided by the Adviser, the Board reviewed information concerning the functions performed by the Adviser for the Funds, information describing the Adviser’s organization and the background and experience of the persons responsible for the day-to-day management of the Funds. With respect to the Subadvised Funds, the Board noted that the Adviser had delegated responsibility for the investment and reinvestment of each Subadvised Fund’s assets to the Subadviser. The Board considered the Adviser’s responsibility to oversee the Subadviser and that the Adviser has similar oversight responsibilities for other Guggenheim Funds. In this connection, the Board took into account information provided by management describing the Adviser’s processes and activities for providing oversight of the Subadviser’s investment strategies and compliance with investment restrictions, as well as information regarding the Adviser’s Subadvisory Oversight Committee. The Committee also noted the distinctive nature of the Funds, as exchange-traded funds (“ETFs”), each of which (with the exception of the two actively-managed ETFs) is generally constructed to track the performance of a defined index of securities, before fund fees and expenses. In this connection, the Board considered the experience and expertise appropriate in an adviser to ETFs. The Board also considered the secondary market support services provided by the Adviser to the Funds, including the Adviser’s efforts to educate investment professionals about the Funds and other Guggenheim Funds. In addition, the Board noted its various discussions with management concerning the experience and qualifications of the Adviser’s personnel, including those personnel providing compliance oversight. In this regard, the Board considered the information from, and presentations to the Independent Trustees by, representatives of Foreside Compliance Services, LLC (“Foreside”), a third party service provider which provides independent chief compliance officer (“CCO”) services for registered investment companies and investment advisers. The Independent Trustees took into account their review of the relevant experience, qualifications and reputation of Foreside and its personnel and, specifically, their evaluation of, and meeting with, the Trusts’ prospective interim CCO, a senior Foreside employee. Additionally, the Independent Trustees considered the proposed appointment by the Board of Mr. Donald C. Cacciapaglia, President and Chief Executive Officer of GFIA, as an “interested” Trustee for the Trusts, and his proposed election by the Board as the Trusts’ Chief Executive Officer, as well as various legal, compliance and risk management oversight and staffing initiatives undertaken and/or presented by management in connection with the Adviser’s organizational capabilities. The Board also considered updated information and representations regarding a regulatory investigation of the Adviser. Moreover, in connection with the Board’s evaluation of the overall package of services provided by GFIA, the Board considered the quality of the administrative services provided by GFIA.
Further with respect to the Adviser’s resources and its ability to carry out its responsibilities under the Advisory Agreements, the Board considered its review of financial information concerning each of the Adviser and its parent, Guggenheim Partners, LLC (“Guggenheim”), as well as its discussions with the Chief Financial Officer and Chief Accounting Officer of GFIA and Guggenheim, respectively. The Board also took into account the guaranty agreement between each Trust and a Guggenheim affiliate concerning the obligations of the Adviser under the Investment Advisory Agreements and a commitment letter from Guggenheim regarding its financial support of GFIA.
The Board also discussed the acceptability of the terms of the Investment Advisory Agreements. Based on the foregoing, and based on other information received (both oral and written) at the April 19, 2012 Committee meeting (the “April Meeting”) and at the May Meeting, as well as other considerations, the Board concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity.
Investment Performance: The Board noted that, in view of the distinctive investment objective of the Funds, the investment performance of the Funds (excluding the two actively-managed ETFs) in absolute terms was not of the importance that normally attaches to the performance of actively managed funds. Of more importance to the Board was the extent to which each Fund achieved its objective to provide investment results that, before fund fees and expenses, correspond generally to the price and yield performance of securities of companies in its applicable index. In this connection, the Board evaluated information on the correlation and tracking error between the underlying index and each Fund’s returns for the one-year, three-year and since-inception periods, as applicable. The Board determined that the Funds had in fact tracked their indexes within an acceptable range.
For the two actively-managed ETFs, the Board reviewed information comparing each Fund’s total return since the Fund became actively managed, compared to the performance of similar funds and relevant market indices, and determined that the performance was acceptable.
Comparative Fees, Costs of Services Provided and the Profits Realized by the Adviser from its Relationship with the Funds: The Board reviewed and discussed the information provided by the Adviser on each Fund’s advisory fee and expense ratio, as compared to those of the peer group funds provided by the Adviser. The Board reviewed the advisory fees for each Fund and noted that the Adviser had either contractually agreed to waive a portion of the fee and/or reimburse expenses to absorb annual operating expenses of certain Funds (excluding interest expenses, a portion of each Fund’s licensing fees, brokerage commissions and other trading expenses, taxes and extraordinary expenses such as litigation and other expenses not incurred in the ordinary course of a Fund’s business) over a particular amount or, for other Funds, the Board noted that the advisory fee was a unitary fee pursuant to which the Adviser assumes all expenses of the Fund (including the cost of transfer agency, custody, fund administration, legal, audit and other services) other than the fee payments under the respective Advisory Agreement, distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses. The Board noted that the advisory fees were generally within the
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 73 |
| CONSIDERATIONS REGARDING ANNUAL REVIEW OF THE INVESTMENT ADVISORY | |
| AGREEMENTS AND INVESTMENT SUBADVISORY AGREEMENT continued | May 31, 2012 |
range of the peer group funds provided by the Adviser and noted the unique nature of certain Funds, making “peer” comparisons less relevant.
In conjunction with its review of fees, the Board also considered information provided by the Adviser on the revenues received by the Adviser under the Investment Advisory Agreements, as well as the fees waived, for certain Funds and the estimated allocated direct and indirect costs the Adviser incurred in providing the services to the Funds.
The Board considered other benefits available to the Adviser because of its relationship with the Funds and noted that the administrative service fees received by the Adviser from serving as administrator provide it with additional revenue for the Funds without a unitary fee structure. The Board also noted the Adviser’s statement that it benefits from its association with the Funds by being able to offer investors a range of investment products. Based on all of the information provided, the Board determined that the Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale to be Realized: The Board considered the extent to which economies of scale could be realized with respect to the management of the Funds as the Funds grow and whether fee levels reflected a reasonable sharing of such economies of scale for the benefit of Fund investors. The Board considered each Fund’s asset size, advisory fee structure, net expense ratio and any applicable expense waiver and/or reimbursement agreement or unitary fee agreement with the Adviser and whether the investment process produced economies of scale. The Board considered the Adviser’s statement that, while it has experienced economies of scale as an organization through the introduction of new products, it is concurrently incurring new costs from increased staff and upgraded systems. The Board was also of the view that economies of scale were being shared with the Funds subject to a unitary fee arrangement by virtue of an advisory fee, set at a relatively low level since the inception of each applicable Fund, that subsumed economies of scale in the fee itself.
Subadvisory Agreement
Nature, Extent and Quality of Services Provided by the Subadviser: With respect to the nature, extent and quality of the services provided by the Subadviser, the Board considered the qualifications, experience, reputation and skills of the Subadviser’s personnel providing services to the Subadvised Funds and other key personnel. The Board also noted the distinctive nature of the Subadvised Funds, as ETFs, each of which is generally constructed to track the performance of a defined index of securities, before fund fees and expenses. In this connection, the Board considered the experience and expertise appropriate in an adviser to ETFs. The Board concluded that the Subadviser had personnel qualified to provide the services under the Subadvisory Agreement.
Investment Performance: The Board noted that, in view of the distinctive investment objective of the Subadvised Funds, the investment performance of the Subadvised Funds in absolute terms was not of the importance that normally attaches to the performance of actively managed funds. Of more importance to the Board was the extent to which each Subadvised Fund achieved its objective to provide investment results that, before fund fees and expenses, correspond generally to the price and yield performance of securities of companies in its applicable index. In this connection, the Board evaluated information on the correlation and tracking error between the underlying index and each Subadvised Fund’s returns for the one-year and since-inception periods. The Board determined that the Subadvised Funds had in fact tracked their indexes within an acceptable range.
Comparative Fees, Costs of Services Provided and the Profits Realized by the Subadviser from its Relationship with the Subadvised Funds: The Board considered that the Subadvisory Agreement was negotiated at arm’s length between the Adviser and the Subadviser, with the Adviser compensating the Subadviser from its own fees. On the basis of the information provided, the Board concluded that the subadvisory fee rate for each of the Subadvised Funds was reasonable.
With respect to the costs of services provided and profits realized by the Subadviser from its relationship with the Subadvised Funds, the Board considered information provided by management concerning the revenues the Subadviser received under the Subadvisory Agreement as well as the estimated expenses incurred by the Subadviser in providing services to the Subadvised Funds and its pre-tax return on revenue. The Board considered management’s representation that the Subadviser’s operating margins were within the industry range and determined that profitability levels were not unreasonable.
Economies of Scale to be Realized: The Board considered whether there were economies of scale with respect to the subadvisory services provided to the Subadvised Funds under the Subadvisory Agreement. The Board noted that the Subadvised Funds were relatively new and had not attracted significant assets and determined to address economies of scale when the Subadvised Funds had significant assets.
Overall Conclusions
Based on the foregoing, the Board determined at the May Meeting that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each Advisory Agreement is in the best interests of each Fund. In reaching this conclusion, no single factor was determinative. At the May Meeting, the Board, constituting all of the Independent Trustees, approved the renewal of each Advisory Agreement for an additional annual term.
| 74 | CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT |
| TRUST INFORMATION | May 31, 2012 |
| Board of Trustees | Officers | Investment Adviser | Administrator |
| Randall C. Barnes | Donald C. Cacciapaglia | Guggenheim Funds | Guggenheim Funds |
| Chief Executive Officer | Investment | Investment | |
| Donald C. Cacciapaglia* | Advisors, LLC | Advisors, LLC | |
| Kevin M. Robinson | Lisle, IL | Lisle, IL | |
| Roman Friedrich III | Chief Legal Officer | ||
| Investment Sub-Advisers | Accounting Agent, | ||
| Robert B. Karn III | John Sullivan | (RMB) | Custodian and Transfer |
| Chief Accounting Officer, | J.P. Morgan Investment | Agent | |
| Ronald A. Nyberg | Chief Financial Officer | Management, Inc. | The Bank of New York |
| and Treasurer | New York, NY | Mellon Corp. | |
| Ronald E. Toupin, Jr., | New York, NY | ||
| Chairman | Ann E. Edgeworth | JP International | |
| Interim Chief Compliance | Management Inc. | ||
| *Trustee is an “interested | Officer | Hong Kong | Legal Counsel |
| person” (as defined in section | Dechert LLP | ||
| 2(a)(19) of the 1940 Act) | Mark E. Mathiasen | Distributor | New York, NY |
| (“Interested Trustee”) of the | Secretary | Guggenheim Funds | |
| Trust because of his position as | Distributors, LLC | Independent Registered | |
| the President and CEO of the | Stevens T. Kelly | Lisle, IL | Public Accounting Firm |
| Investment Adviser and | Assistant Secretary | Ernst & Young LLP | |
| Distributor. | Chicago, IL | ||
| William H. Belden III | |||
| Vice President |
Privacy Principles of the Trust for Shareholders
The Funds are committed to maintaining the privacy of their shareholders and to safeguarding the non-public personal information. The following information is provided to help you understand what personal information the Funds collect, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Funds do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of their shareholders may become available to the Funds. The Funds do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).
The Funds restrict access to non-public personal information about the shareholders to Guggenheim Funds Investment Advisors, LLC employees with a legitimate business need for the information. The Funds maintain physical, electronic and procedural safeguards designed to protect the non-public personal information of their shareholders.
Questions concerning your shares of the Trust?
| • | If your shares are held in a Brokerage Account, contact your Broker. |
This report is sent to shareholders of the Funds for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Funds or of any securities mentioned in this report.
A description of the Funds’ proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Funds at (800) 345-7999.
Information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling (800) 345-7999, visiting Guggenheim Fund’s website at www.guggenheimfunds.com or by accessing the Funds’ Form N-PX on the SEC’s website at www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q is available on the SEC website at www.sec.gov or by visiting Guggenheim Fund’s website at www.guggenheimfunds.com. The Funds’ Form N-Q may also be viewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330.
| CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT | 75 |
| ABOUT THE TRUST ADVISER |
Guggenheim Funds Investment Advisors, LLC
Guggenheim Funds Investment Advisors, LLC (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. The Investment Adviser also acts as investment adviser to closed-end and open-end management investment companies. The Investment Adviser and its affiliates provide supervision, management or servicing of assets with a commitment to consistently delivering exceptional service. The Investment Adviser is a subsidiary of Guggenheim Partners, LLC, a global, diversified financial services firm with more than $125 billion in assets under supervision. Guggenheim Partners, LLC, through its affiliates, provides investment management, investment advisory, insurance, investment banking, and capital markets services. The firm is headquartered in Chicago and New York with a global network of offices throughout the United States, Europe, and Asia.
Portfolio Management
The portfolio manager who is currently responsible for the day-to-day management of each Funds’ portfolio, except the Guggenheim Yuan Bond ETF, is Saroj Kanuri, CFA. Mr. Kanuri is a Director, ETF Portfolio Management, of the Investment Adviser and Guggenheim Funds Distributors, LLC. and joined Guggenheim Funds Distributors, LLC in October of 2006. Prior to joining Guggenheim, Mr. Kanuri served as an analyst at Northern Trust Corporation from 2001- 2006. Mr. Kanuri received a B.S. in Finance from the University of Illinois at Chicago.
For the Guggenheim Yuan Bond ETF, the portfolio managers responsible for the day-to-day management of the portfolio are Stephen Chang, Managing Director of JF International Management, Inc. (“JFIMI”) and Shaw-Yann Ho, Vice President of JFIMI. Mr. Chang and Ms. Ho have managed the Guggenheim Yuan Bond ETF’s portfolio since its inception.
Stephen Chang, Managing Director of JFIMI, is head of the Asian Fixed Income Team, based in Hong Kong. Mr. Chang joined JPMorgan in 2004 from The Royal Bank of Scotland in Hong Kong where he was a senior interest rates and derivatives trader. Before returning to Hong Kong, Mr. Chang spent 6 years with Fischer Francis Trees & Watts, Inc. in New York, as a global fixed income portfolio manager. Mr. Chang began his career in 1996 with Morgan Stanley & Co., Inc. in New York as an associate, corporate treasury – risk management. He obtained a B.Sc. in Computer Science from Cornell University and a M.Sc. in Management Science from Stanford University and is a holder of the CFA designation.
Shaw-Yann Ho, Vice President of JFIMI, is the head of Asian Credit on the Asia Fixed Income Team. In this role, Ms. Ho manages Asian portfolios as well as contributes Asian credit expertise to Emerging Market Debt and other global funds. Ms. Ho joined the firm in 2011. Prior to this, she was a senior credit analyst at ING Investment Management. Prior to ING, she was a credit analyst at both Mirae Asset Management and Standard Chartered Bank, where she produced sell-side credit research covering both local currency and USD credits in various sectors. Ms. Ho earned a BSc. (Hons) in Finance from University of Warwick.
Claymore Exchange-Traded Fund Trust 2 Overview
The Claymore Exchange-Traded Fund Trust 2 is an investment company consisting of 14 separate exchange-traded “index funds” as of May 31, 2012. The investment objective of each of the funds is to replicate as closely as possible, before fees and expenses, the performance of a specified market index.
This material must be preceded or accompanied by a prospectus for the fund being offered. The prospectus contains information about the fund including a discussion of investment objectives, risks, ongoing expenses and sales charges. If a prospectus did not accompany this report, you can obtain one from your financial adviser, from our website at http://www.guggenheimfunds.com or by calling (800)345-7999. Please read the prospectus carefully before investing. The Statement of Additional Information that includes additional information about the Trustees is also available, without charge, upon request via our website at http://www.guggenheimfunds.com or by calling (800)345-7999. All funds are subject to market risk and shares when sold may be worth more or less than their original cost. You can lose money investing in the funds.
Guggenheim Funds Distributors, LLC
2455 Corporate West Drive
Lisle, IL 60532
Member FINRA/SIPC
(07/12)
NOT FDIC-INSURED l NOT BANK-GUARANTEED l MAY LOSE VALUE
ETF-002-AR-0512
Item 2. Code of Ethics.
(a) The registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (the "Code of Ethics").
(b) No information need be disclosed pursuant to this paragraph.
(c) The registrant’s code of ethics that applies to the registrant’s principal executive officer, principal accounting officer or controller, or persons performing similar functions, was amended during the period to include: specific examples of conflict of interest situations requiring prior written approval; annual certification requirements for officers covered under the code of ethics; specific recordkeeping obligations by the Trusts; and a confidentiality provision.
(d) The registrant has not granted a waiver or an implicit waiver to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions from a provision of its Code of Ethics during the period covered by this report.
(e) Not applicable.
(f) (1) The registrant's Code of Ethics is attached hereto as an exhibit.
(2) Not applicable.
(3) Not applicable.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Randall C. Barnes. Mr. Barnes is an independent Trustee for purposes of this Item 3 of Form N-CSR. Mr. Barnes qualifies as an audit committee financial expert by virtue of his experience obtained as a former Senior Vice President, Treasurer of PepsiCo, Inc.
(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the audit committee or Board of Trustees.)
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees: the aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $87,171 and $109,652 for the fiscal years ending May 31, 2012, and May 31, 2011, respectively.
(b) Audit-Related Fees: the aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph 4(a), including agreed upon procedures reports performed for rating agencies and the issuance of comfort letters, were $2,800 and $2,750 for the fiscal years ending May 31, 2012, and May 31, 2011, respectively.
Ernst & Young did not bill fees for non-audit services that required preapproval by the Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the Registrant’s last two fiscal years.
(c) Tax Fees: the aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning, including federal, state and local income tax return preparation and related advice and determination of taxable income and miscellaneous tax advice were $26,000 and $28,000 for the fiscal years ending May 31, 2012, and May 31, 2011 respectively.
Ernst & Young did not bill fees for tax services that required preapproval by the Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the Registrant’s last two fiscal years.
(d) All Other Fees: the aggregate fees billed for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 and $0 for the fiscal years ending May 31, 2012, and May 31, 2011, respectively.
Ernst & Young did not bill fees for services not included in Items 4(a), (b) or (c) above that required preapproval by the Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the Registrant’s last two fiscal years.
(e) Audit Committee Pre-Approval Policies and Procedures.
(i) The Audit Committee reviews, and in its sole discretion, pre-approves, pursuant to written pre-approval procedures (A) all engagements for audit and non-audit services to be provided by the principal accountant to the registrant and (B) all engagements for non-audit services to be provided by the principal accountant (1) to the registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and (2) to any entity controlling, controlled by or under common control with the registrant’s investment adviser that provides ongoing services to the registrant; but in the case of the services described in subsection (B)(1) or (2), only if the engagement relates directly to the operations and financial reporting of the registrant; provided that such pre-approval need not be obtained in circumstances in which the pre-approval requirement is waived under rules promulgated by the Securities and Exchange Commission or New York Stock Exchange listing standards. Sections IV.C.2 and IV.C.3 of the Audit Committee’s revised Audit Committee Charter contain the Audit Committee’s Pre-Approval Policies and Procedures and such sections are included below.
| IV.C.2 | Pre-approve any engagement of the independent auditors to provide any non-prohibited services to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X). |
(a) The Chairman or any member of the Audit Committee may grant the pre-approval of services to the Fund for non-prohibited services up to $10,000. All such delegated pre-approvals shall be presented to the Audit Committee no later than the next Audit Committee meeting. |
| IV.C.3 | Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations and financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X). |
(a) The Chairman or any member of the Audit Committee may grant the pre-approval of services to the Fund for non-prohibited services up to $10,000. All such delegated pre-approvals shall be presented to the Audit Committee no later than the next Audit Committee meeting. |
(ii) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, the registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and/or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that directly related to the operations and financial reporting of the registrant were $26,000 and $28,000 for the fiscal years ending May 31, 2012, and May 31, 2011, respectively.
(h) Not applicable.
Item 5. Audit Committee of Listed Registrants.
(a)The Audit Committee was established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The Audit Committee of the Registrant is comprised of: Randall C. Barnes, Roman Friedrich III, Bob Karn III, Ronald A. Nyberg and Ronald E. Toupin, Jr.
(b) Not applicable.
Item 6. Schedule of Investments.
The Schedule of Investments is included as part of Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Registrant has not made any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation, as required by Rule 30a-3(b) under the Investment Company Act, that the registrant's disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of Ethics for Chief Executive and Senior Financial Officer.
(a)(2) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(a) of the Investment Company Act.
(b) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(b) of the Investment Company Act and Section 906 of the Sarbanes-Oxley Act of 2002.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Claymore Exchange-Traded Fund Trust 2
By: /s/ Donald C. Cacciapaglia
Name: Donald C. Cacciapaglia
Title: Chief Executive Officer
Date: August 3, 2012
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ Donald C. Cacciapaglia
Name: Donald C. Cacciapaglia
Title: Chief Executive Officer
Date: August 3, 2012
By: /s/ John Sullivan
Name: John Sullivan
Title: Chief Financial Officer, Chief Accounting Officer and Treasurer
Date: August 3, 2012