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
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Claymore Exchange-Traded Fund Trust 2
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(Exact name of registrant as specified in charter)
2455 Corporate West Drive, Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive, Lisle, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
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Date of fiscal year end: August 31
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Date of reporting period: August 31, 2008
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
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:
ANNUAL
REPORT
August 31, 2008
Claymore Exchange-Traded Fund Trust 2
TAN | CLAYMORE/MAC GLOBAL SOLAR ENERGY INDEX ETF
EEN | CLAYMORE/ROBECO DEVELOPED INTERNATIONAL EQUITY ETF
CGW | CLAYMORE S&P GLOBAL WATER INDEX ETF
LOGO: Claymore (SM)
www.claymore.com
... YOUR ROAD TO THE LATEST,
MOST UP-TO-DATE INFORMATION ABOUT THE
CLAYMORE EXCHANGE-TRADED FUND TRUST 2
CONTENTS
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DEAR SHAREHOLDER 3
MANAGEMENT DISCUSSION OF FUND PERFORMANCE 6
FUND SUMMARY & PERFORMANCE 10
OVERVIEW OF FUND EXPENSES 14
PORTFOLIO OF INVESTMENTS 15
STATEMENT OF ASSETS AND LIABILITIES 20
STATEMENT OF OPERATIONS 21
STATEMENT OF CHANGES IN NET ASSETS 22
FINANCIAL HIGHLIGHTS 23
NOTES TO FINANCIAL STATEMENTS 26
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM 30
SUPPLEMENTAL INFORMATION 31
BOARD CONSIDERATIONS REGARDING APPROVAL OF
INVESTMENT ADVISORY AGREEMENT 33
BOARD CONSIDERATIONS REGARDING RE-APPROVAL OF
INVESTMENT ADVISORY AGREEMENT 34
TRUST INFORMATION 35
ABOUT THE TRUST MANAGER Back Cover
The shareholder report you are reading right now is just the beginning of the
story. Online at WWW.CLAYMORE.COM, you will find:
o Daily and historical fund pricing, fund returns, portfolio holdings and
characteristics, and distribution history.
o Investor guides and fund fact sheets.
o Regulatory documents including a prospectus and copies of shareholder
reports.
Claymore Securities 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.
2 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2
Dear SHAREHOLDER |
As Adviser, Claymore Advisors, LLC ("Claymore") is pleased to present the annual
shareholder report for three of our exchange-traded funds ("ETFs" or "Funds").
This report covers performance of these Funds for their fiscal year ended August
31, 2008.
The three ETFs covered in this report are:
o Claymore/MAC Global Solar Energy Index ETF (ticker: "TAN")
o Claymore/Robeco Developed International Equity ETF (ticker: "EEN")
o Claymore S&P Global Water Index ETF (ticker: "CGW")
The investment objective of each Fund is to seek investment results that
correspond generally to the performance, before each Fund's fees and expenses,
of its respective underlying index as named in its prospectus.
Claymore is committed to providing investors with innovative index-strategy-
driven investment solutions. We currently offer ETFs with a wide range of
domestic and global themes. Claymore has partnered with a diverse group of index
providers to create what we believe to be some of the most distinctive ETFs
currently available. The index providers use defined selection methodologies in
the creation of their indices. Unlike ETFs that track traditional indices
representing broad market participation, the indices that many of Claymore's
U.S.-listed ETFs track seek to capture the investment potential of unique
strategies. We believe that a strategy-driven, quantitative process provides a
disciplined investment approach to help meet investment goals over various
market cycles.
To learn more about economic and market conditions over the last year and the
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 sections for each ETF, which begin on page 6.
Sincerely,
/s/ J. Thomas Futrell
J. Thomas Futrell
Chief Executive Officer
Claymore Exchange-Traded Fund Trust 2
Annual Report | August 31, 2008 | 3
Claymore Exchange-Traded Fund Trust 2
Economic and Market OVERVIEW |
The 12-month period from August 31, 2007, through August 31, 2008, was a period
of considerable economic uncertainty and significant turmoil throughout capital
markets. In the final months of 2007, what began as a correction in the U.S.
housing market accelerated into a crisis in the sub-prime mortgage market with
profound implications for the entire U.S. economy and significant impact on
economies throughout the world.
As 2008 progressed, financial markets became extremely risk-averse, as
demonstrated by unusually wide credit spreads, severe dislocation in short-term
credit markets, overall tightening of financial conditions, and a highly
volatile equity market. Dramatic and widely publicized failures of several
prominent financial firms in late summer of 2008 added to the general malaise.
Although official reports indicate that real GDP (gross domestic product, a
broad measure of overall economic activity) continued to advance in each of the
last four quarters, growth has been below its long-term potential in recent
months. The labor market has weakened markedly, and consumer spending has
slowed, as falling house prices, rising energy prices, and tight credit
conditions have damaged consumer sentiment and spending power.
A major source of growth in the U.S. economy has been net exports, which have
been buoyed by the weakening dollar and resilient growth abroad. However, the
broadly-based tightening of credit conditions, the surge in energy prices, and
the slowdown in U.S. import demand are affecting economies around the world. A
deteriorating growth outlook abroad, especially in Europe, dampens prospects for
continued export growth. Many economists are now forecasting that the U.S. will
experience a recession during 2008.
In this challenging economic environment, most U.S. equity indices posted
negative returns. The return of the Standard & Poor's 500 Index ("S&P 500"), a
widely used measure of the U.S. stock market, was -11.14% for the 12 months
ended August 31, 2008. Small-cap stocks generally performed better than
large-cap stocks, and growth stocks performed better than value stocks. Six of
the 10 sectors within the S&P 500 had negative returns; only the energy,
consumer staples, materials and utilities sectors posted positive returns. The
weakest sector was financials, which was down more than 30% for the 12-month
period.
Performance of equity markets around the world varied, but nearly all were down.
Return of the MSCI World Index, a float-adjusted capitalization-weighted index,
created by Morgan Stanley Capital International to measure equity market
performance throughout the world, was -11.53% for the 12 months ended August 31,
2008. Return of the MSCI EAFE (Morgan Stanley Capital International
Europe-Australasia-Far East) Index, which is composed of approximately 1100
companies in 20 countries in Europe and the Pacific Basin, was -13.90% for the
same period. Returns of both of these indices are quoted in dollars. Most
European markets were down, as reflected by the -14.45% return of the MSCI
Europe Index in U.S. dollars;
4 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2 | ECONOMIC AND MARKET OVERVIEW continued
return of this index in euros was -20.32%. One of the few exceptions among major
markets to the downward trend was Brazil, which returned 23.05% in U.S. dollars
and 2.46% in local currency. The previously robust market in China, as measured
by the MSCI China index, returned -27.52% in local currency and -20.03% in U.S.
dollars.
The major theme in the bond market over the past year has been that bonds with
the highest credit ratings, especially U.S. Treasury bonds, which are assumed to
carry no credit risk, have outperformed lower-rated bonds. The return of the
Lehman U.S. Treasury Index, which measures performance of U.S. Treasury bonds,
was 8.65% for the 12 months ended August 31, 2008, compared with a return of
5.86% for the Lehman U.S. Aggregate Bond Index, which measures performance of
the overall bond market.1 Credit spreads (the difference between Treasury
securities and bonds that carry credit risk) have been at or near historically
wide levels through most of the period, and bonds with below investment grade
credit ratings generally performed poorly, as investors shied away from risk.
Post August 31, 2008, challenging times continued as the major U.S. and global
equity market benchmarks posted sharp declines. Since the end of the reporting
period through October 15, the Dow Jones Industrial Average lost 29.0%, the S&P
500 Index declined by 25.5% and the Nasdaq Composite shed 31.2%. Globally, the
MSCI World Index declined 23.8% while the MSCI EAFE lost 24.2%.
Prompting the weakness was a sequence of events that resulted in unprecedented
levels of volatility. In fact, the Chicago Board of Options Exchanged Volatility
Index (VIX), generally used as a gauge of fear and uncertainty in the market
place, reached levels never seen before peaking at 69.95 on 10/10/08. The
markets appeared to have lost confidence in the financial system after a
significant series of events which included: The government rescue of mortgage
entities Fannie Mae and Freddie Mac, the failure of investment bank Lehman
Brothers, the merger of Merrill Lynch with Bank of America, the government
bailout of American International Group, and the passage of a $700 billion
financial rescue package designed to help rid financial institutions of
"toxic"debt carried on their books. So while the recent turmoil in the market
place has been unsettling, the effort to restore faith in the credit and
financial markets continues.
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1 The Lehman U.S. Treasury Index and the Lehman U.S. Aggregate Bond Index are
benchmark indices created and calculated by a subsidiary of Lehman Brothers
Holdings Inc., which filed for bankruptcy protection in September 2008.
These are benchmark indices that are not affected by credit issues related
to Lehman Brothers.
On September 22, 2008, Barclays Capital completed its acquisition of Lehman
Brothers' North American Investment Banking and Capital Markets businesses. As
part of the transaction, Lehman Brothers indices have become part of Barclays
Capital. Recognizing the industry significance of these indices, Barclays is
committed to maintaining the family of Lehman Brothers indices and the
associated index calculation, publication, and analytical infrastructure and
tools, including Lehman Brothers' POINT(R) system.
Annual Report | August 31, 2008 | 5
Claymore Exchange-Traded Fund Trust 2
Management Discussion of FUND PERFORMANCE |
TAN | Claymore/MAC Global Solar Energy Index ETF
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FUND OVERVIEW
THE CLAYMORE/MAC GLOBAL SOLAR ENERGY INDEX ETF (the "Fund") seeks investment
results that correspond generally to the performance, before the Fund's fees and
expenses, of an equity index called the MAC Global Solar Energy Index (the
"Global Solar Energy Index" or the "Index").
The Index is currently comprised of approximately 25 stocks selected based on
the relative importance of solar power within the company's business model, as
determined by MAC Indexing LLC ("MAC" or the "Index Provider"). As of August 31,
2008, the market capitalizations of securities included in the Index range from
approximately $450 million to $23 billion, with an average market capitalization
of approximately $7.1 billion. The Index is designed to track companies within
the following business segments of the solar energy industry: companies that
produce solar power equipment and products for end-users, companies that produce
fabrication products (such as the equipment used by solar cell and module
producers to manufacture solar power equipment) or services (such as companies
specializing in the solar cell manufacturing or the provision of consulting
services to solar cell and module producers) for solar power equipment
producers, companies that supply raw materials or components to solar power
equipment producers or integrators; companies that derive a significant portion
of their business from solar power system sales, distribution, installation,
integration or financing; and companies that specialize in selling electricity
derived from solar power. The Index is generally comprised of equity securities,
including American depositary receipts ("ADRs") and global depositary receipts
("GDRs"), traded in developed markets, as defined by the Index Provider. While
the equity securities comprising the Index are traded in developed markets, the
issuers of such securities may be located in emerging markets. Emerging market
countries are countries that major international financial institutions, such as
the World Bank, generally consider to be less economically mature than developed
nations. Emerging market countries can include every nation in the world except
the United States, Canada, Japan, Australia, New Zealand and most countries
located in Western Europe.
The Fund will normally invest at least 90% of its total assets in common stock,
ADRs and GDRs that comprise the Index. Claymore Advisors, LLC, the Fund's
adviser (the "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.
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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 an
abbreviated annual fiscal period from the Fund's inception date of April 15,
2008, through August 31, 2008.
On a market price basis, the Fund generated a total return of 4.58%,
representing a change in market price to $26.28 on August 31, 2008, from $25.13
at inception. On an NAV basis, the Fund generated a total return of 4.30%,
representing a change in NAV to $26.21 on August 31, 2008, from $25.13 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. However, the
Adviser believes that large discounts or premiums to the NAV of the shares
should not be sustained.
For underlying index and broad market comparison purposes, the Global Solar
Energy Index returned 4.19% and the MSCI World Index returned -7.46% for the
same period. The MSCI World Index is an unmanaged capitalization-weighted
measure of global stock markets, including the United States, Canada, Europe,
Australia and the Far East. It is calculated using closing market prices and
converted to U.S. dollars using the London close foreign exchange rates. It is
not possible to invest directly in an index.
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PERFORMANCE ATTRIBUTION
For the period from the Fund's inception date through August 31, 2008, the
industrials sector made the strongest positive contribution to return; the
utilities sector was the greatest detractor.
Holdings that contributed strongly to performance include Energy Conversion
Devices, Inc. (4.5% of total investments), which manufactures and sells
photovoltaic products known as solar laminates, and LDK Solar Co. Ltd. (ADR)
(6.7% of total investments), a manufacturer of multicrystalline solar wafers
based in China. Positions that detracted from performance include Solaria
Energia y Medio Ambiente S.A. (1.5% of total investments), a Spanish
manufacturer of photovoltaic panels and thermal solar panels, and MEMC
Electronic Materials, Inc. (4.7% of total investments), which designs and
manufactures silicon wafers.
6 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2 | MANAGEMENT DISCUSSION OF FUND
PERFORMANCE continued
EEN | Claymore/Robeco Developed International Equity ETF
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FUND OVERVIEW
THE CLAYMORE/ROBECO DEVELOPED INTERNATIONAL EQUITY ETF (the "Fund") seeks
investment results that correspond generally to the performance, before the
Fund's fees and expenses, of an equity index called the Robeco Developed
International Equity Index (the "Robeco Developed International Equity Index" or
"Index").
Index constituents are selected from a universe of equities listed on
international developed market exchanges. "Developed markets" are countries
whose economies have high income levels, strong legal protection and
sophisticated stock exchanges, as defined by Robeco Investment Management, Inc.
("Robeco" or the "Index Provider").
The Index is comprised of, at any given time, between 100-200 stocks, selected
based on liquidity, ease of trading, valuation and momentum measures and other
criteria. The stocks included in the Index are selected and weighted using a
proprietary methodology developed by Robeco. The Fund will normally invest at
least 90% of its total assets in equities that comprise the Index and in
American depositary receipts ("ADRs") based on the securities in the Index.
Claymore Advisors, LLC, the Fund's adviser (the "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.
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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 from August 31, 2007 through August 31, 2008.
On a market price basis, the Fund generated a total return of
- -17.12%, representing a change in market price to $20.25 on August 31, 2008,
from $25.35 on August 31, 2007. On an NAV basis, the Fund generated a total
return of -16.03%, representing a change in NAV to $20.48 on August 31, 2008,
from $25.29 on August 31, 2007. 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. However, the Adviser believes that large discounts or premiums to the NAV
of the shares should not be sustained.
For underlying index and broad market comparison purposes, the Robeco Developed
International Equity Index returned -15.28% and the Morgan Stanley Capital
International Europe, Australasia and Far East Index (the "MSCI EAFE Index")
returned -14.41% for the same period. The MSCI EAFE Index is an unmanaged
capitalization-weighted index that tracks international stock performance in the
21 developed markets of Europe, Australasia and the Far East. The index is
calculated using closing local market prices and translated into U.S. dollars
using the London close foreign exchange rates. It is not possible to invest
directly in an index.
The Fund made an annual distribution of $0.9150 per share on December 31, 2007,
to shareholders of record on December 28, 2007.
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PERFORMANCE ATTRIBUTION
For the 12-month period ended August 31, 2008, only the utilities sector made a
positive contribution to return; the financials and materials sectors were the
greatest detractors. Holdings that made positive contributions to performance
include German automobile manufacturer Volkswagen AG (1.1% of total
investments); Japanese electronics producer Matsushita Electric Industrial Co.
Ltd. (1.0% of total investments); and Hongkong Electric Holdings, (0.7% of total
investments), a leading utility company in Hong Kong. Positions that detracted
from performance include Italian automobile manufacturer Fiat SpA (0.8% of total
investments); and Vodafone Group PLC, (1.9% of total investments), which
provides voice and data communication services.
Annual Report | August 31, 2008 | 7
Claymore Exchange-Traded Fund Trust 2 | MANAGEMENT DISCUSSION OF FUND
PERFORMANCE continued
CGW | Claymore S&P Global Water Index ETF
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FUND OVERVIEW
THE CLAYMORE S&P GLOBAL WATER INDEX ETF (the "Fund") seeks investment results
that correspond generally to the performance, before the Fund's fees and
expenses, of an equity index called the S&P Global Water Index (the "Water
Index" or "Index").
The S&P Global Water Index is comprised of approximately 50 stocks selected
based on the relative importance of the global water industry within the
company's business model from a universe of companies listed on global developed
market exchanges. The Index is designed to have a balanced representation from
different segments of the water industry consisting of the following two
clusters: 25 water utilities and infrastructure companies (water supply, water
utilities, waste water treatment, water, sewer and pipeline construction, water
purification, water well drilling, and water testing) and 25 water equipment and
materials companies (water treatment chemicals, water treatment appliances,
pumps and pumping equipment, fluid power pumps and motors, plumbing equipment,
totalizing fluid meters and counting devices) based upon Standard & Poor's
Capital IQ ("CIQ") industry classification. Standard & Poor's ("S&P"), the
Fund's index provider, generally defines "developed markets" as the capital
markets of those countries with high levels of per capita income and strict
market regulation resulting in greater transparency. Capitalizations range from
$250 million to $90 billion including small-, mid-, and large-capitalization
stocks as defined by S&P. The Fund will normally invest at least 90% of its
total assets in common stock and American depositary receipts ("ADRs") that
comprise the Index. Claymore Advisors, LLC, the Fund's adviser (the "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.
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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 from August 31, 2007, through August 31, 2008.
On a market price basis, the Fund generated a total return of -6.38%,
representing a change in market price to $23.43 on August 31, 2008, from $25.13
on August 31, 2007. On an NAV basis, the Fund generated a total return of
- -6.20%, representing a change in NAV to $23.22 on August 31, 2008, from $24.86
on August 31, 2007. 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. However,
the Adviser believes that large discounts or premiums to the NAV of the shares
should not be sustained.
For underlying index and broad market comparison purposes, the S&P Global Water
Index returned -4.97% and the Morgan Stanley Capital International World Index
(the "MSCI World Index") returned -11.94% for the same period. The MSCI World
Index is an unmanaged capitalization-weighted measure of global stock markets,
including the United States, Canada, Europe, Australia and the Far East. It is
calculated using closing market prices and converted to U.S. dollars using the
London close foreign exchange rates. It is not possible to invest directly in an
index.
The difference between the Fund's return and the return of the S&P Global Water
Index is greater than would normally be expected because the Fund is subject to
withholding tax on foreign dividends, but the S&P Global Water Index does not
reflect this tax.
The Fund made an annual distribution of $0.1080 per share on December 31, 2007,
to shareholders of record on December 28, 2007.
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PERFORMANCE ATTRIBUTION
The Fund's holdings are concentrated in the industrials and utilities sectors,
in which more than 80% of total investments are categorized. Both of these
sectors detracted from return for the 12-month period ended August 31, 2008; the
financials, consumer services, telecommunications and health care sectors made
modestly positive contributions to return.
Holdings that contributed strongly to performance include SUEZ SA (not held in
portfolio at period end), a French company whose two main lines of business are
energy and environment; Itron, Inc. (5.1% of total investments at period end),
which provides products and services to utilities for the energy and water
markets throughout the world; and Valmont Industries Inc. (4.1% of total
investments at period end), a global producer of mechanized irrigation systems
and fabricated metal products.
Positions that detracted from performance include Veolia Environnement S.A.(7.9%
of total investments at period end), a French environmental services company;
Ciba Holding AG (2.4% of total investments at period end), a Swiss specialty
chemicals company; and Uponor Oyj (1.6% of total investments at period end), an
international supplier of plumbing and heating systems based in Finland.
8 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2 | MANAGEMENT DISCUSSION OF FUND
PERFORMANCE continued
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RISKS AND OTHER CONSIDERATIONS
The views expressed in this report reflect those of the portfolio managers and
Claymore 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. There can be no
assurance that the Funds will achieve their investment objectives.
An investment in the Funds is subject to certain risks and other considerations
that include, but are not limited to:
INVESTMENT RISK. This includes the risk of the possible loss of the entire
principal amount that you invest.
EQUITY RISK. This includes the risk that 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. The Fund's investments in non-U.S. issuers may involve
unique risks compared to investing in securities of U.S. issuers, including,
among others, less market liquidity, generally greater market volatility than
U.S. securities and less complete financial information than for U.S. issuers.
In addition, adverse political, economic or social developments could undermine
the value of the Fund's investments or prevent the Fund from realizing the full
value of its investments. Financial reporting standards for companies based in
foreign markets differ from those in the United States. Finally, the value of
the currency of the country in which the Fund has invested could decline
relative to the value of the U.S. dollar, which may affect the value of the
investment to U.S. investors. In addition, the underlying issuers of certain
depositary receipts, particularly unsponsored or unregistered depositary
receipts, are under no obligation to distribute shareholder communications to
the holders of such receipts, or to pass through to them any voting rights with
respect to the deposited securities.
REPLICATION MANAGEMENT RISK. Unlike many investment companies, the Funds are not
"actively" managed. Therefore, the Funds won't necessarily sell a stock because
the stock's issuer was in financial trouble unless that stock is removed from
the Index.
NON-CORRELATION RISK. The Funds' returns may not match the returns of the
indices. For example, the Funds incur operating expenses not applicable to the
indices, and incur costs in buying and selling securities, especially when
rebalancing the Funds' holdings to reflect changes in the composition of the
indices.
ISSUER-SPECIFIC CHANGES RISK. Investments in non-U.S. issuers may involve unique
risks, including, among others, greater market volatility than U.S. securities
and less complete financial information than for U.S. issuers.
NON-DIVERSIFIED FUND RISK. The Funds are considered non-diversified and can
invest a greater portion of assets in securities of individual issuers than a
diversified fund. As a result, changes in the market value of a single
investment could cause greater fluctuations in share price than would occur in a
diversified fund.
MICRO-, SMALL- AND MEDIUM-SIZED COMPANY RISK. Investing in securities of micro-,
small- and medium-capitalization companies involves greater risk than investing
in more established companies. These companies' stocks may be more volatile and
less liquid than those of more established companies.
INDUSTRY RISK. While the Funds do not concentrate in any industry, to the extent
that the Funds' focus their investments in a particular industry or group of
related industries, the NAV of the Funds will be more susceptible to factors
affecting that industry or sector.
There can be no assurance that the requirements of the AMEX or NYSE Arca
necessary to maintain the listing of the Funds will continue to be met or will
remain unchanged.
THE CLAYMORE S&P GLOBAL WATER INDEX ETF is also subject to risks of
concentrating in the water industry. Adverse developments in the water industry
may significantly affect the value of the securities held by the Fund. Companies
involved in the water industry are subject to environmental considerations,
taxes, government regulation, price and supply fluctuations, competition and
water conservation.
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.
Annual Report | August 31, 2008 | 9
Claymore Exchange-Traded Fund Trust 2
Fund SUMMARY & PERFORMANCE | AS OF AUGUST 31, 2008 (unaudited)
TAN | Claymore/MAC Global Solar Energy Index ETF
FUND STATISTICS
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Share Price $26.28
Net Asset Value $26.21
Premium/Discount to NAV 0.27%
Net Assets ($000) $186,583
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TOTAL RETURNS
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(INCEPTION 4/15/08) SINCE INCEPTION
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Claymore/MAC Global Solar Energy Index ETF
NAV 4.30%
Market 4.58%
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MAC Global Solar Energy Index 4.19%
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MSCI World Index -7.46%
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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.claymore.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 $25.13 per share for share price returns or initial net asset value (NAV) of
$25.13 per share for NAV returns. Returns for periods of less than one year are
not annualized.
The Fund's total annual operating expense ratio was estimated at 0.89%, per the
prospectus, gross of any fee waivers or expense reimbursements. The Fund's
expense ratio for its initial fiscal year is based on an assumed average asset
level of $100 million. If assets are lower than $100 million, the expense ratio
will be higher due to the inclusion of offering costs during the first twelve
months of operations. If average assets of the Fund exceed $100 million during
the Fund's first twelve months, the expense ratio may be lower. In the Financial
Highlights section of this Annual Report, the Fund's annualized net operating
expense ratio was determined to be 0.79% while the Fund's annualized gross
operating expense ratio was determined to be 0.93%. There is a contractual fee
waiver currently in place for this Fund through December 31, 2011 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 TOTAL
COUNTRY BREAKDOWN INVESTMENTS
- --------------------------------------------------------------------------------
China 29.5%
United States 28.7%
Germany 26.1%
Norway 9.0%
Switzerland 2.7%
Canada 2.5%
Spain 1.5%
- --------------------------------------------------------------------------------
PORTFOLIO BREAKDOWN % OF NET ASSETS
- --------------------------------------------------------------------------------
Industrials 79.4%
Information Technology 20.6%
- --------------------------------------------------------------------------------
Total Investments 100.0%
Liabilities in excess of Other Assets 0.0%
- --------------------------------------------------------------------------------
Net Assets 100.0%
- --------------------------------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS INVESTMENTS
- --------------------------------------------------------------------------------
First Solar, Inc. 9.3%
Renewable Energy Corp. ASA 8.9%
Suntech Power Holdings Co. Ltd. - ADR 7.0%
LDK Solar Co. Ltd. - ADR 6.7%
Q-Cells AG 6.1%
Solarworld AG 6.0%
Sunpower Corp. - Class A 5.7%
MEMC Electronic Materials, Inc. 4.7%
Energy Conversion Devices, Inc. 4.5%
JA Solar Holdings Co. Ltd. - ADR 4.3%
- --------------------------------------------------------------------------------
Portfolio breakdown is shown as a percentage of net assets. Country breakdown
and holdings are shown as a percentage of total investments. All are subject to
change daily. For more current Fund information, please visit www.claymore.com.
The above summaries are provided for informational purposes only, and should not
be viewed as recommendations.
Line Chart:
PERFORMANCE OF A $10,000 INVESTMENT
Claymore/MACGlobal
Solar Energy
Index ETF MSCI/World Index
4/15/08 10000 10000
10254.7 10040.8
10712.3 10267.9
10390 10258.1
10489.5 10361.5
10612.8 10423.4
10748.1 10369.6
10624.8 10380.8
10413.8 10355.1
10394 10443.6
10453.6 10472.1
10250.7 10409.2
10338.2 10416.1
10115.4 10460.5
10218.9 10565.8
10059.7 10566
10374 10618.4
10202.9 10526
10382 10543
10405.9 10454.5
10501.4 10539.7
10839.6 10550.2
11309.2 10583.6
11364.9 10689
11647.4 10772.4
11703.1 10818.6
11587.7 10726.5
11615.6 10635
11408.7 10635.2
11563.9 10519.3
11154 10477.9
11165.9 10496.2
10453.6 10536.1
11094.3 10578.9
11285.3 10517.6
11293.3 10459
10990.8 10417
11197.8 10515.1
11054.5 10378.1
10712.3 10316.8
10346.2 10165.2
10338.2 10061.7
10326.3 10017.8
10620.8 10091.9
11154 10152.4
11412.7 10170.9
11301.2 10093.3
11440.5 10040.8
11126.1 9903.47
11265.4 9856.56
11173.9 9827.81
11277.4 9888.99
10748.1 9730.23
10390 9679.84
10298.5 9710.26
9745.32 9633.84
9192.2 9517.47
9196.18 9477.45
9434.94 9434.78
9255.87 9425.8
9200.16 9415.64
9255.87 9404.44
9271.79 9322.94
9478.71 9299.76
9303.62 9163.9
9665.74 9248.25
9673.7 9402.07
9554.32 9408.33
9812.97 9469.16
9490.65 9515.24
9454.83 9578.23
8869.88 9441.74
8941.5 9400.96
8873.86 9309.64
9259.85 9346.74
9530.44 9504.66
9462.79 9458.1
9275.77 9355.65
9029.05 9252.57
9064.86 9378.82
9164.35 9447.66
9172.3 9339.5
8985.28 9355.37
8933.55 9429.7
9088.74 9344.09
9156.39 9243.17
9231.99 9288.62
9546.36 9250.62
9494.63 9192.51
9530.44 9047.04
9996.02 9118.8
10123.4 9146.01
10429.8 9206.22
10330.3 9118.45
10075.6 9092.42
10210.9 9162.02
10354.2 9269.55
10429.8 9254.24
10429.8 9254.24
8/31/08 10429.8 9254.24
This graph compares a hypothetical $10,000 investment in the Fund, made at its
inception, with a similar investment in the MSCI World Index. Results include
the reinvestment of all dividends and capital gains. Past performance is no
guarantee of future results. The MSCI World Index is a free float-adjusted
market capitalization index that measures global developed market equity
performance of the 23 developed market country indices of Europe, Australasia,
the Far East, the United States and Canada. It is not possible to invest
directly in the MSCI World Index. Investment return and principal value will
fluctuate with changes in market conditions and other factors and Fund shares,
when redeemed, may be worth more or less than their original investment.
10 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2 | FUND SUMMARY & PERFORMANCE (unaudited)
continued
EEN | Claymore/Robeco Developed International Equity ETF
FUND STATISTICS
- --------------------------------------------------------------------------------
Share Price $20.25
Net Asset Value $20.48
Premium/Discount to NAV -1.12%
Net Assets ($000) $4,138
- --------------------------------------------------------------------------------
TOTAL RETURNS
- --------------------------------------------------------------------------------
SINCE INCEPTION
(INCEPTION 3/1/07) ONE YEAR ANNUALIZED
- --------------------------------------------------------------------------------
Claymore/Robeco Developed
International Equity ETF
NAV -16.03% -8.20%
Market -17.12% -8.86%
- --------------------------------------------------------------------------------
Robeco Developed International
Equity Index -15.28% -6.99%
- --------------------------------------------------------------------------------
MSCI EAFE Index -14.41% -6.38%
- --------------------------------------------------------------------------------
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.claymore.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 $24.15 per share for share price returns or initial net asset value (NAV) of
$24.15 per share for NAV returns. Returns for periods of less than one year are
not annualized.
The Fund's total annual operating expense ratio was estimated at 3.35%, per the
prospectus, gross of any fee waivers or expense reimbursements. In the Financial
Highlights section of this Annual Report, the Fund's annualized net operating
expense ratio was determined to be 1.08% while the Fund's annualized gross
operating expense ratio was determined to be 4.86%. There is a contractual fee
waiver currently in place for this Fund through December 31, 2011 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 TOTAL
COUNTRY BREAKDOWN INVESTMENTS
- --------------------------------------------------------------------------------
Japan 22.8%
United Kingdom 22.0%
Germany 10.1%
France 9.4%
Switzerland 6.6%
Australia 5.5%
Netherlands 4.5%
Spain 3.2%
China 3.0%
Italy 2.9%
Sweden 2.7%
Denmark 1.7%
Norway 1.4%
Belgium 1.3%
Singapore 1.1%
Portugal 0.8%
Finland 0.6%
Jersey 0.2%
Ireland 0.1%
Austria 0.1%
- --------------------------------------------------------------------------------
PORTFOLIO BREAKDOWN % OF NET ASSETS
- --------------------------------------------------------------------------------
Financials 25.4%
Consumer Discretionary 12.0%
Industrials 11.9%
Materials 11.1%
Energy 9.1%
Health Care 7.7%
Telecommunication Services 6.3%
Consumer Staples 5.5%
Information Technology 5.4%
Utilities 5.2%
- --------------------------------------------------------------------------------
Total Investments 99.6%
Other Assets in excess of Liabilities 0.4%
- --------------------------------------------------------------------------------
Net Assets 100.0%
- --------------------------------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS INVESTMENTS
- --------------------------------------------------------------------------------
BP PLC 2.3%
Vodafone Group PLC 1.9%
BHP Billiton Ltd. 1.8%
Banco Santander SA 1.7%
Royal Dutch Shell PLC - Class B 1.6%
ENI SpA 1.5%
Sanofi-Aventis SA 1.4%
AstraZeneca PLC 1.4%
GDF Suez 1.4%
Novartis AG 1.3%
- --------------------------------------------------------------------------------
Portfolio breakdown is shown as a percentage of net assets. Country breakdown
and holdings are shown as a percentage of total investments. All are subject to
change daily. For more current Fund information, please visit www.claymore.com.
The above summaries are provided for informational purposes only, and should not
be viewed as recommendations.
Line Chart:
PERFORMANCE OF A $10,000 INVESTMENT
Claymore/Robeco Developed
International Equity ETF MSCI EAFE Index
3/1/07 10000 10000
9913.04 9906.96
9888.2 9872.76
9689.44 9669.12
9805.38 9788.18
9879.92 9852.41
10024.8 9963.7
10037.3 9976.68
10082.8 10017.7
10004.1 9942.54
9776.4 9701.56
9950.31 9869.85
9971.01 9887.15
10074.5 10001.5
10120.1 10078.1
10161.5 10109.2
10339.5 10290.9
10352 10306.1
10306.4 10269.4
10285.7 10255.4
10269.2 10225.5
10314.7 10266
10310.6 10254.9
10343.7 10277.2
10430.6 10375
10488.6 10440.6
10517.6 10467.4
10484.5 10435.2
10579.7 10538.2
10571.4 10531.7
10575.6 10524.9
10600.4 10550.8
10737.1 10684.9
10757.8 10703.4
10778.5 10717.3
10666.7 10657.4
10790.9 10745.1
10774.3 10724.6
10741.2 10686
10770.2 10734.8
10761.9 10722.9
10732.9 10698.8
10732.9 10710.3
10679.1 10657
10728.8 10715.8
10732.9 10723.1
10795 10809.9
10869.6 10887.8
10745.3 10769.3
10778.5 10828.8
10687.4 10733
10708.1 10755.6
10724.6 10770.4
10766 10798.2
10728.8 10762.2
10695.7 10730
10728.8 10785.9
10745.3 10781.6
10778.5 10809.6
10848.9 10898.8
10741.2 10804
10703.9 10775.2
10770.2 10840.9
10720.5 10787.5
10840.6 10898.3
10894.4 10967.7
10931.7 11006.8
10894.4 10992.5
10774.3 10872.6
10662.5 10763
10546.6 10650.7
10604.5 10715.3
10538.3 10650.3
10538.3 10644
10641.8 10773.8
10774.3 10915.7
10782.6 10939.4
10774.3 10922.6
10819.9 10960.7
10724.6 10879.7
10699.8 10848
10683.2 10836.4
10658.4 10801.5
10588 10707
10699.8 10822
10757.8 10911.6
10836.4 10991.3
10911 11057.5
10906.8 11046.4
10960.7 11097.1
10997.9 11150.3
10997.9 11130.8
10964.8 11106.1
11043.5 11181
11122.2 11256.6
11155.3 11271.2
11105.6 11233.7
11014.5 11132.1
11122.2 11233.6
11113.9 11191.5
11105.6 11201.2
11010.3 11116.2
10865.4 10963.4
10646 10735.2
10484.5 10579.9
10505.2 10596
10654.2 10750.9
10467.9 10559.8
10530 10615.3
10501 10590.2
10426.5 10523.7
10476.2 10589.2
10612.8 10784.7
10393.4 10631.1
10070.4 10303.1
10256.7 10423.6
10186.3 10320.6
10062.1 10171.8
9772.26 9862.77
9842.65 9941.37
9942.03 10067.3
10004.1 10125.3
10144.9 10253.2
10277.4 10375.6
10335.4 10428.1
10376.8 10462.6
10248.5 10341.6
10248.5 10330.6
10318.8 10418.8
10472 10582.9
10505.2 10619.4
10389.2 10504.2
10455.5 10558.3
10360.2 10455.5
10252.6 10351.1
10393.4 10502.5
10438.9 10553.1
10455.5 10588
10422.4 10550.8
10306.4 10432.3
10327.1 10466.4
10679.1 10829
10728.8 10896.9
10737.1 10897
10737.1 10919.2
10724.6 10900
10782.6 10942
10902.7 11090.3
10960.7 11149
11018.6 11215
11039.3 11241.8
11051.8 11264.2
11031.1 11246.7
11080.8 11326.7
11022.8 11246.6
11097.3 11326.1
11176 11380.2
11316.8 11502.5
11262.9 11444.2
11238.1 11397
11118 11245.2
11147 11289.5
11188.4 11328.2
11068.3 11225.7
10873.7 11007.2
11010.3 11162.3
10989.7 11114
11101.5 11228.5
11254.7 11391.7
11349.9 11523.4
11329.2 11481.9
11428.6 11587.1
11320.9 11483.9
11229.8 11374.6
11105.6 11263.4
11176 11350.2
11176 11374.4
11055.9 11265.9
10902.7 11129.7
10753.6 10976.5
10815.7 11026.1
10944.1 11179.5
10803.3 11033.1
10691.5 10919.8
10530 10761.3
10708.1 10925.8
10484.5 10708.9
10625.3 10873.4
10650.1 10925.8
10592.1 10898.9
10699.8 11018.8
10803.3 11144.2
10861.3 11206.1
10828.2 11171.6
10741.2 11097.6
10824 11168.6
10836.4 11199.2
10948.2 11291.9
10993.8 11360.2
10985.5 11352.6
10964.8 11327.9
10703.9 11022.2
10588 10900.9
10347.8 10655.1
10347.8 10655.4
10294 10594.4
10298.1 10595.3
10447.2 10740.1
10480.3 10769.8
10194.6 10881.2
10219.5 10920.1
10252.6 10957.2
10628.5 10953.9
10637.1 10953.8
10594.1 10926
10418 10738.8
10323.5 10637.1
10344.9 10679.7
10263.3 10593.9
10190.3 10518.7
10151.6 10468.6
10250.4 10555.2
10048.5 10323.7
9790.73 10056.5
9803.62 10069.8
9709.11 9972.35
9215.06 9423.97
9116.25 9305.04
9541.56 9778.25
9657.56 9912.84
9550.16 9796.25
9687.63 9939.23
9593.12 9866.52
9666.15 9941.96
9820.81 10096.3
9868.06 10156.3
9554.45 9821.07
9485.71 9745.23
9279.5 9552.97
9279.5 9544.15
9227.95 9478.41
9498.6 9746.29
9468.53 9707.8
9580.23 9848.5
9490.01 9755.7
9687.63 9954.95
9468.53 9730.27
9653.26 9911.09
9584.52 9854.33
9734.89 10021.5
9837.99 10158.8
9988.35 10321.6
9889.54 10214.8
9773.55 10084.4
9606 9897.85
9541.56 9812.84
9683.33 9932.18
9687.63 9940.25
9507.19 9767.44
9408.39 9656.74
9442.75 9716.06
9648.96 9940.85
9563.04 9839.78
9520.08 9758.98
9262.32 9465.19
9490.01 9713.86
9404.09 9646.07
9262.32 9500.13
9245.13 9504.4
9631.78 9897.88
9717.7 9968.79
9786.44 10033.8
9769.25 10011.2
9752.07 9978.29
9812.22 10069.7
9966.87 10263.3
10005.5 10297.9
10100 10379.4
10151.6 10448.3
10039.9 10329.7
10014.1 10277.6
10009.8 10257.9
9988.35 10219.9
9876.66 10101.3
9872.36 10130.8
10087.2 10373.2
10027 10332.2
10057.1 10382.6
10134.4 10501.6
10091.5 10460.3
10095.8 10476.4
9984.06 10372.4
10082.9 10494.9
10125.8 10565.5
10100 10511
10143 10519.9
10082.9 10456.5
10224.6 10618
10250.4 10648.3
10267.6 10661.7
10259 10643.5
10259 10656.4
10143 10530.8
10194.6 10595.1
10211.8 10590.9
10254.7 10622.5
10319.2 10706.4
10443.7 10823.9
10499.6 10898.3
10418 10804.6
10409.4 10769.3
10396.5 10768
10302 10669.2
10211.8 10566
10186 10541
10216 10561.6
10250.4 10622.3
10203.2 10585.3
10177.4 10553.6
10134.4 10508.5
10125.8 10494.6
10138.7 10483.6
10057.1 10373.8
9829.4 10132
9756.37 10065.6
9661.85 9968.91
9683.33 9990.99
9773.55 10078.5
9837.99 10141.9
9760.66 10068.4
9657.56 9953.23
9580.23 9871.26
9477.12 9775.9
9494.31 9782.13
9528.67 9826.37
9490.01 9759.54
9442.75 9703.99
9507.19 9753.55
9382.61 9592.09
9361.13 9551.36
9288.1 9509.76
9292.39 9503.74
9154.92 9356.37
9292.39 9512.39
9193.58 9406.17
9111.96 9300.05
9124.84 9317.2
9021.74 9182.85
9004.55 9156.63
9189.29 9374.51
9210.77 9412.83
9296.69 9486.88
9300.98 9499.03
9391.2 9592.09
9296.69 9530.49
9206.47 9430.42
9202.17 9393.7
9129.14 9294.44
9258.02 9422.38
9266.61 9440.51
9137.73 9289.09
9047.52 9197.25
9111.96 9286.25
9167.81 9363.85
9094.77 9294.44
8987.37 9178.28
9073.29 9292.31
9008.85 9219.52
8811.23 9008.6
8841.3 9034.16
8751.09 8959.15
8759.68 8989.4
8557.76 8777.69
8596.43 8821.29
8617.91 8843.38
8678.05 8890.94
8673.76 8896.81
8587.84 8824.96
8622.2 8859.32
8703.83 8955.97
8798.34 9057.95
8798.34 9057.95
8/31/08 8798.34 9057.95
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 free float-adjusted market
capitalization index that is designed to measure the equity market performance
of developed markets, excluding the US & Canada. 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.
Annual Report | August 31, 2008 | 11
Claymore Exchange-Traded Fund Trust 2 | FUND SUMMARY & PERFORMANCE (unaudited)
continued
CGW | Claymore S&P Global Water Index ETF
FUND STATISTICS
- --------------------------------------------------------------------------------
Share Price $23.43
Net Asset Value $23.22
Premium/Discount to NAV 0.90%
Net Assets ($000) $348,351
- --------------------------------------------------------------------------------
TOTAL RETURNS
- --------------------------------------------------------------------------------
SINCE INCEPTION
(INCEPTION 5/14/07) ONE YEAR ANNUALIZED
- --------------------------------------------------------------------------------
Claymore S&P Global Water Index ETF
NAV -6.20% -4.58%
Market -6.38% -3.92%
- --------------------------------------------------------------------------------
S&P Global Water Index -4.97% -3.35%
- --------------------------------------------------------------------------------
MSCI World Index -11.94% -9.58%
- --------------------------------------------------------------------------------
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.claymore.com. The
investment return and principal value of an investment will fluctuate with
changes in market conditions and other factors so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price
of $24.78 per share for share price returns or initial net asset value (NAV) of
$24.78 per share for NAV returns. Returns for periods of less than one year are
not annualized.
The Fund's total annual operating expense ratio was 0.83%, per the most recent
prospectus, gross of any fee waivers or expense reimbursements. 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 was determined to be 0.73%. There is a contractual fee
waiver currently in place for this Fund through December 31, 2011 to the extent
necessary in keeping the Fund's operating expense ratio from exceeding 0.65% of
average net assets per year. Some expenses fall outside of this expense cap and
actual expenses will be higher than 0.65%. Without this expense cap, actual
returns would be lower.
% OF TOTAL
COUNTRY BREAKDOWN INVESTMENTS
- --------------------------------------------------------------------------------
United States 47.2%
United Kingdom 12.1%
Switzerland 10.0%
France 7.9%
Japan 7.6%
Italy 4.2%
Finland 3.9%
Brazil 2.9%
China 1.3%
Singapore 1.2%
Austria 0.9%
Canada 0.4%
Bermuda 0.2%
Cayman Islands 0.2%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO BREAKDOWN % OF NET ASSETS
- --------------------------------------------------------------------------------
Industrials 49.3%
Utilities 32.3%
Materials 12.3%
Information Technology 5.0%
Financials 0.5%
Consumer Discretionary 0.4%
- --------------------------------------------------------------------------------
Total Investments 99.8%
Other Assets in excess of Liabilities 0.2%
- --------------------------------------------------------------------------------
Net Assets 100.0%
- --------------------------------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS INVESTMENTS
- --------------------------------------------------------------------------------
Veolia Environnement 7.9%
Geberit AG 7.6%
Danaher Corp. 6.7%
ITT Corp. 6.5%
Kurita Water Industries Ltd. 6.4%
Nalco Holding Co. 5.1%
Itron, Inc. 5.1%
United Utilities Group PLC 4.8%
Pentair, Inc. 4.7%
Valmont Industries, Inc. 4.1%
- --------------------------------------------------------------------------------
Portfolio breakdown is shown as a percentage of net assets. Country breakdown
and holdings are shown as a percentage of total investments. All are subject to
change daily. For more current Fund information, please visit www.claymore.com.
The above summaries are provided for informational purposes only, and should not
be viewed as recommendations.
Line Chart:
PERFORMANCE OF A $10,000 INVESTMENT
Claymore S&P
MSCI World Global Water
Index Index ETF
5/14/07 10000 10000
10007.1 9943.5
10041 9983.86
10025.7 9939.47
10081.7 9975.79
10097.5 10008.1
10110.3 10064.6
10141.4 10149.3
10042.2 10032.3
10058.8 10084.8
10097.3 10121.1
10109.7 10141.2
10170.8 10266.3
10234.5 10302.7
10265.1 10335
10234.8 10335
10131.2 10205.8
9996.97 10048.4
9993.08 9963.68
10030.8 10012.1
9954.63 9927.36
10022.2 9947.54
10119.3 10092.8
10223.4 10205.8
10236.4 10222
10239 10230
10192.1 10230
10190.4 10197.7
10117.9 10201.8
10085.7 10133.2
10048 10096.8
10046.3 10088.8
10103.5 10161.4
10140.9 10250.2
10236.8 10351.1
10294.9 10387.4
10302.1 10335
10351.9 10367.2
10389 10387.4
10312.7 10351.1
10324 10387.4
10459.9 10488.3
10523.4 10512.5
10514.2 10447.9
10501.5 10443.9
10449.5 10407.6
10523.3 10464.1
10456.6 10464.1
10488.4 10528.7
10349.9 10363.2
10296.7 10294.6
10069.1 10056.5
9902.26 9887.01
9960.36 9979.82
9986.08 9959.64
9900.15 9947.54
9955.75 10068.6
9825.03 9939.47
9876.74 9943.5
9935.17 9967.72
10113.2 10113
9902.59 10056.5
9736.46 9830.51
9792.72 9802.26
9652.5 9652.95
9501.74 9439.06
9329.81 9326.07
9474.11 9289.75
9560.11 9426.96
9592.29 9463.28
9722.08 9588.38
9785.99 9632.77
9862.62 9741.73
9856.42 9761.9
9689.83 9644.87
9781.44 9778.05
9813.82 9891.04
9958.45 10032.3
10027.8 10004
9926.99 9866.83
9977.38 9878.93
9853.92 9733.66
9791.6 9681.19
9927.72 9794.19
9954.63 9846.65
10019.4 9903.15
10011.5 9899.11
9932.53 9818.4
10087.5 9927.36
10296.2 10113
10304.7 10125.1
10335.3 10121.1
10334.6 10129.1
10323.2 10157.4
10373.7 10266.3
10478 10391.4
10493 10423.7
10594.5 10464.1
10625.1 10443.9
10605 10407.6
10600.2 10367.2
10706.1 10476.2
10660.8 10419.7
10740.2 10524.6
10767.9 10524.6
10812.6 10552.9
10801.6 10589.2
10754 10540.8
10642.1 10447.9
10677.6 10516.5
10691.7 10552.9
10514.8 10387.4
10416.1 10258.3
10555.2 10395.5
10520.3 10383.4
10581.1 10443.9
10741.2 10504.4
10844.6 10609.4
10788.8 10601.3
10902.4 10613.4
10727 10423.7
10675.7 10452
10583.3 10415.7
10697.2 10484.3
10576.1 10355.1
10504.2 10226
10368.4 10177.6
10201.2 10048.4
10357 10141.2
10429.7 10274.4
10285 10197.7
10245.7 10129.1
10083.2 9947.54
10171.1 9975.79
9974.41 9782.08
10112.9 9963.68
10049.6 9967.72
10086.4 9971.75
10276.9 10145.3
10352.3 10222
10420.4 10254.2
10382.1 10213.9
10322.4 10177.6
10441.7 10274.4
10533.2 10379.3
10570.8 10435.8
10629.4 10468.1
10508.7 10367.2
10520.5 10371.3
10369.1 10189.7
10242.2 10084.8
10035.6 9915.25
10064.3 9923.33
10046.2 9943.5
10072 9991.93
10227.3 10258.3
10299.3 10294.6
10355.8 10310.7
10315 10330.9
10340.7 10427.8
10305 10362.4
10235.1 10342.1
10218.4 10402.9
10025.3 10220.5
9973.49 10135.5
9927.59 10030.1
9950.14 9977.4
9946.12 9985.5
9859.19 9807.19
9946.18 9884.19
9717.86 9681.56
9531.35 9523.51
9405.72 9458.67
9338.38 9369.51
8983.04 8927.78
9029.07 8879.15
9302.11 9142.57
9322.75 9284.41
9326.97 9260.09
9426.89 9381.67
9365.49 9328.99
9460.98 9426.25
9612.87 9624.82
9615.64 9661.3
9325.26 9328.99
9242.16 9324.93
9184.65 9162.83
9173.64 9154.73
9162.69 9158.78
9315.23 9333.04
9368.92 9414.09
9394.64 9495.14
9355.86 9389.78
9455.44 9482.98
9384.88 9397.88
9423.72 9478.93
9429.13 9511.35
9572.44 9689.66
9672.82 9774.77
9753.81 9908.5
9681.79 9876.08
9487.69 9742.35
9387.12 9568.09
9328.42 9519.46
9409.48 9580.25
9324.66 9539.72
9193.16 9373.57
9053.28 9199.31
9249.74 9389.78
9322.29 9543.77
9279.42 9580.25
9154.05 9462.72
8939.38 9312.78
9224.22 9523.51
9087.44 9296.57
9091.99 9179.04
9190.72 9260.09
9402.68 9511.35
9403.14 9515.4
9385.47 9576.19
9345.7 9466.77
9348.54 9511.35
9533.13 9677.51
9634.7 9738.3
9664.51 9807.19
9708.37 9884.19
9758.42 9839.61
9685.15 9786.93
9626.06 9681.56
9651.85 9713.98
9548.9 9596.46
9475.76 9551.88
9514.47 9572.14
9729.6 9799.08
9720.3 9750.45
9818.31 9823.4
9877 9774.77
9826.02 9734.24
9836.64 9795.03
9812.24 9795.03
9896.06 9932.82
9923.1 10001.7
9863.48 9969.29
9870.01 9908.5
9912.15 9965.24
10011.9 9961.19
10012.1 9989.55
10061.7 9989.55
9974.15 9985.5
9990.24 9989.55
9906.42 9928.77
9987.14 10017.9
9997.1 10030.1
10028.8 10046.3
10128.6 10094.9
10207.7 10147.6
10251.4 10236.8
10164.2 10192.2
10077.4 10176
10077.7 10200.3
9967.82 10074.7
9928.58 10131.4
9945.92 10244.9
9983.71 10305.7
10024.3 10402.9
9966.23 10370.5
9910.7 10427.2
9870.93 10415.1
9963.86 10552.9
9834.07 10423.2
9775.96 10407
9632.26 10228.7
9534.25 10058.5
9492.64 9916.61
9562.88 9993.61
9620.19 10009.8
9637.73 10017.9
9564.13 9928.77
9514.4 9961.19
9384.28 9790.98
9339.83 9726.14
9312.59 9588.35
9370.56 9661.3
9220.13 9491.09
9172.38 9515.4
9201.2 9551.88
9128.79 9462.72
9018.52 9247.94
8980.6 9207.41
8940.17 9170.94
8931.66 9170.94
8922.03 9150.67
8911.41 9073.68
8834.19 8943.99
8812.22 8943.99
8683.49 8834.57
8763.42 8992.62
8909.17 9199.31
8915.11 9300.62
8972.75 9523.51
9016.41 9616.72
9076.09 9649.14
8946.76 9491.09
8908.12 9515.4
8821.59 9385.72
8856.74 9357.35
9006.38 9474.88
8962.26 9397.88
8865.18 9320.88
8767.51 9211.46
8887.14 9389.78
8952.37 9491.09
8849.88 9527.56
8864.92 9608.61
8935.35 9718.03
8854.24 9628.88
8758.61 9543.77
8801.67 9600.51
8765.66 9555.93
8710.59 9531.61
8572.76 9369.51
8640.75 9349.25
8666.54 9381.67
8640.42 9361.41
8615.76 9300.62
8681.71 9320.88
8783.6 9430.3
8769.09 9410.04
8/31/08 8769.09 9410.04
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 global developed market
equity performance of the 23 developed market country indices of Europe,
Australasia, the Far East, the United States and Canada. It is not possible to
invest directly in the MSCI World Index. Investment return and principal value
will fluctuate with changes in market conditions and other factors and Fund
shares, when redeemed, may be worth more or less than their original investment.
12 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust | FUND SUMMARY & PERFORMANCE (unaudited)
continued
HISTORICAL PREMIUM/DISCOUNT DATA
The tables that follow present information about the differences between the
daily market price on secondary markets for shares of a Fund and that Fund's net
asset value ("NAV"). NAV is the price per share at which each Fund issues and
redeems shares. It is calculated in accordance with the standard formula for
valuing mutual fund shares. The "Market Price" of each Fund generally is
determined using the midpoint between the highest bid and the lowest offer on
the stock exchange on which the shares of such Fund is listed for trading, as of
the time that the Fund's NAV is calculated. Each Fund's Market Price may be at,
above or below its NAV. The NAV of each Fund will fluctuate with changes in the
market value of its portfolio holdings. The Market Price of each Fund will
fluctuate in accordance with changes in its NAV, as well as market supply and
demand.
Premiums or discounts are the differences (expressed as a percentage) between
the NAV and Market Price of a Fund on a given day, generally at the time NAV is
calculated. A premium is the amount that a Fund is trading above the reported
NAV, expressed as a percentage of the NAV. A discount is the amount that a Fund
is trading below the reported NAV, expressed as a percentage of the NAV.
The following information shows the frequency distributions of premiums and
discounts for each of the Funds included in this report. The information shown
for each Fund is for five years (or since the Fund's inception date if the Fund
has been in existence for less than five years). The inception date for each
Fund is disclosed at the end of the Historical Premium/Discount Data section.
Each line in the table shows the number of trading days in which the Fund traded
within the premium/discount range indicated. The number of trading days in each
premium/discount range is also shown as a percentage of the total number of
trading days in the period covered by each table. All data presented here
represents past performance, which cannot be used to predict future results.
TAN | Claymore/MAC Global Solar Energy Index ETF***
NUMBER OF PERCENTAGE
PREMIUM/DISCOUNT RANGE TRADING DAYS OF TOTAL TRADING DAYS
- --------------------------------------------------------------------------------
Greater than 2.0% 5 5.15%
Between 1.5% and 2.0% 3 3.09%
Between 1.0% and 1.5% 7 7.22%
Between 0.5% and 1.0% 22 22.68%
Between -0.5% and 0.5% 49 50.52%
Between -0.5% and -1.0% 7 7.22%
Between -1.0% and -1.5% 0 0.00%
Between -1.5% and -2.0% 1 1.03%
Less than -2.0% 3 3.09%
- --------------------------------------------------------------------------------
EEN | Claymore/Robeco Developed International Equity ETF*
NUMBER OF PERCENTAGE
PREMIUM/DISCOUNT RANGE TRADING DAYS OF TOTAL TRADING DAYS
- --------------------------------------------------------------------------------
Greater than 2.0% 9 2.37%
Between 1.5% and 2.0% 8 2.10%
Between 1.0% and 1.5% 25 6.58%
Between 0.5% and 1.0% 64 16.84%
Between -0.5% and 0.5% 202 53.16%
Between -0.5% and -1.0% 51 13.42%
Between -1.0% and -1.5% 12 3.16%
Between -1.5% and -2.0% 7 1.84%
Less than -2.0% 2 0.53%
- --------------------------------------------------------------------------------
*Commenced operations March 1, 2007.
**Commenced operations May 14, 2007.
***Commenced operations April 15, 2008.
CGW | Claymore S&P Global Water Index ETF**
NUMBER OF PERCENTAGE
PREMIUM/DISCOUNT RANGE TRADING DAYS OF TOTAL TRADING DAYS
- --------------------------------------------------------------------------------
Greater than 2.0% 5 1.52%
Between 1.5% and 2.0% 10 3.05%
Between 1.0% and 1.5% 36 10.98%
Between 0.5% and 1.0% 102 31.10%
Between -0.5% and 0.5% 161 49.08%
Between -0.5% and -1.0% 8 2.44%
Between -1.0% and -1.5% 4 1.22%
Between -1.5% and -2.0% 2 0.61%
Less than -2.0% 0 0.00%
- --------------------------------------------------------------------------------
Annual Report | August 31, 2008 | 13
Claymore Exchange-Traded Fund Trust 2
Overview of FUND EXPENSES | AS OF AUGUST 31, 2008 (unaudited)
As a shareholder of Claymore/MAC Global Solar Energy Index ETF; Claymore/Robeco
Developed International Equity ETF; and Claymore S&P Global Water Index ETF, you
incur advisory fees and other Fund expenses. The expense examples below are
intended to help you understand your ongoing costs (in dollars) of investing in
the Funds and to compare these costs with the ongoing costs of investing in
other funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period ended 8/31/08.
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 PERIOD ENDED PERIOD(1)
- ------------------------------------------------------------------------------------------------------------------
3/1/08 8/31/08 8/31/08 3/01/08 - 8/31/08
- ------------------------------------------------------------------------------------------------------------------
CLAYMORE/ROBECO DEVELOPED INTERNATIONAL EQUITY ETF(3)
Actual $ 1,000.00 $ 900.22 0.70% $ 3.34
Hypothetical 1,000.00 1,021.62 0.70% 3.56
(5% annual return before expenses)
CLAYMORE S&P GLOBAL WATER INDEX ETF(3)
Actual $ 1,000.00 $ 965.88 0.71% $ 3.51
Hypothetical 1,000.00 1,021.57 0.71% 3.61
(5% annual return before expenses)
- -----------------------------------------------------------------------------------------------------------------
ANNUALIZED EXPENSES
BEGINNING ENDING EXPENSE PAID
ACCOUNT ACCOUNT RATIO FOR THE DURING
VALUE VALUE PERIOD ENDED PERIOD(2)
- -----------------------------------------------------------------------------------------------------------------
4/15/08 8/31/08 8/31/08 4/15/08 - 8/31/08
- -----------------------------------------------------------------------------------------------------------------
CLAYMORE/MAC GLOBAL SOLAR ENERGY INDEX ETF(3)
Actual $ 1,000.00 $ 1,042.97 0.79% $ 3.06
Hypothetical 1,000.00 1,021.17 0.79% 4.01
(5% annual return before expenses)(4)
- -----------------------------------------------------------------------------------------------------------------
(1) Actual and hypothetical expenses are calculated using the annualized
expense ratio. This represents the ongoing expenses of the Fund as a
percentage of net assets for the six months ended August 31, 2008. Expenses
are calculated by multiplying the Fund's annualized expense ratio by the
average account value over the period; then multiplying that result by
184/366.
(2) Expenses are calculated using the annualized expense ratio. This represents
the ongoing expenses of the Fund as a percentage of net assets for the
period April 15, 2008 (commencement of operations) to August 31, 2008.
Expenses are calculated by multiplying the Fund's annualized expense ratio
by the average account value over the period; then multiplying that result
by 139/366.
(3) The expense ratios reflect an expense waiver. Please see the Notes to
Financial Statements for more information.
(4) Hypothetical expenses reflect ongoing expenses for a full six month period
as opposed to the shorter since inception period. Assumes all dividends and
distributions were reinvested.
14 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2
Portfolio of INVESTMENTS | AUGUST 31, 2008
TAN | Claymore/MAC Global Solar Energy Index ETF
NUMBER
OF SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------
COMMON STOCK - 100.0%
CANADA - 2.5%
144,741 Canadian Solar, Inc. (a) $ 4,692,502
- ------------------------------------------------------------------
CHINA - 29.5%
368,585 China Sunergy Co. Ltd. - ADR (a) 4,198,183
450,360 JA Solar Holdings Co. Ltd. - ADR (a) 8,029,919
244,891 LDK Solar Co. Ltd. - ADR (a) 12,553,113
302,640 Solarfun Power Holdings Co. Ltd. - ADR (a) 4,784,738
273,719 Suntech Power Holdings Co. Ltd. - ADR (a) 13,086,505
144,125 Trina Solar Ltd. - ADR (a) 4,712,888
427,863 Yingli Green Energy Holding Co.
Ltd. - ADR (a) 7,705,813
- ------------------------------------------------------------------
55,071,159
- ------------------------------------------------------------------
GERMANY - 26.1%
67,619 Centrotherm Photovoltaics AG (a) 4,649,085
225,207 Conergy AG 3,328,875
42,875 Ersol Solar Energy AG (a) 6,394,336
15,561 Manz Automation AG (a) 3,287,542
113,006 Q-Cells AG (a) 11,424,848
84,085 Roth & Rau AG (a) 4,363,746
211,898 Solarworld AG 11,115,386
66,815 Solon AG Fuer Solartechnik (a) 4,138,361
- ------------------------------------------------------------------
48,702,179
- ------------------------------------------------------------------
NORWAY - 9.0%
535,300 Renewable Energy Corp. ASA (a) 16,676,167
- ------------------------------------------------------------------
SPAIN - 1.5%
417,880 Solaria Energia y Medio Ambiente SA (a) 2,756,205
- ------------------------------------------------------------------
SWITZERLAND - 2.7%
16,990 Meyer Burger Technology AG (a) 5,100,790
- ------------------------------------------------------------------
UNITED STATES - 28.7%
451,476 Emcore Corp. (a) 2,794,636
112,687 Energy Conversion Devices, Inc. (a) 8,470,682
603,536 Evergreen Solar, Inc. (a) 5,691,344
62,917 First Solar, Inc. (a) 17,405,988
176,813 MEMC Electronic Materials, Inc. (a) 8,679,750
108,289 Sunpower Corp. - Class A (a) 10,563,592
- ------------------------------------------------------------------
53,605,992
- ------------------------------------------------------------------
TOTAL INVESTMENTS - 100.0%
(Cost $191,686,047) 186,604,994
Liabilities in excess of
Other Assets - (0.0%) (22,013)
- ------------------------------------------------------------------
NET ASSETS - 100.0% $186,582,981
==================================================================
ADR - American Depository Receipt
AG - Stock Corporation
ASA - Stock Corporation
Ltd. - Limited
SA - Corporation
(a) Non-income producing security.
See notes to financial statements.
Annual Report | August 31, 2008 | 15
Claymore Exchange-Traded Fund Trust 2 | PORTFOLIO OF INVESTMENTS continued
EEN | Claymore/Robeco Developed International Equity ETF
NUMBER
OF SHARES DESCRIPTION VALUE
- ----------------------------------------------------------------
COMMON STOCKS - 98.3%
AUSTRALIA - 5.5%
2,061 BHP Billiton Ltd. $ 73,482
4,126 BlueScope Steel Ltd. 32,797
1,679 Brambles Ltd. 11,134
5,604 CFS Retail Property Trust - REIT 10,425
13,514 Macquarie Infrastructure Group 25,488
39,597 Macquarie Office Trust - REIT 35,465
29 Origin Energy Ltd. 403
116 Sims Group Ltd. 3,437
7,494 Stockland - REIT 34,012
- ----------------------------------------------------------------
226,643
- ----------------------------------------------------------------
AUSTRIA - 0.1%
45 OMV AG 2,899
- ----------------------------------------------------------------
BELGIUM - 1.3%
315 InBev NV 21,987
330 KBC Groep NV 31,614
- ----------------------------------------------------------------
53,601
- ----------------------------------------------------------------
CHINA - 3.0%
13,500 BOC Hong Kong Holdings Ltd. 30,270
1,700 Hang Seng Bank Ltd. 33,783
4,500 HongKong Electric Holdings 28,684
3,000 Swire Pacific Ltd. - Class A 30,174
- ----------------------------------------------------------------
122,911
- ----------------------------------------------------------------
DENMARK - 1.7%
500 Jyske Bank A/S (a) 28,082
300 Novo Nordisk A/S - Class B 16,968
800 Sydbank A/S 26,177
- ----------------------------------------------------------------
71,227
- ----------------------------------------------------------------
FINLAND - 0.6%
167 Fortum OYJ 6,894
140 Nokia OYJ 3,520
691 Outokumpu OYJ - Class A 16,705
- ----------------------------------------------------------------
27,119
- ----------------------------------------------------------------
FRANCE - 9.3%
556 Cap Gemini SA 33,111
1,691 France Telecom SA 50,128
964 GDF Suez 55,918
586 Lagardere SCA 32,957
679 Peugeot SA 32,509
154 PPR 18,075
267 Safran SA 4,772
803 Sanofi-Aventis SA 57,468
413 Technip SA 34,141
265 Total SA 19,135
28 Valeo SA 1,006
1,217 Vivendi 47,373
- ----------------------------------------------------------------
386,593
- ----------------------------------------------------------------
NUMBER
OF SHARES DESCRIPTION VALUE
- ----------------------------------------------------------------
GERMANY - 9.2%
70 Adidas AG $ 4,128
841 BASF SE 48,759
1,003 Commerzbank AG 29,666
436 Daimler AG 25,612
495 Deutsche Lufthansa AG 10,709
876 Deutsche Telekom AG 14,586
766 E.ON AG 44,941
481 Fresenius Medical Care AG & Co. KGaA 25,918
357 MAN AG 35,136
264 Muenchener Rueckversicherungs AG 41,269
354 RWE AG 38,374
154 Volkswagen AG 46,252
75 Wacker Chemie AG 13,884
- ----------------------------------------------------------------
379,234
- ----------------------------------------------------------------
IRELAND - 0.1%
159 Kerry Group PLC - Class A 4,331
- ----------------------------------------------------------------
ITALY - 2.9%
93 Assicurazioni Generali SpA 3,118
1,850 ENI SpA 60,547
2,057 Fiat SpA 32,071
17,857 Telecom Italia SpA - RNC 22,859
- ----------------------------------------------------------------
118,595
- ----------------------------------------------------------------
JAPAN - 22.7%
400 Alps Electric Co. Ltd. 3,667
800 Astellas Pharma, Inc. 36,563
4 Central Japan Railway Co. 41,907
3,000 Dainippon Sumitomo Pharma Co. Ltd. 26,842
300 Fast Retailing Co. Ltd. 30,767
5,000 Fujitsu Ltd. 35,061
4,000 Gunma Bank Ltd. (The) 22,778
900 Hitachi Chemical Co. Ltd. 16,586
4,000 Hitachi Ltd. 29,818
4 Inpex Holdings, Inc. 43,861
300 Isetan Mitsukoshi Holdings Ltd. 3,389
4,000 Marubeni Corp. 25,174
2,000 Matsushita Electric Industrial Co. Ltd. 41,926
700 Mitsubishi Corp. 19,544
3,000 Mitsui & Co. Ltd. 51,970
11 Mizuho Financial Group, Inc. 47,639
18,000 Mizuho Trust & Banking Co. Ltd. 26,372
2,400 Namco Bandai Holdings, Inc. 29,811
7,000 NEC Corp. 32,896
1,000 Nikon Corp. 32,896
100 Nintendo Co. Ltd. 47,731
2,000 Nippon Sheet Glass Co. Ltd. 10,412
8,000 Nippon Steel Corp. 38,553
8 Nippon Telegraph & Telephone Corp. 39,954
See notes to financial statements.
16 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2 | PORTFOLIO OF INVESTMENTS continued
EEN | Claymore/Robeco Developed International Equity ETF (continued)
NUMBER
OF SHARES DESCRIPTION VALUE
- ----------------------------------------------------------------
JAPAN (CONTINUED)
2,000 Nisshin Steel Co. Ltd. $ 5,418
2 NTT Data Corp. 8,311
280 ORIX Corp. 34,753
200 Rohm Co. Ltd. 11,647
200 Sankyo Co. Ltd. 9,546
600 Seiko Epson Corp. 17,526
700 Sony Corp. 27,349
2,000 Taisho Pharmaceutical Co. Ltd. 42,755
1,800 Toyo Seikan Kaisha Ltd. 33,073
1,000 Yamaguchi Financial Group, Inc. 11,629
- ----------------------------------------------------------------
938,124
- ----------------------------------------------------------------
JERSEY - 0.2%
784 Atrium European Real Estate Ltd. (a) 8,022
- ----------------------------------------------------------------
NETHERLANDS - 4.4%
3,038 Aegon NV 35,983
66 Akzo Nobel NV 4,058
1,481 European Aeronautic Defence and Space Co. NV 33,426
249 Heineken Holding NV 11,111
1,722 Koninklijke Ahold NV 21,625
609 Koninklijke DSM NV 35,263
1,298 Koninklijke Philips Electronics NV 42,500
- ----------------------------------------------------------------
183,966
- ----------------------------------------------------------------
NORWAY - 1.4%
2,600 DnB NOR ASA 30,332
2,500 Norsk Hydro ASA 26,808
20 Yara International ASA 1,250
- ----------------------------------------------------------------
58,390
- ----------------------------------------------------------------
PORTUGAL - 0.8%
3,011 Portugal Telecom SGPS SA 31,651
- ----------------------------------------------------------------
SINGAPORE - 1.1%
1,000 DBS Group Holdings Ltd. 12,784
6,000 Oversea-Chinese Banking Corp. 34,322
- ----------------------------------------------------------------
47,106
- ----------------------------------------------------------------
SPAIN - 3.2%
4,001 Banco Santander SA 68,565
499 Criteria Caixacorp SA 2,549
236 Gamesa Corp. Tecnologica SA 11,247
139 Red Electrica de Espana 8,251
959 Telefonica SA 23,875
759 Union Fenosa SA 19,388
- ----------------------------------------------------------------
133,875
- ----------------------------------------------------------------
SWEDEN - 2.7%
1,600 Investor AB - Class B 33,944
2,800 Nordea Bank AB 37,451
800 Scania AB - Class B 11,553
NUMBER
OF SHARES DESCRIPTION VALUE
- ----------------------------------------------------------------
1,400 Skanska AB - Class B $ 17,766
700 Swedbank AB - Class A 12,398
- ----------------------------------------------------------------
113,112
- ----------------------------------------------------------------
SWITZERLAND - 6.6%
1,985 ABB Ltd. 49,049
111 Adecco SA 5,245
41 Baloise Holding AG 3,528
977 Novartis AG 54,750
303 Pargesa Holding SA 31,449
409 Swatch Group AG (The) 18,507
136 Swiss Life Holding AG 24,888
149 Syngenta AG 40,155
171 Zurich Financial Services AG 44,916
- ----------------------------------------------------------------
272,487
- ----------------------------------------------------------------
UNITED KINGDOM - 21.5%
1,882 3i Group PLC 31,563
590 Anglo American PLC 31,552
2,251 Associated British Foods PLC 33,113
1,165 AstraZeneca PLC 57,224
10,028 BP PLC 96,711
1,467 British American Tobacco PLC 49,795
663 Cadbury PLC 7,637
2,073 Centrica PLC 12,374
712 Home Retail Group PLC 3,295
2,693 HSBC Holdings PLC 42,512
80 Kazakhmys PLC 1,885
952 Land Securities Group PLC - REIT 23,615
16,518 Legal & General Group PLC 30,279
2,790 Man Group PLC 28,955
18,969 Old Mutual PLC 33,768
46 Pearson PLC 570
808 Reckitt Benckiser Group PLC 40,956
4,284 Rolls-Royce Group PLC 31,079
1,532 Royal Dutch Shell PLC - Class A 53,678
1,941 Royal Dutch Shell PLC - Class B 66,982
5,077 Stagecoach Group PLC 29,610
8,980 Tomkins PLC 24,364
892 Unilever PLC 24,030
29,759 Vodafone Group PLC 76,560
269 Whitbread PLC - Class C 5,544
2,643 WM Morrison Supermarkets PLC 13,619
660 Xstrata PLC 36,909
- ----------------------------------------------------------------
888,179
- ----------------------------------------------------------------
TOTAL COMMON STOCKS - 98.3%
(Cost $4,399,155) 4,068,065
- ----------------------------------------------------------------
See notes to financial statements.
Annual Report | August 31, 2008 | 17
Claymore Exchange-Traded Fund Trust 2 | PORTFOLIO OF INVESTMENTS continued
EEN | Claymore/Robeco Developed International Equity ETF (continued)
NUMBER
OF SHARES DESCRIPTION VALUE
- ----------------------------------------------------------------
PREFERRED STOCK - 0.9%
GERMANY - 0.9%
236 Volkswagen AG
(Cost $19,651) $ 36,587
- ----------------------------------------------------------------
INCOME TRUST - 0.4%
UNITED KINGDOM - 0.4%
1,064 Berkeley Group Holdings PLC 16,515
(Cost $27,199)
- ----------------------------------------------------------------
TOTAL INVESTMENTS - 99.6%
(Cost $4,446,005) 4,121,167
Other Assets in excess of
Liabilities - 0.4% 16,529
- ----------------------------------------------------------------
NET ASSETS - 100.0% $4,137,696
================================================================
AB - Stock Company
AG - Stock Corporation
A/S - Limited Liability Stock Company
ASA - Stock Company
KGaA - Limited Partnership
Ltd. - Limited
NV - Legal Entity
OYJ - Public Traded Company
REIT - Real Estate Investment Trust
RNC - Non-Convertible Savings Shares
PLC - Public Limited Company
SA - Corporation
SCA - Limited Liability Partnership
SE - Stock Corporation
SpA - Limited Share Corporation
(a) Non-Income Producing Security
See notes to financial statements.
18 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2 | PORTFOLIO OF INVESTMENTS continued
CGW | Claymore S&P Global Water Index ETF
NUMBER
OF SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------
AUSTRIA - 0.9%
78,749 BWT AG $ 2,365,141
82,091 Christ Water Technology AG (a) 657,471
- ------------------------------------------------------------------
3,022,612
- ------------------------------------------------------------------
BERMUDA - 0.2%
1,933,000 Bio-Treat Technology Ltd. 280,194
2,164,000 China Water Affairs Group Ltd. (a) 449,173
- ------------------------------------------------------------------
729,367
- ------------------------------------------------------------------
BRAZIL - 2.9%
226,103 Cia de Saneamento Basico do
Estado de Sao Paulo, ADR 10,129,414
- ------------------------------------------------------------------
CANADA - 0.4%
128,533 GLV, Inc. - Class A (a) 1,521,998
- ------------------------------------------------------------------
CAYMAN ISLANDS - 0.2%
28,345 Consolidated Water Co., Inc. 651,935
- ------------------------------------------------------------------
CHINA - 1.3%
12,908,000 Guangdong Investment Ltd. (Hong Kong) 4,415,819
- ------------------------------------------------------------------
FINLAND - 3.9%
620,244 Kemira OYJ 7,807,474
404,995 Uponor OYJ 5,604,790
- ------------------------------------------------------------------
13,412,264
- ------------------------------------------------------------------
FRANCE - 7.8%
506,659 Veolia Environnement 27,338,306
- ------------------------------------------------------------------
ITALY - 4.2%
447,635 ACEA SpA 7,947,915
1,969,596 Hera SpA 6,669,401
- ------------------------------------------------------------------
14,617,316
- ------------------------------------------------------------------
JAPAN - 7.6%
677,000 Kurita Water Industries Ltd. 22,332,735
73,200 Maezawa Kyuso Industries Co., Ltd. 1,307,179
392,000 Organo Corp. 2,860,760
- ------------------------------------------------------------------
26,500,674
- ------------------------------------------------------------------
SINGAPORE - 1.2%
3,301,000 Epure International Ltd. 1,342,107
1,193,000 Hyflux Ltd. 2,395,701
2,265,000 Sinomem Technology Ltd. 608,591
- ------------------------------------------------------------------
4,346,399
- ------------------------------------------------------------------
SWITZERLAND - 10.0%
333,352 Ciba Holding AG 8,261,339
181,727 Geberit AG 26,555,454
- ------------------------------------------------------------------
34,816,793
- ------------------------------------------------------------------
UNITED KINGDOM - 12.1%
1,039,104 Northumbrian Water Group PLC 5,851,654
704,563 Pennon Group PLC 7,877,582
465,274 Severn Trent PLC 11,575,395
1,288,182 United Utilities Group PLC 16,799,486
- ------------------------------------------------------------------
42,104,117
- ------------------------------------------------------------------
NUMBER
OF SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------
UNITED STATES - 47.1%
35,070 American States Water Co. $ 1,385,616
274,976 Aqua America, Inc. 5,029,311
116,503 Arch Chemicals, Inc. 4,275,660
59,412 Badger Meter, Inc. 2,735,328
216,480 Calgon Carbon Corp. (a) 4,617,518
43,883 California Water Service Group 1,724,163
284,761 Danaher Corp. 23,227,955
195,601 Flow International Corp. (a) 1,328,131
99,925 Franklin Electric Co., Inc. 4,326,753
351,350 IDEX Corp. 13,024,545
169,553 Itron, Inc. (a) 17,562,300
352,384 ITT Corp. 22,464,480
39,600 Layne Christensen Co. (a) 2,173,248
466,614 Mueller Water Products, Inc. - Class B 4,843,453
774,615 Nalco Holding Co. 17,715,445
445,516 Pentair, Inc. 16,372,713
38,040 Pico Holdings, Inc. (a) 1,812,226
35,275 SJW Corp. 983,114
133,110 Valmont Industries, Inc. 14,208,161
149,568 Watts Water Technologies, Inc. - Class A 4,252,218
- ------------------------------------------------------------------
164,062,338
- ------------------------------------------------------------------
TOTAL INVESTMENTS - 99.8%
(Cost $397,237,109) 347,669,352
Other Assets in excess of
Liabilities - 0.2% 681,650
- ------------------------------------------------------------------
NET ASSETS - 100.0% $348,351,002
==================================================================
ADR - American Depositary Receipt
AG - Stock Corporation
OYJ - Public Traded Company
PLC - Public Limited Company
SpA - Limited Share Company
(a) Non-income producing security.
See notes to financial statements.
Annual Report | August 31, 2008 | 19
Claymore Exchange-Traded Fund Trust 2
Statement of ASSETS AND LIABILITIES | AUGUST 31, 2008
CLAYMORE/ROBECO
CLAYMORE/MAC GLOBAL DEVELOPED CLAYMORE S&P
SOLAR ENERGY INTERNATIONAL GLOBAL WATER
INDEX ETF EQUITY ETF INDEX ETF
- ----------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments in securities, at value $186,604,994 $ 4,121,167 $347,669,352
Cash 537,756 - 126,903
Receivables:
Fund shares sold 2,087,541 - -
Dividends 4,258 7,781 676,644
Investments sold 807,619 - -
Securities lending income 12,352 - 9,442
Due from Adviser - 113,414 -
Other assets 3,013 11,224 257,783
- ----------------------------------------------------------------------------------------------------------------------------------
Total assets 190,057,533 4,253,586 348,740,124
- ----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Custodian bank 70 20,186 26,373
Payables:
Investments purchased 3,276,303 - -
Administration fee payable 3,894 97 7,199
Offering costs payable 50,000 - -
Accrued advisory fees 35,845 - 142,485
Accrued expenses 108,440 95,607 213,065
- ----------------------------------------------------------------------------------------------------------------------------------
Total liabilities 3,474,552 115,890 389,122
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $186,582,981 $ 4,137,696 $348,351,002
==================================================================================================================================
COMPOSITION OF NET ASSETS
Paid-in capital $193,141,126 $ 4,882,184 $387,490,093
Accumulated undistributed net investment income (loss) 125,763 82,466 11,292,451
Accumulated net realized gain (loss) on investments and
currency transactions (1,601,196) (502,190) (835,977)
Net unrealized appreciation (depreciation) on investments
and currency translation (5,082,712) (324,764) (49,595,565)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $186,582,981 $ 4,137,696 $348,351,002
==================================================================================================================================
Shares outstanding ($0.01 par value with unlimited amount authorized) 7,120,000 202,000 15,000,000
==================================================================================================================================
Net Asset Value $ 26.21 $ 20.48 $ 23.22
==================================================================================================================================
Investments in securities, at cost $191,686,047 $ 4,446,005 $397,237,109
==================================================================================================================================
See notes to financial statements.
20 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2
Statement of OPERATIONS | FOR THE YEAR ENDED AUGUST 31, 2008
CLAYMORE/ROBECO
CLAYMORE/MAC GLOBAL DEVELOPED CLAYMORE S&P
SOLAR ENERGY INTERNATIONAL GLOBAL WATER
INDEX ETF* EQUITY ETF INDEX ETF
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividend income $ 32,216 $ 151,150 $ 15,368,308
Interest - - 2,814
Net securities lending income 478,000 - 419,500
Other income - 54 4,743
Foreign taxes withheld (4,843) (15,683) (824,676)
- ----------------------------------------------------------------------------------------------------------------------------------
Total investment income 505,373 135,521 14,970,689
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Advisory fee 263,899 23,933 1,687,802
Administration fee 14,514 1,316 82,512
Custodian fee 19,657 105,867 86,169
Licensing 70,119 4,786 356,548
Listing fee and expenses 1,581 620 5,606
Miscellaneous 8,190 25,000 31,074
Offering costs 50,000 30,957 -
Printing expenses 15,179 12,618 112,625
Professional fees 43,001 23,882 89,258
Registration & filings 7,187 80 4,276
Trustees' fees and expenses 1,620 3,570 3,545
- ----------------------------------------------------------------------------------------------------------------------------------
Total expenses 494,947 232,629 2,459,415
Advisory fees waived (75,490) (23,933) (87,744)
Other expenses waived or reimbursed - (156,844) -
- ----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 419,457 51,852 2,371,671
- ----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 85,916 83,669 12,599,018
- ----------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on
Investments (1,601,197) (496,891) (698,570)
In-kind transactions 1,529,606 - 5,835,446
Foreign currency transactions (10,153) (6,980) (632,136)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) (81,744) (503,871) 4,504,740
- ----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on
Investments (5,081,053) (365,407) (43,587,505)
Foreign currency translation (1,659) 6 (23,782)
- ----------------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) (5,082,712) (365,401) (43,611,287)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (5,164,456) (869,272) (39,106,547)
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (5,078,540) $ (785,603) $(26,507,529)
==================================================================================================================================
* For the period April 15, 2008 (commencement of the Fund's operations), to
August 31, 2008.
See notes to financial statements.
Annual Report | August 31, 2008 | 21
Claymore Exchange-Traded Fund Trust 2
Statement of CHANGES IN NET ASSETS |
CLAYMORE/MAC GLOBAL SOLAR CLAYMORE/ROBECO DEVELOPED CLAYMORE S&P GLOBAL
ENERGY INDEX ETF INTERNATIONAL EQUITY ETF WATER INDEX ETF
------------------------- ---------------------------- -----------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
2008*** 2008 2007* 2008 2007**
- ------------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
Net investment income (loss) $ 85,916 $ 83,669 $ 109,469 $ 12,599,018 $ 708,695
Net realized gain (loss) (81,744) (503,871) (24,944) 4,504,740 858,338
Net unrealized appreciation (depreciation) (5,082,712) (365,401) 40,637 (43,611,287) (5,984,278)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from operations (5,078,540) (785,603) 125,162 (26,507,529) (4,417,245)
- ------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION TO SHAREHOLDERS FROM
Net investment income - (184,830) - (1,425,600) -
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares 204,306,035 - 9,852,668 170,737,286 282,633,313
Cost of shares redeemed (12,644,514) - (4,919,701) (47,998,098) (24,671,125)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase from capital
share transactions 191,661,521 - 4,932,967 122,739,188 257,962,188
- ------------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 186,582,981 (970,433) 5,058,129 94,806,059 253,544,943
NET ASSETS
Beginning of period - 5,108,129 50,000 253,544,943 -
- ------------------------------------------------------------------------------------------------------------------------------------
End of period $186,582,981 $ 4,137,696 $5,108,129 $348,351,002 $253,544,943
====================================================================================================================================
Undistributed net investment income (loss) at
end of period $ 125,763 $ 82,466 $ 119,839 $ 11,292,451 $ 751,169
====================================================================================================================================
CHANGES IN SHARES OUTSTANDING
Shares sold 7,600,000 - 400,000 6,760,000 11,200,000
Shares redeemed (480,000) - (200,000) (1,960,000) (1,000,000)
Shares outstanding, beginning of period - 202,000 2,000 10,200,000 -
- ------------------------------------------------------------------------------------------------------------------------------------
Shares outstanding, end of period 7,120,000 202,000 202,000 15,000,000 10,200,000
====================================================================================================================================
* Commencement of investment operations - March 1, 2007
** Commencement of investment operations - May 14, 2007
*** Commencement of investment operations - April 15, 2008
See notes to financial statements.
22 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2
Financial HIGHLIGHTS |
TAN | Claymore/MAC Global Solar Energy Index ETF
FOR THE PERIOD
APRIL 15, 2008**
PER SHARE OPERATING PERFORMANCE THROUGH
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD AUGUST 31, 2008
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 25.13
- ---------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) (a) 0.02
Net realized and unrealized gain (loss) on investments 1.06
- ---------------------------------------------------------------------------------------------------------------------
Total from investment operations 1.08
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income -
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 26.21
=====================================================================================================================
MARKET VALUE, END OF PERIOD $ 26.28
=====================================================================================================================
TOTAL RETURN* (b)
Net asset value 4.30%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (thousands) $ 186,583
Ratio of net expenses to average net assets* 0.79%(c)
Ratio of net investment income (loss) to average net assets* 0.16%(c)
Portfolio turnover rate (d) 9%
* 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 assets 0.93%(c)
Ratio of net investment income (loss) to average net assets 0.02%(c)
** Commencement of investment operations and initial listing date on the New
York Stock Exchange Arca.
(a) Based on average shares outstanding during the period.
(b) Total investment return is calculated assuming a purchase of a common 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. It does not include securities
received or delivered from processing creations or redemptions.
See notes to financial statements.
Annual Report | August 31, 2008 | 23
Claymore Exchange-Traded Fund Trust 2 | FINANCIAL HIGHLIGHTS (continued)
EEN | Claymore/Robeco Developed International Equity ETF
FOR THE PERIOD
FOR THE YEAR MARCH 1, 2007**
PER SHARE OPERATING PERFORMANCE ENDED THROUGH
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD AUGUST 31, 2008 AUGUST 31, 2007
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 25.29 $ 24.15
- --------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- --------------------------------------------------------------------------------------------------------------------
Net investment income (loss) (a) 0.41 0.28
Net realized and unrealized gain (loss) on investments (4.30) 0.86
- --------------------------------------------------------------------------------------------------------------------
Total from investment operations (3.89) 1.14
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From and in excess of net investment income (0.92) -
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 20.48 $ 25.29
- --------------------------------------------------------------------------------------------------------------------
MARKET VALUE, END OF PERIOD $ 20.25 $ 25.35
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN* (b)
Net asset value -16.03% 4.72%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (thousands) $ 4,138 $ 5,108
Ratio of net expenses to average net assets* 1.08% 1.32%(c)
Ratio of net investment income (loss) to average net assets* 1.75% 2.21%(c)
Portfolio turnover rate (d) 105% 55%
* 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 assets 4.86% 3.35%(c)
Ratio of net investment income (loss) to average net assets -2.03% 0.18%(c)
** Commencement of investment operations and initial listing date on the
American Stock Exchange.
(a) Based on average shares outstanding during the period.
(b) Total investment return is calculated assuming a purchase of a common 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. It does not include securities
received or delivered from processing creations or redemptions.
See notes to financial statements.
24 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2 | FINANCIAL HIGHLIGHTS (continued)
CGW | Claymore S&P Global Water Index ETF
FOR THE PERIOD
MAY 14, 2007**
PER SHARE OPERATING PERFORMANCE FOR THE YEAR ENDED THROUGH
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD AUGUST 31, 2008 AUGUST 31, 2007
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 24.86 $ 24.78
- ----------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) (a) 0.90 0.10
Net realized and unrealized gain (loss) (2.43) (0.02)
- ----------------------------------------------------------------------------------------------------------------------
Total from investment operations (1.53) 0.08
- ----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income (0.11) -
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 23.22 $ 24.86
- ----------------------------------------------------------------------------------------------------------------------
MARKET VALUE, END OF PERIOD $ 23.43 $ 25.13
- ----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN *(b)
Net asset value -6.20% 0.32%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (thousands) $ 348,351 $ 253,545
Ratio of net expenses to average net assets* 0.70% 0.72%(c)
Ratio of net investment income (loss) to average net assets* 3.73% 1.41%(c)
Portfolio turnover rate (d) 38% 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 0.73% 0.83%(c)
Ratio of net investment income (loss) to average net assets 3.70% 1.30%(c)
** Commencement of investment operations and initial listing date on the
American Stock Exchange.
(a) Based on average shares outstanding during the period.
(b) Total investment return is calculated assuming a purchase of a common 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. It does not include securities
received or delivered from processing creations or redemptions.
See notes to financial statements.
Annual Report | August 31, 2008 |25
Claymore Exchange-Traded Fund Trust 2
Notes to FINANCIAL STATEMENTS | AUGUST 31, 2008
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
business trust on June 8, 2006. At the end of the period, the Trust consisted of
13 portfolios. The following 3 portfolios have an annual reporting period-end on
August 31, 2008:
Claymore/MAC Global Solar Energy
Index ETF "MAC Global Solar Energy"
Claymore/Robeco Developed International
Equity ETF "Robeco Developed International Equity"
Claymore S&P Global Water Index ETF "S&P Global Water"
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
American Stock Exchange except MAC Global Solar Energy which is 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 replicate as closely as
possible, before fees and expenses, the performance of the following market
indices:
FUND INDEX
- -----------------------------------------------------------------------------------
MAC Global Solar Energy MAC Global Solar Energy Index
Robeco Developed International Equity Robeco Developed International Equity Index
S&P Global Water S&P Global Water Index
Note 2 - ACCOUNTING POLICIES:
The preparation of the financial statements in accordance with U.S. generally
accepted accounting principles 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 NYSE on the day
the securities are being valued or, if there are not 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. Events
occurring after the close of trading on non-United States exchanges may result
in adjustments to the valuation of foreign securities to more accurately reflect
their fair value as of the close of regular trading on the NYSE. Debt securities
are valued at the bid price for such securities or, if such prices are not
available, at prices for securities of comparable maturity, quality and type.
For those securities where quotations or prices are not available, valuations
are determined in accordance with procedures established in good faith by the
Board of Trustees. Short-term securities with maturities of 60 days or less at
time of purchase are valued at amortized cost, which approximates market value.
(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 or premiums on
debt securities purchased are accreted or amortized to interest income over the
lives 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
estimate may subsequently be revised on information received from MLPs 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 exchange rate on the date of the
transaction.
Foreign exchange gain or loss resulting from holding of a foreign currency,
expiration of a currency exchange contract, difference in exchange rates between
the trade date and settlement date of an investment purchased or sold, and the
difference between dividends actually received compared to the amount shown in a
Fund's accounting records on the date of receipt are included as net realized
gains or losses on foreign currency transactions in the Fund's Statement of
Operations.
Foreign exchange gain or loss on assets and liabilities, other than investments,
are included in unrealized appreciation/(depreciation) on foreign currency
translations.
(D) DISTRIBUTIONS
The Funds intend to pay substantially all of their net investment income to
Shareholders through annual distributions. 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 U.S. generally
accepted accounting principles.
(E) OFFERING COSTS
For Robeco Developed International Equity and S&P Global Water Index, offering
costs in the amount of $49,000 were incurred by each Fund, and are being
amortized over a one-year period from each Fund's commencement of operations.
For MAC Global Solar Energy, offering costs are being accrued at an annual rate
of the lesser of actual costs incurred or 0.25% of average daily net assets over
the first year of operations, and for this Fund, Claymore Advisors, LLC has
agreed to pay all offering costs in excess of 0.25%. Claymore Advisors, LLC has
agreed to pay all organizational expenses of each Fund.
(F) SECURITY LENDING
Each Fund may lend portfolio securities to certain creditworthy borrowers,
including the Funds' securities lending agent. The loans are collateralized at
all times by cash and/or high grade debt obligations in an amount at least equal
to 102% of the market value of domestic securities loaned and 105% of foreign
securities loaned as determined at the close of business on the preceding
business day. Each Fund receives compensation for lending securities from
interest or dividends earned on the cash, cash equivalents or U.S. government
securities held as collateral, net of fee rebates paid to the borrower plus
reasonable administrative and custody fees. 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. 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 net
securities lending income earned by the Funds is disclosed on the Statement of
Operations.
26 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2 | NOTES TO FINANCIAL STATEMENTS continued
Note 3 - INVESTMENT ADVISORY AGREEMENT AND OTHER AGREEMENTS:
Pursuant to an Investment Advisory Agreement (the "Agreement") between the
Trust, on behalf of each Fund, and Claymore Advisors, LLC (the "Adviser"), the
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 pays the Adviser an advisory fee payable on
a monthly basis at the annual rate of 0.50% of each Fund's average daily net
assets.
Under a separate Fund Administration agreement, Claymore Advisors, LLC provides
Fund Administration services to the Funds. Claymore Advisors, LLC 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%
For the period ended August 31, 2008, each Fund recognized Fund Administration
expenses and waived Fund Administration expenses as follows:
FUND ADMINISTRATION FUND ADMINISTRATION
EXPENSE EXPENSE WAIVED
- --------------------------------------------------------------------------------
MAC Global Solar Energy $ 14,514 $ -
Robeco Developed International Equity $ 1,316 $ 1,316
S&P Global Water $ 82,512 $ -
The Bank of New York Mellon ("BNY") acts as the Funds' custodian, accounting
agent and transfer 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.
The Funds' Adviser has contractually agreed to waive fees and/or pay Fund
expenses to the extent necessary to prevent the operating expenses of the Fund
(excluding interest expense, a portion of the Fund's licensing fees, offering
costs (up to 0.25% of average net assets for MACGlobal Solar Energy), 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 0.65% of average net assets per year, at least until
December 31, 2011. The offering costs excluded from the 0.65% expense cap are
(a) legal fees pertaining to the Fund's shares offered for sale; (b) SEC and
state registration fees; and (c) initial fees paid to be listed on an exchange.
The Trust and the Adviser have entered into an Expense Reimbursement Agreement
in which for a period of five years subsequent to the Fund's commencement of
operations, the 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 period ended August 31, 2008, the Adviser waived fees and assumed the
following fees and expenses:
OTHER CUMULATIVE
ADVISORY EXPENSES POTENTIALLY
FEES WAIVED OR RECOVERABLE
WAIVED REIMBURSED EXPENSE
- -------------------------------------------------------------------------------
MAC Global Solar Energy $ 75,490 $ - $ 75,490
Robeco Developed International Equity $ 23,933 $ 156,844 $281,587
S&P Global Water $ 87,744 $ - $141,721
Certain officers and/or trustees of the Trust are officers and/or directors of
the Adviser. The Trust does not compensate its officers and /or trustees who are
officers or directors of the Adviser.
LICENSING FEE AGREEMENTS:
The Adviser has entered into licensing agreements on behalf of each Fund with
the following Licensors:
FUND LICENSOR
- ----------------------------------------------------------------------------------------------------------
MAC Global Solar Energy MAC Indexing LLC
Robeco Developed International Equity Robeco Investment Management, Inc.
S&P Global Water Standard & Poor's, a division of The McGraw-Hill Companies, Inc.
The above trademarks are trademarks owned by the respective Licensors. These
trademarks have been licensed to the Adviser for use for certain purposes with
the Funds. 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.
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.
At August 31, 2008, the cost of investments and accumulated unrealized
appreciation/depreciation on investments, excluding foreign currency, and
accumulated earnings/loss, for federal income tax purposes were as follows:
NET TAX LONG-TERM
COST OF NET TAX UNREALIZED UNDISTRIBUTED GAINS/
INVESTMENTS GROSS TAX GROSS TAX UNREALIZED APPRECIATION ORDINARY INCOME/ (ACCUMULATED
FOR TAX UNREALIZED UNREALIZED APPRECIATION (DEPRECIATION) ON(ACCUMULATED CAPITAL &
PURPOSES APPRECIATION DEPRECIATION (DEPRECIATION) FOREIGN CURRENCY ORDINARY LOSS) OTHER LOSS)
- ------------------------------------------------------------------------------------------------------------------------------------
MAC Global
Solar Energy $191,957,208 $13,671,060 $(19,023,274) $ (5,352,214) $ (1,659) $ 125,763 $(1,330,035)
Robeco Developed
International
Equity $ 4,462,671 $ 181,436 $ (522,940) $ (341,504) $ 74 $ 93,053 $ (496,111)
S&P Global Water $397,850,962 $11,639,755 $(61,821,365) $(50,181,610) $ (27,808) $ 11,334,049 $ (263,722)
Annual Report | August 31, 2008 | 27
Claymore Exchange-Traded Fund Trust 2 | NOTES TO FINANCIAL STATEMENTS continued
DISTRIBUTIONS TO SHAREHOLDERS:
The tax character of distributions paid by the following Funds during the period
ended August 31, 2008 was as follows:
DISTRIBUTIONS PAID FROM ORDINARY INCOME
- --------------------------------------------------------------------------------
Robeco Developed International Equity $184,830
S&P Global Water $1,425,600
At August 31, 2008 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 differences between book and tax treatment of investments
in real estate investment trusts, investments in partnerships, wash sales from
redemption in-kind transactions, redemption in-kind transactions, organization
costs, return of capital, and net investment losses. Net investment income, net
realized gains and net assets were not affected by these changes.
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME/(LOSS) GAIN/(LOSS) PAID IN CAPITAL
- --------------------------------------------------------------------------------
MAC Global Solar Energy $ 39,847 $(1,519,452) $1,479,605
Robeco Developed
International Equity $ 63,788 $ (43,588) $ (20,200)
S&P Global Water $(632,136) $(5,203,310) $5,835,446
At August 31, 2008, 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.
CAPITAL LOSS
EXPIRING IN
2016
- --------------------------------------------------------------------------------
Robeco Developed International Equity $22,310
Capital 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 period ended August 31, 2008, the following Funds
incurred and will elect to defer net capital losses as follows:
POST-OCTOBER
FOREIGN CURRENCY
POST-OCTOBER LOSSES TRANSACTIONS
- --------------------------------------------------------------------------------
MAC Global Solar Energy $1,330,035 $ 10,153
Robeco Developed International Equity $ 473,801 $ 6,614
S&P Global Water $ 263,722 $ 636,147
On July 13, 2006, the Financial Accounting Standards Board ("FASB") released
FASB Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" ("FIN
48"). FIN 48 provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial statements. FIN
48 requires the evaluation of tax positions taken or expected to be taken in the
course of preparing the Fund's tax returns to determine whether the tax
positions are "more-likely-than-not" of being sustained by the applicable tax
authority. Tax positions not deemed to meet a more-likely-than-not threshold
would be recorded as a tax expense in the current year. Management has evaluated
the implications of FIN 48 and has determined it does not have any impact to the
financial statements as of August 31, 2008. There is no tax liability resulting
from unrecognized tax expenses relating to uncertain income tax positions taken
or expected to be taken on the tax return for the fiscal year-end August 31,
2008. The Funds are also not aware of any tax positions for which it is
reasonably possible that the total amounts of unrecognized tax expenses will
significantly change in twelve months.
FIN 48 requires the Funds to analyze all open tax years. Open tax years are
those years that are open for examination by the relevant income taxing
authority. As of August 31, 2008, open Federal and state income tax years
include the tax years ended August 31, 2007 and 2008. The Funds have no
examination in progress.
Note 5 - INVESTMENT TRANSACTIONS:
For the period ended August 31, 2008, the cost of investments purchased and
proceeds from sales of investments, excluding short-term investments and in-kind
transactions, were as follows:
PURCHASES SALES
- --------------------------------------------------------------------------------
MAC Global Solar Energy $ 13,870,969 $ 13,645,933
Robeco Developed International Equity $ 5,042,357 $ 5,108,148
S&P Global Water $144,002,979 $128,503,565
For the period ended August 31, 2008, in-kind transactions were as follows:
PURCHASES SALES
- --------------------------------------------------------------------------------
MAC Global Solar Energy $204,112,096 $12,579,494
Robeco Developed International Equity $ - $ -
S&P Global Water $170,245,430 $47,584,772
Note 6 - CAPITAL:
Shares are issued and redeemed by the Funds only in Creation Unit size
aggregations of 80,000 to 200,000 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 per unit of the Fund
on the transaction date. Transaction fees ranging from $500 to $6,000 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 to the extent that cash is used in lieu of
securities to purchase Creation Units or redeem for cash.
Note 7 - DISTRIBUTION AGREEMENT:
The Board of Trustees of the Trust has adopted a distribution and services 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.
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 - ACCOUNTING PRONOUNCEMENTS:
In September 2006, the FASB released Statement of Financial Accounting Standards
No. 157, "Fair Valuation Measurements" ("FAS 157"). This standard clarifies the
definition of fair value for financial reporting, establishes a framework for
measuring fair value and requires additional disclosures about the use of fair
value measurements. FAS 157 is effective for financial statements issued for
fiscal years beginning after November 15, 2007 and interim periods within those
fiscal years. As of August 31, 2008, the Funds do not believe the adoption of
FAS 157 will impact the amounts reported in the financial statements, however,
additional disclosure will be required about the inputs used to develop
measurements of fair value and the effect of certain of the measurements
reported in the statement of operations for a fiscal period.
In March 2008, the FASB issued Statement of Financial Accounting Standards
("SFAS") No. 161, "Disclosures about Derivative Instruments and Hedging
Activities." This standard is intended to
28 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2 | NOTES TO FINANCIAL STATEMENTS continued
enhance financial statement disclosures for derivative instruments and hedging
activities and enable investors to understand: a) how and why a fund uses
derivative instruments, b) how derivatives instruments and related hedge fund
items are accounted for, and c) how derivative instruments and related hedge
items affect a fund's financial position, results of operations and cash flows.
SFAS No. 161 is effective for financial statements issued for fiscal years and
interim periods beginning after November 15, 2008. As of August 31, 2008,
management does not believe the adoption of SFAS No. 161 will impact the
financial statement amounts; however, additional footnote disclosures may be
required about the use of derivative instruments and hedging items.
Note 10 - SUBSEQUENT EVENT:
The following funds, which are currently listed on the American Stock Exchange
(the "AMEX"), will transfer the listing to the NYSE Arca. The transfer will
occur in connection with the proposed NYSE Euronext acquisition of the AMEX and
will occur after the close of the acquisition. The AMEX and NYSE Euronext expect
the transaction to close in the fourth quarter of 2008 subject to the
satisfaction of certain conditions including the approval of the U.S. Securities
and Exchange Commission.
FUND TICKER FUND NAME
- --------------------------------------------------------------------------------
EEN Claymore/Robeco Developed International Equity ETF
CGW Claymore S&P Global Water Index ETF
Annual Report | August 31, 2008 | 29
Claymore Exchange-Traded Fund Trust 2
Report of INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
CLAYMORE EXCHANGE-TRADED FUND TRUST 2
We have audited the accompanying statements of assets and liabilities of
Claymore S&P Global Water Index ETF, Claymore/MAC Global Solar Energy Index ETF,
and Claymore/Robeco Developed International Equity ETF (three of the portfolios
constituting the Claymore Exchange-Traded Fund Trust 2) (collectively, the
"Funds"), including the portfolio of investments, as of August 31, 2008, and the
related statements of operations, and the statement of changes in net assets and
the financial 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 August 31, 2008, 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 three funds comprising the Claymore Exchange-Traded Fund Trust
2 at August 31, 2008, and the results of their operations, and the changes in
their net assets and financial highlights for the periods indicated therein, in
conformity with U.S. generally accepted accounting principles.
/s/ Ernst & Young LLP
Chicago, Illinois
October 22, 2008
30 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2
Supplemental INFORMATION | (unaudited)
FEDERAL INCOME TAX INFORMATION
In January 2009, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV
as to the federal tax status of the distributions received by you in the
calendar year 2008.
Claymore/MAC Global Solar Energy Index ETF intends to designate $4,843 of
foreign tax withholding on foreign source income of $32,284.
Claymore/Robeco Developed International Equity ETF intends to designate $15,178
of foreign tax withholding on foreign source income of $109,781.
Claymore S&P Global Water Index ETF intends to designate $824,676 of foreign tax
withholding on foreign source income of $5,809,393.
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.
For corporate shareholders of the following Funds, the following investment
income (dividend income plus short-term gains, if any) qualifies for the
dividends-received deduction.
QUALIFIED DIVIDEND DIVIDENDS-
INCOME RECEIVED DEDUCTION
- --------------------------------------------------------------------------------
Robeco Developed International Equity 100% 0%
S&P Global Water 89% 15%
TRUSTEES
The Trustees of the Claymore Exchange-Traded Fund Trust 2 and their principal
business occupations during the past five years:
NAME, ADDRESS*, YEAR TERM OF OFFICE** PRINCIPAL OCCUPATIONS DURING NUMBER OF FUNDS
OF BIRTH AND POSITION(S) AND LENGTH OF THE PAST FIVE YEARS AND IN FUND COMPLEX*** OTHER DIRECTORSHIPS
HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
- ------------------------------------------------------------------------------------------------------------------------------------
Randall C. Barnes Since 2006 Private Investor (2001-present). Formerly, 43 None
Year of Birth: 1951 Senior Vice President & Treasurer, PepsiCo,
Trustee Inc. (1993-1997), President, Pizza Hut
International (1991-1993) and Senior Vice
President, Strategic Planning and New
Business Development (1987-1990) of PepsiCo,
Inc. (1987-1997).
- ------------------------------------------------------------------------------------------------------------------------------------
Ronald A. Nyberg Since 2006 Partner of Nyberg & Cassioppi, LLC, a law 46 None
Year of Birth: 1953 firm specializing in corporate law, estate
Trustee planning and business transactions
(2000-present). Formerly, Executive Vice
President, General Counsel and Corporate
Secretary of Van Kampen Investments
(1982-1999).
- ------------------------------------------------------------------------------------------------------------------------------------
Ronald E. Toupin, Jr. Since 2006 Retired. Formerly, Vice President, Manager 43 None
Year of Birth: 1958 and Portfolio Manager of Nuveen Asset
Trustee 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).
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES:
- ------------------------------------------------------------------------------------------------------------------------------------
Nicholas Dalmaso+ Since 2006 Attorney. Formerly, Senior Managing Director 46 None
Year of Birth: 1965 and Chief Administrative Officer (2007-2008)
Trustee and General Counsel (2001-2007) of Claymore
Advisors, LLC and Claymore Securities, Inc.;
Assistant General Counsel, John Nuveen and
Co., Inc. (1999-2000). Former Vice President
and Associate General Counsel of Van Kampen
Investments, Inc. (1992-1999).
- ------------------------------------------------------------------------------------------------------------------------------------
* 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.
*** The Claymore Fund Complex consists of U.S. registered investment companies
advised or serviced by Claymore Advisors, LLC or Claymore Securities, Inc.
The Claymore Fund Complex is overseen by multiple Boards of Trustees.
+ Dalmaso is an "interested person" (as defined in Section 2(a)(19) of the 1940
Act) of the Trust as a result of his former position as an officer of, and
his equity ownership in, the Adviser and certain of its affiliates.
Annual Report | August 31, 2008 | 31
Claymore Exchange-Traded Fund Trust 2 | SUPPLEMENTAL INFORMATION (unaudited)
continued
OFFICERS
The Officers of the Trust and their principal occupations during the past five
years:
NAME, ADDRESS*, YEAR OF BIRTH AND TERM OF OFFICE** AND PRINCIPAL OCCUPATION DURING THE PAST FIVE YEARS
POSITION(S) HELD WITH REGISTRANT LENGTH OF TIME SERVED AND OTHER AFFILIATIONS
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS:
- ------------------------------------------------------------------------------------------------------------------------------------
J. Thomas Futrell Since 2008 Senior Managing Director and Chief Investment Officer of Claymore
Year of Birth: 1955 Advisors, LLC and Claymore Securities, Inc. (2008-present). Formerly,
Chief Executive Officer Managing Director of Research, Nuveen Asset Management (2000-2007).
- ------------------------------------------------------------------------------------------------------------------------------------
Steven M. Hill Since 2006 Senior Managing Director of Claymore Advisors, LLC and Claymore
Year of Birth: 1964 Securities, Inc. (2005-present); Formerly, Chief Financial Officer of
Chief Accounting Officer, Claymore Group Inc. (2005-2006); Managing Director of Claymore
Chief Financial Officer and Treasurer Advisors, LLC and Claymore Securities, Inc. (2003-2005); Treasurer of
Henderson Global Funds and Operations Manager for Henderson Global
Investors (NA) Inc., (2002-2003); Managing Director, FrontPoint
Partners LLC (2001-2002); Vice President, Nuveen Investments
(1999-2001).
- ------------------------------------------------------------------------------------------------------------------------------------
Kevin Robinson Since 2008 Senior Managing Director and General Counsel of Claymore Advisors,
Year of Birth: 1959 LLC and Claymore Group, Inc. (2007-present). Formerly, Associate
Chief Legal Officer General Counsel and Assistant Corporate Secretary of NYSE Euronext,
Inc. (2000-2007).
- ------------------------------------------------------------------------------------------------------------------------------------
Bruce Saxon Since 2006 Vice President, Fund Compliance Officer of Claymore Group Inc.
Year of Birth: 1957 (2006-present). Formerly, Chief Compliance Officer/Assistant
Chief Compliance Officer Secretary of Harris Investment Management, Inc. (2003-2006).
Director-Compliance of Harrisdirect LLC (1999-2003).
- ------------------------------------------------------------------------------------------------------------------------------------
Melissa J. Nguyen Since 2006 Vice President, Assistant General Counsel of Claymore Group Inc.
Year of Birth: 1978 (2005-present). Secretary of certain funds in the Fund Complex;
Secretary Formerly, Associate, Vedder Price P.C. (2003-2005).
- ------------------------------------------------------------------------------------------------------------------------------------
William H. Belden, III Since 2006 Managing Director of Claymore Advisors, LLC (2005-present).
Year of Birth: 1965 Formerly, Vice President of Product Management at Northern Trust
Vice President Global Investments (1999-2005).
- ------------------------------------------------------------------------------------------------------------------------------------
Chuck Craig Since 2006 Managing Director (2006-present), Vice President (2003-2006) of
Year of Birth: 1967 Claymore Advisors, LLC. Formerly, Assistant Vice President, First
Vice President Trust Portfolios, L.P. (1999-2003).
- ------------------------------------------------------------------------------------------------------------------------------------
* 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.
32 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2
Board Considerations Regarding Approval of
INVESTMENT ADVISORY AGREEMENT | (unaudited)
CLAYMORE EXCHANGE TRADED FUND TRUST 2 (THE "TRUST")
CLAYMORE/MAC GLOBAL SOLAR ENERGY INDEX ETF
BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT ADVISORY AGREEMENT
The Advisory Agreement between Claymore Advisors, LLC (the "Investment Adviser")
and the Trust on behalf of the above-named fund ("Fund") was approved by the
Board of Trustees, including all of the trustees who are not parties to such
agreement or interested persons of any such party, on April 10, 2008. The Board
of Trustees, including a majority of the independent trustees, determined that
approval of the Advisory Agreement was in the best interest of the Fund. The
independent trustees, with the assistance of independent legal counsel, met
separately from the "interested" trustee of the Trust and officers and employees
of the Investment Adviser to consider approval of the Advisory Agreement. The
Board of Trustees, including the independent trustees, did not identify any
single factor or group of factors as all important or controlling and considered
all factors together. In evaluating whether to approve the Advisory Agreement
for the Fund, the Board considered numerous factors, as described below.
With respect to the nature, extent and quality of the services to be provided by
the Investment Adviser under the Advisory Agreement, the Board considered and
reviewed information concerning the services proposed to be provided under the
Advisory Agreement, the proposed investment parameters of the index for the
Fund, the Investment Adviser's Form ADV, financial information regarding the
Investment Adviser and its parent company, information describing the Investment
Adviser's current organization and the background and experience of the persons
who would be responsible for the management of the Fund, the anticipated
financial support of the Fund and the nature and quality of services provided to
other exchange-traded ("ETFs") and closed-end funds by the Investment Adviser.
The Board also considered the services to be provided by the Investment Adviser
in its oversight of the Fund's custodian, transfer agent, and accounting agent,
as well as the index licensor for the Fund, and noted the significant time and
effort that would be devoted to this oversight function. Since the Fund is newly
organized and has no investment performance, the Board did not consider
investment performance. Based upon its review, the Board concluded that the
Investment Adviser was qualified to manage the Fund and to oversee the services
to be provided by other service providers and that the services to be provided
by the Investment Adviser to the Fund are expected to be satisfactory.
With respect to the costs of services to be provided and profits to be realized
by the Investment Adviser, the Board considered the resources involved in
managing the Fund as well as the proposed expense limitation for the Fund. The
Board noted that because the Fund was newly organized and had no assets, the
Investment Adviser did not provide profitability information. However, based
upon the proposed expense limitation for the Fund, the Board concluded that
profitability was not expected to be unreasonable.
The Board also reviewed information provided by the Investment Adviser showing
the proposed advisory fee for the Fund as compared to those of a peer group of
ETFs provided by the Investment Adviser. The Board noted the services to be
provided by the Investment Adviser for the annual advisory fee of the Fund's
average daily net assets of 0.50% for the Fund. The Board also considered that
the Investment Adviser had contractually agreed to pay expenses of the Fund to
the extent necessary to absorb the annual operating expenses of the Fund
(excluding interest expenses, a portion of the Fund's licensing fees, a portion
of the 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 a Fund's business) over a certain amount, until the
earlier of December 31, 2010 or termination of the Advisory Agreement. The Board
considered that the Fund's proposed advisory fee was within range of those in
the peer group of ETFs provided by the Investment Adviser. The Board concluded
that the Fund's advisory fee was reasonable given the nature, extent and
anticipated quality of the services to be provided under the Advisory Agreement
and the expense limitation that would be in place.
The Board considered the extent to which economies of scale would be realized as
the Fund grows and whether fee levels reflect a reasonable sharing of such
economies of scale for the benefit of the Fund's investors. Because the Fund is
newly organized, the Board reviewed the Fund's proposed expense limitation and
determined to review economies of scale in the future when the Fund had
attracted assets. The Board also noted that the terms of the expense
reimbursement agreement that the Investment Adviser had entered into with the
Fund allows the Investment Adviser for a period of five years subsequent to the
Fund's commencement of operations to recover from the Fund's fees and expenses
waived or reimbursed during the prior three years if the Fund's expense ratio,
including certain of the recovered expenses falls below the expense limitation.
The Board considered benefits to be derived by the Investment Adviser from its
relationship with the Fund, including the benefits to the Investment Adviser
from its separate Administration Agreement with the Trust. The Board concluded
that the advisory fees were reasonable, taking into account these benefits.
Annual Report | August 31, 2008 | 33
Claymore Exchange-Traded Fund Trust 2
Board Considerations Regarding
Re-Approval of INVESTMENT ADVISORY AGREEMENT | (unaudited)
On July 23 and August 4, 2008, the Board of Trustees (the "Board"), including
those trustees who are not interested persons as defined by the Investment
Company Act of 1940 (the "Independent Trustees") of the Claymore Exchange-Traded
Fund Trust 2 (the "Trust," with the separate series thereof referred to
individually as a "Fund" and collectively as the "Funds") met to consider the
renewal of the investment advisory agreement ("Advisory Agreement") between the
Trust and Claymore Advisors, LLC ("Adviser") on behalf of the following Funds:
CLAYMORE EXCHANGE-TRADED FUND TRUST 2
CLAYMORE S&P GLOBAL WATER INDEX ETF
CLAYMORE/ROBECO DEVELOPED INTERNATIONAL EQUITY ETF
As part of its review process, the Nominating and Governance Committee of the
Board (referred to as the "Committee" and consisting solely of the Independent
Trustees) was represented by independent legal counsel. The Board reviewed
materials received from the Adviser and independent legal counsel. The Board
also had previously received, throughout the year, Board meeting information
regarding performance and operating results of the Funds.
In preparation for its review, the Committee communicated with independent legal
counsel regarding the nature of information to be provided, and independent
legal counsel, on behalf of the Committee, sent a formal request for information
and a supplemental request for information to the Adviser. The Adviser provided
extensive information in response to the requests. Among other information, the
Adviser provided general information to assist the Committee in assessing the
nature and quality of services provided by the Adviser, information comparing
the investment performance, advisory fees and total expenses of the Funds to
other exchange-traded funds ("ETFs"), information about the profitability from
the Advisory Agreement to the Adviser and the compliance policies and procedures
adopted by the Adviser.
Based upon their review, the Committee and the Board concluded that it was in
the best interests of the Funds to renew the Advisory Agreement and,
accordingly, recommend to the Board the renewal of the Advisory Agreement. In
reaching this conclusion for the Funds, no single factor was determinative in
the Board's analysis, but rather the Board considered a variety of factors.
In evaluating the nature, extent and quality of the Adviser's services, 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. The Board also considered the secondary market support provided by the
Adviser to the Funds, including the Adviser's efforts to educate investment
professionals about the Funds and other funds sponsored by the Adviser. The
Board reviewed financial information regarding the Adviser and its parent
company and considered the parent company's guaranty of the Adviser's financial
obligations under the Advisory Agreement. The Board reviewed information on the
performance of the Funds and the performance of their benchmark indices. The
Board also reviewed reports on the correlation and tracking error between the
underlying index and each Fund's performance. The Board concluded that each of
the Funds is correlated to its underlying index and that the tracking error for
each Fund was within a reasonable range in that Fund's particular circumstances.
Based on its review, the Board found that the nature and extent of services
provided to the Funds under the Advisory Agreement was appropriate and that the
quality was satisfactory.
The Board reviewed and discussed the information provided by the Adviser on each
Fund's advisory fee and expense ratio, as compared to comparable ETFs provided
by the Adviser. The Board noted that the annual advisory fee was identical
(0.50% of average net assets), and that the Adviser had contractually agreed to
waive the fee and/or reimburse expenses to absorb certain annual operating
expenses of each Fund (excluding interest expenses, a portion of each Fund's
licensing fees, a portion of the 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 a Fund's business) over a
certain amount, until the earlier of December 31, 2010 or termination of the
Advisory Agreement. The Board noted that the advisory fees were generally within
the range of the ETF peer funds. With respect to the Funds' net expense ratios,
the Board noted that the net expense ratios were generally at the higher end of
the ETF peer funds. The Board noted, however, the Adviser's statement that the
net expense ratios for the Funds were expected to decline in the coming year due
to the realization of fee concessions that the Adviser had negotiated from
certain of the Funds' service providers and for those funds that had been in
operation for more than twelve months, that offering costs were no longer being
amortized. The Board concluded that the advisory fee for each Fund was
reasonable under the circumstances and in light of the quality of services
provided and the expense waiver and reimbursement agreement in place.
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
Advisory Agreement, as well as the fees waived and expenses reimbursed by the
Adviser for the Funds and the estimated allocated direct and indirect costs the
Adviser incurred in providing the services to the Funds, which resulted in no
profit to the Adviser.
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 reviewed each Fund's asset size, expense ratio,
expense waiver and reimbursement 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. Accordingly, the
Board concluded that fee levels were appropriate.
The Board considered other benefits available to the Adviser because of its
relationship with the Funds and noted that the administrative services fees
received by the Adviser from serving as administrator provide it with additional
revenue, but the Board concluded that the advisory fees were reasonable taking
into account any benefits from such administration agreements. The Board noted
that the Adviser does not have any soft-dollar arrangements.
OVERALL CONCLUSIONS
Based upon all of the information considered and the conclusions reached, the
Board determined that the terms of the Advisory Agreement continue to be fair
and reasonable and that the continuation of the Advisory Agreement is in the
best interests of the Funds.
34 | Annual Report | August 31, 2008
Claymore Exchange-Traded Fund Trust 2
Trust INFORMATION |
BOARD OF TRUSTEES
Randall C. Barnes
Nicholas Dalmaso*
Ronald A. Nyberg
Ronald E. Toupin, Jr.
* Trustee is an "interested person" of the Trust as defined in the Investment
Company Act of 1940, as amended, as a result of his former position as an
officer of, and his equity ownership in, the Adviser and certain of its
affiliates.
OFFICERS
J. Thomas Futrell
Chief Executive Officer
Steven M. Hill
Chief Accounting Officer,
Chief Financial Officer and Treasurer
Kevin Robinson
Chief Legal Officer
Bruce Saxon
Chief Compliance Officer
Melissa J. Nguyen
Secretary
William H. Belden III
Vice President
Chuck Craig
Vice President
INVESTMENT ADVISER
Claymore Advisors, LLC
Lisle, IL
DISTRIBUTOR
Claymore Securities, Inc.
Lisle, IL
ADMINISTRATOR
Claymore Advisors, LLC
Lisle, IL
ACCOUNTING AGENT, CUSTODIAN
AND TRANSFER AGENT
The Bank of New York Mellon
New York, NY
LEGAL COUNSEL
Clifford Chance US LLP
New York, NY
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Ernst & Young LLP
Chicago, IL
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 Claymore 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 (888) 949-3837.
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 (888) 949-3837 or by
accessing the Funds' Form N-PX on the SEC's website at www.sec.gov or
www.claymore.com.
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 www.claymore.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 or at www.sec.gov.
Annual Report | August 31, 2008 | 35
About the TRUST MANAGER |
CLAYMORE ADVISORS, LLC
Claymore Advisors, LLC 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. Claymore Advisors, LLC also acts as investment adviser to
closed-end and open-end management investment companies. Claymore entities have
provided supervision, management, servicing or distribution on approximately
$17.1 billion in assets as of August 31, 2008. Claymore currently offers
exchange-traded funds, closed-end funds, and unit investment trusts.
PORTFOLIO MANAGEMENT
The portfolio manager who is currently responsible for the day-to-day management
of the Funds' portfolio is Chuck Craig, CFA. Mr. Craig has managed each Fund's
portfolio since its inception. Mr. Craig is a Managing Director, Portfolio
Management and Supervision, of the Investment Adviser and Claymore Securities,
Inc. and joined Claymore Securities, Inc. in May of 2003. Mr. Craig received a
M.S. in Financial Markets from the Center for Law and Financial Markets at the
Illinois Institute of Technology. He also earned a B.S. in Finance from Northern
Illinois University.
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 OVERVIEW
The Claymore Exchange-Traded Fund Trust 2 (the "Trust") is an investment company
consisting of 13 separate exchange-traded "index funds" as of August 31, 2008.
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.CLAYMORE.COM OR BY CALLING
(888) 949-3837. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE INVESTING. THE
STATEMENT OF ADDITIONAL INFORMATION THAT INCLUDES INFORMATION ABOUT THE TRUSTEES
IS ALSO AVAILABLE, WITHOUT CHARGE, UPON REQUEST VIA OUR WEBSITE AT
HTTP://WWW.CLAYMORE.COM OR BY CALLING (888) 949-3837. 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.
CLAYMORE SECURITIES, INC.
2455 Corporate West Drive
Lisle, IL 60532
Member FINRA/SIPC
NOT FDIC-INSURED | NOT BANK-GUARANTEED | MAY LOSE VALUE
CETFT-002-AR-0808
ITEM 2. CODE OF ETHICS.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that
applies to its principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar
functions.
(b) No information need be disclosed pursuant to this paragraph.
(c) During the registrant's fiscal year ended August 31, 2008, the Code of
Ethics was not amended.
(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"), Ronald E. Toupin, Jr. Mr. Toupin is an "independent" Trustee as
defined in Item 3 of Form N-CSR. Mr. Toupin qualifies as an audit committee
financial expert by virtue of his experience obtained as a portfolio manager and
research analyst, which included review and analysis of offering documents and
audited and un-audited financial statements using GAAP to show accounting
estimates, accruals and reserves.
(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 of 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 $124,295
and $78,000 for the fiscal years ending August 31, 2008, and August 31, 2007,
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 $0 and
$0 for the fiscal years ending August 31, 2008, and August 31, 2007,
respectively.
(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
$18,000 and $18,000 for the fiscal years ending August 31, 2008, and August 31,
2007, respectively.
(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 August 31,
2008, and August 31, 2007, respectively.
The registrant's principal accountant did not bill fees for non-audit services
that required approval 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 for non-audit services to the Adviser 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) The percentage of hours expended on the principal accountant's engagement to
audit the registrant's financial statements for the most recent fiscal year
attributable to work performed by persons other than the principal accountant's
full-time, permanent employees was 0%.
(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 $18,000 and $18,000
for the fiscal years ending August 31, 2008, and August 31, 2007, 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: Ronald A. Nyberg; Ronald E. Toupin, Jr., and Randall
C. Barnes.
(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, 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 last 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.
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/ J. Thomas Futrell
-----------------------------------------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: November 7, 2008
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/ J. Thomas Futrell
-----------------------------------------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: November 7, 2008
By: /s/ Steven M. Hill
-----------------------------------------------------------------------
Name: Steven M. Hill
Title: Treasurer and Chief Financial Officer
Date: November 7, 2008