• |
Daily
and historical fund pricing, fund returns, portfolio holdings and
characteristics, and distribution history. |
• |
Investor
guides and fund fact sheets. |
• |
Regulatory
documents including a prospectus and copies of shareholder
reports. |
Contents |
|
Dear
Shareholder |
3 |
Economic
and Market Overview |
4 |
Management
Discussion of Fund Performance |
6 |
Performance
Report and Fund Profile |
16 |
About
Shareholders' Fund Expenses |
32 |
Schedule
of Investments |
33 |
Statement
of Assets and Liabilities |
55 |
Statement
of Operations |
57 |
Statements
of Changes in Net Assets |
59 |
Financial
Highlights |
63 |
Notes
to Financial Statements |
71 |
Report
of Independent Registered Public Accounting Firm |
81 |
Supplemental
Information |
82 |
Approval
of Advisory Agreements – Claymore Exchange-Traded Fund Trust 2 |
86 |
Trust
Information |
91 |
About
the Trust Adviser |
Back
Cover |
(Unaudited) |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 3 |
ECONOMIC
AND MARKET OVERVIEW (Unaudited) |
August
31, 2016 |
4 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
(Unaudited) |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 5 |
MANAGEMENT
DISCUSSION OF FUND PERFORMANCE (Unaudited) |
August
31, 2016 |
6 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
MANAGEMENT
DISCUSSION OF FUND PERFORMANCE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 7 |
MANAGEMENT
DISCUSSION OF FUND PERFORMANCE (Unaudited) continued |
August
31, 2016 |
Payable
Date |
Amount |
|||
September
30, 2015 |
$ |
0.1886 |
||
December
31, 2015 |
$ |
0.0869 |
||
March 31,
2016 |
$ |
0.0415 |
||
June
30, 2016 |
$ |
0.3650 |
||
Total |
$ |
0.6820 |
8 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
MANAGEMENT
DISCUSSION OF FUND PERFORMANCE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 9 |
MANAGEMENT
DISCUSSION OF FUND PERFORMANCE (Unaudited) continued |
August
31, 2016 |
10 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
MANAGEMENT
DISCUSSION OF FUND PERFORMANCE (Unaudited) continued |
August
31, 2016 |
Payable
Date |
Amount |
|||
September
30, 2015 |
$ |
0.3117 |
||
December
31, 2015 |
$ |
0.2848 |
||
March 31,
2016 |
$ |
0.1774 |
||
June
30, 2016 |
$ |
0.4977 |
||
Total |
$ |
1.2716 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 11 |
MANAGEMENT
DISCUSSION OF FUND PERFORMANCE (Unaudited) continued |
August
31, 2016 |
Payable
Date |
Amount |
|||
April 7,
2016 |
$ |
0.0991 |
||
May 6,
2016 |
$ |
0.1094 |
||
June 7,
2016 |
$ |
0.1189 |
||
July 8,
2016 |
$ |
0.1174 |
||
August 5,
2016 |
$ |
0.1203 |
||
Total |
$ |
0.5651 |
12 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
MANAGEMENT
DISCUSSION OF FUND PERFORMANCE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 13 |
(Unaudited) |
August
31, 2016 |
14 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
(Unaudited) |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 15 |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) |
August
31, 2016 |
Fund
Statistics |
|||
Share
Price |
$ |
26.23 | |
Net
Asset Value |
$ |
26.19 | |
Premium to
NAV |
0.15% | ||
Net
Assets ($000) |
$ |
23,574 |
AVERAGE
ANNUAL TOTAL RETURNS FOR THE
PERIOD
ENDED AUGUST 31, 2016 | ||||
Since | ||||
One |
Three |
Five |
Inception | |
Year |
Year |
Year |
(10/19/09) | |
Guggenheim
China All-Cap ETF |
||||
NAV |
10.99% |
4.66% |
3.43% |
2.77% |
Market |
12.51% |
4.91% |
3.43% |
2.79% |
AlphaShares |
||||
China
All |
||||
Cap
Index |
11.52% |
4.83% |
3.83% |
3.29% |
MSCI
China |
||||
Index |
8.04% |
4.81% |
3.80% |
2.35% |
Portfolio
Breakdown |
%
of Net Assets |
Financial |
34.8% |
Communications |
28.3% |
Technology |
6.9% |
Energy |
6.7% |
Consumer,
Non-cyclical |
6.7% |
Consumer,
Cyclical |
5.9% |
Industrial |
5.5% |
Other |
4.6% |
Total
Common Stocks |
99.4% |
Securities
Lending Collateral |
1.8% |
Total
Investments |
101.2% |
Other
Assets & Liabilities, net |
-1.2% |
Net
Assets |
100.0% |
Ten
Largest Holdings |
|
(%
of Total Net Assets) |
|
Tencent
Holdings Ltd. |
6.6% |
Alibaba
Group Holding Ltd. ADR |
5.7% |
NetEase,
Inc. ADR |
5.7% |
China
Construction Bank Corp. — Class H |
5.4% |
China
Mobile Ltd. |
5.3% |
Industrial
& Commercial Bank of China Ltd. — Class H |
4.7% |
Baidu,
Inc. ADR |
4.1% |
Bank
of China Ltd. — Class H |
3.3% |
Ping
An Insurance Group Company of China Ltd. — Class H |
2.5% |
JD.com,
Inc. ADR |
2.0% |
Top
Ten Total |
45.3% |
16 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 17 |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
Fund
Statistics |
|||
Share
Price |
$ |
39.08 | |
Net
Asset Value |
$ |
39.26 | |
Discount
to NAV |
-0.46% | ||
Net
Assets ($000) |
$ |
45,153 |
AVERAGE
ANNUAL TOTAL RETURNS FOR THE
PERIOD
ENDED AUGUST 31, 2016 | ||||
Since | ||||
One |
Three |
Five |
Inception | |
Year |
Year |
Year |
(12/08/09) | |
Guggenheim
China Technology ETF |
||||
NAV |
35.19% |
11.23% |
10.86% |
8.28% |
Market |
35.69% |
11.01% |
10.64% |
8.20% |
AlphaShares |
||||
China |
||||
Technology |
||||
Index |
35.75% |
10.54% |
10.63% |
8.18% |
MSCI
China |
||||
Index |
8.04% |
4.81% |
3.80% |
1.63% |
Portfolio
Breakdown |
%
of Net Assets |
Communications |
47.7% |
Technology |
25.9% |
Industrial |
14.9% |
Energy |
5.8% |
Basic
Materials |
2.7% |
Consumer,
Cyclical |
1.9% |
Consumer,
Non-cyclical |
0.8% |
Other |
0.2% |
Total
Common Stocks |
99.9% |
Securities
Lending Collateral |
11.6% |
Total
Investments |
111.5% |
Other
Assets & Liabilities, net |
-11.5% |
Net
Assets |
100.0% |
Ten
Largest Holdings |
|
(%
of Total Net Assets) |
|
Tencent
Holdings Ltd. |
10.7% |
Alibaba
Group Holding Ltd. ADR |
10.0% |
NetEase,
Inc. ADR |
8.0% |
Baidu,
Inc. ADR |
7.6% |
AAC
Technologies Holdings, Inc. |
5.0% |
SINA
Corp. |
4.8% |
Lenovo
Group Ltd. |
3.9% |
Sunny
Optical Technology Group Company Ltd. |
3.9% |
Semiconductor
Manufacturing International Corp. |
3.4% |
TravelSky
Technology Ltd. — Class H |
2.2% |
Top
Ten Total |
59.5% |
18 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 19 |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
Fund
Statistics |
|||
Share
Price |
$ |
23.09 | |
Net
Asset Value |
$ |
23.24 | |
Discount
to NAV |
-0.65% | ||
Net
Assets ($000) |
$ |
2,324 |
AVERAGE
ANNUAL TOTAL RETURNS FOR THE
PERIOD
ENDED AUGUST 31, 2016 | ||
Since | ||
One |
Inception | |
Year |
(09/29/14) | |
Guggenheim
Emerging Market Real Estate ETF |
||
NAV |
16.24% |
-0.39% |
Market |
15.05% |
-0.69% |
AlphaShares
Emerging Markets |
||
Real
Estate Index |
17.03% |
1.20% |
FTSE
EPRA/NAREIT Global |
||
Real
Estate Index |
18.39% |
9.38% |
Country
Diversification |
%
of Common Stocks |
Country |
|
China |
36.8% |
South
Africa |
11.9% |
Philippines |
10.4% |
United
Arab Emirates |
8.2% |
Mexico |
6.4% |
Indonesia |
5.5% |
Thailand |
4.9% |
All
Other Countries |
15.9% |
Total
Common Stocks |
100.0% |
Ten
Largest Holdings |
|
(%
of Total Net Assets) |
|
Emaar
Properties PJSC |
4.8% |
SM
Prime Holdings, Inc. |
4.7% |
China
Resources Land Ltd. |
4.4% |
China
Overseas Land & Investment Ltd. |
4.3% |
Fibra
Uno Administracion S.A. de CV |
3.2% |
Growthpoint
Properties Ltd. |
3.2% |
Ayala
Land, Inc. |
2.9% |
Dalian
Wanda Commercial Properties Company Ltd. — Class H |
2.9% |
Redefine
Properties Ltd. |
2.9% |
Country
Garden Holdings Company Ltd. |
2.6% |
Top
Ten Total |
35.9% |
20 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 21 |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
Fund
Statistics |
|||
Share
Price |
$ |
20.91 | |
Net
Asset Value |
$ |
20.89 | |
Premium to
NAV |
0.10% | ||
Net
Assets ($000) |
$ |
230,754 |
AVERAGE
ANNUAL TOTAL RETURNS FOR THE
PERIOD
ENDED AUGUST 31, 2016 | ||||
Since | ||||
One |
Three |
Five |
Inception | |
Year |
Year |
Year |
(04/15/08) | |
Guggenheim
Solar ETF |
||||
NAV |
-28.59% |
-7.01% |
-13.93% |
-23.69% |
Market |
-28.16% |
-6.89% |
-13.82% |
-23.69% |
MAC
Global |
||||
Solar
Energy |
||||
Index |
-31.12% |
-10.24% |
-17.17% |
-25.22% |
MSCI
World |
||||
Index |
6.68% |
7.39% |
9.51% |
4.26% |
Country
Diversification |
%
of Common Stocks |
Country |
|
Cayman
Islands |
38.9% |
United
States |
37.8% |
Bermuda |
4.8% |
United
Kingdom |
4.5% |
Switzerland |
4.3% |
Canada |
3.8% |
Norway |
3.0% |
Germany |
2.9% |
Total
Common Stocks |
100.0% |
Ten
Largest Holdings |
|
(%
of Total Net Assets) |
|
Trina
Solar Ltd. ADR |
7.0% |
GCL-Poly
Energy Holdings Ltd. |
6.5% |
Xinyi
Solar Holdings Ltd. |
6.5% |
TerraForm
Power, Inc. — Class A |
6.1% |
First
Solar, Inc. |
5.7% |
SolarCity
Corp. |
5.5% |
China
Singyes Solar Technologies Holdings Ltd. |
4.7% |
Atlantica
Yield plc |
4.5% |
8Point3
Energy Partners, LP |
4.4% |
Meyer
Burger Technology AG |
4.3% |
Top
Ten Total |
55.2% |
22 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 23 |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
Fund
Statistics |
|||
Share
Price |
$ |
30.32 | |
Net
Asset Value |
$ |
30.27 | |
Premium to
NAV |
0.17% | ||
Net
Assets ($000) |
$ |
432,244 |
AVERAGE
ANNUAL TOTAL RETURNS FOR THE
PERIOD
ENDED AUGUST 31, 2016 | ||||
Since | ||||
One |
Three |
Five |
Inception | |
Year |
Year |
Year |
(05/14/07) | |
Guggenheim
S&P Global Water Index ETF |
||||
NAV |
15.40% |
9.99% |
10.57% |
4.51% |
Market |
15.72% |
10.08% |
10.69% |
4.53% |
S&P
Global |
||||
Water
Index |
15.65% |
10.26% |
10.94% |
5.00% |
MSCI
World Index |
6.68% |
7.39% |
9.51% |
2.97% |
Dow
Jones World |
||||
Utilities
Index |
12.62% |
8.13% |
5.35% |
-0.70% |
Country
Diversification |
%
of Common Stocks |
Country |
|
United
States |
37.1% |
United
Kingdom |
15.6% |
Switzerland |
9.5% |
France |
7.2% |
Ireland |
6.3% |
China |
4.3% |
Japan |
2.7% |
Other |
17.3% |
Total
Common Stocks |
100.0% |
Ten
Largest Holdings |
|
(%
of Total Net Assets) |
|
Geberit
AG |
8.9% |
American
Water Works Company, Inc. |
7.3% |
Pentair
plc |
6.3% |
Xylem,
Inc. |
4.9% |
United
Utilities Group plc |
4.8% |
Veolia
Environnement S.A. |
4.2% |
Severn
Trent plc |
4.1% |
Danaher
Corp. |
4.0% |
IDEX
Corp. |
3.8% |
Suez |
3.0% |
Top
Ten Total |
51.3% |
24 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 25 |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
Fund
Statistics |
|||
Share
Price |
$ |
26.48 | |
Net
Asset Value |
$ |
26.28 | |
Premium to
NAV |
0.76% | ||
Net
Assets ($000) |
$ |
3,943 |
AVERAGE
ANNUAL TOTAL RETURNS FOR THE
PERIOD
ENDED AUGUST 31, 2016 | ||
Since | ||
One |
Inception | |
Year |
(02/11/15) | |
Guggenheim
S&P High Income Infrastructure ETF |
||
NAV |
21.35% |
8.06% |
Market |
23.95% |
8.56% |
S&P
High Income |
||
Infrastructure
Index |
22.61% |
9.30% |
S&P
Global BMI Index |
7.99% |
2.43% |
Country
Diversification |
%
of Common Stocks |
Country |
|
Canada |
16.7% |
United
States |
15.7% |
Bermuda |
12.8% |
China |
11.6% |
Marshall
Islands |
6.7% |
France |
5.6% |
Spain |
5.4% |
Other |
25.5% |
Total
Common Stocks |
100.0% |
Ten
Largest Holdings |
|
(%
of Total Net Assets) |
|
Williams
Companies, Inc. |
5.1% |
Ship
Finance International Ltd. |
4.9% |
Golar
LNG Ltd. |
4.8% |
DHT
Holdings, Inc. |
4.2% |
Veresen,
Inc. |
3.6% |
Kinder
Morgan, Inc. |
3.4% |
Targa
Resources Corp. |
3.4% |
Nordic
American Tankers Ltd. |
3.1% |
Electricite
de France S.A. |
2.7% |
Gibson
Energy, Inc. |
2.6% |
Top
Ten Total |
37.8% |
26 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 27 |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
Fund
Statistics |
|||
Share
Price |
$ |
52.60 | |
Net
Asset Value |
$ |
52.54 | |
Premium to
NAV |
0.11% | ||
Net
Assets ($000) |
$ |
21,014 |
TOTAL
RETURN FOR THE PERIOD ENDED
AUGUST
31, 2016 | |
Since | |
Inception | |
(02/10/16) | |
(non-annualized) | |
Guggenheim
Total Return Bond ETF |
|
NAV |
6.29% |
Market |
6.43% |
Bloomberg
Barclays U.S. Aggregate Bond Index |
3.79% |
Portfolio
Breakdown |
%
of Net Assets |
Collateralized
Mortgage Obligations |
30.2% |
Corporate
Bonds |
24.9% |
Asset
Backed Securities |
12.2% |
Municipal
Bonds |
5.9% |
U.S.
Government Securities |
5.8% |
Senior
Floating Rate Interests |
5.1% |
Repurchase
Agreements |
5.0% |
Commercial
Paper |
4.3% |
Securities
Lending Collateral |
4.3% |
U.S.
Treasury Bills |
3.3% |
Foreign
Government Bonds |
1.9% |
Money
Market Fund |
1.1% |
Closed End
Funds |
1.0% |
Total
Investments |
105.0% |
Other
Assets & Liabilities, net |
-5.0% |
Net
Assets |
100.0% |
Ten
Largest Holdings |
|
(%
of Total Net Assets) |
|
U.S.
Treasury Notes, 1.50% |
4.2% |
Fannie Mae
Principal, 0.00% |
2.1% |
Federal
Farm Credit Banks, 2.99% |
1.9% |
Federal
Farm Credit Banks, 3.00% |
1.9% |
Federal
Home Loan Banks, 3.20% |
1.9% |
Federal
Home Loan Banks, 5.50% |
1.7% |
Fannie
Mae, 2.70% |
1.7% |
U.S.
Treasury Bonds |
1.6% |
Freddie
Mac Multifamily Structured Pass Through |
|
Certificates
— Class X1, 1.19% |
1.5% |
Freddie
Mac Multifamily Structured Pass Through |
|
Certificates
— Class X1, 1.34% |
1.5% |
Top
Ten Total |
20.0% |
28 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 29 |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
Fund
Statistics |
|||
Share
Price |
$ |
26.14 | |
Net
Asset Value |
$ |
26.20 | |
Discount
to NAV |
-0.23% | ||
Net
Assets ($000) |
$ |
2,620 |
TOTAL
RETURN FOR THE PERIOD ENDED
AUGUST
31, 2016 | |
Since | |
Inception | |
(05/10/16) | |
(non-annualized) | |
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
|
NAV |
4.22% |
Market |
3.98% |
Guggenheim
U.S. Large Cap Optimized Volatility Index |
4.35% |
S&P
500 Index |
6.24% |
Portfolio
Breakdown |
%
of Net Assets |
Consumer,
Non-cyclical |
32.1% |
Financial |
14.8% |
Utilities |
11.9% |
Consumer,
Cyclical |
9.6% |
Communications |
9.0% |
Technology |
8.5% |
Industrial |
7.3% |
Energy |
4.5% |
Basic
Materials |
1.1% |
Total
Common Stocks |
98.8% |
Other
Assets & Liabilities, net |
1.2% |
Net
Assets |
100.0% |
Ten
Largest Holdings |
|
(%
of Total Net Assets) |
|
Apple,
Inc. |
3.2% |
Johnson
& Johnson |
2.4% |
AT&T,
Inc. |
2.3% |
Procter
& Gamble Co. |
2.3% |
Verizon
Communications, Inc. |
2.1% |
Merck
& Company, Inc. |
2.0% |
Coca-Cola
Co. |
1.8% |
PepsiCo,
Inc. |
1.8% |
International
Business Machines Corp. |
1.8% |
UnitedHealth
Group, Inc. |
1.7% |
Top
Ten Total |
21.4% |
30 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
PERFORMANCE
REPORT AND FUND PROFILE (Unaudited) continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 31 |
ABOUT
SHAREHOLDERS' FUND EXPENSES (Unaudited) |
August
31, 2016 |
Expenses |
||||||||||||||||
Beginning |
Ending |
Paid |
||||||||||||||
Expense |
Fund |
Account
Value |
Account
Value |
During |
||||||||||||
Ratio1 |
Return |
February
29, 2016 |
August
31, 2016 |
Period2 |
||||||||||||
Table
1. Based on actual Fund return3 |
||||||||||||||||
Guggenheim
China Technology ETF |
0.70 |
% |
25.55 |
% |
$ |
1,000.00 |
$ |
1,255.53 |
$ |
3.97 |
||||||
Guggenheim
China All-Cap ETF |
0.70 |
% |
24.12 |
% |
1,000.00 |
1,241.22 |
3.94 |
|||||||||
Guggenheim
Emerging Markets Real Estate ETF |
0.65 |
% |
22.02 |
% |
1,000.00 |
1,220.22 |
3.63 |
|||||||||
Guggenheim
S&P Global Water Index ETF |
0.64 |
% |
15.31 |
% |
1,000.00 |
1,153.14 |
3.46 |
|||||||||
Guggenheim
S&P High Income Infrastructure ETF |
0.45 |
% |
26.00 |
% |
1,000.00 |
1,259.97 |
2.56 |
|||||||||
Guggenheim
Solar ETF |
0.71 |
% |
(10.53) |
% |
1,000.00 |
894.66 |
3.38 |
|||||||||
Guggenheim
Total Return Bond ETF |
0.50 |
% |
6.35 |
% |
1,000.00 |
1,063.52 |
2.59 |
|||||||||
Guggenheim
U.S. Large Cap Optimized Volatility ETF4 |
0.30 |
% |
4.22 |
% |
1,000.00 |
1,042.16 |
0.95 |
|||||||||
Table
2. Based on hypothetical 5% return (before expenses) |
||||||||||||||||
Guggenheim
China Technology ETF |
0.70 |
% |
5.00 |
% |
$ |
1,000.00 |
$ |
1,021.62 |
$ |
3.56 |
||||||
Guggenheim
China All-Cap ETF |
0.70 |
% |
5.00 |
% |
1,000.00 |
1,021.62 |
3.56 |
|||||||||
Guggenheim
Emerging Markets Real Estate ETF |
0.65 |
% |
5.00 |
% |
1,000.00 |
1,021.87 |
3.30 |
|||||||||
Guggenheim
S&P Global Water Index ETF |
0.64 |
% |
5.00 |
% |
1,000.00 |
1,021.92 |
3.25 |
|||||||||
Guggenheim
S&P High Income Infrastructure ETF |
0.45 |
% |
5.00 |
% |
1,000.00 |
1,022.87 |
2.29 |
|||||||||
Guggenheim
Solar ETF |
0.71 |
% |
5.00 |
% |
1,000.00 |
1,021.57 |
3.61 |
|||||||||
Guggenheim
Total Return Bond ETF |
0.50 |
% |
5.00 |
% |
1,000.00 |
1,022.62 |
2.54 |
|||||||||
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
0.30 |
% |
5.00 |
% |
1,000.00 |
1,014.64 |
0.94 |
1 |
Annualized
and excludes expenses of the underlying funds in which the Funds invest,
if any. |
2 |
Expenses
are equal to the Fund's annualized expense ratio, net of any applicable
fee waivers, multiplied by the average account value over the period,
multiplied by 184/366 (to reflect the one-half year period). |
3 |
Actual
cumulative return at net asset value for the period February 29, 2016 to
August 31, 2016. |
4 |
Expenses
are equal to the Fund's annualized expense ratio, net of any applicable
fee waivers, multiplied by the average account value over the period,
multiplied by 114/366 (to reflect the period from commencement of
operations on May 10, 2016 to August 31, 2016). |
32 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 99.4% |
|||||||
Financial
- 34.8% |
|||||||
China
Construction Bank Corp. — Class H |
1,705,549 |
$ |
1,275,299 |
||||
Industrial
& Commercial Bank of China Ltd. — Class H |
1,744,126 |
1,108,524 |
|||||
Bank of
China Ltd. — Class H |
1,718,466 |
773,191 |
|||||
Ping An
Insurance Group Company of China Ltd. — Class H |
114,352 |
591,902 |
|||||
China Life
Insurance Company Ltd. — Class H |
167,995 |
401,538 |
|||||
Bank of
Communications Company Ltd. — Class H |
497,993 |
384,565 |
|||||
China
Overseas Land & Investment Ltd. |
97,995 |
324,050 |
|||||
China
Merchants Bank Company Ltd. — Class H |
103,493 |
251,903 |
|||||
Agricultural
Bank of China Ltd. — Class H |
582,982 |
239,754 |
|||||
China
Pacific Insurance Group Company Ltd. — Class H |
62,600 |
220,322 |
|||||
CITIC
Ltd. |
132,000 |
207,953 |
|||||
China
CITIC Bank Corporation Ltd. — Class H |
276,993 |
182,835 |
|||||
China
Resources Land Ltd. |
61,999 |
174,645 |
|||||
PICC
Property & Casualty Company Ltd. — Class H |
103,995 |
171,878 |
|||||
China
Minsheng Banking Corporation Ltd. — Class H |
155,490 |
167,182 |
|||||
Haitong
Securities Company Ltd. — Class H |
76,400 |
132,967 |
|||||
CITIC
Securities Company Ltd. — Class H |
51,001 |
114,011 |
|||||
Country
Garden Holdings Company Ltd. |
177,873 |
90,350 |
|||||
GF
Securities Company Ltd. — Class H |
38,272 |
83,386 |
|||||
China
Galaxy Securities Company Ltd. — Class H |
83,000 |
77,792 |
|||||
China
Vanke Company Ltd. — Class H |
29,696 |
76,185 |
|||||
China
Evergrande Group |
107,994 |
74,625 |
|||||
New China
Life Insurance Company Ltd. — Class H |
18,200 |
74,027 |
|||||
China
Cinda Asset Management Company Ltd. — Class H |
193,000 |
65,438 |
|||||
China
Taiping Insurance Holdings Company Ltd.* |
32,400 |
64,994 |
|||||
Fullshare
Holdings Ltd. |
121,884 |
62,067 |
|||||
People's
Insurance Company Group of China Ltd. — Class H |
153,000 |
61,541 |
|||||
Huatai
Securities Company Ltd. — Class H1 |
24,127 |
51,074 |
|||||
Far East
Horizon Ltd. |
47,000 |
43,929 |
|||||
Longfor
Properties Company Ltd. |
26,999 |
43,509 |
|||||
China
Everbright Ltd. |
20,000 |
41,512 |
|||||
Guangzhou
R&F Properties Company Ltd. — Class H |
22,400 |
37,830 |
|||||
Shimao
Property Holdings Ltd. |
26,999 |
37,592 |
|||||
Credit
China Holdings Ltd.*,2 |
59,703 |
34,713 |
|||||
Sino-Ocean
Group Holding Ltd. |
74,493 |
34,573 |
|||||
Chongqing
Rural Commercial Bank Company Ltd. — Class H |
55,994 |
32,484 |
|||||
Shenzhen
Investment Ltd. |
61,999 |
29,734 |
|||||
Sunac
China Holdings Ltd. |
39,000 |
27,100 |
|||||
China
Jinmao Holdings Group Ltd. |
85,998 |
26,830 |
|||||
Shanghai
Industrial Holdings Ltd. |
10,000 |
26,042 |
|||||
SOHO China
Ltd. |
41,499 |
24,771 |
|||||
Shui On
Land Ltd. |
75,493 |
21,412 |
|||||
Yuexiu
Property Company Ltd. |
135,992 |
20,688 |
|||||
KWG
Property Holding Ltd. |
29,315 |
19,690 |
|||||
Harbin
Bank Company Ltd. — Class H1 |
67,000 |
19,521 |
|||||
CIFI
Holdings Group Company Ltd. |
62,000 |
19,423 |
|||||
Guotai
Junan International Holdings Ltd. |
53,000 |
19,337 |
|||||
Agile
Group Holdings Ltd. |
32,000 |
18,193 |
|||||
Shengjing
Bank Company Ltd. — Class H1 |
15,318 |
16,806 |
|||||
China
South City Holdings Ltd. |
70,000 |
15,071 |
|||||
Joy City
Property Ltd. |
86,000 |
13,748 |
|||||
Hopson
Development Holdings Ltd. |
14,000 |
13,717 |
|||||
Noah
Holdings Ltd. ADR*,2 |
477 |
12,545 |
|||||
Poly
Property Group Company Ltd.* |
41,999 |
12,020 |
|||||
Renhe
Commercial Holdings Company Ltd.*,2 |
423,930 |
11,750 |
|||||
Greentown
China Holdings Ltd.* |
14,000 |
11,443 |
|||||
Central
China Securities Company Ltd. — Class H |
22,000 |
10,069 |
|||||
Total
Financial |
8,200,050 |
||||||
Communications
- 28.3% |
|||||||
Tencent
Holdings Ltd. |
59,742 |
1,554,252 |
|||||
Alibaba
Group Holding Ltd. ADR* |
13,772 |
1,338,501 |
|||||
China
Mobile Ltd. |
100,451 |
1,240,624 |
|||||
Baidu,
Inc. ADR* |
5,704 |
975,783 |
|||||
JD.com,
Inc. ADR* |
18,524 |
470,695 |
|||||
Ctrip.com
International Ltd. ADR* |
7,361 |
348,543 |
|||||
China
Telecom Corporation Ltd. — Class H |
285,981 |
147,843 |
|||||
China
Unicom Hong Kong Ltd. |
119,995 |
135,979 |
|||||
Vipshop
Holdings Ltd. ADR* |
7,664 |
108,522 |
|||||
SINA
Corp.* |
1,213 |
92,795 |
|||||
YY, Inc.
ADR* |
713 |
36,684 |
|||||
Weibo
Corp. ADR*,2 |
694 |
33,152 |
|||||
SouFun
Holdings Ltd. ADR* |
5,890 |
26,505 |
|||||
Sohu.com,
Inc.* |
597 |
25,396 |
|||||
ZTE Corp.
— Class H |
15,248 |
20,601 |
|||||
Autohome,
Inc. ADR* |
834 |
20,408 |
|||||
Bitauto
Holdings Ltd. ADR*,2 |
715 |
18,047 |
|||||
58.com,
Inc. ADR*,2 |
396 |
18,018 |
|||||
51job,
Inc. ADR* |
418 |
13,932 |
|||||
21Vianet
Group, Inc. ADR*,2 |
1,372 |
12,718 |
|||||
Coolpad
Group Ltd.* |
64,000 |
12,293 |
|||||
CITIC
Telecom International Holdings Ltd. |
29,000 |
10,954 |
|||||
Millennium
Pacific Group Holdings Ltd.* |
32,363 |
789 |
|||||
Total
Communications |
6,663,034 |
||||||
Technology
- 6.9% |
|||||||
NetEase,
Inc. ADR |
6,287 |
1,332,655 |
|||||
Lenovo
Group Ltd. |
147,995 |
99,787 |
|||||
Semiconductor
Manufacturing International Corp.* |
584,983 |
64,104 |
|||||
TravelSky
Technology Ltd. — Class H |
19,000 |
41,347 |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 33 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 99.4% (continued) |
|||||||
Technology
- 6.9% (continued) |
|||||||
Kingsoft
Corporation Ltd.2 |
15,000 |
$ |
30,670 |
||||
NetDragon
Websoft Holdings Ltd.2 |
5,000 |
16,856 |
|||||
Chinasoft
International Ltd.* |
36,000 |
16,754 |
|||||
Kingdee
International Software Group Company Ltd.* |
38,000 |
14,648 |
|||||
Shunfeng
International Clean Energy Ltd.* |
58,000 |
7,776 |
|||||
Ju
Teng International Holdings Ltd. |
18,000 |
5,337 |
|||||
Total
Technology |
1,629,934 |
||||||
Energy
- 6.7% |
|||||||
CNOOC
Ltd. |
333,990 |
410,343 |
|||||
China
Petroleum & Chemical Corp. — Class H |
527,183 |
382,639 |
|||||
PetroChina
Company Ltd. — Class H |
435,986 |
291,154 |
|||||
China
Shenhua Energy Company Ltd. — Class H |
69,996 |
125,792 |
|||||
China
Longyuan Power Group Corporation Ltd. — Class H |
62,998 |
52,954 |
|||||
Kunlun
Energy Company Ltd. |
67,994 |
50,052 |
|||||
China Coal
Energy Company Ltd. — Class H* |
83,993 |
40,173 |
|||||
GCL-Poly
Energy Holdings Ltd.2 |
252,995 |
35,878 |
|||||
Xinyi
Solar Holdings Ltd.2 |
82,000 |
33,723 |
|||||
China
Oilfield Services Ltd. — Class H |
35,999 |
28,264 |
|||||
Yanzhou
Coal Mining Company Ltd. — Class H |
35,999 |
20,606 |
|||||
Sinopec
Engineering Group Company Ltd. — Class H |
24,500 |
20,309 |
|||||
Trina
Solar Ltd. ADR* |
1,729 |
18,172 |
|||||
Shougang
Fushan Resources Group Ltd. |
80,000 |
14,852 |
|||||
Beijing
Jingneng Clean Energy Co. Ltd. — Class H |
42,000 |
12,724 |
|||||
Sinopec
Kantons Holdings Ltd. |
22,000 |
10,636 |
|||||
AAG Energy
Holdings Ltd.*,1 |
56,000 |
9,097 |
|||||
Sinopec
Oilfield Service Corp. — Class H* |
44,000 |
8,282 |
|||||
JinkoSolar
Holding Company Ltd. ADR*,2 |
418 |
7,716 |
|||||
United
Energy Group Ltd.* |
153,994 |
5,261 |
|||||
Total
Energy |
1,578,627 |
||||||
Consumer,
Non-cyclical - 6.7% |
|||||||
Hengan
International Group Company Ltd. |
16,001 |
135,426 |
|||||
Sinopharm
Group Company Ltd. — Class H |
24,801 |
127,094 |
|||||
WH Group
Ltd.1 |
145,000 |
114,030 |
|||||
New
Oriental Education & Technology Group, Inc. ADR |
2,664 |
105,175 |
|||||
China
Mengniu Dairy Company Ltd. |
54,998 |
104,370 |
|||||
Want Want
China Holdings Ltd.2 |
133,993 |
88,272 |
|||||
China
Resources Beer Holdings Company Ltd. |
32,000 |
73,846 |
|||||
China
Conch Venture Holdings Ltd. |
36,500 |
70,207 |
|||||
Sino
Biopharmaceutical Ltd. |
85,992 |
55,208 |
|||||
TAL
Education Group ADR*,2 |
919 |
54,919 |
|||||
CSPC
Pharmaceutical Group Ltd. |
48,000 |
46,597 |
|||||
China
Medical System Holdings Ltd. |
27,495 |
46,081 |
|||||
China
Huishan Dairy Holdings Company Ltd.2 |
98,000 |
37,650 |
|||||
China
Biologic Products, Inc.* |
340 |
37,414 |
|||||
Tingyi
Cayman Islands Holding Corp. |
39,999 |
37,025 |
|||||
Jiangsu
Expressway Company Ltd. — Class H |
26,000 |
36,536 |
|||||
Shenzhen
International Holdings Ltd. |
21,322 |
34,250 |
|||||
Zhejiang
Expressway Company Ltd. — Class H |
29,999 |
33,454 |
|||||
Tsingtao
Brewery Company Ltd. — Class H |
8,000 |
26,815 |
|||||
Shandong
Weigao Group Medical Polymer Company |
|||||||
Ltd.
— Class H |
40,001 |
25,888 |
|||||
3SBio,
Inc.*,1 |
22,954 |
23,437 |
|||||
Shanghai
Fosun Pharmaceutical Group Company Ltd. — Class H |
7,500 |
21,755 |
|||||
Luye
Pharma Group Ltd.* |
33,500 |
21,292 |
|||||
Tong Ren
Tang Technologies Company Ltd. — Class H |
12,000 |
21,257 |
|||||
CAR,
Inc.* |
19,818 |
18,779 |
|||||
Uni-President
China Holdings Ltd.2 |
26,000 |
18,536 |
|||||
CP
Pokphand Company Ltd. |
133,993 |
16,929 |
|||||
China
Agri-Industries Holdings Ltd.* |
44,999 |
15,895 |
|||||
Universal
Medical Financial & Technical Advisory Services |
|||||||
Company
Ltd.1 |
21,136 |
15,695 |
|||||
Guangzhou
Baiyunshan Pharmaceutical Holdings Company |
|||||||
Ltd.
— Class H* |
6,000 |
15,269 |
|||||
Shenzhen
Expressway Company Ltd. — Class H |
14,000 |
14,800 |
|||||
SSY Group
Ltd. |
42,000 |
14,511 |
|||||
Fu Shou
Yuan International Group Ltd. |
20,000 |
12,325 |
|||||
Phoenix
Healthcare Group Company Ltd. |
7,000 |
12,237 |
|||||
Tibet
Water Resources Ltd. |
30,000 |
10,945 |
|||||
Vinda
International Holdings Ltd. |
5,000 |
9,450 |
|||||
China
Modern Dairy Holdings Ltd.*,2 |
58,989 |
9,278 |
|||||
China
Shengmu Organic Milk Ltd.*,1,2 |
41,000 |
9,091 |
|||||
Hua Han
Health Industry Holdings Ltd. |
91,200 |
6,349 |
|||||
China
Animal Healthcare Ltd.*,†††,3 |
36,000 |
— |
|||||
Total
Consumer, Non-cyclical |
1,578,087 |
||||||
Consumer,
Cyclical - 5.9% |
|||||||
BYD
Company Ltd. — Class H* |
14,500 |
100,943 |
|||||
Geely
Automobile Holdings Ltd. |
104,993 |
84,192 |
|||||
Shenzhou
International Group Holdings Ltd. |
11,999 |
78,815 |
|||||
Belle
International Holdings Ltd. |
111,993 |
72,767 |
|||||
Brilliance
China Automotive Holdings Ltd. |
61,996 |
70,894 |
|||||
Dongfeng
Motor Group Company Ltd. — Class H |
60,000 |
64,125 |
|||||
Guangzhou
Automobile Group Company Ltd. — Class H |
45,999 |
63,334 |
|||||
Great Wall
Motor Company Ltd. — Class H |
62,500 |
60,673 |
|||||
ANTA
Sports Products Ltd. |
20,000 |
54,146 |
|||||
Alibaba
Pictures Group Ltd.*,2 |
260,000 |
53,631 |
|||||
Minth
Group Ltd. |
14,000 |
52,974 |
|||||
Xinyi
Glass Holdings Ltd.* |
51,999 |
44,781 |
|||||
Haier
Electronics Group Company Ltd. |
25,000 |
41,834 |
|||||
Qunar
Cayman Islands Ltd. ADR*,2 |
1,358 |
40,360 |
|||||
Shanghai
Pharmaceuticals Holding Company Ltd. — Class H |
14,000 |
38,444 |
|||||
Skyworth
Digital Holdings Ltd. |
41,999 |
31,133 |
See
notes to financial statements. |
34 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 99.4% (continued) |
|||||||
Consumer,
Cyclical - 5.9% (continued) |
|||||||
GOME
Electrical Appliances Holding Ltd. |
254,991 |
$ |
30,244 |
||||
Sun Art
Retail Group Ltd. |
44,499 |
28,627 |
|||||
China
Lodging Group Ltd. ADR2 |
632 |
28,206 |
|||||
Air China
Ltd. — Class H |
37,999 |
28,119 |
|||||
Intime
Retail Group Company Ltd. |
34,000 |
27,615 |
|||||
Fuyao
Glass Industry Group Company Ltd. — Class H1 |
10,063 |
26,465 |
|||||
Weichai
Power Company Ltd. — Class H |
18,800 |
23,728 |
|||||
Li Ning
Company Ltd.* |
32,000 |
21,741 |
|||||
China
Southern Airlines Company Ltd. — Class H |
36,000 |
21,349 |
|||||
BAIC Motor
Corporation Ltd. — Class H1 |
20,953 |
21,340 |
|||||
Red Star
Macalline Group Corporation Ltd. — Class H1 |
23,237 |
21,030 |
|||||
China
Eastern Airlines Corporation Ltd. — Class H* |
36,000 |
18,704 |
|||||
Digital
China Holdings Ltd.*,2 |
19,000 |
17,122 |
|||||
Imperial
Pacific International Holdings Ltd.* |
900,000 |
16,360 |
|||||
China
Travel International Investment Hong Kong Ltd. |
47,999 |
14,109 |
|||||
China
Dongxiang Group Company Ltd. |
67,000 |
13,475 |
|||||
China
Jicheng Holdings Ltd.*,1,2 |
369,690 |
13,345 |
|||||
Golden
Eagle Retail Group Ltd. |
10,000 |
12,428 |
|||||
Xtep
International Holdings Ltd. |
17,500 |
9,047 |
|||||
BEP
International Holdings Ltd. |
161,817 |
8,658 |
|||||
China
Harmony New Energy Auto Holding Ltd. |
15,500 |
8,233 |
|||||
Shanghai
Jin Jiang International Hotels Group Co. Ltd. — Class H |
24,000 |
7,735 |
|||||
Dah Chong
Hong Holdings Ltd. |
16,000 |
6,993 |
|||||
Cosmo Lady
China Holdings Company Ltd.1 |
13,000 |
4,894 |
|||||
China
New City Commercial Development Ltd.* |
9,394 |
2,725 |
|||||
Total
Consumer, Cyclical |
1,385,338 |
||||||
Industrial
- 5.5% |
|||||||
AAC
Technologies Holdings, Inc. |
15,482 |
176,540 |
|||||
China
Communications Construction Company Ltd. — Class H |
91,993 |
100,333 |
|||||
CRRC
Corporation Ltd. — Class H |
91,000 |
81,419 |
|||||
Sunny
Optical Technology Group Company Ltd. |
13,970 |
74,652 |
|||||
China
Everbright International Ltd. |
53,999 |
69,059 |
|||||
Anhui
Conch Cement Company Ltd. — Class H |
24,500 |
68,856 |
|||||
Zhuzhou
CRRC Times Electric Company Ltd. — Class H |
11,500 |
61,156 |
|||||
China
Railway Group Ltd. — Class H |
77,993 |
57,815 |
|||||
China
State Construction International Holdings Ltd. |
39,999 |
47,751 |
|||||
China
Railway Construction Corporation Ltd. — Class H |
38,499 |
47,102 |
|||||
Beijing
Capital International Airport Company Ltd. — Class H |
30,000 |
33,841 |
|||||
Yangzijiang
Shipbuilding Holdings Ltd. |
57,400 |
32,220 |
|||||
AviChina
Industry & Technology Company Ltd. — Class H |
40,999 |
30,128 |
|||||
China
Communications Services Corp. Ltd. — Class H |
47,993 |
28,214 |
|||||
Lee &
Man Paper Manufacturing Ltd. |
33,999 |
27,439 |
|||||
China
National Building Material Company Ltd. — Class H |
59,998 |
27,072 |
|||||
China
Railway Signal & Communication Corporation |
|||||||
Ltd.
— Class H1 |
36,077 |
26,930 |
|||||
Haitian
International Holdings Ltd. |
13,000 |
26,178 |
|||||
Shanghai
Electric Group Company Ltd. — Class H*,††,2 |
57,998 |
25,796 |
|||||
Sinotrans
Ltd. — Class H |
43,000 |
21,287 |
|||||
China High
Speed Transmission Equipment Group Co. Ltd.2 |
22,000 |
20,251 |
|||||
Hollysys
Automation Technologies Ltd.* |
895 |
19,055 |
|||||
BBMG Corp.
— Class H |
48,000 |
18,688 |
|||||
CT
Environmental Group Ltd. |
54,000 |
16,639 |
|||||
Guangshen
Railway Company Ltd. — Class H |
28,000 |
15,161 |
|||||
China
Lesso Group Holdings Ltd. |
21,000 |
14,755 |
|||||
Xinjiang
Goldwind Science & Technology Company |
|||||||
Ltd.
— Class H2 |
10,000 |
14,516 |
|||||
SITC
International Holdings Company Ltd. |
25,000 |
14,117 |
|||||
China
Resources Cement Holdings Ltd. |
36,000 |
14,109 |
|||||
Beijing
Enterprises Clean Energy Group Ltd.* |
427,270 |
14,046 |
|||||
China
Zhongwang Holdings Ltd. |
28,799 |
13,811 |
|||||
Tianneng
Power International Ltd. |
14,000 |
11,443 |
|||||
China
International Marine Containers Group Co. Ltd. — Class H |
9,300 |
11,306 |
|||||
China
Machinery Engineering Corp. — Class H |
17,000 |
10,345 |
|||||
Zoomlion
Heavy Industry Science and Technology Company |
|||||||
Ltd.
— Class H2 |
26,199 |
8,444 |
|||||
SIIC
Environment Holdings Ltd.* |
18,420 |
8,109 |
|||||
Wasion
Group Holdings Ltd.2 |
8,000 |
4,528 |
|||||
Tech Pro
Technology Development Ltd.* |
100,000 |
2,914 |
|||||
China
Shanshui Cement Group Ltd.*,†††,3 |
105,999 |
— |
|||||
Total
Industrial |
1,296,025 |
||||||
Utilities
- 2.7% |
|||||||
Guangdong
Investment Ltd. |
59,998 |
92,819 |
|||||
China Gas
Holdings Ltd. |
43,999 |
74,762 |
|||||
Beijing
Enterprises Water Group Ltd. |
99,993 |
69,741 |
|||||
China
Resources Power Holdings Company Ltd. |
37,999 |
65,645 |
|||||
CGN Power
Company Ltd. — Class H1 |
211,271 |
61,283 |
|||||
China
Resources Gas Group Ltd. |
18,000 |
60,335 |
|||||
Beijing
Enterprises Holdings Ltd. |
10,500 |
60,238 |
|||||
Huaneng
Power International, Inc. — Class H |
85,994 |
52,328 |
|||||
Huaneng
Renewables Corporation Ltd. — Class H |
79,992 |
29,700 |
|||||
China
Power International Development Ltd. |
65,999 |
24,930 |
|||||
Datang
International Power Generation Company Ltd. — Class H |
59,996 |
15,701 |
|||||
Huadian
Power International Corporation Ltd. — Class H |
32,000 |
14,315 |
|||||
Huadian
Fuxin Energy Corporation Ltd. — Class H |
52,000 |
13,408 |
|||||
Total
Utilities |
635,205 |
||||||
Basic
Materials - 1.3% |
|||||||
Zijin
Mining Group Company Ltd. — Class H |
117,992 |
39,245 |
|||||
Sinopec
Shanghai Petrochemical Company Ltd. — Class H |
71,998 |
37,220 |
|||||
Kingboard
Chemical Holdings Ltd. |
13,300 |
34,636 |
|||||
Aluminum
Corporation of China Ltd. — Class H*,2 |
81,994 |
30,761 |
|||||
Jiangxi
Copper Company Ltd. — Class H |
25,999 |
30,032 |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 35 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 99.4% (continued) |
|||||||
Basic
Materials - 1.3% (continued) |
|||||||
Nine
Dragons Paper Holdings Ltd. |
33,999 |
$ |
27,307 |
||||
China
Hongqiao Group Ltd. |
30,500 |
26,188 |
|||||
Zhaojin
Mining Industry Company Ltd. — Class H2 |
17,500 |
17,913 |
|||||
China
Molybdenum Co. Ltd. — Class H2 |
72,000 |
15,873 |
|||||
Huabao
International Holdings Ltd.* |
40,999 |
15,804 |
|||||
Angang
Steel Company Ltd. — Class H* |
24,000 |
11,788 |
|||||
Fufeng
Group Ltd. |
23,000 |
10,052 |
|||||
Yingde
Gases Group Company Ltd. |
21,000 |
9,178 |
|||||
China
BlueChemical Ltd. — Class H |
35,999 |
6,869 |
|||||
Total
Basic Materials |
312,866 |
||||||
Diversified
- 0.6% |
|||||||
China
Merchants Port Holdings Company Ltd. |
39,471 |
112,458 |
|||||
Legend
Holdings Corp. — Class H1 |
7,150 |
17,329 |
|||||
Carnival
Group International Holdings Ltd.* |
120,000 |
14,697 |
|||||
Total
Diversified |
144,484 |
||||||
Total
Common Stocks |
|||||||
(Cost
$24,162,743) |
23,423,650 |
||||||
SECURITIES
LENDING COLLATERAL†,4
- 1.8% |
|||||||
BNY Mellon
Separately Managed Cash Collateral |
|||||||
Account,
0.3053% |
430,189 |
430,189 |
|||||
Total
Securities Lending Collateral |
|||||||
(Cost
$430,189) |
430,189 |
||||||
Total
Investments - 101.2% |
|||||||
(Cost
$24,592,932) |
$ |
23,853,839 |
|||||
Other
Assets & Liabilities, net - (1.2)% |
(279,720 |
) | |||||
Total
Net Assets - 100.0% |
$ |
23,574,119 |
* |
Non-income
producing security. | |
† |
Value
determined based on Level 1 inputs, unless otherwise noted — See Note
4. | |
†† |
Value
determined based on Level 2 inputs — See Note 4. | |
††† |
Value
determined based on Level 3 inputs — See Note 4. | |
1 |
Security
is a 144A or Section 4(a)(2) security. The total market value of 144A or
Section 4(a)(2) securities is $451,367 (cost $475,331), or 1.9% of total
net assets. These securities have been determined to be liquid under
guidelines established by the Board of Trustees. | |
2 |
All
or portion of this security is on loan at August 31, 2016 — See Note
2. | |
3 |
Security
was fair valued by the Valuation Committee at August 31, 2016. The total
market value of fair valued securities amounts to $0, (cost $101,970) or
less than 0.1% of total net assets. | |
4 |
Securities
lending collateral — See Note 2. | |
ADR |
American
Depositary Receipt |
Country
Diversification | ||
%
of | ||
Country |
Common
Stocks | |
China |
100.0% | |
Singapore |
0.0%* | |
Total
Common Stocks |
100.0% |
Currency
Denomination | ||
%
of | ||
Currency |
Common
Stocks | |
Hong
Kong Dollar |
77.6% | |
United
States Dollar |
22.2% | |
Singapore
Dollar |
0.2% | |
Total
Common Stocks |
100.0% |
Level
2 |
Level
3 |
||||||||||||
Significant |
Significant |
||||||||||||
Level
1 |
Observable |
Unobservable |
|||||||||||
Quoted
Prices |
Inputs |
Inputs |
Total |
||||||||||
Assets |
|||||||||||||
Common
Stocks |
$ |
23,397,854 |
$ |
25,796 |
$ |
— |
$ |
23,423,650 |
|||||
Securities
Lending |
|||||||||||||
Collateral |
430,189 |
— |
— |
430,189 |
|||||||||
Total |
$ |
23,828,043 |
$ |
25,796 |
$ |
— |
$ |
23,853,839 |
See
notes to financial statements. |
36 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Ending |
|||
Balance |
Valuation |
Unobservable | |
Category |
at
8/31/2016 |
Technique |
Inputs |
Last trade
with |
|||
Common
Stocks |
$—* |
Adjustment |
100%
Discount |
Transfer
from Level 1 to Level 2 |
$ |
25,796 |
Common |
||||
Stocks |
||||
Beginning
Balance |
$ |
131,286 |
||
Realized
Gain/Loss |
(77,045 |
) | ||
Change in
Unrealized Gain/Loss |
25,634 |
|||
Sales |
(79,875 |
) | ||
Ending
Balance |
$ |
— |
* | |
Net change
in unrealized |
||||
appreciation
(depreciation) |
||||
for
investments in securities |
||||
still
held at August 31, 2016 |
$ |
(46,600 |
) | |
* Market
value is less than $1. |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 37 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 99.9% |
|||||||
Communications
- 47.7% |
|||||||
Tencent
Holdings Ltd. |
185,557 |
$ |
4,827,460 |
||||
Alibaba
Group Holding Ltd. ADR* |
46,601 |
4,529,151 |
|||||
Baidu,
Inc. ADR* |
20,028 |
3,426,191 |
|||||
SINA
Corp.* |
28,584 |
2,186,676 |
|||||
YY, Inc.
ADR*,1 |
16,695 |
858,958 |
|||||
Weibo
Corp. ADR*,1 |
16,486 |
787,536 |
|||||
SouFun
Holdings Ltd. ADR* |
141,344 |
636,047 |
|||||
Sohu.com,
Inc.* |
14,882 |
633,080 |
|||||
Autohome,
Inc. ADR* |
21,211 |
519,033 |
|||||
ZTE Corp.
— Class H |
368,017 |
497,221 |
|||||
58.com,
Inc. ADR*,1 |
9,619 |
437,665 |
|||||
Bitauto
Holdings Ltd. ADR*,1 |
16,782 |
423,578 |
|||||
21Vianet
Group, Inc. ADR*,1 |
33,510 |
310,638 |
|||||
Coolpad
Group Ltd.* |
1,521,868 |
292,337 |
|||||
BYD
Electronic International Company Ltd. |
295,884 |
249,852 |
|||||
TCL
Communication Technology Holdings Ltd. |
236,520 |
220,153 |
|||||
China All
Access Holdings Ltd.1 |
576,707 |
202,973 |
|||||
Comba
Telecom Systems Holdings Ltd. |
619,764 |
109,463 |
|||||
KongZhong
Corp. ADR* |
15,582 |
101,750 |
|||||
Renren,
Inc. ADR* |
48,513 |
88,779 |
|||||
V1 Group
Ltd. |
1,429,972 |
68,210 |
|||||
Suncorp
Technologies Ltd.* |
6,364,727 |
62,361 |
|||||
Phoenix
New Media Ltd. ADR* |
15,422 |
54,902 |
|||||
Total
Communications |
21,524,014 |
||||||
Technology
- 25.9% |
|||||||
NetEase,
Inc. ADR |
17,142 |
3,633,589 |
|||||
Lenovo
Group Ltd. |
2,644,701 |
1,783,194 |
|||||
Semiconductor
Manufacturing International Corp.* |
14,178,220 |
1,553,678 |
|||||
TravelSky
Technology Ltd. — Class H |
452,860 |
985,500 |
|||||
Kingsoft
Corporation Ltd.1 |
360,744 |
737,603 |
|||||
Chinasoft
International Ltd.* |
926,252 |
431,079 |
|||||
NetDragon
Websoft Holdings Ltd.1 |
119,091 |
401,486 |
|||||
Kingdee
International Software Group Company Ltd.*,1 |
897,242 |
345,861 |
|||||
AGTech
Holdings Ltd.*,1 |
1,352,869 |
284,291 |
|||||
PAX Global
Technology Ltd.1 |
363,727 |
281,350 |
|||||
Shunfeng
International Clean Energy Ltd.* |
1,476,120 |
197,913 |
|||||
Tian Ge
Interactive Holdings Ltd.*,1,2 |
295,956 |
188,102 |
|||||
Hua Hong
Semiconductor Ltd.2 |
161,060 |
176,493 |
|||||
NQ Mobile,
Inc. — Class A ADR*,1 |
39,421 |
162,809 |
|||||
Changyou.com
Ltd. ADR* |
5,506 |
136,438 |
|||||
Ju Teng
International Holdings Ltd. |
402,623 |
119,384 |
|||||
Boyaa
Interactive International Ltd.* |
253,001 |
112,854 |
|||||
Shanghai
Fudan Microelectronics Group Company |
|||||||
Ltd.
— Class H* |
115,204 |
96,687 |
|||||
Cheetah
Mobile Inc ADR*,1 |
6,830 |
87,834 |
|||||
Total
Technology |
11,716,145 |
||||||
Industrial
- 14.9% |
|||||||
AAC
Technologies Holdings, Inc. |
197,228 |
2,248,985 |
|||||
Sunny
Optical Technology Group Company Ltd. |
333,340 |
1,781,280 |
|||||
China
Railway Signal & Communication Corporation |
|||||||
Ltd.
— Class H2 |
872,854 |
651,539 |
|||||
Hollysys
Automation Technologies Ltd.* |
22,128 |
471,105 |
|||||
Truly
International Holdings Ltd. |
761,856 |
356,533 |
|||||
Tongda
Group Holdings Ltd. |
1,652,040 |
345,029 |
|||||
GCL New
Energy Holdings Ltd.* |
3,063,577 |
159,958 |
|||||
Hi Sun
Technology China Ltd.* |
891,869 |
143,725 |
|||||
Wasion
Group Holdings Ltd.1 |
250,534 |
141,792 |
|||||
China
Aerospace International Holdings Ltd. |
934,570 |
127,714 |
|||||
Landing
International Development Ltd.* |
5,920,055 |
122,114 |
|||||
China
Electronics Corporation Holdings Company Ltd. |
404,164 |
101,083 |
|||||
Technovator
International Ltd. |
219,630 |
88,625 |
|||||
Total
Industrial |
6,739,482 |
||||||
Energy
- 5.8% |
|||||||
GCL-Poly
Energy Holdings Ltd.1 |
6,155,446 |
872,915 |
|||||
Xinyi
Solar Holdings Ltd.1 |
2,002,578 |
823,570 |
|||||
Trina
Solar Ltd. ADR*,1 |
42,620 |
447,936 |
|||||
JinkoSolar
Holding Company Ltd. ADR*,1 |
10,532 |
194,421 |
|||||
JA Solar
Holdings Company Ltd. ADR*,1 |
19,235 |
142,531 |
|||||
United
Photovoltaics Group Ltd.* |
1,744,593 |
132,699 |
|||||
Total
Energy |
2,614,072 |
||||||
Basic
Materials - 2.7% |
|||||||
Kingboard
Chemical Holdings Ltd. |
315,358 |
821,250 |
|||||
Kingboard
Laminates Holdings Ltd. |
379,913 |
328,645 |
|||||
Peace
Map Holding Ltd.* |
3,362,858 |
63,297 |
|||||
Total
Basic Materials |
1,213,192 |
||||||
Consumer,
Cyclical - 1.9% |
|||||||
Digital
China Holdings Ltd.*,1 |
412,579 |
371,797 |
|||||
HNA
Holding Group Company Ltd.* |
3,573,297 |
195,784 |
|||||
Nan Hai
Corporation Ltd.* |
7,629,671 |
189,838 |
|||||
VST
Holdings Ltd. |
368,800 |
100,321 |
|||||
Total
Consumer, Cyclical |
857,740 |
||||||
Consumer,
Non-cyclical - 0.8% |
|||||||
HC
International, Inc.* |
292,254 |
229,079 |
|||||
China
Innovationpay Group Ltd.* |
2,270,566 |
118,552 |
|||||
Anxin-China
Holdings Ltd.*,†††,3 |
2,144,054 |
— |
|||||
Total
Consumer, Non-cyclical |
347,631 |
||||||
Financial
- 0.2% |
|||||||
National
Agricultural Holdings Ltd.* |
482,446 |
101,381 |
|||||
Total
Common Stocks |
|||||||
(Cost
$44,430,583) |
45,113,657 |
See
notes to financial statements. |
38 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 99.9% (continued) |
|||||||
SECURITIES
LENDING COLLATERAL†,4
- 11.6% |
|||||||
BNY Mellon
Separately Managed Cash Collateral |
|||||||
Account,
0.3277% |
5,215,384 |
$ |
5,215,384 |
||||
Total
Securities Lending Collateral |
|||||||
(Cost
$5,215,384) |
5,215,384 |
||||||
Total
Investments - 111.5% |
|||||||
(Cost
$49,645,967) |
$ |
50,329,041 |
|||||
Other
Assets & Liabilities, net - (11.5)% |
(5,176,075 |
) | |||||
Total
Net Assets - 100.0% |
$ |
45,152,966 |
* |
Non-income
producing security. | |
† |
Value
determined based on Level 1 inputs, unless otherwise noted — See Note
4. | |
††† |
Value
determined based on Level 3 inputs — See Note 4. | |
1 |
All
or portion of this security is on loan at August 31, 2016 — See Note
2. | |
2 |
Security
is a 144A or Section 4(a)(2) security. The total market value of 144A or
Section 4(a)(2) securities is $1,016,134 (cost $914,254), or 2.3% of total
net assets. These securities have been determined to be liquid under
guidelines established by the Board of Trustees. | |
3 |
Security
was fair valued by the Valuation Committee at August 31, 2016. The total
market value of the fair valued securities amounts to $0, (cost $436,315)
or less than 0.1% of total net assets. | |
4 |
Securities
lending collateral — See Note 2. | |
ADR |
American
Depositary Receipt |
Country
Diversification | ||
% of
Common | ||
Country |
Stocks | |
China |
99.8% | |
Singapore |
0.2% | |
Total
Common Stocks |
100.0% |
Currency
Denomination | ||
% of
Common | ||
Currency |
Stocks | |
Hong
Kong Dollar |
55.1% | |
United
States Dollar |
44.9% | |
Total
Common Stocks |
100.0% |
Level
2 |
Level
3 |
||||||||||||
Significant |
Significant |
||||||||||||
Level
1 |
Observable |
Unobservable |
|||||||||||
Quoted
Prices |
Inputs |
Inputs |
Total |
||||||||||
Assets |
|||||||||||||
Common
Stocks |
$ |
45,113,657 |
$ |
— |
$ |
— |
* |
$ |
45,113,657 |
||||
Securities
Lending |
|||||||||||||
Collateral |
5,215,384 |
— |
— |
5,215,384 |
|||||||||
Total |
$ |
50,329,041 |
$ |
— |
$ |
— |
* |
$ |
50,329,041 |
Ending |
||||||||||
Balance |
Valuation |
Unobservable |
||||||||
Category |
at
8/31/2016 |
Technique |
Inputs |
|||||||
Last
trade with |
||||||||||
Common
Stocks |
$ |
— |
* |
adjustment |
100%
Discount |
Level
3 – Fair value measurement using significant unobservable inputs |
||||
Beginning
Balance |
$ |
47,031 |
||
Change in
Unrealized Gain/Loss |
(47,031 |
) | ||
Ending
Balance |
$ |
— |
* | |
Net change
in unrealized |
||||
appreciation/depreciation
for |
||||
investments
still held at 8/31/16 |
$ |
(47,031 |
) | |
*
Market value is less than $1. |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 39 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 98.6% |
|||||||
China
- 36.4% |
|||||||
China
Resources Land Ltd. |
36,000 |
$ |
101,408 |
||||
China
Overseas Land & Investment Ltd. |
29,951 |
99,042 |
|||||
Dalian
Wanda Commercial Properties Company Ltd. — Class H1 |
9,981 |
67,812 |
|||||
Country
Garden Holdings Company Ltd. |
119,668 |
60,785 |
|||||
China
Evergrande Group |
79,705 |
55,077 |
|||||
China
Vanke Company Ltd. — Class H |
16,977 |
43,555 |
|||||
Fullshare
Holdings Ltd. |
66,943 |
34,090 |
|||||
Longfor
Properties Company Ltd. |
17,855 |
28,773 |
|||||
Guangzhou
R&F Properties Company Ltd. — Class H |
14,423 |
24,358 |
|||||
Shimao
Property Holdings Ltd. |
17,459 |
24,309 |
|||||
Sino-Ocean
Group Holding Ltd. |
44,074 |
20,455 |
|||||
Shenzhen
Investment Ltd. |
38,000 |
18,224 |
|||||
Sunac
China Holdings Ltd. |
25,402 |
17,651 |
|||||
China
Jinmao Holdings Group Ltd.* |
54,000 |
16,847 |
|||||
SOHO China
Ltd. |
25,640 |
15,305 |
|||||
Red Star
Macalline Group Corporation Ltd. — Class H1 |
16,321 |
14,771 |
|||||
Shui On
Land Ltd. |
51,225 |
14,529 |
|||||
Yuexiu
Property Company Ltd. |
91,008 |
13,845 |
|||||
KWG
Property Holding Ltd. |
19,121 |
12,843 |
|||||
CIFI
Holdings Group Company Ltd. |
40,000 |
12,531 |
|||||
Agile
Group Holdings Ltd. |
20,857 |
11,858 |
|||||
Zall Group
Ltd.* |
20,499 |
11,258 |
|||||
China
South City Holdings Ltd. |
50,000 |
10,765 |
|||||
Joy City
Property Ltd. |
60,000 |
9,592 |
|||||
Renhe
Commercial Holdings Company Ltd.* |
314,000 |
8,703 |
|||||
Poly
Property Group Company Ltd.* |
29,106 |
8,330 |
|||||
Hopson
Development Holdings Ltd. |
8,000 |
7,838 |
|||||
Greentown
China Holdings Ltd.* |
9,238 |
7,551 |
|||||
Carnival
Group International Holdings Ltd.* |
54,785 |
6,710 |
|||||
Logan
Property Holdings Company Ltd. |
14,000 |
6,119 |
|||||
Shanghai
Industrial Urban Development Group Ltd. |
26,000 |
6,033 |
|||||
Beijing
Capital Land Ltd. — Class H |
13,266 |
5,216 |
|||||
China SCE
Property Holdings Ltd. |
21,000 |
5,009 |
|||||
Yuzhou
Properties Company Ltd. |
14,000 |
4,873 |
|||||
Fantasia
Holdings Group Company Ltd.* |
30,000 |
4,641 |
|||||
Beijing
Enterprises Medical & Health Group Ltd.* |
73,758 |
4,469 |
|||||
Future
Land Development Holdings Ltd. |
24,000 |
4,455 |
|||||
China
Overseas Grand Oceans Group Ltd.* |
14,000 |
4,422 |
|||||
Colour
Life Services Group Company Ltd.* |
4,542 |
3,578 |
|||||
Guorui
Properties Ltd. |
10,000 |
3,365 |
|||||
Wanda
Hotel Development Company Ltd.* |
28,000 |
2,996 |
|||||
Wuzhou
International Holdings Ltd.* |
26,000 |
2,782 |
|||||
Ping An
Securities Group Holdings Ltd.* |
220,000 |
2,212 |
|||||
Hydoo
International Holding Ltd. |
20,000 |
2,140 |
|||||
China
New City Commercial Development Ltd.* |
7,241 |
2,100 |
|||||
Total
China |
843,225 |
||||||
South
Africa - 11.7% |
|||||||
Growthpoint
Properties Ltd. REIT |
42,574 |
73,579 |
|||||
Redefine
Properties Ltd. REIT |
88,528 |
66,302 |
|||||
Resilient
REIT Ltd. REIT |
6,707 |
53,787 |
|||||
Hyprop
Investments Ltd. REIT |
4,482 |
39,160 |
|||||
Attacq
Ltd.* |
11,739 |
14,360 |
|||||
Vukile
Property Fund Ltd. REIT |
7,865 |
9,114 |
|||||
S.A.
Corporate Real Estate Fund Nominees Pty Ltd. REIT |
24,043 |
8,530 |
|||||
Emira
Property Fund Ltd. REIT |
7,434 |
7,149 |
|||||
Total
South Africa |
271,981 |
||||||
Philippines
- 10.3% |
|||||||
SM Prime
Holdings, Inc. |
171,600 |
109,932 |
|||||
Ayala
Land, Inc. |
82,133 |
67,864 |
|||||
Megaworld
Corp. |
199,717 |
20,188 |
|||||
Robinsons
Land Corp. |
25,800 |
17,663 |
|||||
DoubleDragon
Properties Corp.* |
8,200 |
10,550 |
|||||
Vista Land
& Lifescapes, Inc. |
54,400 |
6,947 |
|||||
Filinvest
Land, Inc. |
138,000 |
5,686 |
|||||
Total
Philippines |
238,830 |
||||||
United
Arab Emirates - 8.1% |
|||||||
Emaar
Properties PJSC |
57,256 |
110,674 |
|||||
Aldar
Properties PJSC |
47,435 |
35,643 |
|||||
Emaar
Malls Group PJSC |
31,280 |
23,504 |
|||||
DAMAC
Properties Dubai Company PJSC |
29,216 |
19,090 |
|||||
Total
United Arab Emirates |
188,911 |
||||||
Mexico
- 6.3% |
|||||||
Fibra Uno
Administracion S.A. de CV REIT |
38,511 |
74,212 |
|||||
Concentradora
Fibra Danhos S.A. de CV REIT |
12,127 |
22,212 |
|||||
Maquarie
Mexico Real Estate Management S.A. de CV REIT* |
12,800 |
16,580 |
|||||
PLA
Administradora Industrial S de RL de CV REIT* |
9,751 |
16,304 |
|||||
Prologis
Property Mexico S.A. de CV REIT* |
5,170 |
8,625 |
|||||
Corporation
Inmobiliaria Vesta SAB de CV |
5,414 |
7,730 |
|||||
Total
Mexico |
145,663 |
||||||
Indonesia
- 5.5% |
|||||||
Lippo
Karawaci Tbk PT |
329,289 |
27,306 |
|||||
Bumi
Serpong Damai Tbk PT |
146,700 |
23,777 |
|||||
Summarecon
Agung Tbk PT |
154,100 |
20,330 |
|||||
Pakuwon
Jati Tbk PT |
409,500 |
18,368 |
|||||
Ciputra
Development Tbk PT |
140,570 |
16,372 |
|||||
Kawasan
Industri Jababeka Tbk PT* |
286,519 |
6,869 |
|||||
Alam
Sutera Realty Tbk PT* |
167,700 |
6,220 |
|||||
Intiland
Development Tbk PT |
103,300 |
4,634 |
|||||
Lippo
Cikarang Tbk PT* |
6,600 |
3,259 |
|||||
Total
Indonesia |
127,135 |
See
notes to financial statements. |
40 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 98.6% (continued) |
|||||||
Thailand
- 4.8% |
|||||||
Central
Pattana PCL |
20,454 |
$ |
35,601 |
||||
Land &
Houses PCL — Class F |
56,900 |
15,616 |
|||||
CPN Retail
Growth Leasehold Property Fund |
24,100 |
14,273 |
|||||
Pruksa
Real Estate PCL |
11,700 |
8,619 |
|||||
Bangkok
Land PCL |
152,651 |
8,026 |
|||||
Supalai
PCL |
10,600 |
7,380 |
|||||
Quality
Houses PCL |
77,116 |
6,060 |
|||||
WHA
Corporation PCL* |
46,000 |
4,784 |
|||||
Sansiri
PCL |
88,800 |
4,746 |
|||||
TICON
Industrial Connection PCL — Class F |
8,800 |
3,991 |
|||||
LPN
Development PCL |
9,500 |
3,431 |
|||||
Total
Thailand |
112,527 |
||||||
Brazil
- 3.5% |
|||||||
BR Malls
Participacoes S.A.* |
9,122 |
34,809 |
|||||
Multiplan
Empreendimentos Imobiliarios S.A. |
1,148 |
20,700 |
|||||
Iguatemi
Empresa de Shopping Centers S.A. |
1,144 |
10,153 |
|||||
BR
Properties S.A. |
3,702 |
9,673 |
|||||
Aliansce
Shopping Centers S.A. |
1,306 |
6,082 |
|||||
Total
Brazil |
81,417 |
||||||
Malaysia
- 3.0% |
|||||||
IOI
Properties Group BHD |
25,500 |
15,845 |
|||||
KLCCP
Stapled Group |
4,907 |
9,280 |
|||||
SP Setia
BHD Group |
10,000 |
8,606 |
|||||
Sunway
BHD |
11,400 |
8,574 |
|||||
Sunway
Real Estate Investment Trust REIT |
18,100 |
7,676 |
|||||
Mah Sing
Group BHD |
15,375 |
6,028 |
|||||
UEM
Sunrise BHD |
20,406 |
5,434 |
|||||
Eco World
Development Group BHD* |
14,700 |
4,893 |
|||||
IGB
Corporation BHD |
5,900 |
3,841 |
|||||
Total
Malaysia |
70,177 |
||||||
Taiwan,
Province of China - 2.7% |
|||||||
Highwealth
Construction Corp. |
14,300 |
22,218 |
|||||
Ruentex
Development Company Ltd.* |
14,000 |
16,391 |
|||||
Huaku
Development Company Ltd. |
4,000 |
6,757 |
|||||
Farglory
Land Development Company Ltd. |
5,000 |
5,838 |
|||||
Chong Hong
Construction Company Ltd. |
3,150 |
5,192 |
|||||
Radium
Life Tech Company Ltd.* |
12,240 |
3,877 |
|||||
Kindom
Construction Corp. |
6,000 |
2,959 |
|||||
Total
Taiwan, Province of China |
63,232 |
||||||
Turkey
- 1.3% |
|||||||
Emlak
Konut Gayrimenkul Yatirim Ortakligi AS REIT |
31,449 |
30,927 |
|||||
India
- 1.3% |
|||||||
DLF
Ltd. |
6,688 |
15,464 |
|||||
Housing
Development & Infrastructure Ltd.* |
5,000 |
6,917 |
|||||
Indiabulls
Real Estate Ltd.* |
4,000 |
4,913 |
|||||
Unitech
Ltd.* |
27,000 |
2,177 |
|||||
Total
India |
29,471 |
||||||
Qatar
- 0.9% |
|||||||
Barwa Real
Estate Co. |
1,346 |
13,492 |
|||||
United
Development Company QSC |
1,315 |
7,378 |
|||||
Total
Qatar |
20,870 |
||||||
Egypt
- 0.9% |
|||||||
Talaat
Moustafa Group |
14,158 |
9,152 |
|||||
Medinet
Nasr Housing* |
4,231 |
6,899 |
|||||
Palm
Hills Developments SAE |
16,273 |
4,508 |
|||||
Total
Egypt |
20,559 |
||||||
Chile
- 0.8% |
|||||||
Parque
Arauco S.A. |
8,326 |
18,769 |
|||||
Russian
Federation - 0.6% |
|||||||
LSR Group
GDR |
2,656 |
7,809 |
|||||
Etalon
Group Ltd. GDR |
2,276 |
6,600 |
|||||
Total
Russian Federation |
14,409 |
||||||
Singapore
- 0.3% |
|||||||
Yanlord
Land Group Ltd. |
7,900 |
7,304 |
|||||
Poland
- 0.2% |
|||||||
Globe
Trade Centre S.A.* |
3,039 |
5,594 |
|||||
Total
Common Stocks - 98.6% |
|||||||
(Cost
$2,319,502) |
2,291,001 |
||||||
Other
Assets & Liabilities, net - 1.4% |
32,806 |
||||||
Total
Net Assets - 100.0% |
$ |
2,323,807 |
* |
Non-income
producing security. | |
† |
Value
determined based on Level 1 inputs — See Note 4. | |
1 |
Security
is a 144A or Section 4(a)(2) security. The total market value of 144A or
Section 4(a)(2) securities is $82,583 (cost $78,063), or 3.6% of total net
assets. These securities have been determined to be liquid under
guidelines established by the Board of Trustees. | |
GDR |
Global
Depositary Receipt | |
REIT |
Real
Estate Investment Trust |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 41 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Portfolio
Breakdown |
%
of Net Assets |
Financial |
95.5% |
Consumer,
Cyclical |
1.9% |
Industrial |
0.9% |
Diversified |
0.3% |
Total
Common Stocks |
98.6% |
Other
Assets & Liabilities, net |
1.4% |
Net
Assets |
100.0% |
Currency
Denomination | ||
% of
Common | ||
Currency |
Stocks | |
Hong
Kong Dollar |
36.8% | |
South
African Rand |
11.9% | |
Philippine
Peso |
10.4% | |
United
Arab Emirates Dirham |
8.3% | |
Mexico
Nuevo Peso |
6.4% | |
All
Other Currencies |
26.2% | |
Total
Common Stocks |
100.0% |
Level
2 |
Level
3 |
||||||||||||
Significant |
Significant |
||||||||||||
Level
1 |
Observable |
Unobservable |
|||||||||||
Quoted
Prices |
Inputs |
Inputs |
Total |
||||||||||
Assets |
|||||||||||||
Common
Stocks |
$ |
2,291,001 |
$ |
— |
$ |
— |
$ |
2,291,001 |
|||||
Total |
$ |
2,291,001 |
$ |
— |
$ |
— |
$ |
2,291,001 |
Common |
||||
Stocks |
||||
Beginning
Balance |
$ |
— |
* | |
Change in
Unrealized Gain/Loss |
16,584 |
|||
Realized
Gain/Loss |
(14,846 |
) | ||
Sales |
(1,738 |
) | ||
Ending
Balance |
$ |
— |
||
Net change
in unrealized |
||||
appreciation
(depreciation) |
||||
for
investments in securities |
||||
still
held at August 31, 2016 |
$ |
— |
||
* Market
value is less than $1 |
See
notes to financial statements. |
42 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 99.4% |
|||||||
Cayman
Islands - 38.7% |
|||||||
Trina
Solar Ltd. ADR*,1 |
1,542,116 |
$ |
16,207,639 |
||||
GCL-Poly
Energy Holdings Ltd.1 |
106,447,464 |
15,095,524 |
|||||
Xinyi
Solar Holdings Ltd.*,1 |
36,332,964 |
14,942,103 |
|||||
Shunfeng
International Clean Energy Ltd.* |
73,986,342 |
9,919,850 |
|||||
JA Solar
Holdings Company Ltd. ADR*,1 |
1,302,715 |
9,653,118 |
|||||
JinkoSolar
Holding Company Ltd. ADR*,1 |
496,880 |
9,172,405 |
|||||
Daqo New
Energy Corp.*,1 |
350,063 |
8,422,516 |
|||||
Hanwha Q
Cells Co. Ltd.*,1 |
500,838 |
5,899,872 |
|||||
Total
Cayman Islands |
89,313,027 |
||||||
United
States - 37.5% |
|||||||
TerraForm
Power, Inc. — Class A* |
1,095,789 |
14,069,931 |
|||||
First
Solar, Inc.*,1 |
346,119 |
13,090,221 |
|||||
SolarCity
Corp.*,1 |
612,173 |
12,647,494 |
|||||
8Point3
Energy Partners, LP |
649,610 |
10,107,932 |
|||||
TerraForm
Global, Inc. — Class A*,1 |
2,530,540 |
9,160,555 |
|||||
SunPower
Corp. — Class A*,1 |
745,190 |
7,422,092 |
|||||
Sunrun,
Inc.*,1 |
1,199,502 |
7,292,972 |
|||||
Vivint
Solar, Inc.*,1 |
2,041,549 |
6,492,126 |
|||||
SolarEdge
Technologies, Inc.*,1 |
374,293 |
6,370,467 |
|||||
Total
United States |
86,653,790 |
||||||
Bermuda
- 4.7% |
|||||||
China
Singyes Solar Technologies Holdings Ltd.1 |
19,670,672 |
10,879,193 |
|||||
United
Kingdom - 4.5% |
|||||||
Atlantica
Yield plc1 |
546,358 |
10,331,629 |
|||||
Switzerland
- 4.3% |
|||||||
Meyer
Burger Technology AG*,1 |
2,526,271 |
9,924,590 |
|||||
Canada
- 3.8% |
|||||||
Canadian
Solar, Inc.*,1 |
678,024 |
8,739,729 |
|||||
Norway
- 3.0% |
|||||||
REC
Silicon ASA*,1 |
47,532,263 |
6,855,368 |
|||||
Germany
- 2.9% |
|||||||
SMA
Solar Technology AG1 |
192,661 |
6,741,981 |
|||||
Total
Common Stocks |
|||||||
(Cost
$356,480,175) |
229,439,307 |
||||||
SECURITIES
LENDING COLLATERAL†,2
- 39.2% |
|||||||
BNY Mellon
Separately Managed Cash Collateral |
|||||||
Account,
0.3356% |
90,323,450 |
90,323,450 |
|||||
Total
Securities Lending Collateral |
|||||||
(Cost
$90,323,450) |
90,323,450 |
||||||
Total
Investments - 138.6% |
|||||||
(Cost
$446,803,625) |
$ |
319,762,757 |
|||||
Other
Assets & Liabilities, net - (38.6)% |
(89,008,532 |
) | |||||
Total
Net Assets - 100.0% |
$ |
230,754,225 |
* |
Non-income
producing security. | |
† |
Value
determined based on Level 1 inputs — See Note 4. | |
1 |
All
or portion of this security is on loan at August 31, 2016 — See Note
2. | |
2 |
Securities
lending collateral — See Note 2. | |
ADR |
American
Depositary Receipt | |
plc |
Public
Limited Company |
%
of | |
Portfolio
Breakdown |
Net
Assets |
Energy |
64.5% |
Industrial |
15.1% |
Utilities |
8.9% |
Technology |
7.3% |
Basic
Materials |
3.6% |
Total
Common Stocks |
99.4% |
Securities
Lending Collateral |
39.2% |
Total
Investments |
138.6% |
Other
Assets & Liabilities, net |
-38.6% |
Net
Assets |
100.0% |
Currency
Denomination | ||
% of
Common | ||
Currency |
Stocks | |
United
States Dollar |
67.6% | |
Hong
Kong Dollar |
22.2% | |
Swiss
Franc |
4.3% | |
Norwegian
Krone |
3.0% | |
Euro |
2.9% | |
Total
Common Stocks |
100.0% |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 43 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Level
2 |
Level
3 |
||||||||||||
Significant |
Significant |
||||||||||||
Level
1 |
Observable |
Unobservable |
|||||||||||
Quoted
Prices |
Inputs |
Inputs |
Total |
||||||||||
Assets |
|||||||||||||
Common
Stocks |
$ |
229,439,307 |
$ |
— |
$ |
— |
$ |
229,439,307 |
|||||
Securities
Lending |
|||||||||||||
Collateral |
90,323,450 |
— |
— |
90,323,450 |
|||||||||
Total |
$ |
319,762,757 |
$ |
— |
$ |
— |
$ |
319,762,757 |
See
notes to financial statements. |
44 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 99.7% |
|||||||
United
States - 37.1% |
|||||||
American
Water Works Company, Inc. |
424,685 |
$ |
31,422,445 |
||||
Xylem,
Inc. |
416,499 |
21,183,139 |
|||||
Danaher
Corp. |
212,566 |
17,304,998 |
|||||
IDEX
Corp. |
177,182 |
16,555,886 |
|||||
Aqua
America, Inc. |
422,377 |
12,844,485 |
|||||
Olin
Corp. |
385,297 |
8,337,827 |
|||||
Fortive
Corp. |
106,280 |
5,597,768 |
|||||
Rexnord
Corp.* |
234,203 |
5,178,228 |
|||||
Tetra
Tech, Inc. |
139,861 |
4,937,093 |
|||||
Mueller
Industries, Inc. |
133,380 |
4,609,613 |
|||||
Mueller
Water Products, Inc. — Class A |
374,679 |
4,529,869 |
|||||
Watts
Water Technologies, Inc. — Class A |
65,457 |
4,215,431 |
|||||
California
Water Service Group |
114,215 |
3,482,415 |
|||||
Franklin
Electric Company, Inc. |
89,309 |
3,416,069 |
|||||
American
States Water Co. |
87,134 |
3,396,483 |
|||||
Badger
Meter, Inc. |
33,888 |
2,236,269 |
|||||
Lindsay
Corp. |
25,985 |
1,869,881 |
|||||
Advanced
Drainage Systems, Inc. |
79,933 |
1,848,850 |
|||||
Calgon
Carbon Corp. |
117,868 |
1,709,086 |
|||||
Aegion
Corp. — Class A* |
84,364 |
1,562,421 |
|||||
Middlesex
Water Co. |
38,677 |
1,290,651 |
|||||
Connecticut
Water Service, Inc. |
26,673 |
1,236,827 |
|||||
Gorman-Rupp
Co. |
44,433 |
1,206,800 |
|||||
Total
United States |
159,972,534 |
||||||
United
Kingdom - 15.5% |
|||||||
United
Utilities Group plc |
1,626,809 |
20,699,078 |
|||||
Severn
Trent plc |
568,537 |
17,729,225 |
|||||
Halma
plc |
881,790 |
12,241,726 |
|||||
Pennon
Group plc |
981,572 |
11,280,826 |
|||||
Rotork
plc |
2,024,659 |
5,327,254 |
|||||
Total
United Kingdom |
67,278,109 |
||||||
Switzerland
- 9.4% |
|||||||
Geberit
AG |
88,202 |
38,510,668 |
|||||
Sulzer
AG |
26,535 |
2,525,085 |
|||||
Total
Switzerland |
41,035,753 |
||||||
France
- 7.2% |
|||||||
Veolia
Environnement S.A. |
852,955 |
18,111,334 |
|||||
Suez |
850,652 |
12,851,660 |
|||||
Total
France |
30,962,994 |
||||||
Ireland
- 6.3% |
|||||||
Pentair
plc |
425,732 |
27,268,135 |
|||||
China
- 4.3% |
|||||||
Guangdong
Investment Ltd. |
6,724,000 |
10,402,295 |
|||||
China
Everbright International Ltd. |
6,309,000 |
8,068,493 |
|||||
Total
China |
18,470,788 |
||||||
Japan
- 2.7% |
|||||||
Kurita
Water Industries Ltd. |
258,400 |
5,893,224 |
|||||
Ebara
Corp. |
1,110,000 |
5,709,093 |
|||||
Total
Japan |
11,602,317 |
||||||
Sweden
- 2.4% |
|||||||
Alfa
Laval AB |
669,689 |
10,385,923 |
|||||
Netherlands
- 2.2% |
|||||||
Aalberts
Industries N.V. |
224,494 |
7,513,404 |
|||||
Arcadis
N.V. |
164,571 |
2,203,156 |
|||||
Total
Netherlands |
9,716,560 |
||||||
South
Korea - 2.2% |
|||||||
Coway
Company Ltd. |
126,247 |
9,443,049 |
|||||
Bermuda
- 2.2% |
|||||||
Beijing
Enterprises Water Group Ltd.1 |
11,632,000 |
8,112,820 |
|||||
China
Water Affairs Group Ltd. |
2,034,000 |
1,269,160 |
|||||
Total
Bermuda |
9,381,980 |
||||||
Austria
- 2.1% |
|||||||
Andritz
AG |
182,016 |
9,273,437 |
|||||
Italy
- 1.9% |
|||||||
Hera
SpA |
1,741,299 |
4,817,397 |
|||||
Interpump
Group SpA |
188,013 |
3,318,980 |
|||||
Total
Italy |
8,136,377 |
||||||
Brazil
- 1.7% |
|||||||
Cia
de Saneamento Basico do Estado de Sao Paulo ADR |
815,342 |
7,378,845 |
|||||
Israel
- 1.2% |
|||||||
Israel
Chemicals Ltd. |
1,190,299 |
5,034,507 |
|||||
Spain
- 1.0% |
|||||||
Fomento de
Construcciones y Contratas S.A.*,1 |
416,335 |
4,350,367 |
|||||
Singapore
- 0.2% |
|||||||
SIIC
Environment Holdings Ltd.* |
2,153,640 |
948,148 |
|||||
Cayman
Islands - 0.1% |
|||||||
Kangda
International Environmental Company Ltd.2 |
2,318,000 |
463,197 |
|||||
Total
Common Stocks |
|||||||
(Cost
$338,481,879) |
431,103,020 |
||||||
SECURITIES
LENDING COLLATERAL†,3
- 0.7% |
|||||||
BNY Mellon
Separately Managed Cash Collateral |
|||||||
Account,
0.3279% |
2,932,901 |
2,932,901 |
|||||
Total
Securities Lending Collateral |
|||||||
(Cost
$2,932,901) |
2,932,901 |
||||||
Total
Investments - 100.4% |
|||||||
(Cost
$341,414,780) |
$ |
434,035,921 |
|||||
Other
Assets & Liabilities, net - (0.4)% |
(1,791,764 |
) | |||||
Total
Net Assets - 100.0% |
$ |
432,244,157 |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 45 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
* |
Non-income
producing security. | |
† |
Value
determined based on Level 1 inputs — See Note 4. | |
1 |
All
or portion of this security is on loan at August 31, 2016 — See Note
2. | |
2 |
Security
is a 144A or Section 4(a)(2) security. The total market value of 144A or
Section 4(a)(2) securities is $463,197 (cost $1,318,813), or 0.1% of total
net assets. These securities have been determined to be liquid under
guidelines established by the Board of Trustees. | |
3 |
Securities
lending collateral — See Note 2. | |
ADR |
American
Depositary Receipt | |
plc |
Public
Limited Company |
%
of | |
Portfolio
Breakdown |
Net
Assets |
Industrial |
51.8% |
Utilities |
38.2% |
Consumer,
Non-cyclical |
4.0% |
Basic
Materials |
3.5% |
Consumer,
Cyclical |
2.2% |
Total
Common Stocks |
99.7% |
Securities
Lending Collateral |
0.7% |
Total
Investments |
100.4% |
Other
Assets & Liabilities, net |
-0.4% |
Net
Assets |
100.0% |
Currency
Denomination | ||
% of
Common | ||
Currency |
Stocks | |
United
States Dollar |
45.1% | |
Pound
Sterling |
15.6% | |
Euro |
14.5% | |
Swiss
Franc |
9.5% | |
Hong
Kong Dollar |
6.6% | |
All
other currencies |
8.7% | |
Total
Common Stocks |
100.0% |
Level
2 |
Level
3 |
||||||||||||
Significant |
Significant |
||||||||||||
Level
1 |
Observable |
Unobservable |
|||||||||||
Quoted
Prices |
Inputs |
Inputs |
Total |
||||||||||
Assets |
|||||||||||||
Common
Stocks |
$ |
431,103,020 |
$ |
— |
$ |
— |
$ |
431,103,020 |
|||||
Securities
Lending |
|||||||||||||
Collateral |
2,932,901 |
— |
— |
2,932,901 |
|||||||||
Total |
$ |
434,035,921 |
$ |
— |
$ |
— |
$ |
434,035,921 |
See
notes to financial statements. |
46 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 99.4% |
|||||||
Canada
- 16.6% |
|||||||
Veresen,
Inc. |
14,352 |
$ |
141,327 |
||||
Gibson
Energy, Inc. |
7,507 |
102,302 |
|||||
Inter
Pipeline Ltd. |
4,128 |
89,730 |
|||||
Pembina
Pipeline Corp. |
2,431 |
73,113 |
|||||
Capital
Power Corp. |
3,390 |
54,129 |
|||||
Superior
Plus Corp. |
5,990 |
53,643 |
|||||
Northland
Power, Inc. |
2,492 |
45,128 |
|||||
TransAlta
Renewables, Inc. |
3,807 |
40,854 |
|||||
Westshore
Terminals Investment Corp. |
2,013 |
33,999 |
|||||
Just
Energy Group, Inc. |
3,575 |
19,673 |
|||||
Total
Canada |
653,898 |
||||||
United
States - 15.6% |
|||||||
Williams
Companies, Inc. |
7,212 |
201,503 |
|||||
Kinder
Morgan, Inc. |
6,210 |
135,689 |
|||||
Targa
Resources Corp. |
3,087 |
134,531 |
|||||
ONEOK,
Inc. |
1,734 |
81,307 |
|||||
Pattern
Energy Group, Inc. |
2,622 |
62,404 |
|||||
Total
United States |
615,434 |
||||||
Bermuda
- 12.7% |
|||||||
Ship
Finance International Ltd.1 |
12,684 |
191,402 |
|||||
Golar LNG
Ltd. |
9,015 |
187,782 |
|||||
Nordic
American Tankers Ltd.1 |
11,749 |
120,545 |
|||||
Total
Bermuda |
499,729 |
||||||
China
- 11.5% |
|||||||
Huaneng
Power International, Inc. — Class H |
167,581 |
101,973 |
|||||
Datang
International Power Generation Company Ltd. — Class H |
366,017 |
95,789 |
|||||
China
Power International Development Ltd. |
251,532 |
95,013 |
|||||
China
Resources Power Holdings Company Ltd. |
47,413 |
81,907 |
|||||
Huadian
Power International Corporation Ltd. — Class H |
180,071 |
80,555 |
|||||
Total
China |
455,237 |
||||||
Marshall
Islands - 6.6% |
|||||||
DHT
Holdings, Inc. |
38,828 |
167,349 |
|||||
Teekay
Tankers Ltd. — Class A |
35,794 |
93,422 |
|||||
Total
Marshall Islands |
260,771 |
||||||
France
- 5.6% |
|||||||
Electricite
de France S.A. |
8,430 |
107,785 |
|||||
Engie
S.A. |
4,224 |
67,227 |
|||||
Gaztransport
Et Technigaz S.A. |
1,521 |
46,407 |
|||||
Total
France |
221,419 |
||||||
Spain
- 5.4% |
|||||||
Abertis
Infraestructuras S.A. |
5,227 |
80,832 |
|||||
Gas
Natural SDG S.A. |
2,662 |
54,864 |
|||||
Enagas
S.A. |
1,630 |
47,791 |
|||||
Saeta
Yield S.A. |
2,950 |
29,455 |
|||||
Total
Spain |
212,942 |
||||||
United
Kingdom - 4.5% |
|||||||
Atlantica
Yield plc |
3,831 |
72,444 |
|||||
SSE
plc |
2,704 |
53,263 |
|||||
Centrica
plc |
17,008 |
51,813 |
|||||
Total
United Kingdom |
177,520 |
||||||
Australia
- 4.4% |
|||||||
DUET
Group |
36,338 |
71,825 |
|||||
AusNet
Services |
40,658 |
52,557 |
|||||
Spark
Infrastructure Group |
25,729 |
49,115 |
|||||
Total
Australia |
173,497 |
||||||
New
Zealand - 4.0% |
|||||||
Contact
Energy Ltd. |
14,344 |
54,114 |
|||||
Mercury NZ
Ltd. |
22,108 |
50,845 |
|||||
Infratil
Ltd. |
12,465 |
30,567 |
|||||
Genesis
Energy Ltd. |
12,783 |
20,774 |
|||||
Total
New Zealand |
156,300 |
||||||
Portugal
- 3.0% |
|||||||
EDP -
Energias de Portugal S.A. ADR |
20,749 |
69,443 |
|||||
REN -
Redes Energeticas Nacionais SGPS S.A. |
16,420 |
47,859 |
|||||
Total
Portugal |
117,302 |
||||||
Italy
- 2.7% |
|||||||
ERG
SpA |
5,463 |
60,844 |
|||||
Snam
SpA |
8,185 |
45,307 |
|||||
Total
Italy |
106,151 |
||||||
Belgium
- 2.5% |
|||||||
Euronav
N.V. |
11,223 |
97,784 |
|||||
Finland
- 1.8% |
|||||||
Fortum
Oyj |
4,732 |
72,940 |
|||||
MULT
- 1.3% |
|||||||
HK
Electric Investments & HK Electric Investments Ltd.2 |
53,550 |
50,259 |
|||||
Germany
- 1.2% |
|||||||
E.ON
SE |
5,340 |
49,108 |
|||||
Total
Common Stocks |
|||||||
(Cost
$3,877,397) |
3,920,291 |
||||||
SECURITIES
LENDING COLLATERAL†,3
- 8.0% |
|||||||
BNY Mellon
Separately Managed Cash Collateral |
|||||||
Account
0.3410% |
314,606 |
314,606 |
|||||
Total
Securities Lending Collateral |
|||||||
(Cost
$314,606) |
314,606 |
||||||
Total
Investments - 107.4% |
|||||||
(Cost
$4,192,003) |
$ |
4,234,897 |
|||||
Other
Assets & Liabilities, net - (7.4)% |
(292,371 |
) | |||||
Total
Net Assets - 100.0% |
$ |
3,942,526 |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 47 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
† |
Value
determined based on Level 1 inputs — See Note 4. | |
1 |
All
or portion of this security is on loan at August 31, 2016 — See Note
2. | |
2 |
Security
is a 144A or Section 4(a)(2) security. The total market value of 144A or
Section 4(a)(2) securities is $50,259 (cost $43,618), or 1.7% of total net
assets. These securities have been determined to be liquid under
guidelines established by the Board of Trustees. | |
3 |
Securities
lending collateral — See Note 2. | |
ADR |
American
Depositary Receipt | |
plc |
Public
Limited Company |
%
of | |
Portfolio
Breakdown |
Net
Assets |
Utilities |
44.5% |
Energy |
27.7% |
Industrial |
22.9% |
Consumer,
Cyclical |
2.2% |
Consumer,
Non-cyclical |
2.1% |
Total
Common Stocks |
99.4% |
Securities
Lending Collateral |
8.0% |
Total
Investments |
107.4% |
Other
Assets & Liabilities, net |
-7.4% |
Net
Assets |
100.0% |
Currency
Denomination | ||
% of
Common | ||
Currency |
Stocks | |
United
States Dollar |
36.9% | |
Euro |
22.4% | |
Canadian
Dollar |
16.7% | |
Hong
Kong Dollar |
12.9% | |
Australian
Dollar |
4.4% | |
New
Zealand Dollar |
4.0% | |
British
Pound |
2.7% | |
Total
Common Stocks |
100.0% |
Level
2 |
Level
3 |
||||||||||||
Significant |
Significant |
||||||||||||
Level
1 |
Observable |
Unobservable |
|||||||||||
Quoted
Prices |
Inputs |
Inputs |
Total |
||||||||||
Assets |
|||||||||||||
Common
Stocks |
$ |
3,920,291 |
$ |
— |
$ |
— |
$ |
3,920,291 |
|||||
Securities
Lending |
|||||||||||||
Collateral |
314,606 |
— |
— |
314,606 |
|||||||||
Total |
$ |
4,234,897 |
$ |
— |
$ |
— |
$ |
4,234,897 |
See
notes to financial statements. |
48 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
CLOSED-END
FUNDS†
- 1.0% |
|||||||
Guggenheim
Strategic Opportunities Fund10 |
|||||||
(Cost
$200,092) |
10,851 |
$ |
207,688 |
||||
Face |
|||||||
Amount/Shares |
Value |
||||||
SHORT
TERM INVESTMENTS - 13.7% |
|||||||
REPURCHASE
AGREEMENTS††
- 5.0% |
|||||||
Jefferies
& Company, Inc. |
|||||||
3.62%
due 09/12/164 |
|||||||
(Cost
$1,050,000) |
$ |
1,050,000 |
1,050,000 |
||||
U.S.
TREASURY BILLS††
- 3.3% |
|||||||
United
States Treasury Bill |
|||||||
0.00%
due 09/22/165 |
|||||||
(Cost
$699,892) |
700,000 |
699,917 |
|||||
COMMERICAL
PAPER††
- 4.3% |
|||||||
General
Mills, Inc. |
|||||||
0.46%
due 09/06/163 |
600,000 |
599,928 |
|||||
Mondelez
International, Inc. |
|||||||
0.60%
due 09/21/163 |
300,000 |
299,868 |
|||||
Total
Commercial Paper |
|||||||
(Cost
$899,862) |
|
899,796 |
|||||
MONEY
MARKET FUND†
- 1.1% |
|||||||
Federated
U.S. Treasury Cash Reserve Fund |
|||||||
0.19% |
|||||||
(Cost
$237,027) |
237,027 |
237,027 |
|||||
Total
Short Term Investments |
|||||||
(Cost
$2,886,781) |
2,886,740 |
||||||
Face |
|||||||
Amount |
Value |
||||||
COLLATERALIZED
MORTGAGE OBLIGATIONS††
- 31.0% |
|||||||
Government
Agency - 22.3% |
|||||||
Fannie Mae
Principal |
|||||||
0.00%
due 05/15/295,6 |
600,000 |
430,518 |
|||||
Federal
Farm Credit Banks |
|||||||
2.99%
due 03/29/30 |
400,000 |
400,525 |
|||||
3.00%
due 04/11/31 |
400,000 |
400,442 |
|||||
Federal
Home Loan Banks |
|||||||
3.20%
due 04/14/36 |
400,000 |
400,163 |
|||||
5.50%
due 07/15/36 |
250,000 |
366,396 |
|||||
2.70%
due 09/08/36 |
210,000 |
208,819 |
|||||
Fannie
Mae |
|||||||
2.70%
due 08/08/31 |
350,000 |
351,902 |
|||||
0.00%
due 01/15/335,6 |
300,000 |
189,054 |
|||||
2.13%
due 04/24/26 |
85,000 |
86,832 |
|||||
Freddie
Mac Multifamily Structured Pass Through Certificates |
|||||||
2015-K042,
1.19% due 12/25/241 |
4,490,207 |
326,746 |
|||||
2014-K038,
1.34% due 03/25/241 |
4,484,970 |
324,022 |
|||||
2014-K036,
0.92% due 10/25/231 |
6,349,258 |
287,330 |
|||||
2013-K026,
1.16% due 11/25/221 |
5,439,301 |
284,243 |
|||||
2013-K035,
0.57% due 08/25/231,
12 |
8,734,788 |
212,654 |
|||||
Freddie
Mac. |
|||||||
0.00%
due 01/02/345 |
350,000 |
214,196 |
|||||
0.00%
due 12/14/295 |
150,000 |
107,047 |
|||||
6.75%
due 03/15/31 |
67,000 |
104,344 |
|||||
Total
Government Agency |
4,695,233 |
||||||
Residential
Mortgage Backed Securities - 5.8% |
|||||||
LSTAR
Securities Investment Trust |
|||||||
2015-1,
2.52% due 01/01/201,3 |
|
215,115 |
|
212,965 |
|||
2014-1,
3.59% due 09/01/211,3 |
189,824 |
188,163 |
|||||
CSMC
Series |
|||||||
2015-12R,
0.99% due 11/30/371,3 |
250,000 |
224,628 |
|||||
Washington
Mutual Mortgage Pass-Through Certificates |
|||||||
WMALT
Series Trust 2006-7, 4.45% due 09/25/367 |
367,949 |
210,773 |
|||||
RALI
Series Trust |
|||||||
2007-QO2,
0.67% due 02/25/471 |
366,868 |
210,289 |
|||||
VOLT XLI
LLC |
|||||||
2016-NPL1,
4.25% due 02/26/463,7 |
176,411 |
177,911 |
|||||
Total
Residential Mortgage Backed Securities |
1,224,729 |
||||||
Commercial
Mortgage Backed Securities - 2.9% |
|||||||
GS
Mortgage Securities Corporation Trust |
|||||||
2016-ICE2,
4.76% due 02/15/331,3 |
200,000 |
201,837 |
|||||
FREMF
2013-K29 Mortgage Trust |
|||||||
2013-K29,
0.13% due 05/25/463,
12 |
30,986,063 |
198,776 |
|||||
Wells
Fargo Commercial Mortgage Trust |
|||||||
2016-NXS5,
1.74% due 01/15/591 |
1,991,724 |
197,760 |
|||||
Total
Commercial Mortgage Backed Securities |
598,373 |
||||||
Total
Collateralized Mortgage Obligations |
|||||||
(Cost
$6,327,040) |
6,518,335 |
||||||
CORPORATE
BONDS††
- 24.9% |
|||||||
Financial
- 9.1% |
|||||||
Bank of
America Corp. |
|||||||
6.50%*,1,2 |
200,000 |
218,020 |
|||||
6.30%*,1,2 |
100,000 |
109,250 |
|||||
Citigroup,
Inc. |
|||||||
5.95%*,1,2 |
210,000 |
218,400 |
|||||
AMC East
Communities LLC |
|||||||
6.01%
due 01/15/53*,3 |
196,512 |
215,119 |
|||||
Fort
Benning Family Communities LLC |
|||||||
5.81%
due 01/15/513 |
200,000 |
207,054 |
|||||
Farmers
Exchange Capital |
|||||||
7.05%
due 07/15/283 |
165,000 |
198,446 |
|||||
Synchrony
Financial |
|||||||
3.70%
due 08/04/26 |
200,000 |
198,258 |
|||||
Hospitality
Properties Trust |
|||||||
5.25%
due 02/15/26 |
150,000 |
159,345 |
|||||
Wilton Re
Finance LLC |
|||||||
5.88%
due 03/30/331,3 |
150,000 |
154,125 |
|||||
Pacific
Beacon LLC |
|||||||
5.38%
due 07/15/263 |
127,233 |
143,242 |
|||||
Kennedy-Wilson,
Inc. |
|||||||
5.88%
due 04/01/24 |
100,000 |
101,000 |
|||||
Total
Financial |
1,922,259 |
See
notes to financial statements. |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 49 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Face |
|||||||
Amount |
Value |
||||||
CORPORATE
BONDS††
- 24.9% (continued) |
|||||||
Consumer,
Cyclical - 4.0% |
|||||||
AutoNation,
Inc. |
|||||||
4.50%
due 10/01/25 |
$ |
175,000 |
$ |
185,652 |
|||
HP
Communities LLC |
|||||||
5.78%
due 03/15/463 |
150,000 |
177,867 |
|||||
Hyatt
Hotels Corp. |
|||||||
4.85%
due 03/15/26 |
150,000 |
166,964 |
|||||
Wyndham
Worldwide Corp. |
|||||||
5.10%
due 10/01/25 |
150,000 |
165,468 |
|||||
Group
1 Automotive, Inc. |
|||||||
5.25%
due 12/15/233 |
150,000 |
151,875 |
|||||
Total
Consumer, Cyclical |
847,826 |
||||||
Communications
- 3.8% |
|||||||
Discovery
Communications LLC |
|||||||
4.90%
due 03/11/26 |
200,000 |
216,862 |
|||||
Juniper
Networks, Inc. |
|||||||
4.35%
due 06/15/25 |
200,000 |
208,621 |
|||||
T-Mobile
USA, Inc. |
|||||||
6.50%
due 01/15/26 |
150,000 |
164,156 |
|||||
Sprint
Communications, Inc. |
|||||||
9.00%
due 11/15/183 |
100,000 |
110,125 |
|||||
DISH
DBS Corp. |
|||||||
5.88%
due 11/15/24 |
100,000 |
98,625 |
|||||
Total
Communications |
798,389 |
||||||
Consumer,
Non-cyclical - 3.6% |
|||||||
Total
System Services, Inc. |
|||||||
4.80%
due 04/01/26 |
200,000 |
221,057 |
|||||
Perrigo
Finance Unlimited Co. |
|||||||
4.38%
due 03/15/26 |
200,000 |
208,968 |
|||||
WEX,
Inc. |
|||||||
4.75%
due 02/01/233 |
165,000 |
162,525 |
|||||
Vector
Group Ltd. |
|||||||
7.75%
due 02/15/21 |
150,000 |
158,625 |
|||||
Total
Consumer, Non-cyclical |
751,175 |
||||||
Energy
- 2.7% |
|||||||
Sunoco
Logistics Partners Operations LP |
|||||||
5.95%
due 12/01/25 |
150,000 |
172,885 |
|||||
ConocoPhillips |
|||||||
6.50%
due 02/01/39 |
130,000 |
170,782 |
|||||
EQT
Corp. |
|||||||
8.13%
due 06/01/19 |
100,000 |
113,922 |
|||||
Halliburton
Co. |
|||||||
4.85%
due 11/15/35 |
50,000 |
53,665 |
|||||
Gulfstream
Natural Gas System LLC |
|||||||
4.60%
due 09/15/253 |
50,000 |
52,591 |
|||||
Total
Energy |
563,845 |
||||||
Basic
Materials - 1.7% |
|||||||
Yamana
Gold, Inc. |
|||||||
4.95%
due 07/15/24 |
180,000 |
183,470 |
|||||
BHP
Billiton Finance USA Ltd. |
|||||||
6.75%
due 10/19/751,2,3 |
100,000 |
114,125 |
|||||
Newcrest
Finance Pty Ltd. |
|||||||
4.45%
due 11/15/213 |
|
50,000 |
|
52,534 |
|||
Total
Basic Materials |
350,129 |
||||||
Total
Corporate Bonds |
|||||||
(Cost
$4,888,914) |
5,233,623 |
||||||
ASSET
BACKED SECURITIES††
- 11.3% |
|||||||
Collateralized
Loan Obligations - 8.9% |
|||||||
Oaktree
EIF I Series A1 Ltd. |
|||||||
2016-A,
4.35% due 01/20/271,3 |
250,000 |
250,541 |
|||||
CIFC
Funding 2013-IV Ltd. |
|||||||
2013-4A,
4.08% due 11/27/241,3 |
250,000 |
250,249 |
|||||
Oaktree
EIF II Series Ltd. |
|||||||
2014-A2,
4.02% due 11/15/251,3 |
250,000 |
249,987 |
|||||
Newstar
Commercial Loan Funding LLC |
|||||||
2016-1A,
4.37% due 02/25/281,3 |
250,000 |
248,831 |
|||||
TICP
CLO II Ltd. |
|||||||
2014-2A,
3.70% due 07/20/261,3 |
250,000 |
247,564 |
|||||
Northwoods
Capital XI Ltd. |
|||||||
2014-11A,
3.43% due 04/15/251,3 |
250,000 |
242,522 |
|||||
ACIS
CLO Ltd. |
|||||||
2013-1A,
3.63% due 04/18/241,3 |
250,000 |
237,810 |
|||||
Venture
XIII CLO Ltd. |
|||||||
2013-13A,
0.00% due 06/10/253 |
250,000 |
136,744 |
|||||
Total
Collateralized Loan Obligations |
1,864,248 |
||||||
Transportation
- 1.0% |
|||||||
ECAF
I Ltd. |
|||||||
2015-1A,
3.47% due 06/15/403 |
210,843 |
204,518 |
|||||
Collateralized
Debt Obligations - 0.7% |
|||||||
Gramercy
Real Estate CDO Ltd. |
|||||||
2006-1A,
1.08% due 07/25/411,3 |
158,907 |
156,434 |
|||||
Restaurant
- 0.7% |
|||||||
Taco
Bell Funding LLC |
|||||||
2016-1A,
4.97% due 05/25/463 |
150,000 |
154,918 |
|||||
Total
Asset Backed Securities |
|||||||
(Cost
$2,309,586) |
2,380,118 |
||||||
MUNICIPAL
BONDS††
- 5.9% |
|||||||
California
- 2.9% |
|||||||
Los
Angeles Community College District General |
|||||||
Obligation
Unlimited 6.75% due 08/01/49 |
130,000 |
211,831 |
|||||
Los
Angeles Department of Water & Power Revenue Bonds |
|||||||
6.57%
due 07/01/45 |
130,000 |
204,048 |
|||||
State
of California General Obligation Unlimited |
|||||||
7.30%
due 10/01/39 |
130,000 |
201,168 |
|||||
Total
California |
617,047 |
See
notes to financial statements. |
50 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Face |
|||||||
Amount |
Value |
||||||
MUNICIPAL
BONDS††
- 5.9% (continued) |
|||||||
New
York - 2.0% |
|||||||
Port
Authority of New York & New Jersey Revenue Bonds |
|||||||
5.65%
due 11/01/40 |
$ |
155,000 |
$ |
210,563 |
|||
Metropolitan
Transportation Authority Revenue Bonds |
|||||||
6.69%
due 11/15/40 |
140,000 |
204,677 |
|||||
Total
New York |
415,240 |
||||||
Florida
- 1.0% |
|||||||
County of
Miami-Dade Florida Aviation Revenue Revenue Bonds |
|||||||
3.86%
due 10/01/41 |
200,000 |
203,258 |
|||||
Total
Municipal Bonds |
|||||||
(Cost
$1,163,929) |
1,235,545 |
||||||
U.S.
GOVERNMENT SECURITIES††
- 5.9% |
|||||||
U.S.
Treasury Notes |
|||||||
1.50%
due 08/15/268 |
889,000 |
883,340 |
|||||
U.S.
Treasury Bonds |
|||||||
0.00%
due 11/15/445 |
668,000 |
348,898 |
|||||
Total
U.S. Government Securities |
|||||||
(Cost
$1,209,028) |
1,232,238 |
||||||
SENIOR
FLOATING RATE INTERESTS††,1
- 5.1% |
|||||||
Communications
- 1.2% |
|||||||
CSC
Holdings LLC |
|||||||
5.00%
due 10/09/22 |
149,625 |
150,779 |
|||||
Acosta,
Inc. |
|||||||
4.25%
due 09/26/21 |
99,604 |
96,823 |
|||||
Total
Communications |
247,602 |
||||||
Technology
- 1.2% |
|||||||
Mitel US
Holdings, Inc. |
|||||||
5.50%
due 04/29/22 |
140,490 |
141,368 |
|||||
Solera
LLC |
|||||||
5.75%
due 03/03/23 |
99,750 |
100,285 |
|||||
Total
Technology |
241,653 |
||||||
Consumer,
Cyclical - 0.9% |
|||||||
Equinox
Holdings, Inc. |
|||||||
5.00%
due 02/01/20 |
99,492 |
99,865 |
|||||
PetSmart,
Inc. |
|||||||
4.25%
due 03/11/22 |
99,496 |
99,638 |
|||||
Total
Consumer, Cyclical |
199,503 |
||||||
Diversified
- 0.7% |
|||||||
Travelport
Finance Luxembourg Sarl |
|||||||
5.00%
due 09/02/21 |
148,858 |
148,963 |
|||||
Consumer,
Non-cyclical - 0.6% |
|||||||
Albertsons
LLC |
|||||||
4.50%
due 08/22/21 |
128,683 |
129,182 |
|||||
Industrial
- 0.5% |
|||||||
SRS
Distribution, Inc. |
|||||||
5.25%
due 08/25/22 |
99,499 |
100,618 |
|||||
Total
Senior Floating Rate Interests |
|||||||
(Cost
$1,048,751) |
1,067,521 |
||||||
FOREIGN
GOVERNMENT BONDS††
- 1.9% |
|||||||
Corporation
Financiera de Desarrollo S.A. |
|||||||
5.25%
due 07/15/291,3 |
|
200,000 |
|
215,100 |
|||
Kenya
Government International Bond |
|||||||
6.88%
due 06/24/243 |
200,000 |
195,260 |
|||||
Total
Foreign Government Bonds |
|||||||
(Cost
$392,965) |
410,360 |
||||||
SECURITIES
LENDING COLLATERAL†,9
- 4.3% |
|||||||
BNY Mellon
Separately Managed Cash Collateral |
|||||||
Account,
0.3375% |
902,335 |
902,335 |
|||||
Total
Securities Lending Collateral |
|||||||
(Cost
$902,335) |
902,335 |
||||||
Total
Investments - 105.0% |
|||||||
(Cost
$21,329,421) |
$ |
22,074,503 |
|||||
Other
Assets & Liabilities, net - (5.0)% |
(1,060,478 |
) | |||||
Total
Net Assets - 100.0% |
$ |
21,014,025 |
* |
Non-income
producing security. | |
† |
Value
determined based on Level 1 inputs — See Note 4. | |
†† |
Value
determined based on Level 2 inputs — See Note 4. | |
1 |
Variable
rate security. Rate indicated is rate effective at August 31,
2016. | |
2 |
Perpetual
maturity. | |
3 |
Security
is a 144A or Section 4(a)(2) security. The total market value of
144A | |
or
Section 4(a)(2) securities is $6,634,182 (cost $6,464,372), or 31.5%
of | ||
total
net assets. These securities have been determined to be liquid
under | ||
guidelines
established by the Board of Trustees. | ||
4 |
Repurchase
agreements — See Note 9. | |
5 |
Zero
coupon rate security. | |
6 |
On
September 7, 2008, the issuer was placed in conservatorship by
the | |
Federal
Housing Finance Agency (FHFA). As conservator, the FHFA has
full | ||
powers
to control the assets and operations of the firm. | ||
7 |
Security
is a step up/step down bond. The coupon increases or decreases
at | |
regular
intervals until the bond reaches full maturity. | ||
8 |
All
or portion of this security is on loan at August 31, 2016 — See Note
2. | |
9 |
Securities
lending collateral — See Note 2. | |
10 |
Affiliated
issuer — See Note 12. | |
11 |
Rate
indicated is the 7 day yield as of August 31, 2016. | |
12 |
Interest
only security. | |
CDO |
Collateralized
Debt Obligation | |
CLO |
Collateralized
Loan Obligation | |
LLC |
Limited
Liability Company | |
LP |
Limited
Partnership | |
Pty |
Propietary | |
S.A. |
Corporation |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 51 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Country
Diversification | ||||
% of
Long-Term | ||||
Country |
Investments | |||
United
States |
83.1 |
% | ||
Cayman
Islands |
10.8 |
% | ||
Peru |
1.2 |
% | ||
Other |
4.9 |
% | ||
Total
Long-Term Investments |
100.0 |
% |
Level
2 |
Level
3 |
||||||||||||
Significant |
Significant |
||||||||||||
Level
1 |
Observable |
Unobservable |
|||||||||||
Quoted
Prices |
Inputs |
Inputs |
Total |
||||||||||
Assets |
|||||||||||||
Closed-End
Funds |
$ |
207,688 |
— |
— |
$ |
207,688 |
|||||||
Short
Term |
|||||||||||||
Investments |
237,027 |
2,649,713 |
— |
2,886,740 |
|||||||||
Collateralized |
|||||||||||||
Mortgage |
|||||||||||||
Obligations |
— |
6,518,335 |
— |
6,518,335 |
|||||||||
Corporate
Bonds |
— |
5,233,623 |
— |
5,233,623 |
|||||||||
Asset
Backed Securities |
— |
2,380,118 |
— |
2,380,118 |
|||||||||
Municipal
Bonds |
— |
1,235,545 |
— |
1,235,545 |
|||||||||
U.S.
Government |
|||||||||||||
Securities |
— |
1,232,238 |
— |
1,232,238 |
|||||||||
Senior
Floating |
|||||||||||||
Rate
Interests |
— |
1,067,521 |
— |
1,067,521 |
|||||||||
Foreign
Government |
|||||||||||||
Bonds |
— |
410,360 |
— |
410,360 |
|||||||||
Securities
Lending |
|||||||||||||
Collateral |
902,335 |
— |
— |
902,335 |
|||||||||
Swap
Agreements |
— |
887 |
* |
— |
887 |
||||||||
Total |
$ |
1,347,050 |
$ |
20,728,340 |
$ |
— |
$ |
22,075,390 |
* |
Represents
the unrealized gain/loss at period end. |
See
notes to financial statements. |
52 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 98.8% |
|||||||
Consumer,
Non-cyclical - 32.1% |
|||||||
Johnson
& Johnson |
536 |
$ |
63,966 |
||||
Procter
& Gamble Co. |
678 |
59,196 |
|||||
Merck
& Company, Inc. |
841 |
52,806 |
|||||
Coca-Cola
Co. |
1,112 |
48,294 |
|||||
PepsiCo,
Inc. |
447 |
47,717 |
|||||
UnitedHealth
Group, Inc. |
317 |
43,128 |
|||||
Eli Lilly
& Co. |
479 |
37,242 |
|||||
Colgate-Palmolive
Co. |
479 |
35,609 |
|||||
Bristol-Myers
Squibb Co. |
592 |
33,975 |
|||||
General
Mills, Inc. |
467 |
33,073 |
|||||
Tyson
Foods, Inc. — Class A |
423 |
31,966 |
|||||
Intuitive
Surgical, Inc.* |
45 |
30,889 |
|||||
Kimberly-Clark
Corp. |
241 |
30,862 |
|||||
Vertex
Pharmaceuticals, Inc.* |
326 |
30,810 |
|||||
Cardinal
Health, Inc. |
380 |
30,275 |
|||||
Baxter
International, Inc. |
646 |
30,188 |
|||||
Anthem,
Inc. |
228 |
28,518 |
|||||
ConAgra
Foods, Inc. |
600 |
27,966 |
|||||
Hershey
Co. |
198 |
19,778 |
|||||
Laboratory
Corporation of America Holdings* |
144 |
19,718 |
|||||
Perrigo
Company plc |
201 |
18,289 |
|||||
Verisk
Analytics, Inc. — Class A* |
218 |
18,105 |
|||||
Church
& Dwight Company, Inc. |
181 |
17,995 |
|||||
Quest
Diagnostics, Inc. |
199 |
16,481 |
|||||
Varian
Medical Systems, Inc.* |
156 |
14,996 |
|||||
Quanta
Services, Inc.* |
544 |
13,997 |
|||||
Pfizer,
Inc. |
115 |
4,002 |
|||||
Total
Consumer, Non-cyclical |
839,841 |
||||||
Financial
- 14.8% |
|||||||
U.S.
Bancorp |
843 |
37,218 |
|||||
American
Tower Corp. — Class A REIT |
296 |
33,561 |
|||||
Boston
Properties, Inc. REIT |
216 |
30,268 |
|||||
Welltower,
Inc. REIT |
390 |
29,933 |
|||||
Crown
Castle International Corp. REIT |
315 |
29,853 |
|||||
Ventas,
Inc. REIT |
409 |
29,722 |
|||||
AvalonBay
Communities, Inc. REIT |
165 |
28,877 |
|||||
Equity
Residential REIT |
435 |
28,218 |
|||||
HCP, Inc.
REIT |
657 |
25,840 |
|||||
Willis
Towers Watson plc |
195 |
24,182 |
|||||
Digital
Realty Trust, Inc. REIT |
207 |
20,512 |
|||||
Federal
Realty Investment Trust REIT |
100 |
15,900 |
|||||
Apartment
Investment & Management Co. — Class A REIT |
304 |
13,735 |
|||||
People's
United Financial, Inc. |
832 |
13,520 |
|||||
Berkshire
Hathaway, Inc. — Class B* |
84 |
12,641 |
|||||
JPMorgan
Chase & Co. |
109 |
7,358 |
|||||
Wells
Fargo & Co. |
108 |
|
5,486 |
||||
Total
Financial |
386,824 |
||||||
Utilities
- 11.9% |
|||||||
Southern
Co. |
626 |
32,133 |
|||||
Duke
Energy Corp. |
401 |
31,944 |
|||||
Dominion
Resources, Inc. |
427 |
31,666 |
|||||
Exelon
Corp. |
858 |
29,172 |
|||||
Sempra
Energy |
264 |
27,622 |
|||||
Consolidated
Edison, Inc. |
367 |
27,617 |
|||||
Xcel
Energy, Inc. |
661 |
27,339 |
|||||
PPL
Corp. |
742 |
25,807 |
|||||
Entergy
Corp. |
251 |
19,628 |
|||||
FirstEnergy
Corp. |
598 |
19,573 |
|||||
SCANA
Corp. |
201 |
14,201 |
|||||
CenterPoint
Energy, Inc. |
606 |
13,617 |
|||||
NiSource,
Inc. |
500 |
11,970 |
|||||
Total
Utilities |
312,289 |
||||||
Consumer,
Cyclical - 9.6% |
|||||||
Wal-Mart
Stores, Inc. |
571 |
40,792 |
|||||
McDonald's
Corp. |
330 |
38,168 |
|||||
Costco
Wholesale Corp. |
224 |
36,308 |
|||||
O'Reilly
Automotive, Inc.* |
111 |
31,074 |
|||||
AutoZone,
Inc.* |
38 |
28,188 |
|||||
Dollar
Tree, Inc.* |
309 |
25,554 |
|||||
Ulta Salon
Cosmetics & Fragrance, Inc.* |
88 |
21,755 |
|||||
LKQ
Corp.* |
431 |
15,555 |
|||||
Bed
Bath & Beyond, Inc. |
288 |
13,355 |
|||||
Total
Consumer, Cyclical |
250,749 |
||||||
Communications
- 9.0% |
|||||||
AT&T,
Inc. |
1,486 |
60,748 |
|||||
Verizon
Communications, Inc. |
1,043 |
54,580 |
|||||
eBay,
Inc.* |
1,209 |
38,881 |
|||||
Expedia,
Inc. |
165 |
18,005 |
|||||
Motorola
Solutions, Inc. |
224 |
17,246 |
|||||
Amazon.com,
Inc.* |
19 |
14,614 |
|||||
Facebook,
Inc. — Class A* |
102 |
12,864 |
|||||
Frontier
Communications Corp. |
2,471 |
11,367 |
|||||
Alphabet,
Inc. — Class A* |
5 |
3,949 |
|||||
Alphabet,
Inc. — Class C* |
5 |
3,835 |
|||||
Total
Communications |
236,089 |
||||||
Technology
- 8.5% |
|||||||
Apple,
Inc. |
795 |
84,350 |
|||||
International
Business Machines Corp. |
290 |
46,075 |
|||||
Microsoft
Corp. |
602 |
34,591 |
|||||
Cerner
Corp.* |
423 |
27,300 |
See
notes to financial statements. |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 53 |
SCHEDULE
OF INVESTMENTS continued |
August
31, 2016 |
Shares |
Value |
||||||
COMMON
STOCKS†
- 98.8% (continued) |
|||||||
Technology
- 8.5% (continued) |
|||||||
Electronic
Arts, Inc.* |
192 |
$ |
15,596 |
||||
Teradata
Corp.* |
456 |
14,469 |
|||||
Total
Technology |
222,381 |
||||||
Industrial
- 7.3% |
|||||||
Lockheed
Martin Corp. |
143 |
34,745 |
|||||
Waste
Management, Inc. |
461 |
29,476 |
|||||
Waters
Corp.* |
114 |
17,933 |
|||||
Republic
Services, Inc. — Class A |
334 |
16,874 |
|||||
Rockwell
Collins, Inc. |
183 |
15,315 |
|||||
General
Electric Co. |
468 |
14,620 |
|||||
CH
Robinson Worldwide, Inc. |
201 |
13,953 |
|||||
Expeditors
International of Washington, Inc. |
261 |
13,220 |
|||||
PerkinElmer,
Inc. |
241 |
12,833 |
|||||
FLIR
Systems, Inc. |
413 |
12,733 |
|||||
Stericycle,
Inc.* |
124 |
10,662 |
|||||
Total
Industrial |
192,364 |
||||||
Energy
- 4.5% |
|||||||
Kinder
Morgan, Inc. |
1,656 |
36,184 |
|||||
ConocoPhillips |
746 |
30,623 |
|||||
Exxon
Mobil Corp. |
305 |
26,578 |
|||||
FMC
Technologies, Inc.* |
467 |
13,169 |
|||||
Range
Resources Corp. |
285 |
10,992 |
|||||
Chevron
Corp. |
17 |
1,710 |
|||||
Total
Energy |
119,256 |
||||||
Basic
Materials - 1.1% |
|||||||
Newmont
Mining Corp. |
746 |
28,527 |
|||||
Total
Common Stocks - 98.8% |
|||||||
(Cost
$2,516,528) |
2,588,320 |
||||||
Other
Assets & Liabilities, net - 1.2% |
32,046 |
||||||
Total
Net Assets - 100.0% |
$ |
2,620,366 |
* |
Non-income
producing security. | |
† |
Value
determined based on Level 1 inputs — See Note 4. | |
plc |
Public
Limited Company | |
REIT |
Real
Estate Investment Trust |
Country
Diversification | ||
%
of Common | ||
Country |
Stocks | |
United
States |
98.4% | |
Ireland |
1.6% | |
Total
Common Stocks |
100.0% |
Level
2 |
Level
3 |
||||||||||||
Significant |
Significant |
||||||||||||
Level
1 |
Observable |
Unobservable |
|||||||||||
Quoted
Prices |
Inputs |
Inputs |
Total |
||||||||||
Assets |
|||||||||||||
Common
Stocks |
$ |
2,588,320 |
$ |
— |
$ |
— |
$ |
2,588,320 |
|||||
Total |
$ |
2,588,320 |
$ |
— |
$ |
— |
$ |
2,588,320 |
See
notes to financial statements. |
54 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
STATEMENT
OF ASSETS AND LIABILITIES |
August
31, 2016 |
Guggenheim China All-Cap ETF (YAO |
) |
Guggenheim China Technology ETF (CQQQ |
) |
Guggenheim Emerging Markets Real Estate ETF (EMRE |
) |
Guggenheim Solar ETF (TAN |
) | ||||||
ASSETS: |
|||||||||||||
Investments,
at value — including securities on loan |
$ |
23,853,839 |
$ |
50,329,041 |
$ |
2,291,001 |
$ |
319,762,757 |
|||||
Foreign
currency, at value |
4,541 |
— |
386 |
— |
|||||||||
Cash |
147,504 |
1,863 |
30,120 |
327,119 |
|||||||||
Due
from adviser |
— |
— |
— |
3,475 |
|||||||||
Prepaid
expenses |
— |
— |
— |
2,363 |
|||||||||
Receivables: |
|||||||||||||
Dividends |
10,503 |
51,966 |
3,576 |
530,445 |
|||||||||
Securities
lending income |
1,596 |
12,882 |
26 |
725,821 |
|||||||||
Tax
reclaims |
— |
— |
— |
9,813 |
|||||||||
Total
assets |
24,017,983 |
50,395,752 |
2,325,109 |
321,361,793 |
|||||||||
LIABILITIES: |
|||||||||||||
Due
to custodian |
— |
— |
— |
573 |
|||||||||
Payable
for: |
|||||||||||||
Upon
return of securities loaned |
430,189 |
5,215,384 |
— |
90,323,450 |
|||||||||
Management
fees |
13,675 |
27,402 |
1,302 |
— |
|||||||||
Administration
fees |
— |
— |
— |
3,884 |
|||||||||
Professional
fees |
— |
— |
— |
20,523 |
|||||||||
Intraday
valuation fees |
— |
— |
— |
12,975 |
|||||||||
Other
liabilities |
— |
— |
— |
246,163 |
|||||||||
Total
liabilities |
443,864 |
5,242,786 |
1,302 |
90,607,568 |
|||||||||
NET
ASSETS |
$ |
23,574,119 |
$ |
45,152,966 |
$ |
2,323,807 |
$ |
230,754,225 |
|||||
NET
ASSETS CONSIST OF: |
|||||||||||||
Paid-in
capital |
$ |
34,342,270 |
$ |
61,968,147 |
$ |
2,492,208 |
$ |
779,319,501 |
|||||
Undistributed
(distributions in excess of) net investment income |
350,088 |
419,703 |
(4,354 |
) |
5,669,490 |
||||||||
Accumulated
net realized loss on investments |
(10,379,145 |
) |
(17,917,962 |
) |
(135,561 |
) |
(427,192,626 |
) | |||||
Net
unrealized appreciation (depreciation) on investments |
(739,094 |
) |
683,078 |
(28,486 |
) |
(127,042,140 |
) | ||||||
NET
ASSETS |
$ |
23,574,119 |
$ |
45,152,966 |
$ |
2,323,807 |
$ |
230,754,225 |
|||||
Shares
outstanding ($0.01 par value with unlimited amount authorized) |
900,000 |
1,150,000 |
100,000 |
11,048,000 |
|||||||||
Net
asset value |
$ |
26.19 |
$ |
39.26 |
$ |
23.24 |
$ |
20.89 |
|||||
Investments
in securities, at cost |
24,592,932 |
49,645,967 |
2,319,502 |
446,803,625 |
|||||||||
Foreign
currency, at cost |
4,541 |
— |
378 |
— |
|||||||||
Securities
on loan, at value |
614,198 |
6,721,103 |
— |
98,800,944 |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 55 |
STATEMENT
OF ASSETS AND LIABILITIES continued |
August
31, 2016 |
Guggenheim
S&P Global Water Index ETF (CGW |
) |
Guggenheim
S&P High Income Infrastructure ETF (GHII |
) |
Guggenheim Total Return Bond ETF (GTO |
) |
Guggenheim
U.S. Large Cap Optimized Volatility ETF (OVLC |
) | ||||||
ASSETS: |
|||||||||||||
Investments
in unaffiliated issuers, at value — including securities on loan |
$ |
434,035,921 |
$ |
4,234,897 |
$ |
20,816,815 |
$ |
2,588,320 |
|||||
Investments
in affiliated issuers, at value |
— |
— |
207,688 |
— |
|||||||||
Repurchase
agreements, at value |
— |
— |
1,050,000 |
— |
|||||||||
Foreign
currency, at value |
749 |
— |
— |
— |
|||||||||
Due
to broker |
— |
— |
71,084 |
— |
|||||||||
Cash |
— |
15,111 |
82,474 |
27,068 |
|||||||||
Prepaid
expenses |
4,052 |
— |
— |
— |
|||||||||
Receivables: |
|||||||||||||
Dividends |
794,124 |
3,392 |
— |
5,654 |
|||||||||
Interest |
— |
— |
150,330 |
— |
|||||||||
Tax
reclaims |
679,486 |
3,007 |
— |
— |
|||||||||
Fund
shares sold |
119,758 |
— |
— |
— |
|||||||||
Securities
lending income |
9,126 |
2,043 |
— |
— |
|||||||||
Total
assets |
435,643,216 |
4,258,450 |
22,378,391 |
2,621,042 |
|||||||||
LIABILITIES: |
|||||||||||||
Due
from custodian |
465 |
130 |
— |
— |
|||||||||
Payable
for: |
|||||||||||||
Upon
return of securities loaned |
2,932,901 |
314,606 |
902,335 |
— |
|||||||||
Management
fees |
178,291 |
1,188 |
8,127 |
676 |
|||||||||
Investments
purchased |
53,889 |
— |
452,603 |
— |
|||||||||
Intraday
valuation fees |
17,573 |
— |
— |
— |
|||||||||
Professional
fees |
15,511 |
— |
— |
— |
|||||||||
Administration
fees |
8,453 |
— |
— |
— |
|||||||||
Variation
margin on swap agreements |
— |
— |
446 |
— |
|||||||||
Other
liabilities |
191,976 |
— |
855 |
— |
|||||||||
Total
liabilities |
3,399,059 |
315,924 |
1,364,366 |
676 |
|||||||||
NET
ASSETS |
$ |
432,244,157 |
$ |
3,942,526 |
$ |
21,014,025 |
$ |
2,620,366 |
|||||
NET
ASSETS CONSIST OF: |
|||||||||||||
Paid-in
capital |
$ |
437,748,347 |
$ |
3,965,672 |
$ |
20,033,906 |
$ |
2,556,007 |
|||||
Undistributed
net investment income |
6,123,003 |
37,222 |
72,694 |
17,541 |
|||||||||
Accumulated
net realized gain (loss) on investments |
(104,226,993 |
) |
(103,242 |
) |
161,456 |
(24,974 |
) | ||||||
Net
unrealized appreciation on investments |
92,599,800 |
42,874 |
745,969 |
71,792 |
|||||||||
NET
ASSETS |
$ |
432,244,157 |
$ |
3,942,526 |
$ |
21,014,025 |
$ |
2,620,366 |
|||||
Shares
outstanding ($0.01 par value with unlimited amount authorized) |
14,280,000 |
150,000 |
400,000 |
100,000 |
|||||||||
Net
asset value |
$ |
30.27 |
$ |
26.28 |
$ |
52.54 |
$ |
26.20 |
|||||
Investments
in securities of unaffiliated issuers, at cost |
341,414,780 |
4,192,003 |
21,129,329 |
2,516,528 |
|||||||||
Investments
in securities of affiliated issuers, at cost |
— |
— |
200,092 |
— |
|||||||||
Foreign
currency, at cost |
643 |
— |
— |
— |
|||||||||
Securities
on loan, at value |
7,141,850 |
303,807 |
883,712 |
— |
See
notes to financial statements. |
56 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
STATEMENT
OF OPERATIONS |
August
31, 2016 |
For
the year ended August 31, 2016 |
Guggenheim China All-Cap ETF (YAO |
) |
Guggenheim China Technology ETF (CQQQ |
) |
Guggenheim Emerging Markets Real Estate ETF (EMRE |
) |
Guggenheim Solar ETF (TAN |
) | ||||||
INVESTMENT
INCOME: |
|||||||||||||
Dividends,
net of foreign taxes withheld* |
$ |
675,657 |
$ |
685,472 |
$ |
82,160 |
$ |
3,347,029 |
|||||
Income
from securities lending |
28,234 |
106,491 |
1,340 |
6,664,781 |
|||||||||
Less
return of capital distributions received |
— |
— |
— |
(240,072 |
) | ||||||||
Total
investment income |
703,891 |
791,963 |
83,500 |
9,771,738 |
|||||||||
EXPENSES: |
|||||||||||||
Management
fees |
171,855 |
337,288 |
13,805 |
1,229,187 |
|||||||||
Licensing
fees |
— |
— |
— |
343,756 |
|||||||||
Custodian
fees |
— |
— |
— |
339,912 |
|||||||||
Administration
fees |
— |
— |
— |
64,167 |
|||||||||
Professional
fees |
— |
— |
— |
49,032 |
|||||||||
Printing
fees |
— |
— |
— |
55,096 |
|||||||||
Excise
tax fees |
— |
— |
— |
34,404 |
|||||||||
Trustees'
fees and expenses** |
— |
— |
— |
15,616 |
|||||||||
Intraday
valuation fees |
— |
— |
— |
13,176 |
|||||||||
Insurance |
— |
— |
— |
6,776 |
|||||||||
Listing
fees |
— |
— |
— |
5,000 |
|||||||||
Other
expenses |
— |
— |
— |
4,960 |
|||||||||
Total
expenses |
171,855 |
337,288 |
13,805 |
2,161,082 |
|||||||||
Less: |
|||||||||||||
Expenses
waived by advisor |
— |
— |
— |
(405,821 |
) | ||||||||
Net
expenses |
171,855 |
337,288 |
13,805 |
1,755,261 |
|||||||||
Net
investment income |
532,036 |
454,675 |
69,695 |
8,016,477 |
|||||||||
NET
REALIZED AND UNREALIZED GAIN (LOSS): |
|||||||||||||
Net
realized gain (loss) on: |
|||||||||||||
Investments |
(1,779,226 |
) |
(3,184,427 |
) |
(106,017 |
) |
(117,759,041 |
) | |||||
In-kind
transactions |
180,827 |
3,481,588 |
— |
4,196,054 |
|||||||||
Foreign
currency transactions |
(1,285 |
) |
(956 |
) |
(214 |
) |
(25,702 |
) | |||||
Net
realized gain (loss) |
(1,599,684 |
) |
296,205 |
(106,231 |
) |
(113,588,689 |
) | ||||||
Net
change in unrealized appreciation (depreciation) on: |
|||||||||||||
Investments |
3,785,214 |
14,087,152 |
364,747 |
17,978,407 |
|||||||||
Foreign
currency translations |
(1 |
) |
(9 |
) |
165 |
232 |
|||||||
Net
change in unrealized appreciation (depreciation) |
3,785,213 |
14,087,143 |
364,912 |
17,978,639 |
|||||||||
Net
realized and unrealized gain (loss) |
2,185,529 |
14,383,348 |
258,681 |
(95,610,050 |
) | ||||||||
Net
increase (decrease) in net assets resulting from operations |
$ |
2,717,565 |
$ |
14,838,023 |
$ |
328,376 |
$ |
(87,593,573 |
) | ||||
*
Foreign taxes withheld |
$ |
47,251 |
$ |
3,084 |
$ |
6,276 |
$ |
5,458 |
**
Relates to Trustees not deemed "interested persons" within the meaning of
Section 2(a)(19) of the 1940 Act. |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 57 |
STATEMENT
OF OPERATIONS (continued) |
August
31, 2016 |
For
the year ended August 31, 2016 |
Guggenheim
S&P Global Water Index ETF (CGW |
) |
Guggenheim
S&P High Income Infrastructure ETF (GHII |
) |
Guggenheim Total Return Bond ETF (GTO |
) |
Guggenheim
U.S. Large Cap Optimized Volatility ETF (OVLC |
) | ||||||
INVESTMENT
INCOME: |
|||||||||||||
Dividends,
net of foreign taxes withheld* |
$ |
9,206,762 |
$ |
148,969 |
$ |
— |
$ |
20,673 |
|||||
Dividends
from securities of affiliated issuers, net of foreign taxes
withheld* |
— |
— |
3,952 |
— |
|||||||||
Income
from securities lending |
257,381 |
13,054 |
1,236 |
— |
|||||||||
Interest |
— |
— |
330,482 |
— |
|||||||||
Total
investment income |
9,464,143 |
162,023 |
335,670 |
20,673 |
|||||||||
EXPENSES: |
|||||||||||||
Management
fees |
1,847,094 |
11,647 |
55,224 |
2,433 |
|||||||||
Licensing
fees |
158,618 |
— |
— |
— |
|||||||||
Custodian
fees |
104,955 |
— |
— |
— |
|||||||||
Administration
fees |
88,884 |
— |
— |
— |
|||||||||
Professional
fees |
48,783 |
— |
— |
— |
|||||||||
Printing
fees |
47,437 |
— |
— |
— |
|||||||||
Trustees'
fees and expenses** |
19,266 |
— |
— |
— |
|||||||||
Intraday
valuation fees |
15,006 |
— |
— |
— |
|||||||||
Insurance |
8,383 |
— |
— |
— |
|||||||||
Listing
fees |
5,000 |
— |
— |
— |
|||||||||
Other
expenses |
4,169 |
— |
6 |
— |
|||||||||
Total
expenses |
2,347,595 |
11,647 |
55,230 |
2,433 |
|||||||||
Less: |
|||||||||||||
Expenses
waived by advisor |
(3,540 |
) |
— |
(1,056 |
) |
— |
|||||||
Net
expenses |
2,344,055 |
11,647 |
54,174 |
2,433 |
|||||||||
Net
investment income |
7,120,088 |
150,376 |
281,496 |
18,240 |
|||||||||
NET
REALIZED AND UNREALIZED GAIN (LOSS): |
|||||||||||||
Net
realized gain (loss) on: |
|||||||||||||
Investments |
(2,956,114 |
) |
(113,896 |
) |
240,653 |
(25,930 |
) | ||||||
In-kind
transactions |
2,433,245 |
430,091 |
— |
21,982 |
|||||||||
Swap
agreements |
— |
— |
(67,974 |
) |
— |
||||||||
Foreign
currency transactions |
(246,661 |
) |
(2,369 |
) |
— |
— |
|||||||
Net
realized gain (loss) |
(769,530 |
) |
313,826 |
172,679 |
(3,948 |
) | |||||||
Net
change in unrealized appreciation (depreciation) on: |
|||||||||||||
Investments
in unaffiliated issuers |
46,409,383 |
288,818 |
737,486 |
71,792 |
|||||||||
Investments
in affiliated issuers |
— |
— |
7,596 |
— |
|||||||||
Swap
agreements |
— |
— |
887 |
— |
|||||||||
Foreign
currency translations |
(537 |
) |
61 |
— |
— |
||||||||
Net
change in unrealized appreciation (depreciation) |
46,408,846 |
288,879 |
745,969 |
71,792 |
|||||||||
Net
realized and unrealized gain |
45,639,316 |
602,705 |
918,648 |
67,844 |
|||||||||
Net
increase in net assets resulting from operations |
$ |
52,759,404 |
$ |
753,081 |
$ |
1,200,144 |
$ |
86,084 |
|||||
*
Foreign taxes withheld |
$ |
685,302 |
$ |
13,672 |
$ |
65 |
$ |
— |
**
Relates to Trustees not deemed "interested persons" within the meaning of
Section 2(a)(19) of the 1940 Act. |
See
notes to financial statements. |
58 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
STATEMENTS
OF CHANGES IN NET ASSETS |
August
31, 2016 |
Guggenheim
China All-Cap ETF (YAO) |
Guggenheim
China Technology ETF (CQQQ) | ||||||||||||
Year
Ended August 31, 2016 |
Year
Ended August 31, 2015 |
Year
Ended August 31, 2016 |
Year
Ended August 31, 2015 |
||||||||||
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|||||||||||||
Net
investment income |
$ |
532,036 |
$ |
950,504 |
$ |
454,675 |
$ |
988,751 |
|||||
Net
realized gain (loss) on investments |
(1,599,684 |
) |
699,266 |
296,205 |
6,854,022 |
||||||||
Net
change in unrealized appreciation (depreciation) on investments |
3,785,213 |
(6,297,764 |
) |
14,087,143 |
(24,750,317 |
) | |||||||
Net
increase (decrease) in net assets resulting from operations |
2,717,565 |
(4,647,994 |
) |
14,838,023 |
(16,907,544 |
) | |||||||
DISTRIBUTIONS
TO SHAREHOLDERS FROM: |
|||||||||||||
Net
investment income |
(960,740 |
) |
(1,225,500 |
) |
(921,765 |
) |
(672,750 |
) | |||||
SHAREHOLDER
TRANSACTIONS: |
|||||||||||||
Proceeds
from shares purchased |
— |
— |
1,611,539 |
33,478,490 |
|||||||||
Cost
of shares redeemed |
(7,490,830 |
) |
(19,080,099 |
) |
(16,178,367 |
) |
(48,172,069 |
) | |||||
Net
decrease in net assets resulting from shareholder transactions |
(7,490,830 |
) |
(19,080,099 |
) |
(14,566,828 |
) |
(14,693,579 |
) | |||||
Net
decrease in net assets |
(5,734,005 |
) |
(24,953,593 |
) |
(650,570 |
) |
(32,273,873 |
) | |||||
NET
ASSETS: |
|||||||||||||
Beginning
of period |
29,308,124 |
54,261,717 |
45,803,536 |
78,077,409 |
|||||||||
End
of period |
$ |
23,574,119 |
$ |
29,308,124 |
$ |
45,152,966 |
$ |
45,803,536 |
|||||
Undistributed
net investment income at end of period |
$ |
350,088 |
$ |
776,183 |
$ |
419,703 |
$ |
853,434 |
|||||
CHANGES
IN SHARES OUTSTANDING: |
|||||||||||||
Shares
sold |
— |
— |
50,000 |
900,000 |
|||||||||
Shares
redeemed |
(300,000 |
) |
(700,000 |
) |
(450,000 |
) |
(1,400,000 |
) | |||||
Net
decrease in shares |
(300,000 |
) |
(700,000 |
) |
(400,000 |
) |
(500,000 |
) |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 59 |
STATEMENTS
OF CHANGES IN NET ASSETS continued |
August
31, 2016 |
Guggenheim Emerging Markets Real Estate ETF (EMRE) |
Guggenheim
Solar ETF (TAN) | |||||||||||||
Year
Ended August 31, 2016 |
Period
from September 29, 2014a to August 31, 2015 |
Year
Ended August 31, 2016 |
Year
Ended August 31, 2015 |
|||||||||||
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||||||||
Net
investment income |
$ |
69,695 |
$ |
63,194 |
$ |
8,016,477 |
$ |
6,377,311 |
||||||
Net
realized gain (loss) on investments |
(106,231 |
) |
(23,895 |
) |
(113,588,689 |
) |
19,407,799 |
|||||||
Net
change in unrealized appreciation (depreciation) on investments |
364,912 |
(393,398 |
) |
17,978,639 |
(153,027,390 |
) | ||||||||
Net
increase (decrease) in net assets resulting from operations |
328,376 |
(354,099 |
) |
(87,593,573 |
) |
(127,242,280 |
) | |||||||
DISTRIBUTIONS
TO SHAREHOLDERS FROM: |
||||||||||||||
Net
investment income |
(60,408 |
) |
(82,270 |
) |
(4,984,353 |
) |
(5,534,720 |
) | ||||||
Return
of capital |
(7,792 |
) |
— |
— |
— |
|||||||||
Total
distributions |
(68,200 |
) |
(82,270 |
) |
(4,984,353 |
) |
(5,534,720 |
) | ||||||
SHAREHOLDER
TRANSACTIONS: |
||||||||||||||
Proceeds
from shares purchased |
— |
2,500,000 |
139,579,996 |
221,513,539 |
||||||||||
Cost
of shares redeemed |
— |
— |
(82,793,098 |
) |
(251,358,632 |
) | ||||||||
Net
increase (decrease) in net assets resulting from shareholder
transactions |
— |
2,500,000 |
56,786,898 |
(29,845,093 |
) | |||||||||
Net
increase (decrease) in net assets |
260,176 |
2,063,631 |
(35,791,028 |
) |
(162,622,093 |
) | ||||||||
NET
ASSETS: |
||||||||||||||
Beginning
of period |
2,063,631 |
— |
266,545,253 |
429,167,346 |
||||||||||
End
of period |
$ |
2,323,807 |
$ |
2,063,631 |
$ |
230,754,225 |
$ |
266,545,253 |
||||||
Undistributed
(distributions in excess of) net investment income at end of
period |
$ |
(4,354 |
) |
$ |
(16,519 |
) |
$ |
5,669,490 |
$ |
2,948,189 |
||||
CHANGES
IN SHARES OUTSTANDING: |
||||||||||||||
Shares
sold |
— |
100,000 |
5,120,000 |
5,440,000 |
||||||||||
Shares
redeemed |
— |
— |
(3,040,000 |
) |
(6,320,000 |
) | ||||||||
Net
increase (decrease) in shares |
— |
100,000 |
2,080,000 |
(880,000 |
) | |||||||||
a
Commencement of operations |
See
notes to financial statements. |
60 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
STATEMENTS
OF CHANGES IN NET ASSETS continued |
August
31, 2016 |
Guggenheim
S&P Global Water Index ETF (CGW) |
Guggenheim
S&P High Income Infrastructure ETF (GHII) | |||||||||||||
Year
Ended August 31, 2016 |
Year
Ended August 31, 2015 |
Year
Ended August 31, 2016 |
Period
from February 10, 2015a to August 31, 2015 | |||||||||||
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||||||||
Net
investment income |
$ |
7,120,088 |
$ |
5,979,049 |
$ |
150,376 |
$ |
70,569 |
||||||
Net
realized gain (loss) on investments |
(769,530 |
) |
5,081,427 |
313,826 |
9,823 |
|||||||||
Net
change in unrealized appreciation (depreciation) on investments |
46,408,846 |
(36,664,653 |
) |
288,879 |
(246,005 |
) | ||||||||
Net
increase (decrease) in net assets resulting from operations |
52,759,404 |
(25,604,177 |
) |
753,081 |
(165,613 |
) | ||||||||
DISTRIBUTIONS
TO SHAREHOLDERS FROM: |
||||||||||||||
Net
investment income |
(5,868,264 |
) |
(5,956,080 |
) |
(136,030 |
) |
(43,620 |
) | ||||||
SHAREHOLDER
TRANSACTIONS: |
||||||||||||||
Proceeds
from shares purchased |
45,042,866 |
36,765,776 |
3,586,109 |
3,704,303 |
||||||||||
Cost
of shares redeemed |
(6,399,035 |
) |
(26,410,686 |
) |
(2,548,058 |
) |
(1,207,646 |
) | ||||||
Net
increase in net assets resulting from shareholder transactions |
38,643,831 |
10,355,090 |
1,038,051 |
2,496,657 |
||||||||||
Net
increase (decrease) in net assets |
85,534,971 |
(21,205,167 |
) |
1,655,102 |
2,287,424 |
|||||||||
NET
ASSETS: |
||||||||||||||
Beginning
of period |
346,709,186 |
367,914,353 |
2,287,424 |
— |
||||||||||
End
of period |
$ |
432,244,157 |
$ |
346,709,186 |
$ |
3,942,526 |
$ |
2,287,424 |
||||||
Undistributed
net investment income at end of period |
$ |
6,123,003 |
$ |
5,114,694 |
$ |
37,222 |
$ |
25,245 |
||||||
CHANGES
IN SHARES OUTSTANDING: |
||||||||||||||
Shares
sold |
1,520,000 |
1,280,000 |
150,000 |
150,000 |
||||||||||
Shares
redeemed |
(240,000 |
) |
(960,000 |
) |
(100,000 |
) |
(50,000 |
) | ||||||
Net
increase in shares |
1,280,000 |
320,000 |
50,000 |
100,000 |
||||||||||
a
Commencement of operations |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 61 |
STATEMENTS
OF CHANGES IN NET ASSETS continued |
August
31, 2016 |
Guggenheim Total Return Bond ETF (GTO) |
Guggenheim
U.S. Large Cap Optimized Volatility ETF (OVLC) | |||||||
Period
from February 10, 2016a to August 31, 2016 |
Period
from May 10, 2016a to August 31, 2016 | |||||||
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net
investment income |
$ |
281,496 |
$ |
18,240 |
||||
Net
realized gain (loss) on investments |
172,679 |
(3,948 |
) | |||||
Net
change in unrealized appreciation (depreciation) on investments |
745,969 |
71,792 |
||||||
Net
increase in net assets resulting from operations |
1,200,144 |
86,084 |
||||||
DISTRIBUTIONS
TO SHAREHOLDERS FROM: |
||||||||
Net
investment income |
(220,025 |
) |
— |
|||||
SHAREHOLDER
TRANSACTIONS: |
||||||||
Proceeds
from shares purchased |
22,624,859 |
3,793,999 |
||||||
Cost
of shares redeemed |
(2,590,953 |
) |
(1,259,717 |
) | ||||
Net
increase in net assets resulting from shareholder transactions |
20,033,906 |
2,534,282 |
||||||
Net
increase in net assets |
21,014,025 |
2,620,366 |
||||||
NET
ASSETS: |
||||||||
Beginning
of period |
— |
— |
||||||
End
of period |
$ |
21,014,025 |
$ |
2,620,366 |
||||
Undistributed
net investment income at end of period |
$ |
72,694 |
$ |
17,541 |
||||
CHANGES
IN SHARES OUTSTANDING: |
||||||||
Shares
sold |
450,000 |
150,000 |
||||||
Shares
redeemed |
(50,000 |
) |
(50,000 |
) | ||||
Net
increase in shares |
400,000 |
100,000 |
||||||
a
Commencement of operations |
See
notes to financial statements. |
62 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
FINANCIAL
HIGHLIGHTS |
August
31, 2016 |
Year
Ended August 31, 2016 |
Year
Ended August 31, 2015 |
Year
Ended August 31, 2014 |
Year
Ended August 31, 2013 |
Year
Ended August 31, 2012 |
||||||||||||
Per
Share Data: |
||||||||||||||||
Net
asset value, beginning of period |
$ |
24.42 |
$ |
28.56 |
$ |
24.63 |
$ |
21.66 |
$ |
25.04 |
||||||
Income
from investment operations: |
||||||||||||||||
Net
investment income(a) |
0.52 |
0.53 |
0.62 |
0.46 |
0.52 |
|||||||||||
Net
gain (loss) on investments (realized and unrealized) |
2.12 |
(4.02 |
) |
3.80 |
3.07 |
(3.32 |
) | |||||||||
Total
from investment operations |
2.64 |
(3.49 |
) |
4.42 |
3.53 |
(2.80 |
) | |||||||||
Less
distributions from: |
||||||||||||||||
Net
investment income |
(0.87 |
) |
(0.65 |
) |
(0.49 |
) |
(0.56 |
) |
(0.58 |
) | ||||||
Total
distributions to shareholders |
(0.87 |
) |
(0.65 |
) |
(0.49 |
) |
(0.56 |
) |
(0.58 |
) | ||||||
Net
asset value, end of period |
$ |
26.19 |
$ |
24.42 |
$ |
28.56 |
$ |
24.63 |
$ |
21.66 |
||||||
Market
value, end of period |
$ |
26.23 |
$ |
24.13 |
$ |
28.52 |
$ |
24.49 |
$ |
21.76 |
||||||
Total
Return(b) |
||||||||||||||||
Net
asset value |
10.99 |
% |
-12.51 |
% |
18.05 |
% |
16.25 |
% |
-11.17 |
% | ||||||
Ratios/Supplemental
Data: |
||||||||||||||||
Net
assets, end of period (in thousands) |
$ |
23,574 |
$ |
29,308 |
$ |
54,262 |
$ |
46,804 |
$ |
49,822 |
||||||
Ratio
to average net assets of: |
||||||||||||||||
Net
investment income |
2.17 |
% |
1.84 |
% |
2.35 |
% |
1.92 |
% |
2.25 |
% | ||||||
Total
expenses |
0.70 |
% |
0.70 |
% |
0.71 |
% |
0.70 |
% |
0.70 |
% | ||||||
Net
expenses |
0.70 |
% |
0.70 |
% |
0.71 |
% |
0.70 |
% |
0.70 |
% | ||||||
Portfolio
turnover rate(c) |
26 |
% |
17 |
% |
12 |
% |
16 |
% |
12 |
% |
(a) |
Based
on average shares outstanding. |
(b) |
Total
investment return is calculated assuming an initial investment made at the
net asset value at the beginning of the period, reinvestment of all
dividends and distribution at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. |
(c) |
Portfolio
turnover does not include securities received or delivered from processing
creations or redemptions. |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 63 |
FINANCIAL
HIGHLIGHTS continued |
August
31, 2016 |
Year
Ended August 31, 2016 |
Year
Ended August 31, 2015 |
Year
Ended August 31, 2014 |
Year
Ended August 31, 2013 |
Year
Ended August 31, 2012 |
||||||||||||
Per
Share Data: |
||||||||||||||||
Net
asset value, beginning of period |
$ |
29.55 |
$ |
38.09 |
$ |
29.55 |
$ |
20.03 |
$ |
25.44 |
||||||
Income
from investment operations: |
||||||||||||||||
Net
investment income(a) |
0.32 |
0.46 |
0.43 |
0.28 |
0.54 |
|||||||||||
Net
gain (loss) on investments (realized and unrealized) |
10.03 |
(8.65 |
) |
8.39 |
9.67 |
(5.38 |
) | |||||||||
Total
from investment operations |
10.35 |
(8.19 |
) |
8.82 |
9.95 |
(4.84 |
) | |||||||||
Less
distributions from: |
||||||||||||||||
Net
investment income |
(0.64 |
) |
(0.35 |
) |
(0.28 |
) |
(0.43 |
) |
(0.57 |
) | ||||||
Total
distributions to shareholders |
(0.64 |
) |
(0.35 |
) |
(0.28 |
) |
(0.43 |
) |
(0.57 |
) | ||||||
Net
asset value, end of period |
$ |
39.26 |
$ |
29.55 |
$ |
38.09 |
$ |
29.55 |
$ |
20.03 |
||||||
Market
value, end of period |
$ |
39.08 |
$ |
29.31 |
$ |
37.88 |
$ |
29.59 |
$ |
19.96 |
||||||
Total
Return(b) |
||||||||||||||||
Net
asset value |
35.19 |
% |
-21.62 |
% |
29.89 |
% |
50.39 |
% |
-19.10 |
% | ||||||
Ratios/Supplemental
Data: |
||||||||||||||||
Net
assets, end of period (in thousands) |
$ |
45,153 |
$ |
45,804 |
$ |
78,077 |
$ |
22,164 |
$ |
17,029 |
||||||
Ratio
to average net assets of: |
||||||||||||||||
Net
investment income |
0.94 |
% |
1.20 |
% |
1.22 |
% |
1.16 |
% |
2.38 |
% | ||||||
Total
expenses |
0.70 |
% |
0.70 |
% |
0.71 |
% |
0.70 |
% |
0.70 |
% | ||||||
Net
expenses |
0.70 |
% |
0.70 |
% |
0.71 |
% |
0.70 |
% |
0.70 |
% | ||||||
Portfolio
turnover rate(c) |
48 |
% |
32 |
% |
39 |
% |
26 |
% |
43 |
% |
(a) |
Based
on average shares outstanding. |
(b) |
Total
investment return is calculated assuming an initial investment made at the
net asset value at the beginning of the period, reinvestment of all
dividends and distribution at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. |
(c) |
Portfolio
turnover does not include securities received or delivered from processing
creations or redemptions. |
See
notes to financial statements. |
64 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
FINANCIAL
HIGHLIGHTS continued |
August
31, 2016 |
Year
Ended August 31, 2016 |
Period
Ended August 31, 2015(a) |
||||||
Per
Share Data: |
|||||||
Net
asset value, beginning of period |
$ |
20.64 |
$ |
24.99 |
|||
Income
from investment operations: |
|||||||
Net
investment income(b) |
0.70 |
0.63 |
|||||
Net
gain (loss) on investments (realized and unrealized) |
2.58 |
(4.16 |
) | ||||
Total
from investment operations |
3.28 |
(3.53 |
) | ||||
Less
distributions from: |
|||||||
Net
investment income |
(0.60 |
) |
(0.82 |
) | |||
Return
of capital |
(0.08 |
) |
— |
||||
Total
distributions to shareholders |
(0.68 |
) |
(0.82 |
) | |||
Net
asset value, end of period |
$ |
23.24 |
$ |
20.64 |
|||
Market
value, end of period |
$ |
23.09 |
$ |
20.73 |
|||
Total
Return(c) |
|||||||
Net
asset value |
16.24 |
% |
-14.61 |
% | |||
Ratios/Supplemental
Data: |
|||||||
Net
assets, end of period (in thousands) |
$ |
2,324 |
$ |
2,064 |
|||
Ratio
to average net assets of: |
|||||||
Net
investment income |
3.28 |
% |
2.76 |
% | |||
Total
expenses |
0.65 |
% |
0.65 |
% | |||
Net
expenses |
0.65 |
% |
0.65 |
% | |||
Portfolio
turnover rate(d) |
18 |
% |
25 |
% |
(a) |
Since
commencement of operations: September 29, 2014. Percentage amounts for the
period, except total return and portfolio turnover rate, have been
annualized. |
(b) |
Based
on average shares outstanding. |
(c) |
Total
investment return is calculated assuming an initial investment made at the
net asset value at the beginning of the period, reinvestment of all
dividends and distribution at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. |
(d) |
Portfolio
turnover does not include securities received or delivered from processing
creations or redemptions. |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 65 |
FINANCIAL
HIGHLIGHTS continued |
August
31, 2016 |
Year
Ended August 31, 2016 |
Year
Ended August 31, 2015 |
Year
Ended August 31, 2014 |
Year
Ended August 31, 2013 |
Year
Ended August 31, 2012 |
||||||||||||
Per
Share Data*: |
||||||||||||||||
Net
asset value, beginning of period |
$ |
29.72 |
$ |
43.58 |
$ |
27.23 |
$ |
16.74 |
$ |
54.90 |
||||||
Income
from investment operations: |
||||||||||||||||
Net
investment income(a) |
0.80 |
0.72 |
0.52 |
0.56 |
1.84 |
|||||||||||
Net
gain (loss) on investments (realized and unrealized) |
(9.14 |
) |
(13.94 |
) |
16.28 |
11.35 |
(37.89 |
) | ||||||||
Total
from investment operations |
(8.34 |
) |
(13.22 |
) |
16.80 |
11.91 |
(36.05 |
) | ||||||||
Less
distributions from: |
||||||||||||||||
Net
investment income |
(0.49 |
) |
(0.64 |
) |
(0.45 |
) |
(1.42 |
) |
(2.11 |
) | ||||||
Total
distributions to shareholders |
(0.49 |
) |
(0.64 |
) |
(0.45 |
) |
(1.42 |
) |
(2.11 |
) | ||||||
Net
asset value, end of period |
$ |
20.89 |
$ |
29.72 |
$ |
43.58 |
$ |
27.23 |
$ |
16.74 |
||||||
Market
value, end of period |
$ |
20.91 |
$ |
29.57 |
$ |
43.39 |
$ |
27.16 |
$ |
16.71 |
||||||
Total
Return(b) |
||||||||||||||||
Net
asset value |
-28.59 |
% |
-30.51 |
% |
62.06 |
% |
77.60 |
% |
-66.93 |
% | ||||||
Ratios/Supplemental
Data: |
||||||||||||||||
Net
assets, end of period (in thousands) |
$ |
230,754 |
$ |
266,545 |
$ |
429,167 |
$ |
170,150 |
$ |
42,992 |
||||||
Ratio
to average net assets of: |
||||||||||||||||
Net
investment income |
3.26 |
% |
1.83 |
% |
1.28 |
% |
2.71 |
% |
7.07 |
% | ||||||
Total
expenses |
0.88 |
% |
0.73 |
% |
0.76 |
% |
0.86 |
% |
1.01 |
% | ||||||
Net
expenses |
0.71 |
% |
0.70 |
% |
0.71 |
% |
0.70 |
% |
0.70 |
% | ||||||
Portfolio
turnover rate(c) |
53 |
% |
51 |
% |
47 |
% |
68 |
% |
49 |
% |
* |
Reflects 1
for 10 reverse stock split that occurred February 15, 2012. |
(a) |
Based
on average shares outstanding. |
(b) |
Total
investment return is calculated assuming an initial investment made at the
net asset value at the beginning of the period, reinvestment of all
dividends and distribution at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. |
(c) |
Portfolio
turnover does not include securities received or delivered from processing
creations or redemptions. |
See
notes to financial statements. |
66 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
FINANCIAL
HIGHLIGHTS continued |
August
31, 2016 |
Year
Ended August 31, 2016 |
Year
Ended August 31, 2015 |
Year
Ended August 31, 2014 |
Year
Ended August 31, 2013 |
Year
Ended August 31, 2012 |
||||||||||||
Per
Share Data: |
||||||||||||||||
Net
asset value, beginning of period |
$ |
26.67 |
$ |
29.02 |
$ |
23.90 |
$ |
21.05 |
$ |
20.06 |
||||||
Income
from investment operations: |
||||||||||||||||
Net
investment income(a) |
0.54 |
0.48 |
0.51 |
0.49 |
0.44 |
|||||||||||
Net
gain (loss) on investments (realized and unrealized) |
3.51 |
(2.33 |
) |
5.03 |
2.81 |
0.96 |
||||||||||
Total
from investment operations |
4.05 |
(1.85 |
) |
5.54 |
3.30 |
1.40 |
||||||||||
Less
distributions from: |
||||||||||||||||
Net
investment income |
(0.45 |
) |
(0.50 |
) |
(0.42 |
) |
(0.45 |
) |
(0.41 |
) | ||||||
Total
distributions to shareholders |
(0.45 |
) |
(0.50 |
) |
(0.42 |
) |
(0.45 |
) |
(0.41 |
) | ||||||
Net
asset value, end of period |
$ |
30.27 |
$ |
26.67 |
$ |
29.02 |
$ |
23.90 |
$ |
21.05 |
||||||
Market
value, end of period |
$ |
30.32 |
$ |
26.64 |
$ |
29.08 |
$ |
23.88 |
$ |
20.98 |
||||||
Total
Return(b) |
||||||||||||||||
Net
asset value |
15.40 |
% |
-6.47 |
% |
23.27 |
% |
15.85 |
% |
7.23 |
% | ||||||
Ratios/Supplemental
Data: |
||||||||||||||||
Net
assets, end of period (in thousands) |
$ |
432,244 |
$ |
346,709 |
$ |
367,914 |
$ |
253,369 |
$ |
199,547 |
||||||
Ratio
to average net assets of: |
||||||||||||||||
Net
investment income |
1.93 |
% |
1.69 |
% |
1.83 |
% |
2.13 |
% |
2.22 |
% | ||||||
Total
expenses |
0.64 |
% |
0.64 |
% |
0.65 |
% |
0.71 |
% |
0.76 |
% | ||||||
Net
expenses |
0.64 |
% |
0.64 |
% |
0.65 |
% |
0.70 |
% |
0.70 |
% | ||||||
Portfolio
turnover rate(c) |
6 |
% |
9 |
% |
7 |
% |
21 |
% |
31 |
% |
(a) |
Based
on average shares outstanding. |
(b) |
Total
investment return is calculated assuming an initial investment made at the
net asset value at the beginning of the period, reinvestment of all
dividends and distribution at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. |
(c) |
Portfolio
turnover does not include securities received or delivered from processing
creations or redemptions. |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 67 |
FINANCIAL
HIGHLIGHTS continued |
August
31, 2016 |
Year
Ended August 31, 2016 |
Period
Ended August 31, 2015(a) |
||||||
Per
Share Data: |
|||||||
Net
asset value, beginning of period |
$ |
22.87 |
$ |
25.05 |
|||
Income
from investment operations: |
|||||||
Net
investment income(b) |
1.34 |
0.71 |
|||||
Net
gain (loss) on investments (realized and unrealized) |
3.34 |
(2.45 |
) | ||||
Total
from investment operations |
4.68 |
(1.74 |
) | ||||
Less
distributions from: |
|||||||
Net
investment income |
(1.27 |
) |
(0.44 |
) | |||
Total
distributions to shareholders |
(1.27 |
) |
(0.44 |
) | |||
Net
asset value, end of period |
$ |
26.28 |
$ |
22.87 |
|||
Market
value, end of period |
$ |
26.48 |
$ |
22.56 |
|||
Total
Return(c) |
|||||||
Net asset
value |
21.35 |
% |
-7.02 |
% | |||
Ratios/Supplemental
Data: |
|||||||
Net
assets, end of period (in thousands) |
$ |
3,943 |
$ |
2,287 |
|||
Ratio to
average net assets of: |
|||||||
Net
investment income |
5.82 |
% |
5.13 |
% | |||
Total
expenses |
0.45 |
% |
0.45 |
% | |||
Net
expenses |
0.45 |
% |
0.45 |
% | |||
Portfolio
turnover rate(d) |
61 |
% |
13 |
% |
(a) |
Since
commencement of operations: February 11, 2015. Percentage amounts for the
period, except total return and portfolio turnover rate, have been
annualized. |
(b) |
Based
on average shares outstanding. |
(c) |
Total
investment return is calculated assuming an initial investment made at the
net asset value at the beginning of the period, reinvestment of all
dividends and distribution at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. |
(d) |
Portfolio
turnover does not include securities received or delivered from processing
creations or redemptions. |
See
notes to financial statements. |
68 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
FINANCIAL
HIGHLIGHTS continued |
August
31, 2016 |
Period
Ended August 31, 2016(a) |
||||
Per
Share Data: |
||||
Net
asset value, beginning of period |
$ |
49.97 |
||
Income
from investment operations: |
||||
Net
investment income(b) |
0.72 |
|||
Net
gain on investments (realized and unrealized) |
2.42 |
|||
Total
from investment operations |
3.14 |
|||
Less
distributions from: |
||||
Net
investment income |
(0.57 |
) | ||
Total
distributions to shareholders |
(0.57 |
) | ||
Net
asset value, end of period |
$ |
52.54 |
||
Market
value, end of period |
$ |
52.60 |
||
Total
Return(c) |
||||
Net asset
value |
6.29 |
% | ||
Ratios/Supplemental
Data: |
||||
Net
assets, end of period (in thousands) |
$ |
21,014 |
||
Ratio to
average net assets of: |
||||
Net
investment income |
2.56 |
% | ||
Total
expenses |
0.50 |
% | ||
Net
expenses |
0.49 |
% | ||
Portfolio
turnover rate(d) |
131 |
% |
(a) |
Since
commencement of operations: February 10, 2016. Percentage amounts for the
period, except total return and portfolio turnover rate, have been
annualized. |
(b) |
Based
on average shares outstanding. |
(c) |
Total
investment return is calculated assuming an initial investment made at the
net asset value at the beginning of the period, reinvestment of all
dividends and distribution at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. |
(d) |
Portfolio
turnover does not include securities received or delivered from processing
creations or redemptions. |
See
notes to financial statements. |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 69 |
FINANCIAL
HIGHLIGHTS continued |
August
31, 2016 |
Period
Ended August 31, 2016(a) |
||||
Per
Share Data: |
||||
Net
asset value, beginning of period |
$ |
25.14 |
||
Income
from investment operations: |
||||
Net
investment income(b) |
0.18 |
|||
Net
gain on investments (realized and unrealized) |
0.88 |
|||
Total
from investment operations |
1.06 |
|||
Net
asset value, end of period |
$ |
26.20 |
||
Market
value, end of period |
$ |
26.14 |
||
Total
Return(c) |
||||
Net asset
value |
4.22 |
% | ||
Ratios/Supplemental
Data: |
||||
Net
assets, end of period (in thousands) |
$ |
2,620 |
||
Ratio to
average net assets of: |
||||
Net
investment income |
2.25 |
% | ||
Total
expenses |
0.30 |
% | ||
Net
expenses |
0.30 |
% | ||
Portfolio
turnover rate(d) |
21 |
% |
(a) |
Since
commencement of operations: May 10, 2016. Percentage amounts for the
period, except total return and portfolio turnover rate, have been
annualized. |
(b) |
Based
on average shares outstanding. |
(c) |
Total
investment return is calculated assuming an initial investment made at the
net asset value at the beginning of the period, reinvestment of all
dividends and distribution at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. |
(d) |
Portfolio
turnover does not include securities received or delivered from processing
creations or redemptions. |
See
notes to financial statements. |
70 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
NOTES
TO FINANCIAL STATEMENTS |
August
31, 2016 |
Guggenheim
China All-Cap ETF | |
Guggenheim
China Technology ETF | |
Guggenheim
Emerging Markets Real Estate ETF | |
Guggenheim
Solar ETF | |
Guggenheim
S&P Global Water Index ETF | |
Guggenheim
S&P High Income Infrastructure ETF | |
Guggenheim
Total Return Bond ETF | |
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
Fund |
Index |
Guggenheim
China All-Cap ETF |
AlphaShares
China All-Cap Index |
Guggenheim
China Technology ETF |
AlphaShares
China Technology Index |
Guggenheim
Emerging Markets |
AlphaShares
Emerging Markets |
Real
Estate ETF |
Real
Estate Index |
Guggenheim
Solar ETF |
MAC
Global Solar Energy Index |
Guggenheim
S&P Global Water Index ETF |
S&P
Global Water Index |
Guggenheim
S&P High Income Infrastructure ETF |
S&P
High Income Infrastructure Index |
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
Guggenheim
U.S. Large Cap Optimized Volatility Index |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 71 |
NOTES
TO FINANCIAL STATEMENTS continued |
August
31, 2016 |
72 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
NOTES
TO FINANCIAL STATEMENTS continued |
August
31, 2016 |
Fund |
Frequency |
Guggenheim
China All-Cap ETF |
Annual |
Guggenheim
China Technology ETF |
Annual |
Guggenheim
Emerging Markets Real Estate ETF |
Quarterly |
Guggenheim
Solar ETF |
Annual |
Guggenheim
S&P Global Water Index ETF |
Annual |
Guggenheim
S&P High Income Infrastructure ETF |
Quarterly |
Guggenheim
Total Return Bond ETF |
Monthly |
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
Annual |
Value
of |
|||||||||||||
Securities |
Cash |
Non-Cash |
Total |
||||||||||
Fund |
Loaned |
Collateral |
Collateral |
Collateral |
|||||||||
Guggenheim
China |
|||||||||||||
All-Cap
ETF |
$ |
614,198 |
$ |
430,189 |
$ |
234,996 |
$ |
665,185 |
|||||
Guggenheim
China |
|||||||||||||
Technology
ETF |
6,721,103 |
5,215,384 |
1,841,867 |
7,057,251 |
|||||||||
Guggenheim
Emerging |
|||||||||||||
Markets
Real |
|||||||||||||
Estate
ETF |
— |
— |
— |
— |
|||||||||
Guggenheim
Solar ETF |
98,800,944 |
90,323,450 |
12,680,331 |
103,003,781 |
|||||||||
Guggenheim
S&P |
|||||||||||||
Global
Water |
|||||||||||||
Index
ETF |
7,141,850 |
2,932,901 |
4,655,102 |
7,588,003 |
|||||||||
Guggenheim
S&P |
|||||||||||||
High
Income |
|||||||||||||
Infrastructure
ETF |
303,807 |
314,606 |
— |
314,606 |
|||||||||
Guggenheim
Total |
|||||||||||||
Return
Bond Fund ETF |
883,712 |
902,335 |
— |
902,335 |
|||||||||
Guggenheim
U.S. Large Cap |
|||||||||||||
Optimized
Volatility ETF |
— |
— |
— |
— |
Investment |
||
Fund |
Advisor |
Rate |
Guggenheim
Solar ETF |
GFIA |
0.50% |
Guggenheim
S&P Global Water Index ETF |
GFIA |
0.50% |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 73 |
NOTES
TO FINANCIAL STATEMENTS continued |
August
31, 2016 |
Investment |
||
Fund |
Advisor |
Rate |
Guggenheim
China All-Cap ETF |
GFIA |
0.70% |
Guggenheim
China Technology ETF |
GFIA |
0.70% |
Guggenheim
Emerging Markets Real Estate ETF |
GFIA |
0.65% |
Guggenheim
S&P High Income Infrastructure ETF |
GFIA |
0.45% |
Guggenheim
Total Return Bond ETF |
GPIM |
0.50% |
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
GFIA |
0.30% |
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% |
Fund |
Fund
Administration Expense | ||
Guggenheim
Solar ETF |
$ |
64,167 | |
Guggenheim
S&P Global Water Index ETF |
88,884 |
Fund |
Advisory
Fees Waived | ||
Guggenheim
Solar ETF |
$ |
405,821 | |
Guggenheim
S&P Global Water Index ETF |
3,540 | ||
Guggenheim
Total Return Bond ETF |
1,056 |
Fund |
Licensor |
Guggenheim
China All-Cap ETF |
AlphaShares,
LLC |
Guggenheim
China Technology ETF |
AlphaShares,
LLC |
Guggenheim
Emerging Markets Real Estate ETF |
AlphaShares,
LLC |
Guggenheim
Solar ETF |
MAC
Indexing LLC |
Guggenheim
S&P Global Water Index ETF |
Standard
& Poor's Financial Services LLC, |
a
division of McGraw-Hill Financial | |
Guggenheim
S&P High Income Infrastructure ETF |
S&P
Dow Jones Index Group |
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
Accretive
Asset Management, LLC |
74 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
NOTES
TO FINANCIAL STATEMENTS continued |
August
31, 2016 |
Fund |
Cost
of Investments for Tax Purposes |
Gross
Tax Unrealized Appreciation |
Gross
Tax Unrealized (Depreciation) |
Net
Tax Unrealized Appreciation (Depreciation) on Investments |
|||||||||
Guggenheim
China All-Cap ETF |
$ |
24,728,307 |
$ |
4,126,182 |
$ |
(5,000,650 |
) |
$ |
(874,468 |
) | |||
Guggenheim
China Technology ETF |
51,775,845 |
9,148,664 |
(10,595,468 |
) |
(1,446,804 |
) | |||||||
Guggenheim
Emerging Markets Real Estate ETF |
2,333,549 |
284,249 |
(326,797 |
) |
(42,548 |
) | |||||||
Guggenheim
Solar ETF |
472,822,315 |
— |
(153,059,558 |
) |
(153,059,558 |
) | |||||||
Guggenheim
S&P Global Water Index ETF |
345,917,271 |
113,498,915 |
(25,380,265 |
) |
88,118,650 |
||||||||
Guggenheim
S&P High Income Infrastructure ETF |
4,303,445 |
187,873 |
(256,421 |
) |
(68,548 |
) | |||||||
Guggenheim
Total Return Bond ETF |
21,343,128 |
754,740 |
(23,365 |
) |
731,375 |
||||||||
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
2,522,707 |
115,589 |
(49,976 |
) |
65,613 |
Undistributed Ordinary Income |
Undistributed Long-Term Capital Gains |
Net
Unrealized Appreciation/ (Depreciation |
Capital
Loss Carryforward |
||||||||||
Fund |
) |
||||||||||||
Guggenheim
China All-Cap ETF |
$ |
371,596 |
$ |
— |
$ |
(874,469 |
) |
$ |
(10,265,278 |
) | |||
Guggenheim
China Technology ETF |
773,914 |
— |
(1,446,800 |
) |
(16,142,295 |
) | |||||||
Guggenheim
Emerging Markets Real Estate ETF |
— |
— |
(42,533 |
) |
(125,868 |
) | |||||||
Guggenheim
Solar ETF |
5,669,490 |
— |
(153,060,830 |
) |
(401,173,936 |
) | |||||||
Guggenheim
S&P Global Water Index ETF |
6,123,003 |
— |
88,097,309 |
(99,724,502 |
) | ||||||||
Guggenheim
S&P High Income Infrastructure ETF |
45,422 |
— |
(68,568 |
) |
— |
||||||||
Guggenheim
Total Return Bond ETF |
247,857 |
— |
732,262 |
— |
|||||||||
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
17,541 |
— |
65,613 |
(18,795 |
) | ||||||||
Note:
Capital Loss Carryforward amounts may be limited due to Federal income tax
regulations. |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 75 |
NOTES
TO FINANCIAL STATEMENTS continued |
August
31, 2016 |
Distributions |
|||||||||||||
Distributions |
Paid
from |
Distributions |
|||||||||||
Paid
from |
Long-Term |
Paid
from |
Total |
||||||||||
Fund |
Ordinary
Income |
Capital
Gains |
Return
of Capital |
Distributions |
|||||||||
Guggenheim
China All-Cap ETF |
$ |
960,740 |
$ |
— |
$ |
— |
$ |
960,740 |
|||||
Guggenheim
China Technology ETF |
921,765 |
— |
— |
921,765 |
|||||||||
Guggenheim
Emerging Markets Real Estate ETF |
60,408 |
— |
7,792 |
68,200 |
|||||||||
Guggenheim
Solar ETF |
4,984,353 |
— |
— |
4,984,353 |
|||||||||
Guggenheim
S&P Global Water Index ETF |
5,868,264 |
— |
— |
5,868,264 |
|||||||||
Guggenheim
S&P High Income Infrastructure ETF |
136,030 |
— |
— |
136,030 |
|||||||||
Guggenheim
Total Return Bond ETF |
220,025 |
— |
— |
220,025 |
|||||||||
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
— |
— |
— |
— |
Fund |
Distributions
paid from ordinary income | ||
Guggenheim
China All-Cap ETF |
$ |
1,225,500 | |
Guggenheim
China Technology ETF |
672,750 | ||
Guggenheim
Emerging Markets Real Estate ETF |
82,270 | ||
Guggenheim
Solar ETF |
5,534,720 | ||
Guggenheim
S&P Global Water Index ETF |
5,956,080 | ||
Guggenheim
S&P High Income Infrastructure ETF |
43,620 |
Undistributed |
Accumulated |
|||||||||
Paid-in |
Net
Investment |
Net
Realized |
||||||||
Fund |
Capital |
Income |
Gain/(Loss |
) | ||||||
Guggenheim
China All-Cap ETF |
$ |
148,907 |
$ |
2,609 |
$ |
(151,516 |
) | |||
Guggenheim
China Technology ETF |
3,672,499 |
33,359 |
(3,705,858 |
) | ||||||
Guggenheim
Emerging Markets Real Estate ETF |
— |
2,878 |
(2,878 |
) | ||||||
Guggenheim
Solar ETF |
226,090 |
(310,823 |
) |
84,733 |
||||||
Guggenheim
S&P Global Water Index ETF |
2,093,776 |
(243,515 |
) |
(1,850,261 |
) | |||||
Guggenheim
S&P High Income Infrastructure ETF |
398,648 |
(2,369 |
) |
(396,279 |
) | |||||
Guggenheim
Total Return Bond ETF |
— |
11,223 |
(11,223 |
) | ||||||
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
21,725 |
(699 |
) |
(21,026 |
) |
76 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
NOTES
TO FINANCIAL STATEMENTS continued |
August
31, 2016 |
Unlimited |
Unlimited |
Total |
|||||||||||||||||
Capital
Loss |
Capital
Loss |
Capital
Loss |
Short-Term |
Long-Term |
Capital
Loss |
||||||||||||||
Fund |
Expiring
in 2017 |
Expiring
in 2018 |
Expiring
in 2019 |
Capital
Loss |
Capital
Loss |
Carryforward |
|||||||||||||
Guggenheim
China All-Cap ETF |
$ |
— |
$ |
(29,627 |
) |
$ |
(853,049 |
) |
$ |
(1,515,767 |
) |
$ |
(7,866,835 |
) |
$ |
(10,265,278 |
) | ||
Guggenheim
China Technology ETF |
— |
— |
(188,097 |
) |
(6,946,816 |
) |
(9,007,382 |
) |
(16,142,295 |
) | |||||||||
Guggenheim
Emerging Markets Real Estate ETF |
— |
— |
— |
(51,308 |
) |
(74,560 |
) |
(125,868 |
) | ||||||||||
Guggenheim
Solar ETF |
(6,030,482 |
) |
(118,836,026 |
) |
(21,764,929 |
) |
(71,187,262 |
) |
(183,355,237 |
) |
(401,173,936 |
) | |||||||
Guggenheim
S&P Global Water Index ETF |
(31,879,617 |
) |
(38,476,281 |
) |
(16,548,141 |
) |
(1,163,511 |
) |
(11,656,952 |
) |
(99,724,502 |
) | |||||||
Guggenheim
S&P High Income Infrastructure ETF |
— |
— |
— |
— |
— |
— |
|||||||||||||
Guggenheim
Total Return Bond ETF |
— |
— |
— |
— |
— |
— |
|||||||||||||
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
— |
— |
— |
(18,795 |
) |
— |
(18,795 |
) |
Fund |
Amount | |
Guggenheim
S&P Global Water Index ETF |
$ |
30,357 |
Guggenheim
S&P High Income Infrastructure ETF |
20,789 |
Fund |
Purchases |
Sales | ||||
Guggenheim
China All-Cap ETF |
$ |
6,431,066 |
$ |
7,071,125 | ||
Guggenheim
China Technology ETF |
22,887,628 |
23,418,157 | ||||
Guggenheim
Emerging Markets Real |
||||||
Estate
ETF |
377,267 |
409,176 | ||||
Guggenheim
Solar ETF |
129,452,602 |
129,410,726 | ||||
Guggenheim
S&P Global Water Index ETF |
25,660,884 |
22,483,850 | ||||
Guggenheim
S&P High Income |
||||||
Infrastructure
ETF |
1,641,269 |
2,496,180 | ||||
Guggenheim
Total Return Bond ETF |
38,583,312 |
21,184,299 | ||||
Guggenheim
U.S. Large Cap Optimized |
||||||
Volatility
ETF |
551,135 |
564,746 |
Fund |
Purchases |
Sales | ||||
Guggenheim
China All-Cap ETF |
$ |
1,590 |
$ |
7,405,604 | ||
Guggenheim
China Technology ETF |
1,613,707 |
16,101,725 | ||||
Guggenheim
Solar ETF |
139,090,700 |
79,021,159 | ||||
Guggenheim
S&P Global Water Index ETF |
43,710,902 |
6,204,977 | ||||
Guggenheim
S&P High Income |
||||||
Infrastructure
ETF |
3,565,377 |
1,675,394 | ||||
Guggenheim
U.S. Large Cap Optimized |
||||||
Volatility
ETF |
3,789,678 |
1,255,591 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 77 |
NOTES
TO FINANCIAL STATEMENTS continued |
August
31, 2016 |
Realized |
||||||||||
Purchases |
Sales |
Gain
(Loss |
) | |||||||
Guggenheim
Total Return Bond |
$ |
349,210 |
$ |
183,938 |
$ |
13,214 |
Counterparty |
||||||||||||||||
and
Terms of |
Repurchase |
|||||||||||||||
Agreement |
Face
Value |
Price |
Collateral |
Par
Value |
Fair
Value |
|||||||||||
Jefferies
& |
$ |
1,050,000 |
$ |
1,051,267 |
Neuberger |
$ |
2,524,750 |
$ |
2,019,800 |
|||||||
Company,
Inc. |
Berman
CLO |
|||||||||||||||
3.62%,
due |
Ltd.,
8.79%, |
|||||||||||||||
09/12/2016 |
07/15/2027 |
|||||||||||||||
$ |
1,050,000 |
$ |
2,019,800 |
78 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
NOTES
TO FINANCIAL STATEMENTS continued |
August
31, 2016 |
Unrealized |
|||||||||||||||||||
Termination |
Notional |
Receive |
Appreciation |
||||||||||||||||
Broker |
Exchange |
Date |
Amount
($000 |
) |
Fixed
Rate |
Floating
Rate |
(Depreciation |
) | |||||||||||
Merrill
Lynch |
CME |
08/10/2023 |
$ |
500 |
1.336 |
% |
3
Month LIBOR |
$ |
(512 |
) | |||||||||
Merrill
Lynch |
CME |
09/02/2025 |
$ |
1,650 |
1.409 |
% |
3
Month LIBOR |
1,399 |
|||||||||||
$ |
887 |
Statement
of Assets and Liabilities |
|||||||||||||
Presentation
of Fair Values of Derivative Instruments: |
|||||||||||||
Asset
Derivatives |
Liability
Derivatives | ||||||||||||
Statement
of Assets and |
Fair
Value |
Statement
of Assets and |
Fair
Value |
||||||||||
Primary
Risk Exposure |
Liabilities
Location |
Liabilities
Location |
|||||||||||
Interest
Rate Risk |
Variation
margin on |
$ |
1,399 |
* |
Variation
margin on |
$ |
512 |
* | |||||
swap
agreements |
swap
agreements |
||||||||||||
Total |
$ |
1,399 |
$ |
512 |
* |
Includes
cumulative appreciation (depreciation) of swap agreements as reported in
Note 11. Only current day's variation margin is reported within the
Statement of Assets and Liabilities. |
Effect
of Derivative Instruments on the Statement of Operations: | |||||||
Amount
of Net Realized Gain (Loss) on Derivatives | |||||||
Swap |
|||||||
Primary
Risk Exposure |
Agreements |
Total |
|||||
Interest
Rate Risk |
$ |
(67,974 |
) |
$ |
(67,974 |
) | |
Total |
$ |
(67,974 |
) |
$ |
(67,974 |
) |
Net
Change in Unrealized Appreciation (Depreciation) on
Derivatives | |||||||
Swap |
|||||||
Primary
Risk Exposure |
Agreements |
Total |
|||||
Interest
Rate Risk |
$ |
887 |
$ |
887 |
|||
Total |
$ |
887 |
$ |
887 |
For
the Period Ended | |||||||||||||||||||
Share
Activity |
August
31, 2016 | ||||||||||||||||||
Dividends
and |
|||||||||||||||||||
Balance |
Balance |
Capital
Gains |
|||||||||||||||||
Security
Name |
8/31/2015 |
Purchases |
Sales |
8/31/2016 |
Value |
Distributions
Received |
|||||||||||||
Guggenheim
Strategic Opportunities Fund |
— |
10,851 |
— |
10,851 |
$ |
207,688 |
$ |
3,952 |
|||||||||||
$ |
207,688 |
$ |
3,952 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 79 |
NOTES
TO FINANCIAL STATEMENTS continued |
August
31, 2016 |
80 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 81 |
SUPPLEMENTAL
INFORMATION (Unaudited) |
August
31, 2016 |
Dividend |
Qualified |
||
Fund |
received
deduction |
dividend
income |
|
Guggenheim
China All-Cap ETF |
0.00% |
68.99% |
|
Guggenheim
China Technology ETF |
0.00% |
17.59% |
|
Guggenheim
Emerging Markets Real Estate ETF |
0.00% |
48.65% |
|
Guggenheim
Solar ETF |
5.08% |
9.31% |
|
Guggenheim
S&P Global Water Index ETF |
26.16% |
99.77% |
|
Guggenheim
S&P High Income Infrastructure ETF |
20.07% |
77.69% |
|
Guggenheim
Total Return Bond ETF |
0.84% |
0.00% |
|
Guggenheim
U.S. Large Cap Optimized Volatility ETF |
0.00% |
0.00% |
82 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SUPPLEMENTAL
INFORMATION (Unaudited) continued |
August
31, 2016 |
Name,
Address* and Year of Birth |
Position(s) Held with Trust |
Term
of Office and Length of Time Served** |
Principal
Occupation(s) During Past Five Years |
Number
of Portfolios in Fund Complex Overseen |
Other
Directorships Held by Trustee | |||||
Independent
Trustees: |
||||||||||
Randall
C. Barnes (1951) |
Trustee |
Since
2006 |
Current:
Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). |
101 |
Current:
Trustee, Purpose Investments Funds (2014-present). | |||||
Donald A.
Chubb, Jr. (1946 ) |
Trustee |
Since
2014 |
Current:
Business broker and manager of commercial real estate, Griffith &
Blair, Inc. (1997-present). |
97 |
Current:
Midland Care, Inc. (2011-present). | |||||
Jerry B.
Farley (1946) |
Trustee |
Since
2014 |
Current:
President, Washburn University (1997-present). |
97 |
Current:
Westar Energy, Inc. (2004-present); Core First Bank & Trust
(2000-present). | |||||
Roman
Friedrich III (1946) |
Trustee
and Chairman of the Contracts Review Committee |
Since
2010 |
Current:
Founder and Managing Partner, Roman Friedrich & Company
(1998-present). Former: Senior Managing Director, MLV & Co. LLC (2010-2011). |
97 |
Current:
Zincore Metals, Inc. (2009-present).
Former:
Axiom Gold and Silver Corp. (2011-2012). | |||||
Robert B.
Karn III (1942) |
Trustee
and Chairman of the Audit Committee |
Since
2010 |
Current:
Consultant (1998-present). Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997). |
97 |
Current:
Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC
(2002- present). | |||||
Ronald A.
Nyberg (1953) |
Trustee
and Chairman of the Nominating and Governance Committee |
Since
2006 |
Current:
Partner, Momkus McCluskey Roberts, LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel and Corporate Secretary, Van Kampen Investments (1982-1999). |
103 |
Current:
Edward-Elmhurst Healthcare System (2012-present). | |||||
Maynard
F. Oliverius (1943) |
Trustee |
Since
2014 |
Current:
Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012). |
97 |
Current:
Fort Hays State University Foundation (1999-present); Stormont-Vail
Foundation (2013- present); University of Minnesota MHA Alumni
Philanthropy Committee (2009-present). Former: Topeka Community Foundation (2009-2014). | |||||
Ronald E.
Toupin, Jr. (1958) |
Trustee
and Chairman of the Board |
Since
2006 |
Current:
Portfolio Consultant (2010-present). Former: Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). |
100 |
Former:
Bennett Group of Funds (2011-2013). |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 83 |
SUPPLEMENTAL
INFORMATION (Unaudited) continued |
August
31, 2016 |
Name,
Address* and Year of Birth |
Position(s) Held with Trust |
Term
of Office and Length of Time Served** |
Principal
Occupation(s) During Past Five Years |
Number
of Portfolios in Fund Complex Overseen |
Other
Directorships Held by Trustee | |||||
Interested
Trustee: |
||||||||||
Donald
C. Cacciapaglia*** (1951) |
President,
Chief Executive Officer and Trustee |
Since
2012 |
Current:
President and CEO, certain other funds in the Fund Complex (2012-present);
Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010). |
232 |
Current:
Clear Spring Life Insurance Company (2015-present); Guggenheim Partners
Japan, Ltd. (2014-present); Guggenheim Partners Investment Management
Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim
Life and Annuity Company (2011-present); Paragon Life Insurance Company of
Indiana (2011-present). |
* |
The
business address of each Trustee is c/o Guggenheim Investments, 227 West
Monroe Street, Chicago, IL 60606. |
** |
Each
Trustee serves an indefinite term, until his successor is elected and
qualified. |
*** |
This
Trustee is deemed to be an "interested person" of the Funds under the 1940
Act by reason of his position with the Funds' Investment Adviser and/or
the parent of the Investment Adviser. |
Name,
Address* and Year of Birth |
Position(s)
held with the Trust |
Term
of Office and Length of Time Served** |
Principal
Occupations During Past Five Years | |||
Officers: |
||||||
William
H. Belden, III (1965) |
Vice
President |
Since
2006 |
Current:
Vice President, certain other funds in the Fund Complex (2006-present);
Managing Director, Guggenheim Funds Investment Advisors, LLC
(2005-present). Former: Vice President of Management, Northern Trust Global Investments (1999-2005). | |||
Joanna M.
Catalucci (1966) |
Chief
Compliance Officer |
Since
2012 |
Current:
Chief Compliance Officer, certain funds in the Fund Complex
(2012-present); Senior Managing Director, Guggenheim Investments
(2012-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). | |||
James M.
Howley (1972) |
Assistant
Treasurer |
Since
2006 |
Current:
Director, Guggenheim Investments (2004-present); Assistant Treasurer,
certain other funds in the Fund Complex (2006-present). Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). | |||
Keith
Kemp (1960) |
Assistant
Treasurer |
Since
2016 |
Current:
Managing Director of Transparent Value, LLC (April 2015-present); Managing
Director of Guggenheim Investments (April 2015-present). Former: Director, Transparent Value, LLC (2010-2015); Director, Guggenheim Investments (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). | |||
Amy J.
Lee (1961) |
Chief
Legal Officer |
Since
2013 |
Current:
Chief Legal Officer, certain other funds in the Fund Complex
(2013-present); Senior Managing Director, Guggenheim Investments
(2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | |||
Mark E.
Mathiasen (1978) |
Secretary |
Since
2011 |
Current:
Secretary, certain other funds in the Fund Complex (2007-present);
Managing Director, Guggenheim Investments (2007-present). | |||
Glenn
McWhinnie (1969) |
Assistant
Treasurer |
Since
2016 |
Current:
Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
84 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
SUPPLEMENTAL
INFORMATION (Unaudited) continued |
August
31, 2016 |
Name,
Address* and Year of Birth |
Position(s)
held with the Trust |
Term
of Office and Length of Time Served** |
Principal
Occupations During Past Five Years | |||
Officers
continued: |
||||||
Michael
P. Megaris (1984) |
Assistant
Secretary |
Since
2014 |
Current:
Assistant Secretary, certain other funds in the Fund Complex
(2014-present); Vice President, Guggenheim Investments
(2012-present). Former: J.D., University of Kansas School of Law (2009-2012). | |||
Adam J.
Nelson (1979) |
Assistant
Treasurer |
Since
2015 |
Current:
Vice President, Guggenheim Investments (2015-present); Assistant
Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). | |||
Kimberly
J. Scott (1974) |
Assistant
Treasurer |
Since
2012 |
Current:
Vice President, Guggenheim Investments (2012-present); Assistant
Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). | |||
Bryan
Stone (1979) |
Vice
President |
Since
2014 |
Current:
Vice President, certain other funds in the Fund Complex (2014-present);
Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). | |||
John L.
Sullivan (1955) |
Chief
Financial Officer, Chief Accounting Officer and Treasurer |
Since
2010 |
Current:
CFO, Chief Accounting Officer and Treasurer, certain other funds in the
Fund Complex (2010-present); Senior Managing Director, Guggenheim
Investments (2010-present). Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004- 2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
* |
The
business address of each officer is c/o Guggenheim Investments, 227 West
Monroe Street, Chicago, IL 60606. |
** |
Each
officer serves an indefinite term, until his or her successor is duly
elected and qualified. The date reflects the commencement date upon which
the officer held any officer position with the
Trust. |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 85 |
APPROVAL
OF ADVISORY AGREEMENTS – |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 |
August
31, 2016 |
86 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
APPROVAL
OF ADVISORY AGREEMENTS – |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 87 |
APPROVAL
OF ADVISORY AGREEMENTS – |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 continued |
August
31, 2016 |
88 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
APPROVAL
OF ADVISORY AGREEMENTS – |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 continued |
August
31, 2016 |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 89 |
APPROVAL
OF ADVISORY AGREEMENTS – |
|
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 continued |
August
31, 2016 |
APPENDIX
A | |
Claymore
Exchange-Traded Fund Trust 2 | |
• |
Guggenheim
Canadian Energy Income ETF (ENY) |
• |
Guggenheim
China All-Cap ETF (YAO) |
• |
Guggenheim
China Real Estate ETF (TAO) |
• |
Guggenheim
China Small Cap ETF (HAO) |
• |
Guggenheim
China Technology ETF (CQQQ) |
• |
Guggenheim
Emerging Markets Real Estate ETF (EMRE) |
• |
Guggenheim
Frontier Markets ETF (FRN) |
• |
Guggenheim
International Multi-Asset Income ETF (HGI) |
• |
Guggenheim
Shipping ETF (SEA) |
• |
Guggenheim
Solar ETF (TAN) |
• |
Guggenheim
Timber ETF (CUT) |
• |
Guggenheim
S&P Global Water Index ETF (CGW) |
• |
Guggenheim
S&P High Income Infrastructure ETF (GHII) |
90 l
CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL
REPORT |
TRUST
INFORMATION |
August
31, 2016 |
Board
of Trustees
Randall C.
Barnes
Donald C.
Cacciapaglia*
Donald A.
Chubb, Jr.
Jerry
B. Farley
Roman
Friedrich III
Robert B.
Karn III
Ronald A.
Nyberg
Maynard F.
Oliverius
Ronald E.
Toupin, Jr.,
Chairman
|
Principal
Executive Officers
Donald C.
Cacciapaglia
President
and Chief
Executive
Officer
Joanna M.
Catalucci
Chief
Compliance Officer
Amy
J. Lee
Chief
Legal Officer
Mark
E. Mathiasen
Secretary
John
L. Sullivan
Chief
Financial Officer,
Chief
Accounting Officer
and
Treasurer |
Investment
Adviser
Guggenheim
Funds
Investment
Advisors, LLC
Chicago,
IL
Investment
Adviser
(for
Guggenheim Total
Return
Bond ETF)
Guggenheim
Partners
Investment
Management,
LLC
Santa
Monica, CA
Distributor
Guggenheim
Funds
Distributors,
LLC
Chicago,
IL
Administrator
MUFG
Investor
Services
(US), LLC
Rockville,
MD |
Accounting
Agent,
Custodian
and
Transfer
Agent
The
Bank of New York
Mellon
Corp.
New
York, NY
Legal
Counsel
Dechert
LLP
New
York, NY
Independent
Registered
Public
Accounting Firm
Ernst
& Young LLP
Chicago,
IL | ||||
* |
Trustee is
an "interested person" (as defined in section 2(a)(19) of the 1940 Act)
("Interested Trustee") of the Trust because of his position as the
President and CEO of the Investment Adviser and the
Distributor. |
CLAYMORE
EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 91 |
ABOUT
THE TRUST ADVISER |