N-Q 1 gug56219etf1-nq.htm ETF TRUST 1 gug56219etf1-nq.htm
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC  20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
 
Investment Company Act file number
     811-21906
 
Claymore Exchange-Traded Fund Trust
(Exact name of registrant as specified in charter)
 
2455 Corporate West Drive, Lisle, IL 60532
  (Address of principal executive offices) (Zip code)
 
Amy J. Lee
 
2455 Corporate West Drive, Lisle, IL 60532
(Name and address of agent for service)
 
Registrant’s telephone number, including area code:  (630) 505-3700
 
Date of fiscal year end: May 31                                                       
 
Date of reporting period: November 1, 2012 to February 28, 2013                                                                                                           
 
 
 
 
 
 
 
 
Item 1. Schedule of Investments.
Attached hereto.
 
BSCD Guggenheim BulletShares 2013 Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 92.7%
          
     
Advertising - 0.1%
          
 
$200,000
  
Interpublic Group of Cos., Inc.
BB+
10.000%
07/15/2017
07/15/13 @ 105
$216,250
                 
     
Agriculture - 2.0%
          
 
1,656,000
  
Altria Group, Inc.
BBB
8.500%
11/10/2013
N/A
1,745,663
 
1,725,000
  
Philip Morris International, Inc.
A
4.875%
05/16/2013
N/A
1,740,949
               
3,486,612
                 
     
Auto Manufacturers - 1.2%
          
 
1,909,000
  
Daimler Finance North America LLC
A-
6.500%
11/15/2013
N/A
1,985,503
                 
     
Banks - 27.2%
          
 
1,425,000
  
American Express Bank FSB, Series BKNT
A-
5.500%
04/16/2013
N/A
1,433,838
 
2,040,000
  
Bank of America Corp., Series MTN
A-
4.900%
05/01/2013
N/A
2,053,984
 
558,000
  
Bank of America Corp.
BBB+
4.750%
08/15/2013
N/A
567,585
 
1,200,000
  
Bank of Montreal (Canada)
A+
2.125%
06/28/2013
N/A
1,207,136
 
775,000
  
Bank of New York Mellon Corp., Series MTN
A+
4.500%
04/01/2013
N/A
777,323
 
839,000
  
Bank of New York Mellon Corp., Series MTN
A+
5.125%
08/27/2013
N/A
858,400
 
1,850,000
  
Bank of Nova Scotia (Canada)
A+
2.375%
12/17/2013
N/A
1,880,360
 
500,000
  
BB&T Corp., Series MTN
A-
3.375%
09/25/2013
N/A
508,484
 
1,602,000
  
Canadian Imperial Bank of Commerce (Canada)
A+
1.450%
09/13/2013
N/A
1,611,479
 
3,851,000
  
Citigroup, Inc.
A-
5.500%
04/11/2013
N/A
3,873,474
 
879,000
  
Citigroup, Inc.
A-
5.850%
07/02/2013
N/A
894,089
 
2,090,000
  
Citigroup, Inc.
A-
6.500%
08/19/2013
N/A
2,146,806
 
1,399,000
  
Citigroup, Inc.
A-
6.000%
12/13/2013
N/A
1,455,732
 
3,744,000
  
Credit Suisse, Series MTN (Switzerland)
A+
5.000%
05/15/2013
N/A
3,777,876
 
2,691,000
  
Deutsche Bank AG, Series GMTN (Germany)
A+
4.875%
05/20/2013
N/A
2,715,407
 
600,000
  
Fifth Third Bancorp
BBB
6.250%
05/01/2013
N/A
605,825
 
819,000
  
Goldman Sachs Group, Inc.
A-
5.250%
04/01/2013
N/A
821,785
 
2,018,000
  
Goldman Sachs Group, Inc.
A-
4.750%
07/15/2013
N/A
2,048,809
 
2,636,000
  
Goldman Sachs Group, Inc.
A-
5.250%
10/15/2013
N/A
2,710,486
 
2,228,000
  
JPMorgan Chase & Co.
A
4.750%
05/01/2013
N/A
2,243,424
 
900,000
  
JPMorgan Chase & Co., Series 2
A
1.650%
09/30/2013
N/A
906,780
 
539,000
  
KeyCorp, Series MTN
BBB+
6.500%
05/14/2013
N/A
545,259
 
1,818,000
  
Morgan Stanley
A-
5.300%
03/01/2013
N/A
1,818,000
 
757,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
2.100%
07/29/2013
N/A
762,723
 
500,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
A
3.400%
08/23/2013
N/A
505,509
 
200,000
  
Royal Bank of Scotland PLC, Series 2 (United Kingdom)
BB+
5.000%
11/12/2013
N/A
204,100
 
698,000
  
UBS AG, Series BKNT (Switzerland)
A
2.250%
08/12/2013
N/A
702,698
 
839,000
  
US Bancorp, Series MTN
A+
2.000%
06/14/2013
N/A
843,075
 
1,150,000
  
US Bancorp, Series MTN
A+
1.375%
09/13/2013
08/13/13 @ 100
1,155,893
 
325,000
  
US Bancorp, Series MTN
A+
1.125%
10/30/2013
09/30/13 @ 100
326,729
 
2,805,000
  
Wachovia Corp., Series MTN
A+
5.500%
05/01/2013
N/A
2,827,693
 
800,000
  
Wachovia Corp., Series MTN
A+
5.700%
08/01/2013
N/A
817,874
 
1,100,000
  
Wells Fargo & Co.
A
4.950%
10/16/2013
N/A
1,129,852
               
46,738,487
                 
     
Beverages - 1.8%
          
 
669,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
2.500%
03/26/2013
N/A
669,793
 
1,300,000
  
Coca-Cola Co.
AA-
0.750%
11/15/2013
N/A
1,304,208
 
400,000
  
Coca-Cola HBC Finance BV (Netherlands)
BBB
5.125%
09/17/2013
N/A
408,075
 
360,000
  
Diageo Finance BV (Netherlands)
A-
5.500%
04/01/2013
N/A
361,350
 
400,000
  
PepsiCo, Inc.
A-
0.875%
10/25/2013
N/A
401,433
               
3,144,859
                 
     
Building Materials - 0.2%
          
 
400,000
  
CRH America, Inc.
BBB+
5.300%
10/15/2013
N/A
410,523
                 
     
Chemicals - 1.0%
          
 
539,000
  
EI du Pont de Nemours & Co.
A
5.000%
07/15/2013
N/A
548,108
 
356,000
  
ICI Wilmington, Inc.
BBB+
5.625%
12/01/2013
N/A
368,995
 
410,000
  
PPG Industries, Inc.
BBB+
5.750%
03/15/2013
N/A
410,595
 
365,000
  
Praxair, Inc.
A
2.125%
06/14/2013
N/A
366,816
               
1,694,514
                 
     
Computers - 5.7%
          
 
420,000
  
Dell, Inc.
A-
4.700%
04/15/2013
N/A
421,711
 
600,000
  
Dell, Inc.
A-
1.400%
09/10/2013
N/A
600,573
 
1,151,000
  
Hewlett-Packard Co.
BBB+
4.500%
03/01/2013
N/A
1,151,000
 
1,400,000
  
Hewlett-Packard Co.
BBB+
1.250%
09/13/2013
N/A
1,403,254
 
1,289,000
  
HP Enterprise Services, LLC, Series B
BBB+
6.000%
08/01/2013
N/A
1,316,431
 
1,400,000
  
International Business Machines Corp.
AA-
2.100%
05/06/2013
N/A
1,404,351
 
600,000
  
International Business Machines Corp., Series A
AA-
7.500%
06/15/2013
N/A
611,959
 
1,400,000
  
International Business Machines Corp.
AA-
1.000%
08/05/2013
N/A
1,404,358
 
1,350,000
  
International Business Machines Corp.
AA-
6.500%
10/15/2013
N/A
1,401,230
               
9,714,867
                 
     
Diversified Financial Services - 17.4%
          
 
800,000
  
American Express Co.
BBB+
4.875%
07/15/2013
N/A
812,694
 
1,900,000
  
American Express Credit Corp., Series MTN
A-
5.875%
05/02/2013
N/A
1,917,510
 
1,830,000
  
American Express Credit Corp., Series C
A-
7.300%
08/20/2013
N/A
1,887,610
 
300,000
  
Capital One Bank USA NA
BBB
6.500%
06/13/2013
N/A
304,779
 
500,000
  
Caterpillar Financial Services Corp., Series MTN
A
2.000%
04/05/2013
N/A
500,711
 
1,000,000
  
Caterpillar Financial Services Corp., Series MTN
A
6.200%
09/30/2013
N/A
1,033,940
 
500,000
  
Caterpillar Financial Services Corp., Series MTN
A
1.550%
12/20/2013
N/A
504,903
 
579,000
  
CME Group, Inc.
AA-
5.400%
08/01/2013
N/A
590,435
 
839,000
  
Credit Suisse USA, Inc.
A+
5.500%
08/15/2013
N/A
857,988
 
3,250,000
  
Ford Motor Credit Co., LLC
BB+
7.000%
10/01/2013
N/A
3,369,730
 
2,089,000
  
General Electric Capital Corp., Series GMTN(a)
AA+
4.800%
05/01/2013
N/A
2,103,767
 
2,552,000
  
General Electric Capital Corp., Series MTN
AA+
1.875%
09/16/2013
N/A
2,573,455
 
1,300,000
  
General Electric Capital Corp., Series GMTN
AA+
5.400%
09/20/2013
N/A
1,335,868
 
1,339,000
  
HSBC Finance Corp.
A
4.750%
07/15/2013
N/A
1,359,310
 
400,000
  
International Lease Finance Corp., Series GMTN
BBB-
6.375%
03/25/2013
N/A
401,624
 
800,000
  
International Lease Finance Corp.
BBB-
5.875%
05/01/2013
N/A
806,200
 
1,000,000
  
International Lease Finance Corp., Series MTN
BBB-
5.625%
09/20/2013
N/A
1,023,130
 
800,000
  
International Lease Finance Corp., Series MTN
BBB-
6.625%
11/15/2013
N/A
830,000
 
500,000
  
John Deere Capital Corp., Series MTN
A
4.500%
04/03/2013
N/A
501,639
 
500,000
  
John Deere Capital Corp., Series MTN
A
1.875%
06/17/2013
N/A
502,290
 
452,000
  
John Deere Capital Corp., Series MTN
A
4.900%
09/09/2013
N/A
462,590
 
350,000
  
MBNA Corp.
A-
6.125%
03/01/2013
N/A
350,000
 
1,600,000
  
Merrill Lynch & Co., Inc., Series MTN
A-
6.150%
04/25/2013
N/A
1,612,232
 
939,000
  
National Rural Utilities Cooperative Finance Corp.
A+
5.500%
07/01/2013
N/A
954,617
 
509,000
  
NYSE Euronext
A
4.800%
06/28/2013
N/A
516,014
 
1,452,000
  
SLM Corp., Series MTNA
BBB-
5.000%
10/01/2013
N/A
1,484,670
 
1,200,000
  
Toyota Motor Credit Corp., Series MTN
AA-
1.375%
08/12/2013
N/A
1,205,903
               
29,803,609
                 
     
Electric - 0.6%
          
 
800,000
  
Georgia Power Co.
A
1.300%
09/15/2013
N/A
804,088
 
182,000
  
NiSource Finance Corp.
BBB-
6.150%
03/01/2013
N/A
182,000
               
986,088
                 
     
Electronics - 0.5%
          
 
915,000
  
Honeywell International, Inc.
A
4.250%
03/01/2013
N/A
915,000
                 
     
Food - 2.7%
          
 
1,000,000
  
General Mills, Inc.
BBB+
5.250%
08/15/2013
N/A
1,021,408
 
500,000
  
HJ Heinz Co.
BBB+
5.350%
07/15/2013
N/A
507,595
 
950,000
  
Kellogg Co.
BBB+
4.250%
03/06/2013
N/A
950,103
 
1,400,000
  
Mondelez International, Inc.
BBB-
2.625%
05/08/2013
N/A
1,404,960
 
639,000
  
Mondelez International, Inc.
BBB-
5.250%
10/01/2013
N/A
656,084
               
4,540,150
                 
     
Health Care Products - 0.3%
          
 
500,000
  
Covidien International Finance SA (Luxembourg)
A
1.875%
06/15/2013
N/A
501,963
                 
     
Home Furnishings - 0.1%
          
 
200,000
  
Whirlpool Corp., Series MTN
BBB-
5.500%
03/01/2013
N/A
200,000
                 
     
Household Products & Housewares - 0.5%
          
 
250,000
  
Clorox Co.
BBB+
5.000%
03/01/2013
N/A
250,000
 
650,000
  
Kimberly-Clark Corp.
A
5.000%
08/15/2013
N/A
663,667
               
913,667
                 
     
Insurance - 4.9%
          
 
627,000
  
Aegon NV (Netherlands)
A-
4.750%
06/01/2013
N/A
633,176
 
1,839,000
  
Allstate Life Global Funding Trusts, Series MTN
A+
5.375%
04/30/2013
N/A
1,853,173
 
900,000
  
American International Group, Inc.
A-
4.250%
05/15/2013
N/A
907,530
 
1,152,000
  
Berkshire Hathaway Finance Corp.
AA+
4.600%
05/15/2013
N/A
1,160,983
 
839,000
  
Berkshire Hathaway Finance Corp.
AA+
5.000%
08/15/2013
N/A
856,575
 
1,040,000
  
Berkshire Hathaway Finance Corp.
AA+
4.625%
10/15/2013
N/A
1,066,683
 
400,000
  
MetLife, Inc.
A-
5.000%
11/24/2013
N/A
413,281
 
400,000
  
Principal Life Income Funding Trusts, Series MTN
A+
5.300%
04/24/2013
N/A
402,670
 
500,000
  
Prudential Financial, Inc., Series MTNB
A
4.500%
07/15/2013
N/A
507,433
 
600,000
  
Travelers Property Casualty Corp.
A
5.000%
03/15/2013
N/A
600,818
               
8,402,322
                 
     
Iron & Steel - 0.6%
          
 
1,094,000
  
ArcelorMittal (Luxembourg)
BB+
5.375%
06/01/2013
N/A
1,103,931
                 
     
Lodging - 0.4%
          
 
600,000
  
Wynn Las Vegas, LLC / Wynn Las Vegas Capital Corp.
BBB-
7.875%
11/01/2017
11/01/13 @ 104
647,250
                 
     
Machinery-Diversified - 0.2%
          
 
400,000
  
Roper Industries, Inc.
BBB
6.625%
08/15/2013
N/A
410,372
                 
     
Media - 3.1%
          
 
1,579,000
  
Comcast Cable Communications Holdings, Inc.
A-
8.375%
03/15/2013
N/A
1,582,516
 
600,000
  
COX Communications, Inc.
BBB
4.625%
06/01/2013
N/A
606,187
 
610,000
  
Thomson Reuters Corp. (Canada)
A-
5.950%
07/15/2013
N/A
622,092
 
1,652,000
  
Time Warner Cable, Inc.
BBB
6.200%
07/01/2013
N/A
1,681,209
 
839,000
  
Walt Disney Co., Series MTN
A
4.500%
12/15/2013
N/A
866,264
               
5,358,268
                 
     
Mining - 0.8%
          
 
375,000
  
Alcoa, Inc.
BBB-
6.000%
07/15/2013
N/A
381,856
 
519,000
  
Barrick Gold Financeco, LLC
BBB+
6.125%
09/15/2013
N/A
533,985
 
500,000
  
Rio Tinto Alcan, Inc. (Canada)
A-
4.500%
05/15/2013
N/A
503,617
               
1,419,458
                 
     
Miscellaneous Manufacturing - 1.2%
          
 
1,149,000
  
3M Co., Series MTN
AA-
4.375%
08/15/2013
N/A
1,170,414
 
850,000
  
Ingersoll-Rand Global Holding Co. Ltd. (Bermuda)
BBB+
6.000%
08/15/2013
N/A
870,869
               
2,041,283
                 
     
Oil & Gas - 4.1%
          
 
560,000
  
Apache Corp.
A-
5.250%
04/15/2013
N/A
562,907
 
3,155,000
  
BP Capital Markets PLC (United Kingdom)
A
5.250%
11/07/2013
N/A
3,259,005
 
350,000
  
ConocoPhillips Australia Funding Co.
A
5.500%
04/15/2013
N/A
351,954
 
380,000
  
EnCana Corp. (Canada)
BBB
4.750%
10/15/2013
N/A
389,418
 
800,000
  
Occidental Petroleum Corp.
A
1.450%
12/13/2013
N/A
807,518
 
1,389,000
  
Shell International Finance BV (Netherlands)
AA
1.875%
03/25/2013
N/A
1,390,217
 
279,000
  
Transocean, Inc. (Cayman Islands)
BBB-
5.250%
03/15/2013
N/A
279,393
               
7,040,412
                 
     
Pharmaceuticals - 4.1%
          
 
600,000
  
Bristol-Myers Squibb Co.
A+
5.250%
08/15/2013
N/A
613,281
 
2,401,000
  
GlaxoSmithKline Capital, Inc.
A+
4.850%
05/15/2013
N/A
2,422,384
 
900,000
  
Johnson & Johnson
AAA
3.800%
05/15/2013
N/A
906,270
 
240,000
  
McKesson Corp.
A-
5.250%
03/01/2013
N/A
240,000
 
1,100,000
  
Merck & Co., Inc.
AA
5.300%
12/01/2013
N/A
1,140,868
 
1,726,000
  
Novartis Capital Corp.
AA-
1.900%
04/24/2013
N/A
1,730,046
               
7,052,849
                 
     
Pipelines - 0.6%
          
 
350,000
  
CenterPoint Energy Resources Corp., Series B
BBB+
7.875%
04/01/2013
N/A
351,847
 
700,000
  
Kinder Morgan Energy Partners, LP
BBB
5.000%
12/15/2013
N/A
724,344
               
1,076,191
                 
     
Retail - 4.2%
          
 
200,000
  
Best Buy Co., Inc.
BB
7.250%
07/15/2013
N/A
203,500
 
1,289,000
  
Home Depot, Inc.
A-
5.250%
12/16/2013
N/A
1,338,567
 
500,000
  
McDonald's Corp., Series MTN
A
4.300%
03/01/2013
N/A
500,000
 
550,000
  
Target Corp.
A+
4.000%
06/15/2013
N/A
555,391
 
1,439,000
  
Walgreen Co.
BBB
4.875%
08/01/2013
N/A
1,464,390
 
632,000
  
Wal-Mart Stores, Inc.
AA
4.250%
04/15/2013
N/A
634,796
 
1,724,000
  
Wal-Mart Stores, Inc.
AA
4.550%
05/01/2013
N/A
1,735,482
 
750,000
  
Wal-Mart Stores, Inc.
AA
0.750%
10/25/2013
N/A
752,089
               
7,184,215
                 
     
Semiconductors - 0.4%
          
 
600,000
  
Texas Instruments, Inc.
A+
0.875%
05/15/2013
N/A
600,607
                 
     
Software - 1.3%
          
 
950,000
  
Microsoft Corp.
AAA
0.875%
09/27/2013
N/A
953,258
 
1,279,000
  
Oracle Corp.
A+
4.950%
04/15/2013
N/A
1,285,579
               
2,238,837
                 
     
Telecommunications - 5.4%
          
 
1,400,000
  
Cellco Partnership / Verizon Wireless Capital, LLC
A-
7.375%
11/15/2013
N/A
1,465,180
 
952,000
  
Deutsche Telekom International Finance BV (Netherlands)
BBB+
5.250%
07/22/2013
N/A
968,868
 
800,000
  
Deutsche Telekom International Finance BV (Netherlands)
BBB+
5.875%
08/20/2013
N/A
819,170
 
400,000
  
Qwest Communications International, Inc.
BB
7.125%
04/01/2018
04/29/13 @ 104
417,207
 
2,067,000
  
Telecom Italia Capital SA (Luxembourg)
BBB
5.250%
11/15/2013
N/A
2,115,112
 
900,000
  
Telefonica Emisiones SAU (Spain)
BBB
2.582%
04/26/2013
N/A
902,317
 
957,000
  
Verizon Communications, Inc.
A-
5.250%
04/15/2013
N/A
962,224
 
400,000
  
Verizon Global Funding Corp.
A-
4.375%
06/01/2013
N/A
403,870
 
1,200,000
  
Vodafone Group PLC (United Kingdom)
A-
5.000%
12/16/2013
N/A
1,242,844
               
9,296,792
                 
     
Water - 0.1%
          
 
150,000
  
Veolia Environnement SA (France)
BBB+
5.250%
06/03/2013
N/A
151,370
                 
     
Total Corporate Bonds - 92.7%
          
     
(Cost $158,876,125)
        
159,276,249
                 
     
US Treasury Security - 6.7%
          
 
11,500,000
  
U.S. Treasury Bill
NR
0.062%
05/02/2013
N/A
11,498,171
     
(Cost $11,498,740)
          
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 1.3%
          
 
2,193,450
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(b) (c)
        
2,193,450
     
(Cost $2,193,450)
          
                 
     
Total Investments - 100.7%
          
     
(Cost $172,568,315)
        
172,967,870
     
Liabilities in excess of Other Assets - (0.7%)
        
    (1,166,348)
     
Net Assets  - 100.0%
        
$171,801,522
 
AG - Stock Corporation
BV - Limited Liability Company
LLC - Limited Liability Company
LP - Limited Partnership
N/A- Not Applicable
NV - Publicly Traded Company
PLC - Public Limited Company
SA - Corporation
SAU - Incorporated with Limited Liability
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  Although not rated, U.S. Treasury Securities have an implied rating of AA+/Aaa.   The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
   
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
   
(a)
Security, or portion thereof, was on loan at February 28, 2013.
   
(b)
At February 28, 2013, the total market value of the Fund's securities on loan was $2,103,767 and the total market value of the collateral held by the Fund was $2,193,450.
   
(c)
Interest rate shown reflects yield as of February 28, 2013.
   
 
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
BSCD | Guggenheim BulletShares 2013 Corporate Bond ETF
   
Country Allocation***
United States
81.2%
Canada
4.4%
United Kingdom
3.3%
Netherlands
2.9%
Switzerland
2.8%
Luxembourg
2.3%
Germany
1.7%
Spain
0.6%
Bermuda
0.5%
Cayman Islands
0.2%
France
0.1%
*** Subject to change daily.  Based on corporate bonds.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $                               172,568,315
 $              408,654
 $          (9,099)
 $            399,555
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
                 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Funds’ Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of February 28, 2013.
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets:
                
Corporate Bonds
  
 $                        -
  
           159,276
  
 $                    -
  
 $                159,276
US Treasury Security
     -  
             11,498
     -  
                    11,498
Investments of Collateral for Securities Loaned  
                    2,194
  
                   -
  
                       -
  
                      2,194
Total
  
 $                 2,194
  
 $        170,774
  
 $                    -
  
 $                172,968
 
During the nine months ended February 28, 2013, there were no transfers between levels.
 
 
 
 
 
 
 
BSCE Guggenheim BulletShares 2014 Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 98.6%
          
     
Advertising - 0.4%
          
 
$600,000
  
WPP Finance (United Kingdom)
BBB
8.000%
09/15/2014
N/A
$661,066
 
333,000
  
WPP Finance 2010 (United Kingdom)
BBB
4.750%
11/21/2021
N/A
358,998
               
1,020,064
                 
     
Aerospace & Defense - 0.2%
          
 
500,000
  
Boeing Co.
A
5.000%
03/15/2014
N/A
523,232
                 
     
Agriculture - 0.7%
          
 
350,000
  
Altria Group, Inc.
BBB
7.750%
02/06/2014
N/A
372,697
 
1,227,000
  
Philip Morris International, Inc.
A
6.875%
03/17/2014
N/A
1,310,264
               
1,682,961
                 
     
Auto Manufacturers - 0.2%
          
 
500,000
  
PACCAR, Inc., Series MTN
A+
6.875%
02/15/2014
N/A
530,053
                 
     
Banks - 31.9%
          
 
700,000
  
Abbey National Treasury Services PLC (United Kingdom)
A
2.875%
04/25/2014
N/A
712,940
 
2,771,000
  
Bank of America Corp., Series MTN
A-
7.375%
05/15/2014
N/A
2,982,139
 
829,000
  
Bank of America Corp.
A-
5.375%
06/15/2014
N/A
876,309
 
1,200,000
  
Bank of America Corp.
A-
5.125%
11/15/2014
N/A
1,277,010
 
500,000
  
Bank of Montreal, Series MTN (Canada)
A+
1.750%
04/29/2014
N/A
507,892
 
1,150,000
  
Bank of New York Mellon Corp., Series MTN
A+
4.300%
05/15/2014
N/A
1,204,191
 
500,000
  
Bank of New York Mellon Corp., Series MTN
A+
1.700%
11/24/2014
10/25/14 @ 100
510,251
 
1,100,000
  
Barclays Bank PLC (United Kingdom)
A+
2.375%
01/13/2014
N/A
1,116,334
 
2,450,000
  
Barclays Bank PLC (United Kingdom)
A+
5.200%
07/10/2014
N/A
2,595,400
 
580,000
  
BB&T Corp.
A-
2.050%
04/28/2014
03/28/14 @ 100
589,695
 
400,000
  
BB&T Corp., Series MTN
A-
5.700%
04/30/2014
N/A
423,910
 
775,000
  
BBVA US Senior SAU (Spain)
BBB-
3.250%
05/16/2014
N/A
782,592
 
1,114,000
  
Capital One Financial Corp.
BBB
7.375%
05/23/2014
N/A
1,202,160
 
650,000
  
Capital One Financial Corp.
BBB
2.125%
07/15/2014
N/A
661,428
 
1,521,000
  
Citigroup, Inc.
A-
5.125%
05/05/2014
N/A
1,592,606
 
2,232,000
  
Citigroup, Inc.
A-
6.375%
08/12/2014
N/A
2,401,181
 
4,176,000
  
Citigroup, Inc.
BBB+
5.000%
09/15/2014
N/A
4,394,430
 
1,768,000
  
Citigroup, Inc., Series MTN
A-
5.500%
10/15/2014
N/A
1,888,834
 
1,300,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank (Netherlands)
AA-
1.850%
01/10/2014
N/A
1,315,799
 
1,250,000
  
Credit Suisse New York (Switzerland)
A+
2.200%
01/14/2014
N/A
1,268,296
 
2,350,000
  
Credit Suisse New York (Switzerland)
A+
5.500%
05/01/2014
N/A
2,486,526
 
1,200,000
  
Deutsche Bank (Germany)
A+
3.875%
08/18/2014
N/A
1,253,669
 
1,358,000
  
Goldman Sachs Group, Inc.
A-
5.150%
01/15/2014
N/A
1,409,965
 
2,232,000
  
Goldman Sachs Group, Inc., Series MTN
A-
6.000%
05/01/2014
N/A
2,363,523
 
1,300,000
  
Goldman Sachs Group, Inc.
A-
5.000%
10/01/2014
N/A
1,379,579
 
1,450,000
  
Goldman Sachs Group, Inc.
A-
5.500%
11/15/2014
N/A
1,556,456
 
1,100,000
  
HSBC Bank USA
A
4.625%
04/01/2014
N/A
1,145,635
 
350,000
  
JPMorgan Chase & Co., Series MTN(a)
A
5.375%
01/15/2014
N/A
365,155
 
1,200,000
  
JPMorgan Chase & Co., Series MTN
A
2.050%
01/24/2014
N/A
1,217,723
 
500,000
  
JPMorgan Chase & Co.
A-
4.875%
03/15/2014
N/A
521,429
 
2,393,000
  
JPMorgan Chase & Co.
A
4.650%
06/01/2014
N/A
2,512,028
 
2,068,000
  
JPMorgan Chase & Co.
A-
5.125%
09/15/2014
N/A
2,198,867
 
750,000
  
KeyBank NA, Series BKNT
BBB+
5.800%
07/01/2014
N/A
800,524
 
1,000,000
  
Morgan Stanley
A-
2.875%
01/24/2014
N/A
1,018,890
 
3,636,000
  
Morgan Stanley
BBB+
4.750%
04/01/2014
N/A
3,762,253
 
1,900,000
  
Morgan Stanley, Series GMTN
A-
6.000%
05/13/2014
N/A
2,009,326
 
550,000
  
Morgan Stanley
A-
2.875%
07/28/2014
N/A
564,015
 
1,400,000
  
Morgan Stanley
A-
4.200%
11/20/2014
N/A
1,467,791
 
600,000
  
Northern Trust Corp.
A+
4.625%
05/01/2014
N/A
629,172
 
500,000
  
PNC Funding Corp.
A-
3.000%
05/19/2014
N/A
514,985
 
1,000,000
  
Regions Financial Corp.
BBB-
7.750%
11/10/2014
N/A
1,105,000
 
900,000
  
Royal Bank of Canada, Series GMTN (Canada)
AA-
1.125%
01/15/2014
N/A
906,528
 
1,290,000
  
Royal Bank of Canada, Series GMTN (Canada)
AA-
1.450%
10/30/2014
N/A
1,312,654
 
600,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
BB+
5.000%
10/01/2014
N/A
620,969
 
400,000
  
State Street Corp.
A+
4.300%
05/30/2014
N/A
419,199
 
1,000,000
  
Toronto-Dominion Bank (Canada)
AA-
1.375%
07/14/2014
N/A
1,010,969
 
436,000
  
UBS AG, Series 001 (Switzerland)
A
2.250%
01/28/2014
N/A
442,595
 
1,000,000
  
US Bancorp
A+
4.200%
05/15/2014
N/A
1,045,317
 
500,000
  
US Bancorp, Series MTN
A+
2.875%
11/20/2014
N/A
520,146
 
1,250,000
  
US Bank NA, Series BKNT
A+
6.300%
02/04/2014
N/A
1,318,064
 
750,000
  
US Bank NA, Series BKNT
A+
4.950%
10/30/2014
N/A
802,114
 
837,000
  
Wachovia Bank NA, Series BKNT
A+
4.800%
11/01/2014
N/A
893,912
 
1,000,000
  
Wachovia Corp.
A
4.875%
02/15/2014
N/A
1,041,062
 
1,445,000
  
Wachovia Corp.
A
5.250%
08/01/2014
N/A
1,534,622
 
500,000
  
Wells Fargo & Co.
A
4.625%
04/15/2014
N/A
521,720
 
1,968,000
  
Wells Fargo & Co., Series GMTN
A+
3.750%
10/01/2014
N/A
2,067,939
 
700,000
  
Wells Fargo & Co.
A
5.000%
11/15/2014
N/A
747,372
 
500,000
  
Zions Bancorporation
BBB-
7.750%
09/23/2014
N/A
546,311
               
74,337,401
                 
     
Beverages - 3.7%
          
 
500,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
1.500%
07/14/2014
N/A
506,602
 
1,650,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
5.375%
11/15/2014
N/A
1,780,769
 
32,000
  
Beam, Inc.
BBB-
6.375%
06/15/2014
N/A
34,240
 
1,545,000
  
Bottling Group, LLC
A
6.950%
03/15/2014
N/A
1,647,642
 
875,000
  
Coca-Cola Co.
AA-
3.625%
03/15/2014
N/A
903,794
 
950,000
  
Coca-Cola Refreshments USA, Inc.
AA-
7.375%
03/03/2014
N/A
1,014,282
 
927,000
  
Diageo Capital PLC (United Kingdom)
A-
7.375%
01/15/2014
N/A
981,102
 
1,100,000
  
PepsiCo, Inc.
A-
3.750%
03/01/2014
N/A
1,136,299
 
500,000
  
PepsiCo, Inc.
A-
0.800%
08/25/2014
N/A
503,205
               
8,507,935
                 
     
Biotechnology - 1.1%
          
 
1,100,000
  
Amgen, Inc.
A+
1.875%
11/15/2014
N/A
1,123,174
 
700,000
  
Amgen, Inc.
A+
4.850%
11/18/2014
N/A
748,795
 
600,000
  
Gilead Sciences, Inc.
A-
2.400%
12/01/2014
N/A
617,669
               
2,489,638
                 
     
Chemicals - 1.1%
          
 
517,000
  
Dow Chemical Co.
BBB
7.600%
05/15/2014
N/A
559,265
 
500,000
  
Ecolab, Inc.
BBB+
2.375%
12/08/2014
N/A
514,226
 
500,000
  
EI du Pont de Nemours & Co.
A
4.875%
04/30/2014
N/A
525,927
 
400,000
  
Potash Corp. of Saskatchewan, Inc. (Canada)
A-
5.250%
05/15/2014
N/A
421,987
 
500,000
  
Sherwin-Williams Co.
A
3.125%
12/15/2014
N/A
521,354
               
2,542,759
                 
     
Commercial Services - 0.5%
          
 
600,000
  
Western Union Co.
BBB+
6.500%
02/26/2014
N/A
633,251
 
600,000
  
Yale University, Series MTN
AAA
2.900%
10/15/2014
N/A
623,737
               
1,256,988
                 
     
Computers - 3.3%
          
 
620,000
  
Dell, Inc.
A-
5.625%
04/15/2014
N/A
649,949
 
2,087,000
  
Hewlett-Packard Co.
BBB+
6.125%
03/01/2014
N/A
2,192,771
 
400,000
  
Hewlett-Packard Co.
BBB+
1.550%
05/30/2014
N/A
401,941
 
1,420,000
  
Hewlett-Packard Co.
BBB+
4.750%
06/02/2014
N/A
1,482,585
 
500,000
  
Hewlett-Packard Co.
BBB+
2.625%
12/09/2014
N/A
511,819
 
850,000
  
International Business Machines Corp.
AA-
1.250%
05/12/2014
N/A
859,319
 
1,540,000
  
International Business Machines Corp.
AA-
0.875%
10/31/2014
N/A
1,554,256
               
7,652,640
                 
     
Cosmetics & Personal Care - 1.1%
          
 
400,000
  
Avon Products, Inc.
BBB-
5.625%
03/01/2014
N/A
416,890
 
1,100,000
  
Procter & Gamble Co.
AA-
0.700%
08/15/2014
N/A
1,106,926
 
900,000
  
Procter & Gamble Co.
AA-
4.950%
08/15/2014
N/A
960,909
               
2,484,725
                 
     
Diversified Financial Services - 13.0%
          
 
1,400,000
  
American Express Co.
BBB+
7.250%
05/20/2014
N/A
1,509,893
 
1,745,000
  
American Express Credit Corp., Series MTN
A-
5.125%
08/25/2014
N/A
1,859,680
 
1,687,000
  
Bear Stearns Cos., LLC
A
5.700%
11/15/2014
N/A
1,828,128
 
1,200,000
  
BlackRock, Inc.
A+
3.500%
12/10/2014
N/A
1,263,288
 
500,000
  
Boeing Capital Corp.
A
3.250%
10/27/2014
N/A
522,800
 
1,587,000
  
Caterpillar Financial Services Corp., Series MTN
A
6.125%
02/17/2014
N/A
1,674,502
 
900,000
  
Caterpillar Financial Services Corp., Series MTN
A
1.375%
05/20/2014
N/A
910,970
 
700,000
  
CME Group, Inc.
AA-
5.750%
02/15/2014
N/A
733,980
 
1,250,000
  
Credit Suisse USA, Inc.
A+
5.125%
01/15/2014
N/A
1,299,394
 
1,200,000
  
Ford Motor Credit Co., LLC
BB+
8.000%
06/01/2014
N/A
1,295,761
 
700,000
  
Ford Motor Credit Co., LLC
BB+
8.700%
10/01/2014
N/A
780,486
 
1,720,000
  
General Electric Capital Corp.
AA+
2.100%
01/07/2014
N/A
1,746,000
 
1,968,000
  
General Electric Capital Corp.
AA+
5.900%
05/13/2014
N/A
2,095,920
 
500,000
  
General Electric Capital Corp., Series MTN
AA+
5.500%
06/04/2014
N/A
531,151
 
850,000
  
General Electric Capital Corp., Series MTN
AA+
5.650%
06/09/2014
N/A
905,369
 
1,200,000
  
General Electric Capital Corp., Series MTNA
AA+
4.750%
09/15/2014
N/A
1,275,754
 
1,500,000
  
General Electric Capital Corp., Series A
AA+
3.750%
11/14/2014
N/A
1,579,059
 
600,000
  
HSBC Finance Corp.
A
5.250%
01/15/2014
N/A
623,638
 
1,150,000
  
International Lease Finance Corp., Series MTN
BBB-
5.650%
06/01/2014
N/A
1,207,500
 
500,000
  
John Deere Capital Corp., Series MTN
A
1.600%
03/03/2014
N/A
506,134
 
500,000
  
John Deere Capital Corp., Series MTN
A
1.250%
12/02/2014
N/A
507,430
 
700,000
  
Merrill Lynch & Co., Inc., Series MTNC
A-
5.000%
02/03/2014
N/A
726,089
 
1,787,000
  
Merrill Lynch & Co., Inc., Series MTN
A-
5.450%
07/15/2014
N/A
1,887,624
 
475,000
  
National Rural Utilities Cooperative Finance Corp.
A+
4.750%
03/01/2014
N/A
495,067
 
620,000
  
SLM Corp., Series MTNA
BBB-
5.375%
05/15/2014
N/A
649,480
 
800,000
  
TD Ameritrade Holding Corp.
A
4.150%
12/01/2014
N/A
848,574
 
960,000
  
Toyota Motor Credit Corp., Series GMTN
AA-
1.250%
11/17/2014
N/A
973,268
               
30,236,939
                 
     
Electric - 1.9%
          
 
690,000
  
Commonwealth Edison Co.
A-
1.625%
01/15/2014
N/A
697,061
 
700,000
  
Duke Energy Corp.
BBB
6.300%
02/01/2014
N/A
735,364
 
580,000
  
Duke Energy Corp.
BBB
3.950%
09/15/2014
N/A
608,476
 
400,000
  
Exelon Generation Co., LLC
BBB
5.350%
01/15/2014
N/A
415,785
 
600,000
  
NiSource Finance Corp.
BBB-
5.400%
07/15/2014
N/A
636,496
 
868,000
  
Pacific Gas & Electric Co.
BBB
4.800%
03/01/2014
N/A
904,393
 
300,000
  
Southern California Edison Co.
A
5.750%
03/15/2014
N/A
315,924
               
4,313,499
                 
     
Electronics - 0.5%
          
 
600,000
  
Amphenol Corp.
BBB
4.750%
11/15/2014
N/A
637,880
 
500,000
  
Honeywell International, Inc.
A
3.875%
02/15/2014
N/A
515,912
               
1,153,792
                 
     
Food - 1.3%
          
 
600,000
  
ConAgra Foods, Inc.
BBB-
5.875%
04/15/2014
N/A
632,969
 
800,000
  
Kroger Co.
BBB
7.500%
01/15/2014
N/A
846,888
 
700,000
  
Mondelez International, Inc.
BBB-
6.750%
02/19/2014
N/A
739,891
 
300,000
  
Safeway, Inc.
BBB
6.250%
03/15/2014
N/A
314,911
 
450,000
  
Unilever Capital Corp.
A+
3.650%
02/15/2014
N/A
463,703
               
2,998,362
                 
     
Forest Products & Paper - 0.1%
          
 
100,000
  
International Paper Co.
BBB
5.500%
01/15/2014
N/A
103,572
                 
     
Gas - 0.4%
          
 
400,000
  
Atmos Energy Corp.
BBB+
4.950%
10/15/2014
N/A
426,163
 
593,000
  
Sempra Energy
BBB+
2.000%
03/15/2014
N/A
600,801
               
1,026,964
                 
     
Health Care Products - 0.7%
          
 
300,000
  
Boston Scientific Corp.
BBB-
5.450%
06/15/2014
N/A
316,614
 
500,000
  
Medtronic, Inc.
A+
4.500%
03/15/2014
N/A
520,408
 
850,000
  
St Jude Medical, Inc.
A
3.750%
07/15/2014
N/A
885,490
               
1,722,512
                 
     
Health Care Services - 0.4%
          
 
500,000
  
Howard Hughes Medical Institute
AAA
3.450%
09/01/2014
N/A
522,821
 
360,000
  
WellPoint, Inc.
A-
5.000%
12/15/2014
N/A
386,879
               
909,700
                 
     
Holding Companies-Diversified - 0.4%
          
 
970,000
  
EnCana Holdings Finance Corp. (Canada)
BBB
5.800%
05/01/2014
N/A
1,023,774
                 
     
Home Furnishings - 0.2%
          
 
400,000
  
Whirlpool Corp., Series MTN
BBB-
8.600%
05/01/2014
N/A
435,256
                 
     
Insurance - 3.5%
          
 
350,000
  
ACE INA Holdings, Inc.
A
5.875%
06/15/2014
N/A
373,494
 
900,000
  
Allstate Corp.
A-
5.000%
08/15/2014
N/A
955,478
 
350,000
  
American International Group, Inc.
A-
3.650%
01/15/2014
N/A
359,212
 
1,300,000
  
American International Group, Inc.
A-
4.250%
09/15/2014
N/A
1,366,581
 
550,000
  
Assurant, Inc.
BBB
5.625%
02/15/2014
N/A
573,727
 
400,000
  
CNA Financial Corp.
BBB-
5.850%
12/15/2014
N/A
432,146
 
500,000
  
Genworth Financial, Inc.(a)
BBB-
5.750%
06/15/2014
N/A
525,189
 
1,200,000
  
MetLife, Inc.
A-
2.375%
02/06/2014
N/A
1,221,227
 
800,000
  
Prudential Financial, Inc., Series MTNB
A
4.750%
04/01/2014
N/A
835,489
 
900,000
  
Prudential Financial, Inc., Series MTNB
A
5.100%
09/20/2014
N/A
959,132
 
599,000
  
XL Group PLC (Ireland)
BBB+
5.250%
09/15/2014
N/A
634,083
               
8,235,758
                 
     
Internet - 0.3%
          
 
700,000
  
Google, Inc.
AA
1.250%
05/19/2014
N/A
708,395
                 
     
Iron & Steel - 0.2%
          
 
400,000
  
ArcelorMittal USA, LLC
BB+
6.500%
04/15/2014
N/A
419,386
                 
     
Machinery-Construction & Mining - 0.3%
          
 
790,000
  
Caterpillar, Inc.
A
1.375%
05/27/2014
N/A
800,272
                 
     
Machinery-Diversified - 0.4%
          
 
800,000
  
Deere & Co.
A
6.950%
04/25/2014
N/A
857,440
                 
     
Media - 4.4%
          
 
1,000,000
  
Comcast Corp.
A-
5.300%
01/15/2014
N/A
1,042,137
 
1,226,000
  
COX Communications, Inc.
BBB
5.450%
12/15/2014
N/A
1,330,451
 
1,000,000
  
DIRECTV Holdings, LLC / DIRECTV Financing Co., Inc.
BBB
4.750%
10/01/2014
N/A
1,060,401
 
1,000,000
  
NBCUniversal Media, LLC
A-
2.100%
04/01/2014
N/A
1,016,406
 
950,000
  
News America, Inc.
BBB+
5.300%
12/15/2014
N/A
1,027,187
 
600,000
  
Reed Elsevier Capital, Inc.
BBB+
7.750%
01/15/2014
N/A
635,635
 
700,000
  
Thomson Reuters Corp. (Canada)
A-
5.700%
10/01/2014
N/A
753,558
 
450,000
  
Time Warner Cable, Inc.
BBB
8.250%
02/14/2014
N/A
481,415
 
1,243,000
  
Time Warner Cable, Inc.
BBB
7.500%
04/01/2014
N/A
1,332,521
 
600,000
  
Viacom, Inc.
BBB+
4.375%
09/15/2014
N/A
633,326
 
1,000,000
  
Walt Disney Co., Series E
A
0.875%
12/01/2014
N/A
1,009,912
               
10,322,949
                 
     
Mining - 1.2%
          
 
450,000
  
Rio Tinto Alcan, Inc. (Canada)
A-
5.200%
01/15/2014
N/A
467,498
 
2,050,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
8.950%
05/01/2014
N/A
2,244,448
               
2,711,946
                 
     
Miscellaneous Manufacturing - 0.5%
          
 
400,000
  
Illinois Tool Works, Inc.
A+
5.150%
04/01/2014
N/A
419,585
 
700,000
  
Ingersoll-Rand Global Holding Co., Ltd. (Bermuda)
BBB+
9.500%
04/15/2014
N/A
766,286
               
1,185,871
                 
     
Office & Business Equipment - 0.3%
          
 
550,000
  
Xerox Corp.
BBB-
8.250%
05/15/2014
N/A
596,087
                 
     
Oil & Gas - 4.5%
          
 
400,000
  
Anadarko Petroleum Corp.
BBB-
7.625%
03/15/2014
N/A
427,401
 
1,350,000
  
BP Capital Markets PLC (United Kingdom)
A
3.625%
05/08/2014
N/A
1,400,119
 
500,000
  
BP Capital Markets PLC (United Kingdom)
A
1.700%
12/05/2014
N/A
510,061
 
400,000
  
Canadian Natural Resources Ltd. (Canada)
BBB+
1.450%
11/14/2014
N/A
405,489
 
500,000
  
Cenovus Energy, Inc. (Canada)
BBB+
4.500%
09/15/2014
N/A
528,168
 
994,000
  
ConocoPhillips
A
4.750%
02/01/2014
N/A
1,032,466
 
380,000
  
Devon Energy Corp.
BBB+
5.625%
01/15/2014
N/A
396,329
 
600,000
  
Husky Energy, Inc. (Canada)
BBB+
5.900%
06/15/2014
N/A
638,473
 
500,000
  
Petrohawk Energy Corp.
BBB+
10.500%
08/01/2014
02/01/14 @ 100
530,435
 
500,000
  
Petrohawk Energy Corp.
BBB+
7.250%
08/15/2018
08/15/14 @ 104
560,917
 
2,313,000
  
Shell International Finance BV (Netherlands)
AA
4.000%
03/21/2014
N/A
2,398,137
 
500,000
  
Statoil ASA (Norway)
AA-
3.875%
04/15/2014
N/A
518,892
 
570,000
  
Statoil ASA (Norway)
AA-
2.900%
10/15/2014
N/A
592,269
 
510,000
  
Total Capital Canada Ltd. (Canada)
AA-
1.625%
01/28/2014
N/A
516,751
               
10,455,907
                 
     
Pharmaceuticals - 5.7%
          
 
850,000
  
AstraZeneca PLC (United Kingdom)
AA-
5.400%
06/01/2014
N/A
902,379
 
1,200,000
  
Eli Lilly & Co.
AA-
4.200%
03/06/2014
N/A
1,244,890
 
1,000,000
  
Express Scripts Holding Co.
BBB+
2.750%
11/21/2014
N/A
1,031,976
 
1,000,000
  
Express Scripts, Inc.
BBB+
6.250%
06/15/2014
N/A
1,068,958
 
1,327,000
  
GlaxoSmithKline Capital, Inc.
A+
4.375%
04/15/2014
N/A
1,386,737
 
800,000
  
Johnson & Johnson
AAA
1.200%
05/15/2014
N/A
808,741
 
400,000
  
Mead Johnson Nutrition Co.
BBB-
3.500%
11/01/2014
N/A
416,288
 
1,890,000
  
Novartis Capital Corp.
AA-
4.125%
02/10/2014
N/A
1,955,214
 
800,000
  
Pfizer, Inc.
AA
4.500%
02/15/2014
N/A
831,174
 
560,000
  
Sanofi (France)
AA-
1.625%
03/28/2014
N/A
567,878
 
1,270,000
  
Sanofi (France)
AA-
1.200%
09/30/2014
N/A
1,284,850
 
1,708,000
  
Wyeth, LLC
AA
5.500%
02/01/2014
N/A
1,785,965
               
13,285,050
                 
     
Pipelines - 0.7%
          
 
500,000
  
Enterprise Products Operating, LLC, Series O
BBB+
9.750%
01/31/2014
N/A
540,870
 
450,000
  
Enterprise Products Operating, LLC, Series G
BBB+
5.600%
10/15/2014
N/A
484,254
 
550,000
  
Kinder Morgan Energy Partners, LP
BBB
5.125%
11/15/2014
N/A
590,792
               
1,615,916
                 
     
Real Estate Investment Trusts - 0.5%
          
 
800,000
  
ERP Operating, LP
BBB+
5.250%
09/15/2014
N/A
855,433
 
250,000
  
Simon Property Group, LP
A-
6.750%
05/15/2014
02/15/14 @ 100
264,230
               
1,119,663
                 
     
Retail - 2.4%
          
 
450,000
  
AutoZone, Inc.
BBB
6.500%
01/15/2014
N/A
472,914
 
880,000
  
CVS Caremark Corp.
BBB+
4.875%
09/15/2014
N/A
939,038
 
50,000
  
Macy's Retail Holdings, Inc.
BBB
5.750%
07/15/2014
N/A
53,242
 
1,291,000
  
Staples, Inc.
BBB
9.750%
01/15/2014
N/A
1,388,605
 
500,000
  
Wal-Mart Stores, Inc.
AA
3.000%
02/03/2014
N/A
512,352
 
980,000
  
Wal-Mart Stores, Inc.
AA
1.625%
04/15/2014
N/A
994,249
 
1,070,000
  
Wal-Mart Stores, Inc.
AA
3.200%
05/15/2014
N/A
1,106,928
               
5,467,328
                 
     
Semiconductors - 0.4%
          
 
1,020,000
  
Texas Instruments, Inc.
A+
1.375%
05/15/2014
N/A
1,032,903
                 
     
Software - 1.6%
          
 
200,000
  
CA, Inc.(d)
BBB+
6.125%
12/01/2014
N/A
216,126
 
1,787,000
  
Microsoft Corp.
AAA
2.950%
06/01/2014
N/A
1,846,348
 
1,550,000
  
Oracle Corp.
A+
3.750%
07/08/2014
N/A
1,618,059
               
3,680,533
                 
     
Telecommunications - 7.8%
          
 
2,150,000
  
AT&T, Inc.
A-
5.100%
09/15/2014
N/A
2,294,764
 
1,214,000
  
BellSouth Corp.
A-
5.200%
09/15/2014
N/A
1,296,813
 
3,355,000
  
Cellco Partnership / Verizon Wireless Capital, LLC
A-
5.550%
02/01/2014
N/A
3,499,007
 
1,900,000
  
Cisco Systems, Inc.
A+
1.625%
03/14/2014
N/A
1,925,490
 
400,000
  
Cisco Systems, Inc.
A+
2.900%
11/17/2014
N/A
416,694
 
900,000
  
Deutsche Telekom International Finance BV (Netherlands)
BBB+
4.875%
07/08/2014
N/A
949,795
 
1,325,000
  
France Telecom SA (France)
A-
4.375%
07/08/2014
N/A
1,387,291
 
700,000
  
Qwest Corp.
BBB-
7.500%
10/01/2014
N/A
764,283
 
400,000
  
Rogers Communications, Inc. (Canada)
BBB
6.375%
03/01/2014
N/A
421,982
 
800,000
  
Telecom Italia Capital SA (Luxembourg)
BBB
6.175%
06/18/2014
N/A
835,890
 
1,100,000
  
Telecom Italia Capital SA (Luxembourg)
BBB
4.950%
09/30/2014
N/A
1,139,875
 
1,500,000
  
Verizon Communications, Inc.
A-
1.950%
03/28/2014
N/A
1,524,126
 
500,000
  
Verizon Communications, Inc.
A-
1.250%
11/03/2014
N/A
506,253
 
400,000
  
Virgin Media Secured Finance PLC (United Kingdom)
BBB-
6.500%
01/15/2018
01/15/14 @ 103
429,000
 
804,000
  
Vodafone Group PLC (United Kingdom)
A-
4.150%
06/10/2014
N/A
839,013
               
18,230,276
                 
     
Transportation - 0.8%
          
 
700,000
  
Burlington Northern Santa Fe, LLC
BBB+
7.000%
02/01/2014
N/A
740,175
 
1,000,000
  
United Parcel Service, Inc.
A+
3.875%
04/01/2014
N/A
1,036,888
               
1,777,063
                 
     
Total Corporate Bonds - 98.6%
          
     
(Cost $227,325,217)
        
229,455,509
                 
                 
     
Investments of Collateral for Securities Loaned - 0.4%
          
 
923,000
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(b) (c)
        
923,000
     
(Cost $923,000)
          
                 
     
Total Investments - 99.0%
          
     
(Cost $228,248,217)
        
230,378,509
     
Other Assets in excess of Liabilities - 1.0%
        
2,397,654
     
Net Assets  - 100.0%
        
$232,776,163
 
AG - Stock Corporation
ASA - Stock Company
BV - Limited Liability Company
LLC - Limited Liability Company
LP - Limited Partnership
N/A- Not Applicable
PLC - Public Limited Company
SA - Corporation
SAU - Incorporated with Limited Liability
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Security, or portion thereof, was on loan at February 28, 2013.
(b)
At February 28, 2013, the total market value of the Fund's securities on loan was $890,344 and the total market value of the collateral held by the Fund was $923,000.
(c)
Interest rate shown reflects yield as of February 28, 2013.
(d)
Illiquid security.
   
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
   
Country Allocation***
 United States
82.2%
 United Kingdom
4.9%
 Canada
3.9%
 Netherlands
2.0%
 Switzerland
1.8%
 France
1.4%
 Australia
1.0%
 Luxembourg
0.9%
 Germany
0.5%
 Norway
0.5%
 Spain
0.3%
 Bermuda
0.3%
 Ireland
0.3%
 *** Subject to change daily.  Based on total corporate bonds.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $        228,248,217
 $   2,139,240
 $          (8,948)
 $   2,130,292
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of February 28, 2013:
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
              
Assets:
                
Corporate Bonds
 $                -
  
 $       229,456
  
 $               -
  
 $     229,456
Investments of Collateral for Securities Loaned
              923
     -  
                 -
  
              923
Total
  
 $            923
  
 $       229,456
  
 $               -
  
 $     230,379
                 
During the nine months ended February 28, 2013, there were no transfers between levels.
 
 
 
 
 
 
 
BSCF Guggenheim BulletShares 2015 Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 98.9%
          
     
Corporate Bonds - 98.8%
          
     
Aerospace & Defense - 1.4%
          
 
$450,000
  
Boeing Co.
A
3.500%
02/15/2015
N/A
$474,982
 
500,000
  
General Dynamics Corp.
A
1.375%
01/15/2015
N/A
508,440
 
560,000
  
Northrop Grumman Corp.
BBB
1.850%
11/15/2015
N/A
574,641
 
662,000
  
United Technologies Corp.
A
4.875%
05/01/2015
N/A
724,569
 
430,000
  
United Technologies Corp.
A
1.200%
06/01/2015
N/A
436,567
               
2,719,199
                 
     
Agriculture - 0.3%
          
 
600,000
  
Altria Group, Inc.
BBB
4.125%
09/11/2015
N/A
649,403
                 
     
Banks - 35.4%
          
 
500,000
  
American Express Centurion Bank
A-
0.875%
11/13/2015
N/A
500,158
 
1,680,000
  
Bank of America Corp.
A-
4.500%
04/01/2015
N/A
1,787,661
 
775,000
  
Bank of America Corp.
A-
4.750%
08/01/2015
N/A
834,606
 
900,000
  
Bank of America Corp.
A-
3.700%
09/01/2015
N/A
950,617
 
1,500,000
  
Bank of America Corp.
A-
1.500%
10/09/2015
N/A
1,505,596
 
500,000
  
Bank of Montreal, Series MTN (Canada)
A+
0.800%
11/06/2015
N/A
501,147
 
700,000
  
Bank of New York Mellon Corp., Series MTN
A+
3.100%
01/15/2015
N/A
733,764
 
400,000
  
Bank of New York Mellon Corp., Series MTN
A+
1.200%
02/20/2015
01/20/15 @ 100
405,272
 
300,000
  
Bank of New York Mellon Corp., Series MTNG
A
4.950%
03/15/2015
N/A
325,353
 
395,000
  
Bank of New York Mellon Corp., Series 001
A+
2.950%
06/18/2015
N/A
416,200
 
500,000
  
Bank of New York Mellon Corp.
A+
0.700%
10/23/2015
09/23/15 @ 100
500,593
 
600,000
  
Bank of Nova Scotia (Canada)
A+
1.850%
01/12/2015
N/A
614,435
 
1,333,000
  
Bank of Nova Scotia (Canada)
A+
3.400%
01/22/2015
N/A
1,403,122
 
900,000
  
Bank of Nova Scotia (Canada)
A+
2.050%
10/07/2015
N/A
931,987
 
1,000,000
  
Bank of Nova Scotia (Canada)
A+
0.750%
10/09/2015
N/A
1,000,435
 
1,000,000
  
Barclays (United Kingdom)
A+
2.750%
02/23/2015
N/A
1,036,319
 
800,000
  
Barclays Bank PLC (United Kingdom)
A+
3.900%
04/07/2015
N/A
848,298
 
325,000
  
BB&T Corp.
BBB+
5.200%
12/23/2015
N/A
362,468
 
1,500,000
  
BBVA US Senior SAU (Spain)
BBB-
4.664%
10/09/2015
N/A
1,555,239
 
147,000
  
BNP Paribas SA, Series MTN (France)(a)
A+
3.059%
12/20/2014
N/A
152,616
 
1,455,000
  
BNP Paribas SA (France)
A+
3.250%
03/11/2015
N/A
1,515,350
 
1,300,000
  
Canadian Imperial Bank of Commerce (Canada)
A+
2.350%
12/11/2015
N/A
1,357,096
 
500,000
  
Canadian Imperial Bank of Commerce (Canada)
A+
0.900%
10/01/2015
N/A
501,996
 
1,000,000
  
Capital One Financial Corp.
BBB
2.150%
03/23/2015
N/A
1,022,803
 
500,000
  
Capital One Financial Corp.
BBB
1.000%
11/06/2015
N/A
498,516
 
1,000,000
  
Citigroup, Inc.
A-
6.010%
01/15/2015
N/A
1,086,261
 
500,000
  
Citigroup, Inc.
A-
2.650%
03/02/2015
N/A
513,597
 
750,000
  
Citigroup, Inc.
BBB+
4.875%
05/07/2015
N/A
801,668
 
1,588,000
  
Citigroup, Inc.
A-
4.750%
05/19/2015
N/A
1,705,159
 
460,000
  
Citigroup, Inc.
A-
4.700%
05/29/2015
N/A
493,643
 
750,000
  
Citigroup, Inc.
A-
2.250%
08/07/2015
N/A
766,696
 
1,000,000
  
Citigroup, Inc.
A-
4.587%
12/15/2015
N/A
1,085,570
 
800,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)
AA-
2.125%
10/13/2015
N/A
826,374
 
1,050,000
  
Credit Suisse New York, Series MTN (Switzerland)
A+
3.500%
03/23/2015
N/A
1,109,446
 
957,000
  
Deutsche Bank AG (Germany)
A2
3.450%
03/30/2015
N/A
1,008,419
 
200,000
  
Dresdner Bank AG (Germany)
BBB
7.250%
09/15/2015
N/A
217,120
 
500,000
  
Fifth Third Bank, Series BKNT
BBB
4.750%
02/01/2015
N/A
535,073
 
200,000
  
First Horizon National Corp.
BBB-
5.375%
12/15/2015
N/A
218,923
 
1,786,000
  
Goldman Sachs Group, Inc.
A-
5.125%
01/15/2015
N/A
1,914,163
 
1,450,000
  
Goldman Sachs Group, Inc.
A-
3.300%
05/03/2015
N/A
1,516,878
 
1,550,000
  
Goldman Sachs Group, Inc., Series GMTN
A-
3.700%
08/01/2015
N/A
1,638,451
 
500,000
  
Goldman Sachs Group, Inc., Series MTN
A-
1.600%
11/23/2015
N/A
505,019
 
1,300,000
  
HSBC USA, Inc.
A+
2.375%
02/13/2015
N/A
1,341,018
 
1,636,000
  
JPMorgan Chase & Co.
A
3.700%
01/20/2015
N/A
1,723,699
 
980,000
  
JPMorgan Chase & Co.
A
4.750%
03/01/2015
N/A
1,054,146
 
700,000
  
JPMorgan Chase & Co., Series MTN
A
1.875%
03/20/2015
N/A
714,734
 
500,000
  
JPMorgan Chase & Co.
A-
5.250%
05/01/2015
N/A
544,489
 
870,000
  
JPMorgan Chase & Co.
A
3.400%
06/24/2015
N/A
919,801
 
680,000
  
JPMorgan Chase & Co.
A-
5.150%
10/01/2015
N/A
743,600
 
1,500,000
  
JPMorgan Chase & Co., Series GMTN
A
1.100%
10/15/2015
N/A
1,506,057
 
500,000
  
KeyCorp, Series MTN
BBB+
3.750%
08/13/2015
N/A
534,761
 
1,000,000
  
Morgan Stanley, Series GMTN
A-
4.100%
01/26/2015
N/A
1,049,010
 
1,764,000
  
Morgan Stanley, Series MTN
A-
6.000%
04/28/2015
N/A
1,926,634
 
900,000
  
Morgan Stanley, Series GMTN
A-
4.000%
07/24/2015
N/A
950,294
 
1,400,000
  
Morgan Stanley
A-
5.375%
10/15/2015
N/A
1,529,216
 
800,000
  
Morgan Stanley
A-
3.450%
11/02/2015
N/A
834,674
 
500,000
  
National Bank of Canada (Canada)
A-
1.500%
06/26/2015
N/A
507,838
 
450,000
  
PNC Funding Corp.
A-
3.625%
02/08/2015
N/A
475,452
 
326,000
  
PNC Funding Corp.
A-
4.250%
09/21/2015
N/A
354,936
 
665,000
  
PNC Funding Corp.
BBB+
5.250%
11/15/2015
N/A
741,581
 
220,000
  
Regions Financial Corp.
BBB-
5.750%
06/15/2015
N/A
239,525
 
700,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
1.150%
03/13/2015
N/A
708,250
 
1,000,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
0.800%
10/30/2015
N/A
1,002,806
 
500,000
  
Royal Bank of Canada (Canada)
AAA
0.625%
12/04/2015
N/A
499,340
 
600,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
2.625%
12/15/2015
N/A
630,815
 
550,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
BB+
5.050%
01/08/2015
N/A
568,962
 
700,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
A-
2.550%
09/18/2015
N/A
720,996
 
1,000,000
  
Royal Bank of Scotland PLC (United Kingdom)
A
3.950%
09/21/2015
N/A
1,069,671
 
500,000
  
Sumitomo Mitsui Banking Corp. (Japan)
A+
1.350%
07/18/2015
N/A
506,287
 
611,000
  
UBS AG, Series BKNT (Switzerland)
A
3.875%
01/15/2015
N/A
650,174
 
300,000
  
US Bancorp, Series MTN
A+
3.150%
03/04/2015
N/A
315,884
 
600,000
  
US Bancorp, Series MTN
A+
2.450%
07/27/2015
N/A
628,355
 
300,000
  
US Bank NA, Series BKNT
A+
4.800%
04/15/2015
N/A
325,775
 
200,000
  
Wachovia Bank NA, Series BKNT
A+
5.000%
08/15/2015
N/A
219,203
 
1,205,000
  
Wells Fargo & Co., Series MTN
A+
1.250%
02/13/2015
N/A
1,216,970
 
1,080,000
  
Wells Fargo & Co.
A+
3.625%
04/15/2015
N/A
1,146,947
 
1,200,000
  
Wells Fargo & Co.
A+
1.500%
07/01/2015
N/A
1,222,266
 
750,000
  
Wells Fargo Bank NA, Series AI
A+
4.750%
02/09/2015
N/A
804,863
               
67,133,136
                 
     
Beverages - 3.6%
          
 
830,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
4.125%
01/15/2015
N/A
884,655
 
350,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
3.625%
04/15/2015
N/A
371,924
 
1,251,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
0.800%
07/15/2015
N/A
1,254,714
 
600,000
  
Coca-Cola Co.
AA-
0.750%
03/13/2015
N/A
604,067
 
800,000
  
Coca-Cola Co.
AA-
1.500%
11/15/2015
N/A
821,100
 
500,000
  
Diageo Finance BV (Netherlands)
A-
3.250%
01/15/2015
N/A
524,551
 
390,000
  
Diageo Finance BV (Netherlands)
A-
5.300%
10/28/2015
N/A
436,279
 
700,000
  
PepsiCo, Inc.
A-
3.100%
01/15/2015
N/A
734,833
 
660,000
  
PepsiCo, Inc.
A-
0.750%
03/05/2015
N/A
662,649
 
500,000
  
PepsiCo, Inc.
A-
0.700%
08/13/2015
N/A
501,172
               
6,795,944
                 
     
Biotechnology - 0.9%
          
 
160,000
  
Celgene Corp.
BBB+
2.450%
10/15/2015
N/A
166,036
 
555,000
  
Genentech, Inc.
AA
4.750%
07/15/2015
N/A
605,432
 
600,000
  
Genzyme Corp.
AA-
3.625%
06/15/2015
N/A
641,518
 
220,000
  
Life Technologies Corp.
BBB+
4.400%
03/01/2015
N/A
232,220
               
1,645,206
                 
     
Building Materials - 0.1%
          
 
200,000
  
Masco Corp.
BBB-
4.800%
06/15/2015
N/A
211,119
                 
     
Chemicals - 1.2%
          
 
556,000
  
Dow Chemical Co.
BBB
5.900%
02/15/2015
N/A
610,564
 
250,000
  
Ecolab, Inc.
BBB+
1.000%
08/09/2015
N/A
251,483
 
780,000
  
EI du Pont de Nemours & Co.
A
3.250%
01/15/2015
N/A
820,682
 
380,000
  
Potash Corp. of Saskatchewan, Inc. (Canada)
A-
3.750%
09/30/2015
N/A
407,501
 
240,000
  
Praxair, Inc.
A
4.625%
03/30/2015
N/A
260,184
               
2,350,414
                 
     
Computers - 1.9%
          
 
450,000
  
Dell, Inc.
A-
2.300%
09/10/2015
N/A
447,244
 
600,000
  
Hewlett-Packard Co.
BBB+
2.350%
03/15/2015
N/A
611,803
 
620,000
  
Hewlett-Packard Co.
BBB+
2.125%
09/13/2015
N/A
625,665
 
550,000
  
Hewlett-Packard Co.
BBB+
2.200%
12/01/2015
N/A
558,017
 
800,000
  
International Business Machines Corp.
AA-
0.550%
02/06/2015
N/A
802,093
 
500,000
  
International Business Machines Corp.
AA-
0.750%
05/11/2015
N/A
503,658
               
3,548,480
                 
     
Cosmetics & Personal Care - 1.0%
          
 
400,000
  
Procter & Gamble Co.
AA-
3.500%
02/15/2015
N/A
423,808
 
300,000
  
Procter & Gamble Co.
AA-
3.150%
09/01/2015
N/A
319,925
 
800,000
  
Procter & Gamble Co.
AA-
1.800%
11/15/2015
N/A
826,141
 
300,000
  
Procter & Gamble Co.
AA-
4.850%
12/15/2015
N/A
334,954
               
1,904,828
                 
     
Diversified Financial Services - 16.4%
          
 
1,450,000
  
American Express Credit Corp., Series MTN
A-
1.750%
06/12/2015
N/A
1,482,133
 
1,450,000
  
American Express Credit Corp., Series MTN
A-
2.750%
09/15/2015
N/A
1,517,524
 
500,000
  
American Honda Finance Corp., Series REGS
A+
1.000%
08/11/2015
N/A
502,248
 
600,000
  
Ameriprise Financial, Inc.
A
5.650%
11/15/2015
N/A
677,357
 
200,000
  
AON Corp.
BBB+
3.500%
09/30/2015
N/A
210,754
 
600,000
  
Bear Stearns Cos., LLC
A
5.300%
10/30/2015
N/A
664,980
 
500,000
  
BlackRock, Inc.
A+
1.375%
06/01/2015
N/A
509,019
 
450,000
  
Caterpillar Financial Services Corp., Series MTN
A
1.100%
05/29/2015
N/A
455,455
 
500,000
  
Caterpillar Financial Services Corp.
A
0.700%
11/06/2015
N/A
500,224
 
1,158,000
  
Credit Suisse USA, Inc.
A+
4.875%
01/15/2015
N/A
1,247,611
 
1,108,000
  
Credit Suisse USA, Inc.
A+
5.125%
08/15/2015
N/A
1,220,556
 
250,000
  
Ford Motor Credit Co., LLC
BB+
3.875%
01/15/2015
N/A
260,323
 
1,000,000
  
Ford Motor Credit Co., LLC
BB+
7.000%
04/15/2015
N/A
1,107,874
 
700,000
  
Ford Motor Credit Co., LLC
BB+
2.750%
05/15/2015
N/A
715,559
 
1,000,000
  
Ford Motor Credit Co., LLC
BB+
12.000%
05/15/2015
N/A
1,221,250
 
1,000,000
  
Ford Motor Credit Co., LLC
BB+
5.625%
09/15/2015
N/A
1,091,724
 
1,600,000
  
General Electric Capital Corp.
AA+
2.150%
01/09/2015
N/A
1,644,731
 
880,000
  
General Electric Capital Corp., Series MTN
AA+
4.875%
03/04/2015
N/A
950,856
 
700,000
  
General Electric Capital Corp., Series MTN
AA+
3.500%
06/29/2015
N/A
743,074
 
300,000
  
General Electric Capital Corp., Series MTN
AA+
2.375%
06/30/2015
N/A
310,252
 
750,000
  
General Electric Capital Corp.
AA+
1.625%
07/02/2015
N/A
763,646
 
490,000
  
General Electric Capital Corp., Series GMTN
AA+
4.375%
09/21/2015
N/A
534,124
 
1,100,000
  
General Electric Capital Corp.
AA+
2.250%
11/09/2015
N/A
1,140,591
 
500,000
  
General Electric Capital Corp.
AA+
1.000%
12/11/2015
N/A
503,786
 
500,000
  
HSBC Finance Corp.
A
5.250%
04/15/2015
N/A
540,738
 
950,000
  
HSBC Finance Corp.
A
5.000%
06/30/2015
N/A
1,031,565
 
600,000
  
International Lease Finance Corp.
BBB-
4.875%
04/01/2015
N/A
628,500
 
450,000
  
International Lease Finance Corp.
BBB-
8.625%
09/15/2015
N/A
513,563
 
300,000
  
Jefferies Group, LLC
BBB
3.875%
11/09/2015
N/A
314,625
 
760,000
  
John Deere Capital Corp., Series MTN
A
2.950%
03/09/2015
N/A
796,071
 
350,000
  
John Deere Capital Corp.
A
0.875%
04/17/2015
N/A
352,590
 
500,000
  
John Deere Capital Corp.
A
0.950%
06/29/2015
N/A
504,909
 
1,213,000
  
Merrill Lynch & Co., Inc., Series MTNC
A-
5.000%
01/15/2015
N/A
1,293,781
 
600,000
  
Merrill Lynch & Co., Inc., Series MTNB
A-
5.300%
09/30/2015
N/A
658,640
 
856,000
  
Nomura Holdings, Inc. (Japan)
BBB+
5.000%
03/04/2015
N/A
911,885
 
500,000
  
ORIX Corp. (Japan)
A-
4.710%
04/27/2015
N/A
535,791
 
500,000
  
SLM Corp., Series MTN
BBB-
3.875%
09/10/2015
N/A
515,983
 
700,000
  
Toyota Motor Credit Corp., Series MTN
AA-
1.000%
02/17/2015
N/A
706,395
 
800,000
  
Toyota Motor Credit Corp., Series MTN
AA-
3.200%
06/17/2015
N/A
846,850
 
1,000,000
  
Toyota Motor Credit Corp.
AA-
0.875%
07/17/2015
N/A
1,007,795
               
31,135,332
                 
     
Electric - 2.1%
          
 
360,000
  
Constellation Energy Group, Inc.
BBB-
4.550%
06/15/2015
N/A
387,325
 
380,000
  
Dominion Resources, Inc., Series C
A-
5.150%
07/15/2015
N/A
417,801
 
70,000
  
Duke Energy Carolinas, LLC
A
5.300%
10/01/2015
N/A
78,456
 
330,000
  
Entergy Corp.
BBB-
3.625%
09/15/2015
N/A
346,380
 
560,000
  
Exelon Corp.
BBB-
4.900%
06/15/2015
N/A
607,558
 
160,000
  
NextEra Energy Capital Holdings, Inc.
BBB+
7.875%
12/15/2015
N/A
189,300
 
500,000
  
Oncor Electric Delivery Co., LLC
A
6.375%
01/15/2015
N/A
549,297
 
400,000
  
Scottish Power Ltd. (United Kingdom)
BBB
5.375%
03/15/2015
N/A
428,239
 
445,000
  
Southern Power Co., Series D
BBB+
4.875%
07/15/2015
N/A
487,293
 
565,000
  
TransAlta Corp. (Canada)
BBB-
4.750%
01/15/2015
N/A
598,214
               
4,089,863
                 
     
Electronics - 0.2%
          
 
270,000
  
Agilent Technologies, Inc.
BBB+
5.500%
09/14/2015
N/A
299,410
                 
     
Food - 0.5%
          
 
400,000
  
General Mills, Inc.
BBB+
5.200%
03/17/2015
N/A
436,229
 
400,000
  
Kroger Co.
BBB
3.900%
10/01/2015
N/A
430,061
               
866,290
                 
     
Forest Products & Paper - 0.1%
          
 
180,000
  
Plum Creek Timberlands, LP
BBB
5.875%
11/15/2015
N/A
198,821
                 
     
Health Care Products - 1.6%
          
 
300,000
  
Baxter International, Inc.
A
4.625%
03/15/2015
N/A
323,521
 
800,000
  
Boston Scientific Corp.
BBB-
4.500%
01/15/2015
N/A
848,541
 
400,000
  
Covidien International Finance SA (Luxembourg)
A
1.350%
05/29/2015
N/A
405,367
 
600,000
  
Medtronic, Inc.
A+
3.000%
03/15/2015
N/A
628,532
 
500,000
  
Medtronic, Inc., Series B
A+
4.750%
09/15/2015
N/A
551,100
 
200,000
  
Stryker Corp.
A+
3.000%
01/15/2015
N/A
209,124
               
2,966,185
                 
     
Health Care Services - 0.6%
          
 
200,000
  
Quest Diagnostics, Inc.
BBB+
5.450%
11/01/2015
N/A
221,243
 
500,000
  
UnitedHealth Group, Inc.
A
0.850%
10/15/2015
N/A
501,989
 
500,000
  
WellPoint, Inc.
A-
1.250%
09/10/2015
N/A
504,178
               
1,227,410
                 
     
Household Products & Housewares - 0.1%
          
 
200,000
  
Clorox Co.
BBB+
5.000%
01/15/2015
N/A
214,624
                 
     
Insurance - 4.3%
          
 
400,000
  
ACE INA Holdings, Inc.
A
2.600%
11/23/2015
N/A
420,159
 
400,000
  
Aegon NV (Netherlands)
A-
4.625%
12/01/2015
N/A
436,650
 
400,000
  
American International Group, Inc.
A-
3.000%
03/20/2015
N/A
416,102
 
600,000
  
American International Group, Inc.
A-
5.050%
10/01/2015
N/A
659,929
 
779,000
  
Berkshire Hathaway Finance Corp.
AA+
4.850%
01/15/2015
N/A
842,101
 
400,000
  
Berkshire Hathaway Finance Corp.
AA+
2.450%
12/15/2015
N/A
420,206
 
983,000
  
Berkshire Hathaway, Inc.
AA+
3.200%
02/11/2015
N/A
1,035,308
 
500,000
  
Manulife Financial Corp. (Canada)
A-
3.400%
09/17/2015
N/A
526,556
 
38,000
  
Marsh & McLennan Cos., Inc.
BBB
5.750%
09/15/2015
N/A
42,420
 
900,000
  
MetLife, Inc.
A-
5.000%
06/15/2015
N/A
985,720
 
300,000
  
Metropolitan Life Global Funding I, Series REGS
AA-
2.500%
09/29/2015
N/A
312,415
 
606,000
  
Prudential Financial, Inc., Series MTN
A
3.875%
01/14/2015
N/A
639,457
 
900,000
  
Prudential Financial, Inc., Series MTN
A
4.750%
09/17/2015
N/A
985,806
 
450,000
  
Transatlantic Holdings, Inc.
BBB+
5.750%
12/14/2015
N/A
495,522
               
8,218,351
                 
     
Internet - 0.5%
          
 
500,000
  
Amazon.com, Inc.
AA-
0.650%
11/27/2015
N/A
499,824
 
400,000
  
eBay, Inc.
A
1.625%
10/15/2015
N/A
411,100
               
910,924
                 
     
Iron & Steel - 0.7%
          
 
350,000
  
ArcelorMittal (Luxembourg)
BB+
9.500%
02/15/2015
N/A
395,241
 
400,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
02/25/2015
N/A
413,207
 
500,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
08/05/2015
N/A
517,968
               
1,326,416
                 
     
Lodging - 0.0%***
          
 
70,000
  
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp.
BBB-
7.750%
08/15/2020
08/15/15 @ 104
78,575
                 
     
Machinery-Construction & Mining - 0.2%
          
 
300,000
  
Caterpillar, Inc.
A
0.950%
06/26/2015
N/A
302,313
                 
     
Media - 3.2%
          
 
505,000
  
Comcast Corp.
A-
6.500%
01/15/2015
N/A
559,328
 
800,000
  
Comcast Corp.
A-
5.850%
11/15/2015
N/A
906,019
 
200,000
  
COX Communications, Inc.
BBB
5.500%
10/01/2015
N/A
223,921
 
748,000
  
DIRECTV Holdings, LLC / DIRECTV Financing Co., Inc.
BBB
3.550%
03/15/2015
N/A
783,832
 
620,000
  
Discovery Communications, LLC
BBB
3.700%
06/01/2015
N/A
658,914
 
600,000
  
NBCUniversal Media, LLC
A-
3.650%
04/30/2015
N/A
636,911
 
300,000
  
TCI Communications, Inc.
A-
8.750%
08/01/2015
N/A
356,127
 
150,000
  
Time Warner Cable, Inc.
BBB
3.500%
02/01/2015
N/A
157,080
 
650,000
  
Time Warner, Inc.
BBB
3.150%
07/15/2015
N/A
685,449
 
600,000
  
Viacom, Inc.
BBB+
1.250%
02/27/2015
N/A
605,370
 
500,000
  
Walt Disney Co., Series MTN
A
0.450%
12/01/2015
N/A
498,873
               
6,071,824
                 
     
Mining - 0.5%
          
 
500,000
  
Freeport-McMoRan Copper & Gold, Inc.
BBB
1.400%
02/13/2015
N/A
504,187
 
160,000
  
Rio Tinto Alcan, Inc. (Canada)
A-
5.000%
06/01/2015
N/A
174,270
 
250,000
  
Rio Tinto Finance USA PLC (United Kingdom)
A-
1.125%
03/20/2015
N/A
252,033
               
930,490
                 
     
Miscellaneous Manufacturing - 0.8%
          
 
1,300,000
  
General Electric Co.
AA+
0.850%
10/09/2015
N/A
1,304,904
 
124,000
  
Tyco International Finance SA (Luxembourg)
BBB+
3.375%
10/15/2015
N/A
131,033
               
1,435,937
                 
     
Office & Business Equipment - 0.3%
          
 
629,000
  
Xerox Corp.
BBB-
4.250%
02/15/2015
N/A
662,233
                 
     
Oil & Gas - 6.0%
          
 
1,548,000
  
BP Capital Markets PLC (United Kingdom)
A
3.875%
03/10/2015
N/A
1,645,713
 
1,400,000
  
BP Capital Markets PLC (United Kingdom)
A
3.125%
10/01/2015
N/A
1,484,066
 
834,000
  
ConocoPhillips
A
4.600%
01/15/2015
N/A
897,050
 
400,000
  
EOG Resources, Inc.
A-
2.950%
06/01/2015
N/A
420,111
 
1,000,000
  
Marathon Oil Corp.
BBB
0.900%
11/01/2015
N/A
998,350
 
500,000
  
Petrohawk Energy Corp.
BBB+
6.250%
06/01/2019
06/01/15 @ 103
568,603
 
165,000
  
Phillips 66
BBB
1.950%
03/05/2015
N/A
168,714
 
910,000
  
Shell International Finance BV (Netherlands)
AA
3.100%
06/28/2015
N/A
964,004
 
600,000
  
Shell International Finance BV (Netherlands)
AA
3.250%
09/22/2015
N/A
640,156
 
800,000
  
Shell International Finance BV (Netherlands)
AA
0.625%
12/04/2015
N/A
803,970
 
1,090,000
  
Total Capital SA (France)
AA-
3.000%
06/24/2015
N/A
1,148,281
 
800,000
  
Total Capital SA (France)
AA-
3.125%
10/02/2015
N/A
852,534
 
750,000
  
Transocean, Inc. (Cayman Islands)
BBB-
4.950%
11/15/2015
N/A
816,337
               
11,407,889
                 
     
Pharmaceuticals - 3.3%
          
 
500,000
  
Express Scripts Holding Co.
BBB+
2.100%
02/12/2015
N/A
511,363
 
500,000
  
GlaxoSmithKline Capital PLC (United Kingdom)
A+
0.750%
05/08/2015
N/A
502,559
 
500,000
  
McKesson Corp.
A-
0.950%
12/04/2015
N/A
501,856
 
200,000
  
Medco Health Solutions, Inc.
BBB+
2.750%
09/15/2015
N/A
209,160
 
505,000
  
Merck Sharp & Dohme Corp.
AA
4.750%
03/01/2015
N/A
548,443
 
900,000
  
Merck Sharp & Dohme Corp.
AA
4.000%
06/30/2015
N/A
972,276
 
1,108,000
  
Novartis Capital Corp.
AA-
2.900%
04/24/2015
N/A
1,164,111
 
1,723,000
  
Pfizer, Inc.
AA
5.350%
03/15/2015
N/A
1,887,226
               
6,296,994
                 
     
Pipelines - 1.1%
          
 
380,000
  
Energy Transfer Partners, LP
BBB-
5.950%
02/01/2015
N/A
414,103
 
500,000
  
Enterprise Products Operating, LLC
BBB+
1.250%
08/13/2015
N/A
504,417
 
360,000
  
TransCanada PipeLines Ltd. (Canada)
A-
0.875%
03/02/2015
N/A
362,007
 
280,000
  
TransCanada PipeLines Ltd. (Canada)
A-
3.400%
06/01/2015
N/A
296,937
 
440,000
  
Williams Partners, LP
BBB
3.800%
02/15/2015
N/A
464,425
               
2,041,889
                 
     
Real Estate Investment Trusts - 1.4%
          
 
400,000
  
American Tower Corp.
BB+
4.625%
04/01/2015
N/A
428,610
 
500,000
  
Host Hotels & Resorts, LP
BBB-
6.000%
11/01/2020
11/01/15 @ 103
554,375
 
400,000
  
Simon Property Group, LP
A-
5.100%
06/15/2015
N/A
438,712
 
554,000
  
Simon Property Group, LP
A-
5.750%
12/01/2015
09/02/15 @ 100
621,182
 
500,000
  
Vornado Realty, LP
BBB
4.250%
04/01/2015
01/01/15 @ 100
530,448
               
2,573,327
                 
     
Retail - 3.1%
          
 
300,000
  
AutoZone, Inc.
BBB
5.750%
01/15/2015
N/A
326,714
 
700,000
  
Costco Wholesale Corp.
A+
0.650%
12/07/2015
N/A
702,620
 
600,000
  
CVS Caremark Corp.
BBB+
3.250%
05/18/2015
N/A
633,748
 
400,000
  
Lowe's Cos., Inc.
A-
5.000%
10/15/2015
N/A
446,712
 
320,000
  
Macy's Retail Holdings, Inc.
BBB
7.875%
07/15/2015
N/A
371,097
 
500,000
  
McDonald's Corp., Series MTN
A
0.750%
05/29/2015
N/A
503,296
 
500,000
  
Walgreen Co.
BBB
1.000%
03/13/2015
N/A
501,721
 
500,000
  
Wal-Mart Stores, Inc.
AA
2.875%
04/01/2015
N/A
524,311
 
408,000
  
Wal-Mart Stores, Inc.
AA
4.500%
07/01/2015
N/A
445,401
 
610,000
  
Wal-Mart Stores, Inc.
AA
2.250%
07/08/2015
N/A
636,085
 
750,000
  
Wal-Mart Stores, Inc.
AA
1.500%
10/25/2015
N/A
769,975
               
5,861,680
                 
     
Savings & Loans - 0.3%
          
 
500,000
  
Santander Holdings USA, Inc.
BBB
3.000%
09/24/2015
08/24/15 @ 100
513,979
                 
     
Semiconductors - 0.3%
          
 
650,000
  
Texas Instruments, Inc.
A+
0.450%
08/03/2015
N/A
647,933
                 
     
Software - 0.7%
          
 
340,000
  
Adobe Systems, Inc.
BBB+
3.250%
02/01/2015
N/A
355,304
 
960,000
  
Microsoft Corp.
AAA
1.625%
09/25/2015
N/A
988,307
               
1,343,611
                 
     
Telecommunications - 4.5%
          
 
600,000
  
AT&T, Inc.
A-
0.875%
02/13/2015
N/A
602,099
 
1,300,000
  
AT&T, Inc.
A-
2.500%
08/15/2015
N/A
1,354,580
 
500,000
  
AT&T, Inc.
A-
0.800%
12/01/2015
N/A
500,499
 
500,000
  
British Telecommunications PLC (United Kingdom)
BBB
2.000%
06/22/2015
N/A
512,901
 
450,000
  
France Telecom SA (France)
A-
2.125%
09/16/2015
N/A
463,612
 
500,000
  
Rogers Communications, Inc. (Canada)
BBB
7.500%
03/15/2015
N/A
566,271
 
666,000
  
Telecom Italia Capital SA (Luxembourg)
BBB
5.250%
10/01/2015
N/A
699,632
 
700,000
  
Telefonica Emisiones SAU (Spain)
BBB
4.949%
01/15/2015
N/A
736,750
 
600,000
  
Telefonica Emisiones SAU (Spain)
BBB
3.729%
04/27/2015
N/A
618,209
 
330,000
  
Verizon Communications, Inc.
A-
4.900%
09/15/2015
N/A
364,991
 
500,000
  
Verizon Communications, Inc.
A-
0.700%
11/02/2015
N/A
500,486
 
570,000
  
Vodafone Group PLC (United Kingdom)
A-
5.375%
01/30/2015
N/A
619,562
 
620,000
  
Vodafone Group PLC (United Kingdom)
A-
5.000%
09/15/2015
N/A
683,996
 
270,000
  
Vodafone Group PLC (United Kingdom)
A-
3.375%
11/24/2015
N/A
288,189
               
8,511,777
                 
     
Transportation - 0.2%
          
 
310,000
  
CSX Corp.
BBB
6.250%
04/01/2015
N/A
344,766
                 
     
Total Corporate Bonds - 98.8%
          
     
(Cost $183,420,038)
        
187,436,572
                 
     
US Government Agency Securities - 0.1%
          
 
300,000
  
SLM Corp., Series MTNA
BBB-
5.000%
04/15/2015
N/A
319,525
     
(Cost $303,724)
          
                 
     
Total Investments - 98.9%
          
     
(Cost $183,723,762)
        
187,756,097
     
Other Assets in excess of Liabilities - 1.1%
        
2,004,202
     
Net Assets  - 100.0%
        
$189,760,299
 
AG - Stock Corporation
        
BV - Limited Liability Company
        
LLC - Limited Liability Company
        
LP - Limited Partnership
        
N/A- Not Applicable
        
NV - Publicly Traded Company
        
PLC - Public Limited Company
        
SA - Corporation
        
SAU - Incorporated with Limited Liability
        
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
***
Less than 0.1%.
(a)
Floating or variable rate coupon.  The rate shown is as of February 28, 2013.
   
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
   
Country Allocation****
 United States
77.0%
 Canada
6.7%
 United Kingdom
5.7%
 Netherlands
2.5%
 France
2.2%
 Spain
1.5%
 Luxembourg
1.4%
 Japan
1.0%
 Switzerland
0.9%
 Germany
0.7%
 Cayman Islands
0.4%
 **** Subject to change daily.  Based on total long-term investments.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $       183,723,762
 $ 4,061,935
 $    (29,600)
 $ 4,032,335
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
                 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of February 28, 2013:
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
              
Assets:
                
Corporate Bonds
 $            -
  
 $    187,437
  
 $            -
  
 $ 187,437
US Government Agency Securities
               -
  
             319
  
               -
  
          319
Total
  
 $            -
  
 $    187,756
  
 $            -
  
 $ 187,756
 
During the nine months ended February 28, 2013, there were no transfers between levels.
 
 
 
 
 
 
 
BSCG Guggenheim BulletShares 2016 Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 98.9%
          
     
Advertising - 0.5%
          
 
$880,000
  
Omnicom Group, Inc.
BBB+
5.900%
04/15/2016
N/A
$997,450
                 
     
Aerospace & Defense - 0.9%
          
 
300,000
  
Boeing Co.
A
3.750%
11/20/2016
N/A
329,117
 
300,000
  
General Dynamics Corp.
A
2.250%
07/15/2016
N/A
313,958
 
500,000
  
L-3 Communications Corp.
BBB-
3.950%
11/15/2016
N/A
541,548
 
500,000
  
Lockheed Martin Corp.
A-
2.125%
09/15/2016
N/A
520,281
               
1,704,904
                 
     
Agriculture - 1.1%
          
 
300,000
  
Lorillard Tobacco Co.
BBB-
3.500%
08/04/2016
N/A
318,111
 
900,000
  
Philip Morris International, Inc.
A
2.500%
05/16/2016
N/A
949,279
 
700,000
  
Reynolds American, Inc.
BBB-
7.625%
06/01/2016
N/A
834,465
               
2,101,855
                 
     
Auto Parts & Equipment - 0.5%
          
 
750,000
  
Johnson Controls, Inc.
BBB+
5.500%
01/15/2016
N/A
841,712
                 
     
Banks - 33.1%
          
 
800,000
  
Abbey National Treasury Services PLC (United Kingdom)
A
4.000%
04/27/2016
N/A
851,374
 
900,000
  
Bank of America Corp., Series MTN
A-
3.625%
03/17/2016
N/A
955,868
 
1,400,000
  
Bank of America Corp., Series 1
A-
3.750%
07/12/2016
N/A
1,499,138
 
2,470,000
  
Bank of America Corp.
A-
6.500%
08/01/2016
N/A
2,852,378
 
500,000
  
Bank of America Corp.
BBB+
5.750%
08/15/2016
N/A
555,402
 
1,400,000
  
Bank of America Corp.
A-
5.625%
10/14/2016
N/A
1,582,944
 
380,000
  
Bank of New York Mellon Corp., Series MTN
A+
2.500%
01/15/2016
N/A
398,533
 
769,000
  
Bank of New York Mellon Corp., Series MTN
A+
2.300%
07/28/2016
N/A
802,228
 
500,000
  
Bank of New York Mellon Corp., Series MTN
A+
2.400%
01/17/2017
12/18/16 @ 100
523,526
 
550,000
  
Bank of Nova Scotia (Canada)
A+
2.900%
03/29/2016
N/A
582,114
 
1,708,000
  
Barclays Bank PLC, Series 1 (United Kingdom)
A+
5.000%
09/22/2016
N/A
1,924,918
 
500,000
  
BB&T Corp., Series MTN
A-
3.200%
03/15/2016
02/16/16 @ 100
534,387
 
524,000
  
BB&T Corp., Series MTN
A-
3.950%
04/29/2016
N/A
572,443
 
1,500,000
  
BNP Paribas SA, Series MTN (France)(a)
A+
3.600%
02/23/2016
N/A
1,596,780
 
850,000
  
Capital One Financial Corp.
BBB
3.150%
07/15/2016
N/A
906,668
 
727,000
  
Capital One Financial Corp.
BBB-
6.150%
09/01/2016
N/A
838,997
 
872,000
  
Citigroup, Inc.
A-
5.300%
01/07/2016
N/A
965,718
 
1,000,000
  
Citigroup, Inc.
A-
1.250%
01/15/2016
N/A
997,952
 
1,300,000
  
Citigroup, Inc.
A-
3.953%
06/15/2016
N/A
1,398,442
 
800,000
  
Citigroup, Inc.
A-
5.850%
08/02/2016
N/A
910,245
 
162,000
  
Comerica Bank, Series BKNT
A-
5.750%
11/21/2016
N/A
186,803
 
1,600,000
  
Deutsche Bank AG (Germany)
A+
3.250%
01/11/2016
N/A
1,698,890
 
800,000
  
Fifth Third Bancorp
BBB
3.625%
01/25/2016
N/A
858,152
 
1,908,000
  
Goldman Sachs Group, Inc.
A-
5.350%
01/15/2016
N/A
2,117,304
 
2,900,000
  
Goldman Sachs Group, Inc.
A-
3.625%
02/07/2016
N/A
3,085,557
 
1,200,000
  
Goldman Sachs Group, Inc.
A-
5.750%
10/01/2016
N/A
1,368,944
 
1,442,000
  
JPMorgan Chase & Co.
A
2.600%
01/15/2016
N/A
1,504,701
 
2,075,000
  
JPMorgan Chase & Co.
A
3.450%
03/01/2016
N/A
2,219,698
 
2,650,000
  
JPMorgan Chase & Co.
A
3.150%
07/05/2016
N/A
2,807,338
 
600,000
  
JPMorgan Chase Bank NA, Series BKNT
A
5.875%
06/13/2016
N/A
686,129
 
500,000
  
KeyBank NA, Series MTN
BBB+
5.450%
03/03/2016
N/A
564,164
 
722,000
  
Lloyds TSB Bank PLC (United Kingdom)
A
4.875%
01/21/2016
N/A
796,256
 
1,800,000
  
Morgan Stanley
A-
3.800%
04/29/2016
N/A
1,912,408
 
1,050,000
  
Morgan Stanley, Series MTN
A-
5.750%
10/18/2016
N/A
1,182,758
 
1,000,000
  
PNC Funding Corp.
A-
2.700%
09/19/2016
08/19/16 @ 100
1,057,147
 
900,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
2.875%
04/19/2016
N/A
955,373
 
950,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
2.300%
07/20/2016
N/A
994,337
 
1,000,000
  
Royal Bank of Scotland PLC (United Kingdom)
A
4.375%
03/16/2016
N/A
1,092,865
 
800,000
  
State Street Corp.
A+
2.875%
03/07/2016
N/A
853,809
 
500,000
  
Sumitomo Mitsui Banking Corp. (Japan)
A+
0.900%
01/18/2016
N/A
499,392
 
850,000
  
SunTrust Banks, Inc.
BBB
3.600%
04/15/2016
03/15/16 @ 100
911,215
 
700,000
  
SunTrust Banks, Inc.
BBB
3.500%
01/20/2017
12/20/16 @ 100
753,957
 
900,000
  
Svenska Handelsbanken AB (Sweden)
AA-
3.125%
07/12/2016
N/A
962,189
 
800,000
  
Toronto-Dominion Bank, Series GMTN (Canada)
AA-
2.500%
07/14/2016
N/A
840,804
 
1,700,000
  
Toronto-Dominion Bank (Canada)
AA-
2.375%
10/19/2016
N/A
1,784,618
 
700,000
  
UBS AG, Series MTN (Switzerland)
BBB
5.875%
07/15/2016
N/A
784,261
 
250,000
  
Union Bank NA, Series BKNT
A
5.950%
05/11/2016
N/A
283,006
 
600,000
  
Union Bank NA, Series BKNT
A+
3.000%
06/06/2016
N/A
633,892
 
250,000
  
US Bancorp
BBB+
3.442%
02/01/2016
N/A
264,315
 
1,000,000
  
US Bancorp, Series MTN
A+
2.200%
11/15/2016
10/14/16 @ 100
1,045,214
 
500,000
  
Wachovia Bank NA, Series MTN
A+
5.600%
03/15/2016
N/A
564,057
 
761,000
  
Wachovia Corp.
A
5.625%
10/15/2016
N/A
871,997
 
500,000
  
Wachovia Corp.
A+
5.750%
02/01/2018
N/A
597,332
 
1,100,000
  
Wells Fargo & Co.
A+
3.676%
06/15/2016
N/A
1,193,843
 
700,000
  
Wells Fargo & Co.
A
5.125%
09/15/2016
N/A
790,399
 
1,250,000
  
Wells Fargo & Co.
A+
2.625%
12/15/2016
N/A
1,320,527
 
500,000
  
Wells Fargo Bank NA
A+
5.750%
05/16/2016
N/A
569,398
               
61,863,104
                 
     
Beverages - 2.5%
          
 
500,000
  
Anheuser-Busch InBev Finance, Inc.(a)
A
0.800%
01/15/2016
N/A
500,663
 
500,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
2.875%
02/15/2016
N/A
530,236
 
45,000
  
Beam, Inc.
BBB-
5.375%
01/15/2016
N/A
50,088
 
600,000
  
Bottling Group, LLC
A
5.500%
04/01/2016
N/A
684,955
 
1,400,000
  
Coca-Cola Co.
AA-
1.800%
09/01/2016
N/A
1,450,872
 
500,000
  
Diageo Capital PLC (United Kingdom)
A-
5.500%
09/30/2016
N/A
578,260
 
80,000
  
Dr Pepper Snapple Group, Inc.
BBB
2.900%
01/15/2016
N/A
84,572
 
700,000
  
PepsiCo, Inc.
A-
2.500%
05/10/2016
N/A
737,905
               
4,617,551
                 
     
Biotechnology - 1.2%
          
 
500,000
  
Amgen, Inc.
A+
2.300%
06/15/2016
N/A
522,672
 
1,000,000
  
Amgen, Inc.
A+
2.500%
11/15/2016
N/A
1,050,801
 
600,000
  
Gilead Sciences, Inc.
A-
3.050%
12/01/2016
N/A
644,497
               
2,217,970
                 
     
Building Materials - 1.1%
          
 
506,000
  
CRH America, Inc.
BBB+
6.000%
09/30/2016
N/A
576,829
 
150,000
  
Lafarge SA (France)
BB+
6.500%
07/15/2016
N/A
167,250
 
893,000
  
Masco Corp.
BBB-
6.125%
10/03/2016
N/A
992,218
 
200,000
  
Owens Corning
BBB-
6.500%
12/01/2016
N/A
225,910
               
1,962,207
                 
     
Chemicals - 1.4%
          
 
650,000
  
Dow Chemical Co.
BBB
2.500%
02/15/2016
N/A
678,450
 
800,000
  
Ecolab, Inc.
BBB+
3.000%
12/08/2016
N/A
852,055
 
400,000
  
EI du Pont de Nemours & Co.
A
2.750%
04/01/2016
N/A
423,962
 
242,000
  
EI du Pont de Nemours & Co.
A
5.250%
12/15/2016
N/A
280,883
 
300,000
  
El du Pont de Nemours & Co.
A
1.950%
01/15/2016
N/A
309,971
               
2,545,321
                 
     
Commercial Services - 0.5%
          
 
900,000
  
Western Union Co.
BBB+
5.930%
10/01/2016
N/A
994,364
                 
     
Computers - 2.2%
          
 
640,000
  
Hewlett-Packard Co.
BBB+
2.650%
06/01/2016
N/A
651,701
 
900,000
  
Hewlett-Packard Co.
BBB+
3.000%
09/15/2016
N/A
925,141
 
500,000
  
Hewlett-Packard Co.
BBB+
3.300%
12/09/2016
N/A
519,316
 
500,000
  
International Business Machines Corp.
AA-
2.000%
01/05/2016
N/A
518,588
 
1,500,000
  
International Business Machines Corp.
AA-
1.950%
07/22/2016
N/A
1,559,304
               
4,174,050
                 
     
Cosmetics & Personal Care - 0.4%
          
 
700,000
  
Procter & Gamble Co.
AA-
1.450%
08/15/2016
N/A
719,454
                 
     
Diversified Financial Services - 12.6%
          
 
400,000
  
American Express Co.
BBB+
5.500%
09/12/2016
N/A
457,417
 
1,900,000
  
American Express Credit Corp., Series MTN
A-
2.800%
09/19/2016
N/A
2,012,279
 
250,000
  
AON Corp.
BBB+
3.125%
05/27/2016
N/A
264,023
 
600,000
  
Boeing Capital Corp.
A
2.125%
08/15/2016
07/15/16 @ 100
624,626
 
800,000
  
Caterpillar Financial Services Corp.
A
2.050%
08/01/2016
N/A
831,250
 
550,000
  
Countrywide Financial Corp.
BBB+
6.250%
05/15/2016
N/A
613,584
 
500,000
  
Credit Suisse USA, Inc.
A+
5.375%
03/02/2016
N/A
564,742
 
500,000
  
Ford Motor Credit Co., LLC
BB+
2.500%
01/15/2016
N/A
509,390
 
1,000,000
  
Ford Motor Credit Co., LLC
BB+
4.207%
04/15/2016
N/A
1,064,579
 
900,000
  
Ford Motor Credit Co., LLC
BB+
3.984%
06/15/2016
N/A
952,740
 
1,000,000
  
Ford Motor Credit Co., LLC
BB+
8.000%
12/15/2016
N/A
1,200,814
 
800,000
  
General Electric Capital Corp., Series MTN
AA+
1.000%
01/08/2016
N/A
803,068
 
662,000
  
General Electric Capital Corp., Series MTN
AA+
5.000%
01/08/2016
N/A
737,716
 
1,350,000
  
General Electric Capital Corp.
AA+
2.950%
05/09/2016
N/A
1,429,381
 
1,000,000
  
General Electric Capital Corp., Series MTN
AA+
3.350%
10/17/2016
N/A
1,075,017
 
850,000
  
General Electric Capital Corp., Series MTN
AA+
5.375%
10/20/2016
N/A
968,906
 
1,703,000
  
HSBC Finance Corp.
A
5.500%
01/19/2016
N/A
1,899,630
 
750,000
  
International Lease Finance Corp.
BBB-
5.750%
05/15/2016
N/A
810,284
 
665,000
  
John Deere Capital Corp., Series MTN
A
2.250%
06/07/2016
N/A
694,543
 
300,000
  
John Deere Capital Corp., Series MTN
A
1.850%
09/15/2016
N/A
309,843
 
708,000
  
Merrill Lynch & Co., Inc.
BBB+
6.050%
05/16/2016
N/A
790,452
 
800,000
  
Nomura Holdings, Inc., Series MTN (Japan)
BBB+
4.125%
01/19/2016
N/A
850,136
 
600,000
  
ORIX Corp. (Japan)
A-
5.000%
01/12/2016
N/A
648,827
 
1,400,000
  
SLM Corp., Series MTN
BBB-
6.250%
01/25/2016
N/A
1,522,500
 
600,000
  
Toyota Motor Credit Corp., Series MTN
AA-
2.800%
01/11/2016
N/A
634,928
 
1,200,000
  
Toyota Motor Credit Corp., Series MTN
AA-
2.000%
09/15/2016
N/A
1,245,605
               
23,516,280
                 
     
Electric - 0.4%
          
 
450,000
  
Duke Energy Corp.
BBB
2.150%
11/15/2016
N/A
465,847
 
308,000
  
Southern Co.
A-
1.950%
09/01/2016
N/A
318,297
               
784,144
                 
     
Electronics - 0.7%
          
 
480,000
  
Thermo Fisher Scientific, Inc.
A-
3.200%
03/01/2016
N/A
508,494
 
760,000
  
Thermo Fisher Scientific, Inc.
A-
2.250%
08/15/2016
N/A
785,724
               
1,294,218
                 
     
Environmental Control - 0.1%
          
 
184,000
  
Waste Management, Inc.
BBB
2.600%
09/01/2016
N/A
192,950
                 
     
Food - 1.6%
          
 
300,000
  
Kellogg Co.
BBB+
4.450%
05/30/2016
N/A
331,628
 
500,000
  
Kellogg Co.
BBB+
1.875%
11/17/2016
N/A
513,953
 
1,131,000
  
Mondelez International, Inc.
BBB-
4.125%
02/09/2016
N/A
1,233,647
 
350,000
  
Tyson Foods, Inc.
BBB
6.600%
04/01/2016
N/A
402,892
 
500,000
  
Unilever Capital Corp.
A+
2.750%
02/10/2016
N/A
527,542
               
3,009,662
                 
     
Gas - 0.9%
          
 
461,000
  
National Grid PLC (United Kingdom)
BBB+
6.300%
08/01/2016
N/A
536,312
 
900,000
  
Sempra Energy
BBB+
6.500%
06/01/2016
N/A
1,052,538
               
1,588,850
                 
     
Health Care Products - 1.7%
          
 
300,000
  
Baxter International, Inc.
A
5.900%
09/01/2016
N/A
350,695
 
500,000
  
Becton Dickinson and Co.
A
1.750%
11/08/2016
N/A
515,640
 
300,000
  
Boston Scientific Corp.
BBB-
6.400%
06/15/2016
N/A
344,002
 
560,000
  
Medtronic, Inc.
A+
2.625%
03/15/2016
N/A
588,909
 
500,000
  
St Jude Medical, Inc.
A
2.500%
01/15/2016
N/A
519,616
 
800,000
  
Stryker Corp.
A+
2.000%
09/30/2016
N/A
832,190
               
3,151,052
                 
     
Health Care Services - 1.2%
          
 
300,000
  
Aetna, Inc.
A-
6.000%
06/15/2016
N/A
346,950
 
500,000
  
Cigna Corp.
BBB
2.750%
11/15/2016
N/A
527,492
 
300,000
  
Humana, Inc.
BBB
6.450%
06/01/2016
N/A
344,272
 
400,000
  
UnitedHealth Group, Inc.
A
5.375%
03/15/2016
N/A
452,408
 
523,000
  
WellPoint, Inc.
A-
5.250%
01/15/2016
N/A
582,814
               
2,253,936
                 
     
Insurance - 2.4%
          
 
449,000
  
Allied World Assurance Co. Ltd. (Bermuda)
BBB+
7.500%
08/01/2016
N/A
529,523
 
500,000
  
American International Group, Inc.
A-
4.875%
09/15/2016
N/A
559,179
 
550,000
  
American International Group, Inc., Series MTN
A-
5.600%
10/18/2016
N/A
627,647
 
800,000
  
Berkshire Hathaway, Inc.
AA+
2.200%
08/15/2016
N/A
839,007
 
963,000
  
MetLife, Inc.
A-
6.750%
06/01/2016
N/A
1,137,224
 
700,000
  
Prudential Financial, Inc., Series MTN
A
3.000%
05/12/2016
N/A
740,550
               
4,433,130
                 
     
Internet - 0.4%
          
 
800,000
  
Google, Inc.
AA
2.125%
05/19/2016
N/A
836,772
                 
     
Iron & Steel - 0.3%
          
 
600,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
03/01/2016
N/A
618,432
                 
     
Lodging - 0.0%***
          
 
5,000
  
Wyndham Worldwide Corp.
BBB-
6.000%
12/01/2016
N/A
5,722
                 
     
Machinery-Construction & Mining - 0.3%
          
 
500,000
  
Caterpillar, Inc.
A
5.700%
08/15/2016
N/A
580,975
                 
     
Machinery-Diversified - 0.1%
          
 
150,000
  
Xylem, Inc.
BBB
3.550%
09/20/2016
N/A
160,337
                 
     
Media - 4.0%
          
 
600,000
  
Comcast Corp.
A-
5.900%
03/15/2016
N/A
687,601
 
500,000
  
Comcast Corp.
A-
4.950%
06/15/2016
N/A
564,682
 
580,000
  
DIRECTV Holdings, LLC / DIRECTV Financing Co., Inc.
BBB
3.125%
02/15/2016
N/A
608,364
 
910,000
  
DIRECTV Holdings, LLC / DIRECTV Financing Co., Inc.
BBB
3.500%
03/01/2016
N/A
963,742
 
500,000
  
NBCUniversal Media, LLC
A-
2.875%
04/01/2016
N/A
527,934
 
500,000
  
Scripps Networks Interactive, Inc.
A-
2.700%
12/15/2016
N/A
527,368
 
900,000
  
Time Warner, Inc.
BBB
5.875%
11/15/2016
N/A
1,050,412
 
993,000
  
Viacom, Inc.
BBB+
6.250%
04/30/2016
N/A
1,149,245
 
800,000
  
Walt Disney Co.
A
1.350%
08/16/2016
N/A
817,046
 
450,000
  
Walt Disney Co., Series MTNC
A
5.625%
09/15/2016
N/A
523,104
               
7,419,498
                 
     
Mining - 0.7%
          
 
665,000
  
Barrick Gold Corp. (Canada)
BBB+
2.900%
05/30/2016
N/A
699,188
 
100,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
2.500%
05/20/2016
N/A
104,844
 
500,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
2.250%
09/20/2016
N/A
520,219
               
1,324,251
                 
     
Miscellaneous Manufacturing - 0.7%
          
 
800,000
  
3M Co.
AA-
1.375%
09/29/2016
N/A
820,043
 
400,000
  
Danaher Corp.
A+
2.300%
06/23/2016
N/A
420,934
               
1,240,977
                 
     
Office & Business Equipment - 0.4%
          
 
300,000
  
Pitney Bowes, Inc., Series MTN
BBB
4.750%
01/15/2016
N/A
316,026
 
450,000
  
Xerox Corp.
BBB-
6.400%
03/15/2016
N/A
506,149
               
822,175
                 
     
Oil & Gas - 5.4%
          
 
1,362,000
  
Anadarko Petroleum Corp.
BBB-
5.950%
09/15/2016
N/A
1,567,311
 
700,000
  
BP Capital Markets PLC (United Kingdom)
A
3.200%
03/11/2016
N/A
747,743
 
1,000,000
  
BP Capital Markets PLC (United Kingdom)
A
2.248%
11/01/2016
N/A
1,041,755
 
962,000
  
ConocoPhillips Canada Funding Co. I (Canada)
A
5.625%
10/15/2016
N/A
1,123,398
 
170,000
  
Devon Energy Corp.
BBB+
2.400%
07/15/2016
06/15/16 @ 100
176,131
 
800,000
  
Ensco PLC (United Kingdom)
BBB+
3.250%
03/15/2016
N/A
850,760
 
550,000
  
Marathon Petroleum Corp.
BBB
3.500%
03/01/2016
N/A
587,650
 
350,000
  
Occidental Petroleum Corp.
A
2.500%
02/01/2016
N/A
368,367
 
680,000
  
Occidental Petroleum Corp.
A
4.125%
06/01/2016
N/A
752,302
 
500,000
  
Statoil ASA (Norway)
AA-
1.800%
11/23/2016
N/A
517,284
 
200,000
  
Total Capital International SA (France)
AA-
0.750%
01/25/2016
N/A
200,726
 
1,150,000
  
Total Capital SA (France)
AA-
2.300%
03/15/2016
N/A
1,198,949
 
800,000
  
Transocean, Inc. (Cayman Island)
BBB-
5.050%
12/15/2016
N/A
891,948
               
10,024,324
                 
     
Pharmaceuticals - 3.4%
          
 
600,000
  
Allergan, Inc.
A+
5.750%
04/01/2016
N/A
686,737
 
1,150,000
  
Express Scripts Holding Co.
BBB+
3.125%
05/15/2016
N/A
1,214,595
 
585,000
  
Express Scripts Holding Co.
BBB+
3.500%
11/15/2016
N/A
630,763
 
700,000
  
Johnson & Johnson
AAA
2.150%
05/15/2016
N/A
735,347
 
400,000
  
McKesson Corp.
A-
3.250%
03/01/2016
N/A
429,834
 
800,000
  
Merck & Co., Inc.
AA
2.250%
01/15/2016
N/A
837,083
 
1,200,000
  
Sanofi (France)
AA-
2.625%
03/29/2016
N/A
1,264,973
 
563,000
  
Wyeth, LLC
AA
5.500%
02/15/2016
N/A
640,679
               
6,440,011
                 
     
Pipelines - 1.0%
          
 
600,000
  
Enterprise Products Operating, LLC
BBB+
3.200%
02/01/2016
N/A
638,542
 
200,000
  
Kinder Morgan Energy Partners, LP
BBB
3.500%
03/01/2016
N/A
214,179
 
600,000
  
ONEOK Partners, LP
BBB
3.250%
02/01/2016
01/01/16 @ 100
634,962
 
400,000
  
TransCanada PipeLines Ltd. (CAN)
A-
0.750%
01/15/2016
N/A
400,078
               
1,887,761
                 
     
Real Estate Investment Trusts - 1.0%
          
 
400,000
  
ERP Operating, LP
BBB+
5.125%
03/15/2016
N/A
446,887
 
250,000
  
HCP, Inc.
BBB+
3.750%
02/01/2016
N/A
267,829
 
557,000
  
Simon Property Group, LP
A-
5.250%
12/01/2016
09/02/16 @ 100
636,937
 
500,000
  
Simon Property Group, LP
A-
5.875%
03/01/2017
12/01/16 @ 100
584,086
               
1,935,739
                 
     
Retail - 2.9%
          
 
2,346,000
  
Home Depot, Inc.
A-
5.400%
03/01/2016
N/A
2,666,109
 
600,000
  
Lowe's Cos., Inc.
A-
5.400%
10/15/2016
N/A
694,485
 
849,000
  
Macy's Retail Holdings, Inc.
BBB
5.900%
12/01/2016
N/A
991,972
 
400,000
  
Target Corp.
A+
5.875%
07/15/2016
N/A
468,305
 
500,000
  
Wal-Mart Stores, Inc.
AA
2.800%
04/15/2016
N/A
532,686
               
5,353,557
                 
     
Savings & Loans - 0.3%
          
 
500,000
  
Santander Holdings USA, Inc.
BBB
4.625%
04/19/2016
N/A
536,335
                 
     
Semiconductors - 1.1%
          
 
1,200,000
  
Intel Corp.
A+
1.950%
10/01/2016
N/A
1,245,354
 
800,000
  
Texas Instruments, Inc.
A+
2.375%
05/16/2016
N/A
839,095
               
2,084,449
                 
     
Software - 1.5%
          
 
280,000
  
Fiserv, Inc.
BBB-
3.125%
06/15/2016
N/A
295,667
 
680,000
  
Microsoft Corp.
AAA
2.500%
02/08/2016
N/A
715,922
 
1,585,000
  
Oracle Corp.
A+
5.250%
01/15/2016
N/A
1,790,703
               
2,802,292
                 
     
Telecommunications - 8.0%
          
 
500,000
  
AT&T, Inc.
A-
0.900%
02/12/2016
N/A
500,679
 
1,300,000
  
AT&T, Inc.
A-
2.950%
05/15/2016
N/A
1,380,634
 
899,000
  
AT&T, Inc.
A-
5.625%
06/15/2016
N/A
1,030,441
 
1,000,000
  
AT&T, Inc.
A-
2.400%
08/15/2016
N/A
1,047,178
 
2,085,000
  
Cisco Systems, Inc.
A+
5.500%
02/22/2016
N/A
2,376,537
 
529,000
  
Deutsche Telekom International Finance BV (Netherlands)
BBB+
5.750%
03/23/2016
N/A
598,775
 
700,000
  
Embarq Corp.
BB
7.082%
06/01/2016
N/A
804,744
 
650,000
  
France Telecom SA (France)
A-
2.750%
09/14/2016
N/A
680,695
 
600,000
  
Telefonica Emisiones SAU (Spain)
BBB
3.992%
02/16/2016
N/A
620,765
 
1,000,000
  
Telefonica Emisiones SAU (Spain)
BBB
6.421%
06/20/2016
N/A
1,100,738
 
899,000
  
Verizon Communications, Inc.
A-
5.550%
02/15/2016
N/A
1,019,550
 
900,000
  
Verizon Communications, Inc.
A-
3.000%
04/01/2016
N/A
958,184
 
900,000
  
Verizon Communications, Inc.
A-
2.000%
11/01/2016
N/A
933,770
 
500,000
  
Vodafone Group PLC (United Kingdom)
A-
0.900%
02/19/2016
N/A
499,956
 
800,000
  
Vodafone Group PLC (United Kingdom)
A-
5.750%
03/15/2016
N/A
915,038
 
500,000
  
Vodafone Group PLC (United Kingdom)
A-
2.875%
03/16/2016
N/A
529,101
               
14,996,785
                 
     
Textiles - 0.2%
          
 
360,000
  
Mohawk Industries, Inc.
BBB-
6.375%
01/15/2016
N/A
407,250
                 
     
Transportation - 0.2%
          
 
300,000
  
Norfolk Southern Corp.
BBB+
5.750%
01/15/2016
N/A
340,063
                 
     
Total Corporate Bonds - 98.9%
          
     
(Cost $179,353,493)
        
184,781,869
                 
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 0.4%
          
 
827,830
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(b) (c)
        
                      827,830
     
(Cost $827,830)
          
                 
     
Total Investments - 99.3%
          
     
(Cost $180,181,323)
        
185,609,699
     
Other Assets in excess of Liabilities - 0.7%
        
1,329,786
     
Net Assets  - 100.0%
        
$              186,939,485
 
AB - Stock Company
          
AG - Stock Corporation
          
ASA - Stock Company
          
BV - Limited Liability Company
          
LLC - Limited Liability Company
          
LP - Limited Partnership
          
N/A- Not Applicable
          
PLC - Public Limited Company
          
SA - Corporation
          
SAU - Incorporated with Limited Liability
          
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
***
Less than 0.1%
(a)
Security, or portion thereof, was on loan at February 28, 2013.
(b)
At February 28, 2013, the total market value of the Fund's securities on loan was $806,044 and the total market value of the collateral held by the Fund was $827,830.
(c)
Interest rate shown reflects yield as of February 28, 2013.
   
  See previously submitted notes to financial statements for the period ended November 30, 2012.
   
 
 
 
 
 
 
 
 
 
Country Allocation****
United States
81.7%
United Kingdom
5.6%
Canada
4.0%
France
2.8%
Japan
1.1%
Spain
0.9%
Germany
0.9%
Sweden
0.5%
Cayman Islands
0.5%
Switzerland
0.4%
Australia
0.4%
Luxembourg
0.3%
Netherlands
0.3%
Bermuda
0.3%
Norway
0.3%
**** Subject to change daily. Based on total corporate bonds.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $                                                             180,181,323
 $                5,474,758
 $                    (46,382)
 $                5,428,376
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust ("Board of Trustees"). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
 
The following table represents the Fund’s investments carried by caption and by level within the fair value hierarchy as of February 28, 2013:
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets
                
Corporate Bonds
  
$                             –
  
$                    184,782
  
$                              –
  
$                    184,782
Investments of Collateral for Securities Loaned
                          828
  
                              –
  
                              –
  
                         828
Total
  
$                          828
  
$                    184,782
  
$                              –
  
$                    185,610
                 
During the nine months ended February 28, 2013, there were no transfers between levels.
    
 
 
 
 
 
 
 
BSCH Guggenheim BulletShares 2017 Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 98.8%
          
     
Aerospace & Defense - 1.2%
          
 
$800,000
  
General Dynamics Corp.
A
1.000%
11/15/2017
N/A
$794,274
 
1,400,000
  
United Technologies Corp.
A
1.800%
06/01/2017
N/A
1,444,178
 
521,000
  
United Technologies Corp.
A
5.375%
12/15/2017
N/A
619,642
               
2,858,094
                 
     
Agriculture - 1.1%
          
 
700,000
  
Bunge Ltd. Finance Corp.
BBB-
3.200%
06/15/2017
N/A
728,211
 
350,000
  
Lorillard Tobacco Co.
BBB-
2.300%
08/21/2017
N/A
354,803
 
400,000
  
Philip Morris International, Inc.
A
1.625%
03/20/2017
N/A
408,008
 
500,000
  
Philip Morris International, Inc.
A
1.125%
08/21/2017
N/A
498,872
 
470,000
  
Reynolds American, Inc.
BBB-
6.750%
06/15/2017
N/A
568,010
               
2,557,904
                 
     
Banks - 31.5%
          
 
750,000
  
American Express Bank FSB, Series BKNT
A-
6.000%
09/13/2017
N/A
897,863
 
1,000,000
  
American Express Centurion Bank, Series BKN1
A-
6.000%
09/13/2017
N/A
1,197,151
 
500,000
  
Bank of America Corp.
BBB+
5.420%
03/15/2017
N/A
558,312
 
800,000
  
Bank of America Corp.
A-
3.875%
03/22/2017
N/A
862,658
 
1,670,000
  
Bank of America Corp.
A-
6.000%
09/01/2017
N/A
1,941,620
 
2,445,000
  
Bank of America Corp.
A-
5.750%
12/01/2017
N/A
2,832,652
 
1,300,000
  
Bank of America NA, Series BKNT
A-
5.300%
03/15/2017
N/A
1,458,409
 
500,000
  
Bank of America NA, Series BKNT
A-
6.100%
06/15/2017
N/A
577,915
 
1,020,000
  
Bank of Montreal, Series MTN (Canada)
A+
2.500%
01/11/2017
N/A
1,068,282
 
1,000,000
  
Bank of Montreal, Series MTN (Canada)
A+
1.400%
09/11/2017
N/A
1,002,314
 
500,000
  
Bank of New York Mellon Corp., Series MTN
A+
2.400%
01/17/2017
12/18/16 @ 100
523,526
 
400,000
  
Bank of New York Mellon Corp.
A+
1.969%
06/20/2017
N/A
412,538
 
800,000
  
Bank of Nova Scotia (Canada)
A+
2.550%
01/12/2017
N/A
840,630
 
1,000,000
  
Bank of Nova Scotia (Canada)
A+
1.375%
12/18/2017
11/18/17 @ 100
1,001,288
 
500,000
  
BB&T Corp., Series MTN
A-
2.150%
03/22/2017
02/22/17 @ 100
517,213
 
950,000
  
BB&T Corp., Series MTN
A-
1.600%
08/15/2017
07/14/17 @ 100
963,373
 
1,750,000
  
BNP Paribas SA, Series MTN (France)
A+
2.375%
09/14/2017
N/A
1,794,534
 
927,000
  
Capital One Financial Corp.
BBB
6.750%
09/15/2017
N/A
1,126,245
 
1,900,000
  
Citigroup, Inc.
A-
4.450%
01/10/2017
N/A
2,099,956
 
948,000
  
Citigroup, Inc.
BBB+
5.500%
02/15/2017
N/A
1,065,678
 
1,519,000
  
Citigroup, Inc.
A-
6.000%
08/15/2017
N/A
1,780,590
 
3,188,000
  
Citigroup, Inc.
A-
6.125%
11/21/2017
N/A
3,775,220
 
500,000
  
Comerica Bank
A-
5.200%
08/22/2017
N/A
576,384
 
2,100,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)
AA-
3.375%
01/19/2017
N/A
2,263,437
 
2,516,000
  
Deutsche Bank AG (Germany)
A+
6.000%
09/01/2017
N/A
3,006,082
 
300,000
  
Fifth Third Bancorp
BBB-
5.450%
01/15/2017
N/A
338,541
 
1,750,000
  
Goldman Sachs Group, Inc.
BBB+
5.625%
01/15/2017
N/A
1,969,478
 
2,496,000
  
Goldman Sachs Group, Inc.
A-
6.250%
09/01/2017
N/A
2,946,084
 
500,000
  
HSBC Bank USA NA, Series BKNT
A
6.000%
08/09/2017
N/A
588,818
 
400,000
  
JPMorgan Chase & Co.
A-
6.125%
06/27/2017
N/A
471,495
 
2,200,000
  
JPMorgan Chase & Co.
A
2.000%
08/15/2017
N/A
2,248,356
 
750,000
  
JPMorgan Chase Bank NA, Series BKNT
A
6.000%
07/05/2017
N/A
881,170
 
2,250,000
  
JPMorgan Chase Bank NA, Series BKNT
A
6.000%
10/01/2017
N/A
2,666,542
 
600,000
  
Lloyds TSB Bank PLC (United Kingdom)(a)
A
4.200%
03/28/2017
N/A
661,576
 
1,497,000
  
Morgan Stanley, Series GMTN
A-
5.450%
01/09/2017
N/A
1,677,303
 
2,100,000
  
Morgan Stanley
A-
4.750%
03/22/2017
N/A
2,321,960
 
900,000
  
Morgan Stanley, Series MTN
A-
5.550%
04/27/2017
N/A
1,015,843
 
1,300,000
  
Morgan Stanley, Series MTN
A-
6.250%
08/28/2017
N/A
1,509,787
 
1,500,000
  
Morgan Stanley, Series MTN
A-
5.950%
12/28/2017
N/A
1,738,666
 
500,000
  
National Bank of Canada, Series MTN (Canada)
A-
1.450%
11/07/2017
10/07/17 @ 100
500,741
 
300,000
  
PNC Bank NA, Series BKNT
A-
5.250%
01/15/2017
N/A
340,510
 
300,000
  
PNC Bank NA, Series BKNT
A-
4.875%
09/21/2017
N/A
344,644
 
400,000
  
PNC Funding Corp.
BBB+
5.625%
02/01/2017
N/A
460,270
 
2,000,000
  
Royal Bank of Canada (Canada)
AAA
1.200%
09/19/2017
N/A
2,006,440
 
950,000
  
Sumitomo Mitsui Banking Corp. (Japan)
A+
1.800%
07/18/2017
N/A
967,384
 
500,000
  
SunTrust Banks, Inc.
BBB
3.500%
01/20/2017
12/20/16 @ 100
538,541
 
300,000
  
SunTrust Banks, Inc.
BBB
6.000%
09/11/2017
N/A
356,186
 
1,600,000
  
Svenska Handelsbanken AB (Sweden)
AA-
2.875%
04/04/2017
N/A
1,699,365
 
1,333,000
  
UBS AG, Series BKNT (Switzerland)
A
5.875%
12/20/2017
N/A
1,597,738
 
500,000
  
Union Bank NA, Series BKNT
A+
2.125%
06/16/2017
N/A
513,807
 
800,000
  
US Bancorp, Series MTN
A+
1.650%
05/15/2017
04/15/17 @ 100
815,141
 
900,000
  
Wachovia Bank NA, Series BKNT
A+
6.000%
11/15/2017
N/A
1,082,129
 
1,559,000
  
Wachovia Corp.
A+
5.750%
06/15/2017
N/A
1,836,257
 
1,200,000
  
Wells Fargo & Co., Series MTN
A+
2.100%
05/08/2017
N/A
1,241,011
 
2,316,000
  
Wells Fargo & Co.
A+
5.625%
12/11/2017
N/A
2,753,020
               
72,232,673
                 
     
Beverages - 2.5%
          
 
1,600,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
1.375%
07/15/2017
N/A
1,614,786
 
870,000
  
Coca-Cola Co.
AA-
5.350%
11/15/2017
N/A
1,036,637
 
697,000
  
Diageo Capital PLC (United Kingdom)
A-
1.500%
05/11/2017
N/A
705,874
 
1,207,000
  
Diageo Capital PLC (United Kingdom)
A-
5.750%
10/23/2017
N/A
1,447,917
 
900,000
  
PepsiCo, Inc.
A-
1.250%
08/13/2017
N/A
903,999
               
5,709,213
                 
     
Biotechnology - 1.1%
          
 
1,300,000
  
Amgen, Inc.
A+
2.125%
05/15/2017
N/A
1,343,794
 
636,000
  
Amgen, Inc.
A+
5.850%
06/01/2017
N/A
753,597
 
500,000
  
Celgene Corp.
BBB+
1.900%
08/15/2017
N/A
509,064
               
2,606,455
                 
     
Chemicals - 1.2%
          
 
600,000
  
Eastman Chemical Co.
BBB
2.400%
06/01/2017
N/A
625,688
 
500,000
  
Ecolab, Inc.
BBB+
1.450%
12/08/2017
N/A
498,236
 
400,000
  
Potash Corp. of Saskatchewan, Inc. (Canada)
A-
3.250%
12/01/2017
N/A
433,867
 
775,000
  
Rohm & Haas Co.
BBB
6.000%
09/15/2017
N/A
914,551
 
375,000
  
Sherwin-Williams Co.
A
1.350%
12/15/2017
N/A
376,263
               
2,848,605
                 
     
Commercial Services - 0.2%
          
 
500,000
  
Western Union Co.
BBB+
2.875%
12/10/2017
N/A
503,273
                 
     
Computers - 2.6%
          
 
250,000
  
Hewlett-Packard Co.
BBB+
5.400%
03/01/2017
N/A
273,412
 
1,000,000
  
Hewlett-Packard Co.
BBB+
2.600%
09/15/2017
N/A
1,002,249
 
1,000,000
  
International Business Machines Corp.
AA-
1.250%
02/06/2017
N/A
1,010,857
 
2,246,000
  
International Business Machines Corp.
AA-
5.700%
09/14/2017
N/A
2,694,562
 
900,000
  
NetApp, Inc.
BBB+
2.000%
12/15/2017
N/A
900,519
               
5,881,599
                 
     
Diversified Financial Services - 13.3%
          
 
1,027,000
  
American Express Co.
BBB+
6.150%
08/28/2017
N/A
1,231,856
 
1,800,000
  
American Express Credit Corp., Series MTN
A-
2.375%
03/24/2017
N/A
1,882,904
 
600,000
  
Bear Stearns Cos., LLC
A-
5.550%
01/22/2017
N/A
684,512
 
1,951,000
  
Bear Stearns Cos., LLC
A
6.400%
10/02/2017
N/A
2,350,362
 
600,000
  
BlackRock, Inc.
A+
6.250%
09/15/2017
N/A
729,974
 
300,000
  
Caterpillar Financial Services Corp., Series MTN
A
1.625%
06/01/2017
N/A
305,540
 
500,000
  
Caterpillar Financial Services Corp., Series MTNG
A
1.250%
11/06/2017
N/A
501,651
 
100,000
  
Eaton Vance Corp.
A-
6.500%
10/02/2017
N/A
120,078
 
750,000
  
Ford Motor Credit Co., LLC
BB+
4.250%
02/03/2017
N/A
803,606
 
1,250,000
  
Ford Motor Credit Co., LLC
BB+
3.000%
06/12/2017
N/A
1,282,950
 
1,000,000
  
Ford Motor Credit Co., LLC
BB+
6.625%
08/15/2017
N/A
1,168,944
 
800,000
  
General Electric Capital Corp.
AA+
2.900%
01/09/2017
N/A
849,171
 
1,176,000
  
General Electric Capital Corp., Series MTN
AA+
5.400%
02/15/2017
N/A
1,355,062
 
1,350,000
  
General Electric Capital Corp., Series MTN
AA+
2.300%
04/27/2017
N/A
1,400,018
 
2,392,000
  
General Electric Capital Corp., Series MTN
AA+
5.625%
09/15/2017
N/A
2,820,398
 
500,000
  
General Electric Capital Corp., Series GMTN(a)
AA+
1.600%
11/20/2017
N/A
503,467
 
500,000
  
International Lease Finance Corp.
BBB-
8.750%
03/15/2017
N/A
591,875
 
500,000
  
John Deere Capital Corp., Series MTN
A
2.000%
01/13/2017
N/A
518,727
 
450,000
  
John Deere Capital Corp., Series MTN
A
1.400%
03/15/2017
N/A
455,714
 
300,000
  
John Deere Capital Corp., Series MTN
A
2.800%
09/18/2017
N/A
321,308
 
600,000
  
John Deere Capital Corp.
A
1.200%
10/10/2017
N/A
602,761
 
600,000
  
Merrill Lynch & Co., Inc.
BBB+
5.700%
05/02/2017
N/A
677,462
 
1,438,000
  
Merrill Lynch & Co., Inc., Series GMTN
A-
6.400%
08/28/2017
N/A
1,689,850
 
1,150,000
  
Murray Street Investment Trust I
A-
4.647%
03/09/2017
N/A
1,260,391
 
400,000
  
National Rural Utilities Cooperative Finance Corp.
A+
5.450%
04/10/2017
N/A
468,167
 
600,000
  
NYSE Euronext
A+
2.000%
10/05/2017
N/A
617,896
 
100,000
  
ORIX Corp. (Japan)
A-
3.750%
03/09/2017
N/A
105,223
 
400,000
  
PACCAR Financial Corp., Series MTN
A+
1.600%
03/15/2017
N/A
406,636
 
1,000,000
  
SLM Corp., Series MTN
BBB-
6.000%
01/25/2017
N/A
1,087,500
 
500,000
  
SLM Corp., Series MTN
BBB-
4.625%
09/25/2017
N/A
513,254
 
660,000
  
Toyota Motor Credit Corp., Series MTN
AA-
2.050%
01/12/2017
N/A
683,914
 
860,000
  
Toyota Motor Credit Corp., Series MTN
AA-
1.750%
05/22/2017
N/A
880,768
 
1,600,000
  
Toyota Motor Credit Corp., Series MTN
AA-
1.250%
10/05/2017
N/A
1,603,054
               
30,474,993
                 
     
Electric - 1.5%
          
 
600,000
  
American Electric Power Co., Inc.
BBB-
1.650%
12/15/2017
11/15/17 @ 100
602,554
 
500,000
  
Duke Energy Corp.
BBB
1.625%
08/15/2017
N/A
504,247
 
652,000
  
Exelon Generation Co., LLC
BBB
6.200%
10/01/2017
N/A
768,665
 
670,000
  
Pacific Gas & Electric Co.
BBB
5.625%
11/30/2017
N/A
803,453
 
570,000
  
Virginia Electric & Power Co.
A-
5.950%
09/15/2017
N/A
691,017
               
3,369,936
                 
     
Electronics - 0.3%
          
 
510,000
  
Agilent Technologies, Inc.
BBB+
6.500%
11/01/2017
N/A
613,358
                 
     
Engineering & Construction - 0.1%
          
 
260,000
  
ABB Finance USA, Inc.
A
1.625%
05/08/2017
N/A
263,772
                 
     
Food - 2.0%
          
 
100,000
  
ConAgra Foods, Inc.
BBB-
5.819%
06/15/2017
N/A
116,307
 
800,000
  
General Mills Inc.
BBB+
5.700%
02/15/2017
N/A
935,684
 
1,000,000
  
Kraft Foods Group, Inc.
BBB
2.250%
06/05/2017
N/A
1,039,274
 
570,000
  
Kroger Co.
BBB
6.400%
08/15/2017
N/A
682,125
 
1,199,000
  
Mondelez International, Inc.
BBB-
6.500%
08/11/2017
N/A
1,452,491
 
200,000
  
Safeway, Inc.
BBB
6.350%
08/15/2017
N/A
228,781
 
250,000
  
Unilever Capital Corp.
A+
0.850%
08/02/2017
N/A
248,847
               
4,703,509
                 
     
Gas - 0.1%
          
 
150,000
  
Sempra Energy
BBB+
2.300%
04/01/2017
N/A
155,888
                 
     
Health Care Products - 0.7%
          
 
500,000
  
Baxter International, Inc.
A
1.850%
01/15/2017
N/A
514,384
 
713,000
  
Covidien International Finance SA (Luxembourg)
A
6.000%
10/15/2017
N/A
858,349
 
300,000
  
Hospira, Inc.
BBB+
6.050%
03/30/2017
N/A
345,009
               
1,717,742
                 
     
Health Care Services - 0.8%
          
 
500,000
  
Aetna, Inc.
A-
1.500%
11/15/2017
10/15/17 @ 100
502,290
 
330,000
  
Laboratory Corp. of America Holdings
BBB
2.200%
08/23/2017
N/A
335,256
 
400,000
  
UnitedHealth Group, Inc.
A
1.400%
10/15/2017
N/A
402,195
 
570,000
  
WellPoint, Inc.
A-
5.875%
06/15/2017
N/A
675,097
               
1,914,838
     
Household Products & Housewares - 0.4%
          
 
759,000
  
Kimberly-Clark Corp.
A
6.125%
08/01/2017
N/A
921,586
                 
     
Insurance - 2.9%
          
 
300,000
  
ACE INA Holdings, Inc.
A
5.700%
02/15/2017
N/A
351,134
 
450,000
  
Aflac, Inc.
A-
2.650%
02/15/2017
N/A
473,869
 
1,200,000
  
American International Group, Inc.
A-
3.800%
03/22/2017
N/A
1,304,185
 
1,000,000
  
American International Group, Inc., Series MTN
A-
5.450%
05/18/2017
N/A
1,149,177
 
1,000,000
  
Berkshire Hathaway Finance Corp.
AA+
1.600%
05/15/2017
N/A
1,022,216
 
800,000
  
Berkshire Hathaway, Inc.
AA+
1.900%
01/31/2017
N/A
826,337
 
300,000
  
Hartford Financial Services Group, Inc.
BBB
5.375%
03/15/2017
N/A
342,278
 
920,000
  
Prudential Financial, Inc., Series MTN
A
6.000%
12/01/2017
N/A
1,097,645
 
90,000
  
Willis North America, Inc.
BBB-
6.200%
03/28/2017
N/A
102,801
               
6,669,642
                 
     
Internet - 0.9%
          
 
800,000
  
Amazon.com, Inc.
AA-
1.200%
11/29/2017
N/A
796,810
 
600,000
  
eBay, Inc.
A
1.350%
07/15/2017
N/A
606,189
 
550,000
  
Symantec Corp.
BBB
2.750%
06/15/2017
05/15/17 @ 100
568,151
               
1,971,150
                 
     
Iron & Steel - 0.2%
          
 
40,000
  
ArcelorMittal (Luxembourg)
BB+
5.000%
02/25/2017
N/A
41,657
 
430,000
  
Nucor Corp.
A
5.750%
12/01/2017
N/A
514,439
               
556,096
                 
     
Leisure Time - 0.2%
          
 
400,000
  
Carnival Corp. (Panama)
BBB+
1.875%
12/15/2017
N/A
401,600
                 
     
Lodging - 0.2%
          
 
550,000
  
Wynn Las Vegas, LLC / Wynn Las Vegas Capital Corp.(a)
BBB-
5.375%
03/15/2022
03/15/17 @ 103
580,938
                 
     
Machinery-Construction & Mining - 0.1%
          
 
150,000
  
Caterpillar, Inc.
A
1.500%
06/26/2017
N/A
152,409
                 
     
Media - 3.9%
          
 
712,000
  
Comcast Cable Communications, LLC
A-
8.875%
05/01/2017
N/A
915,869
 
900,000
  
Comcast Corp.
A-
6.500%
01/15/2017
N/A
1,081,055
 
769,000
  
Comcast Corp.
A-
6.300%
11/15/2017
N/A
938,549
 
1,500,000
  
DIRECTV Holdings, LLC / DIRECTV Financing Co., Inc.
BBB
2.400%
03/15/2017
N/A
1,533,225
 
1,458,000
  
Time Warner Cable, Inc.
BBB
5.850%
05/01/2017
N/A
1,697,376
 
500,000
  
Time Warner Cos., Inc.
BBB
7.250%
10/15/2017
N/A
623,138
 
300,000
  
Viacom, Inc.
BBB+
3.500%
04/01/2017
N/A
323,527
 
300,000
  
Viacom, Inc.
BBB+
6.125%
10/05/2017
N/A
356,729
 
500,000
  
Walt Disney Co., Series MTN
A
1.125%
02/15/2017
N/A
501,889
 
1,000,000
  
Walt Disney Co., Series MTN
A
1.100%
12/01/2017
N/A
1,000,134
               
8,971,491
                 
     
Mining - 1.2%
          
 
646,000
  
Alcoa, Inc.(a)
BBB-
5.550%
02/01/2017
N/A
711,851
 
600,000
  
Freeport-McMoRan Copper & Gold, Inc.
BBB
2.150%
03/01/2017
N/A
608,581
 
480,000
  
Rio Tinto Finance USA PLC (United Kingdom)
A-
2.000%
03/22/2017
02/22/17 @ 100
492,113
 
980,000
  
Rio Tinto Finance USA PLC (United Kingdom)
A-
1.625%
08/21/2017
07/21/17 @ 100
989,204
               
2,801,749
                 
     
Miscellaneous Manufacturing - 2.2%
          
 
600,000
  
3M Co., Series MTN
AA-
1.000%
06/26/2017
N/A
603,112
 
3,309,000
  
General Electric Co.
AA+
5.250%
12/06/2017
N/A
3,884,905
 
434,000
  
Tyco Electronics Group SA (Luxembourg)
BBB+
6.550%
10/01/2017
N/A
519,298
               
5,007,315
                 
     
Office & Business Equipment - 0.8%
          
 
470,000
  
Pitney Bowes, Inc., Series MTN(a)
BBB
5.750%
09/15/2017
N/A
506,229
 
800,000
  
Xerox Corp.
BBB-
6.750%
02/01/2017
N/A
924,868
 
500,000
  
Xerox Corp.
BBB-
2.950%
03/15/2017
N/A
513,267
               
1,944,364
                 
     
Oil & Gas - 7.8%
          
 
1,542,000
  
Anadarko Petroleum Corp.
BBB-
6.375%
09/15/2017
N/A
1,843,191
 
300,000
  
Apache Corp.
A-
5.625%
01/15/2017
N/A
348,985
 
1,000,000
  
BP Capital Markets PLC (United Kingdom)
A
1.846%
05/05/2017
N/A
1,025,062
 
800,000
  
BP Capital Markets PLC (United Kingdom)
A
1.375%
11/06/2017
N/A
802,814
 
780,000
  
Canadian Natural Resources Ltd. (Canada)
BBB+
5.700%
05/15/2017
N/A
913,126
 
1,400,000
  
Chevron Corp.
AA
1.104%
12/05/2017
11/05/17 @ 100
1,404,897
 
800,000
  
ConocoPhillips Co.
A
1.050%
12/15/2017
09/15/17 @ 100
798,994
 
480,000
  
Devon Energy Corp.
BBB+
1.875%
05/15/2017
04/15/17 @ 100
485,096
 
580,000
  
EnCana Corp. (Canada)
BBB
5.900%
12/01/2017
N/A
685,308
 
313,000
  
EOG Resources, Inc.
A-
5.875%
09/15/2017
N/A
376,883
 
387,000
  
Marathon Oil Corp.
BBB
6.000%
10/01/2017
N/A
463,730
 
500,000
  
Murphy Oil Corp.
BBB
2.500%
12/01/2017
N/A
501,615
 
1,200,000
  
Occidental Petroleum Corp.
A
1.750%
02/15/2017
N/A
1,233,451
 
900,000
  
Phillips 66
BBB
2.950%
05/01/2017
N/A
953,232
 
800,000
  
Shell International Finance BV (Netherlands)
AA
5.200%
03/22/2017
N/A
933,046
 
650,000
  
Shell International Finance BV (Netherlands)
AA
1.125%
08/21/2017
N/A
652,487
 
1,170,000
  
Statoil ASA (Norway)
AA-
3.125%
08/17/2017
N/A
1,269,586
 
1,050,000
  
Total Capital International SA (France)
AA-
1.500%
02/17/2017
N/A
1,068,766
 
900,000
  
Total Capital International SA (France)
AA-
1.550%
06/28/2017
N/A
913,314
 
500,000
  
Transocean, Inc. (Cayman Islands)
BBB-
2.500%
10/15/2017
N/A
506,820
 
532,000
  
Valero Energy Corp.
BBB
6.125%
06/15/2017
N/A
634,614
               
17,815,017
                 
     
Oil & Gas Services - 0.3%
          
 
300,000
  
National Oilwell Varco, Inc.
A-
1.350%
12/01/2017
N/A
301,554
 
320,000
  
Weatherford International, Inc.
BBB-
6.350%
06/15/2017
N/A
369,715
               
671,269
                 
     
Pharmaceuticals - 4.2%
          
 
1,125,000
  
Actavis, Inc.
BBB
1.875%
10/01/2017
N/A
1,135,750
 
1,582,000
  
AstraZeneca PLC (United Kingdom)
AA-
5.900%
09/15/2017
N/A
1,904,298
 
400,000
  
Bristol-Myers Squibb Co.
A+
0.875%
08/01/2017
N/A
396,532
 
870,000
  
ELI Lilly & Co.
AA-
5.200%
03/15/2017
N/A
1,012,135
 
300,000
  
Express Scripts Holding Co.
BBB+
2.650%
02/15/2017
N/A
313,787
 
1,700,000
  
GlaxoSmithKline Capital PLC (United Kingdom)
A+
1.500%
05/08/2017
N/A
1,727,176
 
746,000
  
Johnson & Johnson
AAA
5.550%
08/15/2017
N/A
894,017
 
570,000
  
McKesson Corp.
A-
5.700%
03/01/2017
N/A
668,955
 
800,000
  
Merck & Co., Inc.
AA
6.000%
09/15/2017
N/A
971,214
 
500,000
  
Wyeth, LLC
AA
5.450%
04/01/2017
N/A
588,413
               
9,612,277
                 
     
Pipelines - 0.9%
          
 
500,000
  
DCP Midstream Operating, LP
BBB-
2.500%
12/01/2017
11/01/17 @ 100
506,098
 
520,000
  
Enterprise Products Operating, LLC, Series L
BBB+
6.300%
09/15/2017
N/A
627,926
 
350,000
  
Kinder Morgan Energy Partners LP
BBB
6.000%
02/01/2017
N/A
407,683
 
500,000
  
Williams Partners, LP / Williams Partners Finance Corp.
BBB
7.250%
02/01/2017
N/A
603,851
               
2,145,558
                 
     
Real Estate Investment Trusts - 1.3%
          
 
300,000
  
American Tower Corp.
BB+
7.000%
10/15/2017
N/A
358,629
 
600,000
  
ERP Operating, LP
BBB+
5.750%
06/15/2017
N/A
704,536
 
570,000
  
HCP, Inc.
BBB+
6.000%
01/30/2017
N/A
661,531
 
400,000
  
Simon Property Group, LP
A-
2.800%
01/30/2017
10/30/16 @ 100
422,410
 
350,000
  
Simon Property Group, LP
A-
5.875%
03/01/2017
12/01/16 @ 100
408,860
 
500,000
  
Simon Property Group, LP
A-
2.150%
09/15/2017
06/15/17 @ 100
518,118
               
3,074,084
                 
     
Retail - 3.7%
          
 
877,000
  
Costco Wholesale Corp.
A+
5.500%
03/15/2017
N/A
1,033,289
 
1,000,000
  
Costco Wholesale Corp.
A+
1.125%
12/15/2017
N/A
1,002,225
 
1,036,000
  
CVS Caremark Corp.
BBB+
5.750%
06/01/2017
N/A
1,228,008
 
290,000
  
Darden Restaurants, Inc.
BBB
6.200%
10/15/2017
N/A
338,831
 
500,000
  
Kohl's Corp.
BBB+
6.250%
12/15/2017
N/A
578,868
 
500,000
  
Lowe's Cos., Inc.
A-
1.625%
04/15/2017
03/15/17 @ 100
511,768
 
680,000
  
McDonald's Corp., Series GMTN
A
5.800%
10/15/2017
N/A
821,361
 
400,000
  
Starbucks Corp.
A-
6.250%
08/15/2017
N/A
480,876
 
969,000
  
Target Corp.
A+
5.375%
05/01/2017
N/A
1,134,777
 
650,000
  
Walgreen Co.
BBB
1.800%
09/15/2017
N/A
660,020
 
608,000
  
Wal-Mart Stores, Inc.
AA
5.375%
04/05/2017
N/A
718,796
               
8,508,819
                 
     
Semiconductors - 1.1%
          
 
350,000
  
Altera Corp.
A-
1.750%
05/15/2017
N/A
357,604
 
2,100,000
  
Intel Corp.
A+
1.350%
12/15/2017
N/A
2,107,070
               
2,464,674
                 
     
Software - 1.6%
          
 
300,000
  
Fidelity National Information Services, Inc.
BBB-
5.000%
03/15/2022
03/15/17 @ 103
319,500
 
670,000
  
Fiserv, Inc.
BBB-
6.800%
11/20/2017
N/A
807,870
 
500,000
  
Microsoft Corp.
AAA
0.875%
11/15/2017
N/A
497,892
 
2,000,000
  
Oracle Corp.
A+
1.200%
10/15/2017
N/A
2,002,054
               
3,627,316
                 
     
Telecommunications - 3.9%
          
 
1,070,000
  
AT&T, Inc.
A-
1.600%
02/15/2017
N/A
1,084,078
 
800,000
  
AT&T, Inc.
A-
1.700%
06/01/2017
N/A
812,254
 
1,000,000
  
AT&T, Inc.
A-
1.400%
12/01/2017
N/A
998,762
 
300,000
  
CenturyLink, Inc., Series N
BB
6.000%
04/01/2017
N/A
325,534
 
500,000
  
Cisco Systems, Inc.
A+
3.150%
03/14/2017
N/A
542,160
 
400,000
  
Nippon Telegraph & Telephone Corp. (Japan)
AA
1.400%
07/18/2017
N/A
402,333
 
200,000
  
Qwest Corp.
BBB-
6.500%
06/01/2017
N/A
233,935
 
500,000
  
Telefonica Emisiones SAU (Spain)
BBB
6.221%
07/03/2017
N/A
555,376
 
459,000
  
Verizon Communications, Inc.
A-
5.500%
04/01/2017
N/A
535,674
 
500,000
  
Verizon Communications, Inc.
A-
1.100%
11/01/2017
N/A
497,134
 
1,181,000
  
Vodafone Group PLC (United Kingdom)
A-
5.625%
02/27/2017
N/A
1,377,035
 
500,000
  
Vodafone Group PLC (United Kingdom)
A-
1.625%
03/20/2017
N/A
506,239
 
1,000,000
  
Vodafone Group PLC (United Kingdom)
A-
1.250%
09/26/2017
N/A
995,284
               
8,865,798
                 
     
Transportation - 0.5%
          
 
430,000
  
Burlington Northern Santa Fe, LLC
BBB+
5.650%
05/01/2017
N/A
506,433
 
500,000
  
Norfolk Southern Corp.
BBB+
7.700%
05/15/2017
N/A
629,805
               
1,136,238
                 
     
Water - 0.3%
          
 
495,000
  
American Water Capital Corp.
BBB+
6.085%
10/15/2017
N/A
592,638
                 
     
Total Corporate Bonds - 98.8%
          
     
(Cost $219,704,248)
        
226,903,880
                 
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 0.7%
          
 
1,463,280
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(b) (c)
        
                   1,463,280
     
(Cost $1,463,280)
          
                 
     
Total Investments - 99.5%
          
     
(Cost $221,167,528)
        
228,367,160
     
Other Assets in excess of Liabilities - 0.5%
        
1,233,691
     
Net Assets  - 100.0%
        
$              229,600,851
 
AB - Stock Company
            
AG - Stock Corporation
          
ASA - Stock Company
          
BV - Limited Liability Company
          
LLC - Limited Liability Company
          
LP - Limited Partnership
          
N/A- Not Applicable
          
PLC - Public Limited Company
          
SA - Corporation
            
SAU - Incorporated with Limited Liability
          
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Security, or portion thereof, was on loan at February 28, 2013.
(b)
At February 28, 2013, the total market value of the Fund's securities on loan was $1,431,029 and the total market value of the collateral held by the Fund was $1,463,280.
(c)
Interest rate shown reflects yield as of February 28, 2013.
   
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
Country Allocation***
United States
82.1%
United Kingdom
5.6%
Canada
3.7%
Netherlands
1.7%
France
1.7%
Germany
1.3%
Sweden
0.7%
Switzerland
0.7%
Japan
0.7%
Luxembourg
0.6%
Norway
0.6%
Spain
0.2%
Cayman Islands
0.2%
Panama
0.2%
*** Subject to change daily.  Based on total corporate bonds.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $                                                             221,167,528
 $     7,299,054
 $     (99,422)
 $7,199,632
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust ("Board of Trustees"). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
 
The following table represents the Fund’s investments carried by caption and by level within the fair value hierarchy as of February 28, 2013:
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets
                
Corporate Bonds
  
$                  –
  
$      226,904
  
$              –
  
$      226,904
Investments of Collateral for Securities Loaned
      1,463
  
            –
  
       –
  
    1,463
Total
  
$            1,463
  
$      226,904
  
$              –
  
$      228,367
 
During the nine months ended February 28, 2013, there were no transfers between levels.
        
 
 
 
 
 
 
 
BSCI Guggenheim BulletShares 2018 Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 98.6%
          
     
Agriculture - 2.8%
          
 
$518,000
  
Altria Group, Inc.
BBB
9.700%
11/10/2018
N/A
$723,788
 
70,000
  
Archer Daniels
A
5.450%
03/15/2018
N/A
83,766
 
455,000
  
Philip Morris International, Inc.
A
5.650%
05/16/2018
N/A
549,641
               
1,357,195
                 
     
Banks - 18.1%
          
 
400,000
  
Bank of America Corp., Series MTNL
A-
5.650%
05/01/2018
N/A
464,845
 
250,000
  
Bank of New York Mellon
A+
1.300%
01/25/2018
12/25/17 @ 100
250,962
 
200,000
  
BB&T Corp.
A-
1.450%
01/12/2018
12/12/17 @ 100
200,762
 
200,000
  
Canadian Imperial Bank (Canada)
A+
1.550%
01/23/2018
12/23/17 @ 100
201,156
 
505,000
  
Citigroup, Inc.
A-
6.125%
05/15/2018
N/A
604,873
 
300,000
  
Credit Suisse New York (Switzerland)
BBB+
6.000%
02/15/2018
N/A
346,477
 
360,000
  
Fifth Third Bancorp
BBB-
4.500%
06/01/2018
N/A
401,184
 
600,000
  
Goldman Sachs Group, Inc.
A-
5.950%
01/18/2018
N/A
702,525
 
825,000
  
Goldman Sachs Group, Inc.
A-
6.150%
04/01/2018
N/A
975,924
 
500,000
  
HSBC USA, Inc.
A+
1.625%
01/16/2018
N/A
502,751
 
825,000
  
JPMorgan Chase & Co.
A
6.000%
01/15/2018
N/A
986,968
 
800,000
  
Morgan Stanley, Series GMTN
A-
6.625%
04/01/2018
N/A
953,034
 
200,000
  
Royal Bank of Scotland NV (Netherlands)
BBB-
4.650%
06/04/2018
N/A
207,025
 
156,000
  
Regions Bank, Series BKNT
BBB-
7.500%
05/15/2018
N/A
190,710
 
250,000
  
Sumitomo Mitsui Banking (Japan)
A+
1.500%
01/18/2018
N/A
250,854
 
244,000
  
UBS AG, Series BKNT (Switzerland)
A
5.750%
04/25/2018
N/A
290,478
 
475,000
  
Wachovia Corp., Series MTN
A+
5.750%
02/01/2018
N/A
567,465
 
500,000
  
Wells Fargo & Co.
A+
1.500%
01/16/2018
N/A
502,174
               
8,600,167
                 
     
Beverages - 3.0%
          
 
200,000
  
Anheuser-Busch Cos., Inc.
A
5.500%
01/15/2018
N/A
239,265
 
200,000
  
Anheuser-Busch InBev Finance, Inc.
A
1.250%
01/17/2018
N/A
200,122
 
260,000
  
Coca-Cola Co.
AA-
1.650%
03/14/2018
N/A
267,268
 
200,000
  
PepsiCo, Inc.
A-
5.000%
06/01/2018
N/A
236,721
 
375,000
  
PepsiCo, Inc.
A-
7.900%
11/01/2018
N/A
502,079
               
1,445,455
                 
     
Biotechnology - 0.2%
          
 
100,000
  
Amgen, Inc.
A+
6.150%
06/01/2018
N/A
121,389
                 
     
Chemicals - 1.8%
          
 
130,000
  
CF Industries, Inc.
BBB-
6.875%
05/01/2018
N/A
158,704
 
250,000
  
Dow Chemical Co.
BBB
5.700%
05/15/2018
N/A
296,404
 
210,000
  
EI du Pont de Nemours & Co.
A
6.000%
07/15/2018
N/A
260,003
 
100,000
  
PPG Industries, Inc.
BBB+
6.650%
03/15/2018
N/A
123,609
               
838,720
                 
     
Computers - 1.6%
          
 
130,000
  
Computer Sciences Corp.
BBB
6.500%
03/15/2018
N/A
149,926
 
450,000
  
IBM Corp.
AA-
7.625%
10/15/2018
N/A
597,015
               
746,941
                 
     
Diversified Financial Services - 14.3%
          
 
475,000
  
American Express Co.
BBB+
7.000%
03/19/2018
N/A
595,370
 
161,000
  
Associates Corp. NA
A-
6.950%
11/01/2018
N/A
197,350
 
590,000
  
Bear JPM
A
7.250%
02/01/2018
N/A
736,318
 
300,000
  
Caterpillar Financial Services Corp., Series MTN
A
5.450%
04/15/2018
N/A
356,835
 
150,000
  
Caterpillar Financial Services Corp., Series MTN
A
7.050%
10/01/2018
N/A
193,163
 
200,000
  
Ford Motor Credit Co. LLC
BB+
2.375%
01/16/2018
N/A
198,795
 
500,000
  
Ford Motor Credit Co. LLC
BB+
5.000%
05/15/2018
N/A
552,996
 
825,000
  
General Electric Capital Corp.
AA+
5.625%
05/01/2018
N/A
979,371
 
120,000
  
Jefferies Group, Inc.
BBB
5.125%
04/13/2018
N/A
130,200
 
100,000
  
John Deere Capital Corp., Series MTN
A
5.350%
04/03/2018
N/A
118,986
 
100,000
  
John Deere Capital Corp., Series MTN
A
5.750%
09/10/2018
N/A
122,250
 
1,025,000
  
Merrill Lynch & Co., Inc., Series MTN
A-
6.875%
04/25/2018
N/A
1,243,983
 
100,000
  
Merrill Lynch & Co., Inc.
A-
6.875%
11/15/2018
N/A
122,031
 
250,000
  
National Rural Utilities Cooperative Finance Corp.
A+
5.450%
02/01/2018
N/A
298,269
 
224,000
  
National Rural Utilities Cooperative Finance Corp.
A+
10.375%
11/01/2018
N/A
329,763
 
375,000
  
SLM Corp., Series MTN
BBB-
8.450%
06/15/2018
N/A
445,313
 
200,000
  
Toyota Motor Credit Corp.
AA-
1.375%
01/10/2018
N/A
201,482
               
6,822,475
                 
     
Electric - 4.5%
          
 
120,000
  
Commonwealth Edison
A-
5.800%
03/15/2018
N/A
145,048
 
70,000
  
Consolidated Edison Co. of New York, Inc., Series 08-A
A-
5.850%
04/01/2018
N/A
85,326
 
100,000
  
Consolidated Edison Co. of New York, Inc.
A-
7.125%
12/01/2018
N/A
130,004
 
100,000
  
Dominion Resources, Inc.
A-
6.400%
06/15/2018
N/A
123,586
 
200,000
  
Duke Energy Carolinas
A
7.000%
11/15/2018
N/A
260,491
 
100,000
  
Florida Power Corp.
A
5.650%
06/15/2018
N/A
120,602
 
50,000
  
Midamerican Energy Holdings
BBB+
5.750%
04/01/2018
N/A
60,349
 
70,000
  
NiSource Finance Corp.
BBB-
6.400%
03/15/2018
N/A
84,116
 
50,000
  
Northern States Power Co.
A
5.250%
03/01/2018
N/A
59,974
 
150,000
  
Oncor Electric Delivery
A
6.800%
09/01/2018
N/A
186,132
 
365,000
  
Pacific Gas & Electric Co.
BBB
8.250%
10/15/2018
N/A
494,124
 
150,000
  
PacifiCorp
A
5.650%
07/15/2018
N/A
183,621
 
100,000
  
Transalta Corp. (Canada)
BBB-
6.650%
05/15/2018
N/A
117,026
 
70,000
  
Virginia Electric & Power Co.
A-
5.400%
04/30/2018
N/A
84,153
               
2,134,552
                 
     
Electronics - 0.7%
          
 
60,000
  
Honeywell International
A
5.300%
03/01/2018
N/A
71,727
 
220,000
  
Royal Philips Electronics NV (Netherlands)
A-
5.750%
03/11/2018
N/A
264,113
               
335,840
                 
     
Environmental Control - 1.0%
          
 
250,000
  
Republic Services, Inc.
BBB
3.800%
05/15/2018
N/A
275,637
 
150,000
  
Waste Management, Inc.
BBB
6.100%
03/15/2018
N/A
180,256
               
455,893
                 
     
Food - 2.6%
          
 
200,000
  
ConAgra Foods, Inc.
BBB-
1.900%
01/25/2018
N/A
202,555
 
200,000
  
Kraft Foods Group, Inc.
BBB
6.125%
08/23/2018
N/A
244,759
 
275,000
  
Kraft Foods, Inc.
BBB-
6.125%
02/01/2018
N/A
331,935
 
280,000
  
Kraft Foods, Inc.
BBB-
6.125%
08/23/2018
N/A
341,684
 
100,000
  
SYSCO Corp.
A
5.250%
02/12/2018
N/A
118,578
               
1,239,511
                 
     
Forest Products & Paper - 1.4%
          
 
510,000
  
International Paper Co.
BBB
7.950%
06/15/2018
N/A
656,902
                 
     
Gas - 0.3%
          
 
100,000
  
Sempra Energy
BBB+
6.150%
06/15/2018
N/A
122,500
                 
     
Health Care Products - 0.4%
          
 
150,000
  
Baxter International, Inc.
A
5.375%
06/01/2018
N/A
179,620
                 
     
Health Care Services - 1.8%
          
 
200,000
  
Aetna, Inc.
A-
6.500%
09/15/2018
N/A
247,857
 
100,000
  
Humana, Inc.
BBB
7.200%
06/15/2018
N/A
122,560
 
300,000
  
UnitedHealth Group, Inc.
A
6.000%
02/15/2018
N/A
364,467
 
100,000
  
WellPoint, Inc.
A-
1.875%
01/15/2018
N/A
101,150
               
836,034
                 
     
Household Products & Housewares - 0.3%
          
 
100,000
  
Kimberly-Clark Corp.
A
7.500%
11/01/2018
N/A
132,370
                 
     
Insurance - 6.7%
          
 
500,000
  
American International Group, Inc., Series MTN
A-
5.850%
01/16/2018
N/A
589,495
 
700,000
  
American International Group, Inc.
A-
8.250%
08/15/2018
N/A
914,405
 
275,000
  
Berkshire Hathaway Finance Corp.
AA+
5.400%
05/15/2018
N/A
330,118
 
360,000
  
Chubb Corp.
A+
5.750%
05/15/2018
N/A
440,269
 
200,000
  
Genworth Financial, Inc.(a)
BBB-
6.515%
05/22/2018
N/A
225,178
 
100,000
  
Hartford Financial Services Group Inc.
BBB
6.300%
03/15/2018
N/A
120,221
 
400,000
  
MetLife, Inc., Series A
A-
6.817%
08/15/2018
N/A
501,102
 
60,000
  
Travelers Cos., Inc.
A
5.800%
05/15/2018
N/A
73,630
               
3,194,418
                 
     
Internet - 0.2%
          
 
100,000
  
Expedia, Inc.
BBB-
7.456%
08/15/2018
N/A
119,360
                 
     
Iron & Steel - 0.7%
          
 
150,000
  
Arcelormittal (Luxembourg)
BB+
6.125%
06/01/2018
N/A
161,927
 
140,000
  
Nucor Corp.
A
5.850%
06/01/2018
N/A
169,414
               
331,341
                 
     
Machinery-Construction & Mining - 0.6%
          
 
200,000
  
Caterpillar, Inc.
A
7.900%
12/15/2018
N/A
270,225
                 
     
Media - 3.2%
          
 
300,000
  
Comcast Corp.
A-
5.875%
02/15/2018
N/A
362,208
 
100,000
  
Comcast Corp.
A-
5.700%
05/15/2018
N/A
120,483
 
200,000
  
DIRECTV Holdings
BBB
1.750%
01/15/2018
N/A
196,989
 
100,000
  
Historic TW, Inc.
BBB
6.875%
06/15/2018
N/A
125,113
 
150,000
  
Thomson Reuters (Canada)
A-
6.500%
07/15/2018
N/A
186,244
 
425,000
  
Time Warner Cable, Inc.
BBB
6.750%
07/01/2018
N/A
520,957
               
1,511,994
                 
     
Metal Fabricate & Hardware - 0.6%
          
 
300,000
  
Precision Castparts Corp.
A-
1.250%
01/15/2018
N/A
300,322
                 
     
Mining - 1.5%
          
 
100,000
  
Alcoa, Inc.
BBB-
6.750%
07/15/2018
N/A
115,086
 
150,000
  
Barrick NA Finance LLC
BBB+
6.800%
09/15/2018
N/A
185,314
 
250,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
6.500%
07/15/2018
N/A
310,408
 
100,000
  
Teck Resources Ltd. (Canada)
BBB
2.500%
02/01/2018
N/A
102,197
               
713,005
                 
     
Miscellaneous Manufacturing - 0.3%
          
 
100,000
  
Ingersoll-Rand Global Holding Co. Ltd. (Bermuda)
BBB+
6.875%
08/15/2018
N/A
121,417
                 
     
Office & Business Equipment - 0.8%
          
 
310,000
  
Xerox Corp.
BBB-
6.350%
05/15/2018
N/A
360,774
                 
     
Oil & Gas - 3.1%
          
 
100,000
  
ConocoPhillips
A
5.200%
05/15/2018
N/A
118,273
 
270,000
  
Marathon Oil Corp.
BBB
5.900%
03/15/2018
N/A
322,883
 
50,000
  
Occidental Petroleum Corp.
A
1.500%
02/15/2018
01/15/18 @ 100
50,666
 
200,000
  
Petro-Canada (Canada)
BBB+
6.050%
05/15/2018
N/A
241,888
 
129,000
  
Southwestern Energy Co.
BBB-
7.500%
02/01/2018
N/A
159,224
 
175,000
  
Suncor, Inc. (Canada)
BBB+
6.100%
06/01/2018
N/A
212,386
 
200,000
  
Total Capital Canada Ltd. (Canada)
AA-
1.450%
01/15/2018
N/A
202,098
 
160,000
  
Transocean, Inc. (Cayman Islands)
BBB-
6.000%
03/15/2018
N/A
183,637
               
1,491,055
                 
     
Oil & Gas Services - 0.5%
          
 
100,000
  
Baker Hughes, Inc.
A
7.500%
11/15/2018
N/A
131,750
 
100,000
  
Weatherford International Ltd. (Bermuda)
BBB-
6.000%
03/15/2018
N/A
114,572
               
246,322
                 
     
Pharmaceuticals - 3.8%
          
 
50,000
  
Bristol-Myers Squibb Co.
A+
5.450%
05/01/2018
N/A
60,128
 
800,000
  
GlaxoSmithKline Capital, Inc.
A+
5.650%
05/15/2018
N/A
972,124
 
100,000
  
Johnson & Johnson
AAA
5.150%
07/15/2018
N/A
120,408
 
260,000
  
Medco Health Solutions
BBB+
7.125%
03/15/2018
N/A
322,632
 
150,000
  
Merck & Co., Inc.
AA
1.100%
01/31/2018
N/A
150,881
 
150,000
  
Pharmacia Corp.
AA
6.500%
12/01/2018
N/A
190,550
               
1,816,723
                 
     
Pipelines - 2.3%
          
 
100,000
  
Energy Transfer Partners
BBB-
6.700%
07/01/2018
N/A
120,820
 
270,000
  
Kinder Morgan Energy Partners, LP
BBB
5.950%
02/15/2018
N/A
322,397
 
70,000
  
Plains All American
BBB
6.500%
05/01/2018
N/A
86,411
 
300,000
  
Spectra Energy Capital
BBB
6.200%
04/15/2018
N/A
364,223
 
160,000
  
TransCanada PipeLines Ltd. (Canada)
A-
6.500%
08/15/2018
N/A
200,654
               
1,094,505
                 
     
Real Estate Investment Trusts - 3.2%
          
 
250,000
  
American Tower Corp.
BB+
4.500%
01/15/2018
N/A
275,674
 
300,000
  
Boston Properties, LP
A-
3.700%
11/15/2018
08/15/18 @ 100
330,286
 
80,000
  
HCP, Inc., Series MTN
BBB+
6.700%
01/30/2018
N/A
97,362
 
100,000
  
ProLogis, LP
BBB-
6.625%
05/15/2018
N/A
121,166
 
400,000
  
Simon Property Group, LP
A-
6.125%
05/30/2018
N/A
488,819
 
200,000
  
Ventas Realty, LP
BBB
2.000%
02/15/2018
01/15/18 @ 100
200,761
               
1,514,068
                 
     
Retail - 2.8%
          
 
270,000
  
McDonald's Corp., Series MTN
A
5.350%
03/01/2018
N/A
323,567
 
70,000
  
Nordstrom, Inc.
A-
6.250%
01/15/2018
N/A
84,265
 
300,000
  
Staples, Inc.
BBB
2.750%
01/12/2018
12/12/17 @ 100
301,911
 
150,000
  
Target Corp.
A+
6.000%
01/15/2018
N/A
183,444
 
170,000
  
Wal-Mart Stores, Inc.
AA
5.800%
02/15/2018
N/A
207,641
 
200,000
  
Yum! Brands, Inc.
BBB
6.250%
03/15/2018
N/A
240,708
               
1,341,536
                 
     
Semiconductors - 0.6%
          
 
200,000
  
Broadcom Corp.
A-
2.700%
11/01/2018
N/A
212,328
 
60,000
  
KLA-Tencor Corp.
BBB
6.900%
05/01/2018
N/A
71,963
               
284,291
                 
     
Software - 1.2%
          
 
460,000
  
Oracle Corp.
A+
5.750%
04/15/2018
N/A
557,424
                 
     
Telecommunications - 8.9%
          
 
375,000
  
AT&T, Inc.
A-
5.500%
02/01/2018
N/A
443,594
 
300,000
  
AT&T, Inc.
A-
5.600%
05/15/2018
N/A
358,304
 
400,000
  
British Telecommunications PLC (United Kingdom)
BBB
5.950%
01/15/2018
N/A
478,013
 
450,000
  
Cellco Partnership / Verizon Wireless Capital, LLC
A-
8.500%
11/15/2018
N/A
609,936
 
100,000
  
Deutsche Telephone Finance (Netherlands)
BBB+
6.750%
08/20/2018
N/A
123,995
 
200,000
  
GTE Corp.
A-
6.840%
04/15/2018
N/A
248,707
 
300,000
  
Rogers Communications, Inc. (Canada)
BBB
6.800%
08/15/2018
N/A
378,755
 
250,000
  
Telecom Italia Capital SA (Luxembourg)
BBB
6.999%
06/04/2018
N/A
284,227
 
200,000
  
Verizon Communications, Inc.
A-
5.500%
02/15/2018
N/A
237,387
 
210,000
  
Verizon Communications, Inc.
A-
6.100%
04/15/2018
N/A
256,000
 
345,000
  
Verizon Communications, Inc.
A-
8.750%
11/01/2018
N/A
471,209
 
100,000
  
Virgin Media Secured Finance PLC (United Kingdom)
BBB-
6.500%
01/15/2018
01/15/14 @ 103
107,250
 
200,000
  
Vodafone Group PLC (United Kingdom)
A-
4.625%
07/15/2018
N/A
230,105
               
4,227,482
                 
     
Transportation - 2.2%
          
 
300,000
  
Burlington Northern Santa Fe, LLC
BBB+
5.750%
03/15/2018
N/A
361,410
 
120,000
  
CSX Corp.
BBB
6.250%
03/15/2018
N/A
145,707
 
200,000
  
Norfolk Southern Corp.
BBB+
5.750%
04/01/2018
N/A
239,987
 
250,000
  
United Parcel Service, Inc.
A+
5.500%
01/15/2018
N/A
299,603
               
1,046,707
                 
     
Water - 0.6%
          
 
250,000
  
Veolia Environnement SA (France)
BBB+
6.000%
06/01/2018
N/A
292,611
                 
     
Total Corporate Bonds - 98.6%
          
     
(Cost $46,272,585)
        
46,861,144
                 
                 
     
Investments of Collateral for Securities Loaned - 0.2%
          
 
117,000
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(b) (c)
        
117,000
     
(Cost $117,000)
          
                 
     
Total Investments - 98.8%
          
     
(Cost $46,389,585)
        
46,978,144
     
Other Assets in excess of Liabilities - 1.2%
        
553,603
     
Net Assets  - 100.0%
        
$47,531,747
 
AG - Stock Corporation
          
LLC - Limited Liability Company
          
LP - Limited Partnership
          
N/A- Not Applicable
          
NV - Publicly Traded Company
          
PLC - Public Limited Company
          
SA - Corporation
          
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Security, or portion thereof, was on loan at February 28, 2013.
(b)
At February 28, 2013, the total market value of the Fund's securities on loan was $114,141 and the total market value of the collateral held by the Fund was $117,000.
(c)
Interest rate shown reflects yield as of February 28, 2013.
   
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
   
Country Allocation***
 United States
88.0%
 Canada
3.9%
 United Kingdom
1.7%
 Switzerland
1.4%
 Netherlands
1.3%
 Luxembourg
1.0%
 Australia
0.7%
 France
0.6%
 Japan
0.5%
 Bermuda
0.5%
 Caymand Islands
0.4%
 *** Subject to change daily.  Based on total corporate bonds.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments for Tax Purposes
Gross Tax Unrealized Appreciation
Gross Tax Unrealized Depreciation
Net Tax Unrealized Appreciation on Investments
 $          46,389,585
 $     628,423
 $        (39,864)
 $      588,559
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
               
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
               
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
               
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
               
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
               
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of February 28, 2013:
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
              
Assets:
                
Corporate Bonds
 $                -
  
 $         46,861
  
 $               -
  
 $       46,861
Investments of Collateral for Securities Loaned
              117
  
                  -
  
                 -
  
              117
Total
  
 $            117
  
 $         46,861
  
 $               -
  
 $       46,978
 
During the nine months ended February 28, 2013, there were no transfers between levels.
 
 
 
 
 
 
 
BSCJ Guggenheim BulletShares 2019 Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 98.7%
          
     
Advertising - 0.6%
          
 
$200,000
  
Omnicom Group, Inc.
BBB+
6.250%
07/15/2019
N/A
$242,760
                 
     
Aerospace & Defense - 3.0%
          
 
100,000
  
Boeing Co.
A
6.000%
03/15/2019
N/A
123,522
 
200,000
  
L-3 Communications Corp.
BBB-
5.200%
10/15/2019
N/A
228,689
 
300,000
  
Lockheed Martin Corp.
A-
4.250%
11/15/2019
N/A
338,539
 
350,000
  
United Technologies Corp.
A
6.125%
02/01/2019
N/A
438,296
               
1,129,046
                 
     
Agriculture - 1.3%
          
 
251,000
  
Altria Group, Inc.
BBB
9.250%
08/06/2019
N/A
350,048
 
100,000
  
Lorillard Tobacco Co.
BBB-
8.125%
06/23/2019
N/A
128,042
               
478,090
                 
     
Banks - 17.2%
          
 
100,000
  
Bank of America Corp.
BBB+
5.490%
03/15/2019
N/A
112,597
 
600,000
  
Bank of America Corp.
A-
7.625%
06/01/2019
N/A
766,327
 
200,000
  
Bank of New York Mellon Corp.
A+
5.450%
05/15/2019
N/A
240,820
 
200,000
  
Barclays Bank PLC (United Kingdom)
A+
6.750%
05/22/2019
N/A
248,929
 
100,000
  
BB&T Corp.
BBB+
5.250%
11/01/2019
N/A
115,917
 
627,000
  
Citigroup, Inc.
A-
8.500%
05/22/2019
N/A
841,504
 
400,000
  
Credit Suisse (Switzerland)
A+
5.300%
08/13/2019
N/A
474,140
 
600,000
  
Goldman Sachs Group, Inc.
A-
7.500%
02/15/2019
N/A
759,552
 
650,000
  
JPMorgan Chase & Co.
A
6.300%
04/23/2019
N/A
797,207
 
600,000
  
Morgan Stanley, Series GMTN
A-
7.300%
05/13/2019
N/A
745,201
 
500,000
  
Morgan Stanley, Series MTN
A-
5.625%
09/23/2019
N/A
579,222
 
100,000
  
National City Corp.
BBB+
6.875%
05/15/2019
N/A
125,108
 
200,000
  
PNC Funding Corp.
A-
6.700%
06/10/2019
N/A
254,710
 
400,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
A-
6.400%
10/21/2019
N/A
479,393
               
6,540,627
                 
     
Beverages - 3.4%
          
 
450,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
7.750%
01/15/2019
N/A
596,021
 
300,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
6.875%
11/15/2019
N/A
391,701
 
100,000
  
Bottling Group, LLC
A
5.125%
01/15/2019
N/A
118,555
 
150,000
  
Coca-Cola Co.
AA-
4.875%
03/15/2019
N/A
178,054
               
1,284,331
                 
     
Biotechnology - 0.8%
          
 
235,000
  
Amgen, Inc.
A+
5.700%
02/01/2019
N/A
282,663
                 
     
Chemicals - 4.9%
          
 
200,000
  
Agrium, Inc. (Canada)
BBB
6.750%
01/15/2019
N/A
245,124
 
550,000
  
Dow Chemical Co.
BBB
8.550%
05/15/2019
N/A
743,323
 
100,000
  
El du Pont de Nemours & Co.
A
5.750%
03/15/2019
N/A
121,976
 
30,000
  
Lubrizol Corp.
AA+
8.875%
02/01/2019
N/A
41,826
 
400,000
  
LyondellBasell Industries NV (Netherlands)
BB+
5.000%
04/15/2019
01/15/19 @ 100
448,000
 
100,000
  
Potash Corp. of Saskatchewan, Inc. (Canada)
A-
6.500%
05/15/2019
N/A
124,921
 
125,000
  
Praxair, Inc.
A
4.500%
08/15/2019
N/A
145,638
               
1,870,808
                 
     
Computers - 1.3%
          
 
100,000
  
Dell, Inc.(a)
A-
5.875%
06/15/2019
N/A
104,126
 
100,000
  
International Business Machines Corp.
AA-
1.875%
05/15/2019
N/A
101,870
 
200,000
  
International Business Machines Corp.
AA-
8.375%
11/01/2019
N/A
280,947
               
486,943
                 
     
Cosmetics & Personal Care - 0.6%
          
 
180,000
  
Procter & Gamble Co.
AA-
4.700%
02/15/2019
N/A
212,898
                 
     
Diversified Financial Services - 5.0%
          
 
150,000
  
American Express Co.
BBB+
8.125%
05/20/2019
N/A
202,371
 
150,000
  
BlackRock, Inc.
A+
5.000%
12/10/2019
N/A
178,572
 
100,000
  
Boeing Capital Corp.
A
4.700%
10/27/2019
N/A
117,351
 
165,000
  
Capital One Bank USA NA
BBB
8.800%
07/15/2019
N/A
226,511
 
150,000
  
Caterpillar Financial Services Corp., Series MTN
A
7.150%
02/15/2019
N/A
194,683
 
350,000
  
General Electric Capital Corp., Series GMTN
AA+
6.000%
08/07/2019
N/A
427,437
 
100,000
  
International Lease Finance Corp.
BBB-
5.875%
04/01/2019
N/A
107,944
 
100,000
  
International Lease Finance Corp.
BBB-
6.250%
05/15/2019
N/A
110,019
 
100,000
  
Jefferies Group, Inc.
BBB
8.500%
07/15/2019
N/A
125,192
 
100,000
  
John Deere Capital Corp.
A
2.250%
04/17/2019
N/A
103,892
 
100,000
  
TD Ameritrade Holding Co.
A
5.600%
12/01/2019
N/A
120,232
               
1,914,204
                 
     
Electric - 3.9%
          
 
200,000
  
Arizona Public Service Co.
BBB+
8.750%
03/01/2019
N/A
270,758
 
100,000
  
Carolina Power & Light Co.
A
5.300%
01/15/2019
N/A
120,142
 
100,000
  
Consumers Energy Co.
BBB+
6.700%
09/15/2019
N/A
129,244
 
100,000
  
Dominion Resources, Inc.
A-
8.875%
01/15/2019
N/A
136,731
 
100,000
  
Dominion Resources, Inc.
A-
5.200%
08/15/2019
N/A
119,411
 
100,000
  
Duke Energy Corp.
BBB
5.050%
09/15/2019
N/A
117,660
 
100,000
  
Entergy Texas, Inc.
A-
7.125%
02/01/2019
N/A
124,454
 
100,000
  
Exelon Generation Co. LLC
BBB
5.200%
10/01/2019
N/A
113,498
 
150,000
  
NiSource Finance Corp.
BBB-
6.800%
01/15/2019
N/A
183,700
 
130,000
  
Xcel Energy, Inc.
BBB+
4.700%
05/15/2020
11/15/19 @ 100
152,618
               
1,468,216
                 
     
Electrical Components & Equipment - 0.3%
          
 
100,000
  
Emerson Electric Co.
A
4.875%
10/15/2019
N/A
119,132
                 
     
Electronics - 0.9%
          
 
300,000
  
Honeywell International, Inc.
A
5.000%
02/15/2019
N/A
356,175
                 
     
Environmental Control - 0.3%
          
 
100,000
  
Republic Services, Inc.
BBB
5.500%
09/15/2019
N/A
119,113
                 
     
Food - 2.1%
          
 
300,000
  
General Mills, Inc.
BBB+
5.650%
02/15/2019
N/A
363,571
 
75,000
  
Kellogg Co.
BBB+
4.150%
11/15/2019
N/A
84,518
 
100,000
  
Safeway, Inc.
BBB
5.000%
08/15/2019
N/A
109,327
 
200,000
  
Unilever Capital Corp.
A+
4.800%
02/15/2019
N/A
236,065
               
793,481
                 
     
Forest Products & Paper - 0.6%
          
 
150,000
  
International Paper Co.
BBB
9.375%
05/15/2019
N/A
206,471
                 
     
Gas - 0.8%
          
 
200,000
  
Sempra Energy
BBB+
9.800%
02/15/2019
N/A
282,931
                 
     
Health Care Products - 1.2%
          
 
100,000
  
Baxter International, Inc.
A
4.500%
08/15/2019
N/A
115,916
 
200,000
  
Becton Dickinson and Co.
A
5.000%
05/15/2019
N/A
235,899
 
100,000
  
CareFusion Corp.
BBB
6.375%
08/01/2019
N/A
120,003
               
471,818
                 
     
Health Care Services - 0.3%
          
 
100,000
  
WellPoint, Inc.
A-
7.000%
02/15/2019
N/A
124,856
                 
     
Insurance - 3.4%
          
 
100,000
  
Aflac, Inc.
A-
8.500%
05/15/2019
N/A
136,381
 
100,000
  
Allstate Corp.
A-
7.450%
05/16/2019
N/A
131,429
 
200,000
  
Hartford Financial Services Group Inc.
BBB
6.000%
01/15/2019
N/A
236,655
 
200,000
  
Lincoln National Corp.
A-
8.750%
07/01/2019
N/A
270,894
 
300,000
  
MetLife, Inc.
A-
7.717%
02/15/2019
N/A
392,196
 
100,000
  
Prudential Financial, Inc., Series MTND
A
7.375%
06/15/2019
N/A
128,377
               
1,295,932
                 
     
Machinery-Diversified - 0.3%
          
 
100,000
  
Deere & Co.
A
4.375%
10/16/2019
N/A
116,550
                 
     
Media - 5.9%
          
 
100,000
  
CBS Corp.
BBB
8.875%
05/15/2019
N/A
134,342
 
100,000
  
Comcast Corp.
A-
5.700%
07/01/2019
N/A
121,888
 
300,000
  
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc.
BBB
5.875%
10/01/2019
N/A
354,487
 
200,000
  
Discovery Communications LLC
BBB
5.625%
08/15/2019
N/A
238,336
 
200,000
  
News America, Inc.
BBB+
6.900%
03/01/2019
N/A
252,128
 
300,000
  
Time Warner Cable, Inc.
BBB
8.750%
02/14/2019
N/A
396,552
 
250,000
  
Time Warner Cable, Inc.
BBB
8.250%
04/01/2019
N/A
325,151
 
200,000
  
Viacom, Inc.
BBB+
5.625%
09/15/2019
N/A
239,062
 
150,000
  
Walt Disney Co.
A
5.500%
03/15/2019
N/A
181,979
               
2,243,925
                 
     
Mining - 2.2%
          
 
300,000
  
Alcoa, Inc.
BBB-
5.720%
02/23/2019
N/A
327,527
 
150,000
  
Barrick Gold Corp. (Canada)
BBB+
6.950%
04/01/2019
N/A
186,267
 
200,000
  
Newmont Mining Corp.
BBB+
5.125%
10/01/2019
N/A
232,594
 
100,000
  
Teck Resources Ltd. (Canada)
BBB
3.000%
03/01/2019
N/A
103,289
               
849,677
                 
     
Miscellaneous Manufacturing - 0.7%
          
 
100,000
  
Danaher Corp.
A+
5.400%
03/01/2019
N/A
121,129
 
100,000
  
Illinois Tool Works, Inc.
A+
6.250%
04/01/2019
N/A
125,441
               
246,570
                 
     
Oil & Gas - 11.3%
          
 
100,000
  
Anadarko Petroleum Corp.
BBB-
8.700%
03/15/2019
N/A
134,180
 
300,000
  
BP Capital Markets PLC (United Kingdom)
A
4.750%
03/10/2019
N/A
347,688
 
400,000
  
Cenovus Energy, Inc. (Canada)
BBB+
5.700%
10/15/2019
N/A
489,080
 
350,000
  
Chevron Corp.
AA
4.950%
03/03/2019
N/A
419,043
 
380,000
  
ConocoPhillips
A
5.750%
02/01/2019
N/A
465,711
 
150,000
  
Devon Energy Corp.
BBB+
6.300%
01/15/2019
N/A
184,039
 
150,000
  
EOG Resources, Inc.
A-
5.625%
06/01/2019
N/A
182,949
 
300,000
  
Hess Corp.
BBB
8.125%
02/15/2019
N/A
386,781
 
100,000
  
Husky Energy, Inc. (Canada)
BBB+
7.250%
12/15/2019
N/A
129,101
 
100,000
  
Noble Energy, Inc.
BBB
8.250%
03/01/2019
N/A
130,972
 
100,000
  
Pride International, Inc.
BBB+
8.500%
06/15/2019
N/A
133,096
 
200,000
  
Rowan Companies, Inc.
BBB-
7.875%
08/01/2019
N/A
250,765
 
350,000
  
Shell International Finance BV (Netherlands)
AA
4.300%
09/22/2019
N/A
405,991
 
300,000
  
Statoil ASA (Norway)
AA-
5.250%
04/15/2019
N/A
362,202
 
100,000
  
Talisman Energy, Inc. (Canada)
BBB
7.750%
06/01/2019
N/A
128,301
 
100,000
  
Valero Energy Corp.
BBB
9.375%
03/15/2019
N/A
137,592
               
4,287,491
                 
     
Oil & Gas Services - 1.3%
          
 
300,000
  
Halliburton Co.
A
6.150%
09/15/2019
N/A
378,198
 
100,000
  
Weatherford International Ltd. (Bermuda)
BBB-
9.625%
03/01/2019
N/A
131,397
               
509,595
                 
     
Pharmaceuticals - 7.2%
          
 
200,000
  
Abbott Laboratories
A+
5.125%
04/01/2019
N/A
238,760
 
300,000
  
AstraZeneca PLC (United Kingdom)
AA-
1.950%
09/18/2019
N/A
303,931
 
100,000
  
Express Scripts Holding Co.
BBB+
7.250%
06/15/2019
N/A
127,922
 
150,000
  
Mead Johnson Nutrition Co.
BBB-
4.900%
11/01/2019
N/A
170,886
 
350,000
  
Merck & Co., Inc.
AA
5.000%
06/30/2019
N/A
418,526
 
650,000
  
Novartis Securities Investment Ltd. (Bermuda)
AA-
5.125%
02/10/2019
N/A
778,445
 
550,000
  
Pfizer, Inc.
AA
6.200%
03/15/2019
N/A
693,131
               
2,731,601
                 
     
Pipelines - 1.9%
          
 
100,000
  
Enterprise Products Operating LLC
BBB+
6.500%
01/31/2019
N/A
124,449
 
100,000
  
Kinder Morgan Energy Partners LP
BBB
9.000%
02/01/2019
N/A
134,322
 
100,000
  
Magellan Midstream Partners LP
BBB
6.550%
07/15/2019
N/A
123,500
 
100,000
  
ONEOK Partners LP
BBB
8.625%
03/01/2019
N/A
133,038
 
100,000
  
Spectra Energy Capital, LLC
BBB
8.000%
10/01/2019
N/A
131,599
 
60,000
  
TransCanada PipeLines Ltd. (Canada)
A-
7.125%
01/15/2019
N/A
76,898
               
723,806
                 
     
Real Estate Investment Trusts - 2.6%
          
 
100,000
  
Boston Properties, LP
A-
5.875%
10/15/2019
N/A
120,805
 
100,000
  
Health Care REIT, Inc.
BBB-
4.125%
04/01/2019
01/01/19 @ 100
108,861
 
100,000
  
Realty Income Corp.
BBB
6.750%
08/15/2019
N/A
123,893
 
100,000
  
Simon Property Group, LP
A-
10.350%
04/01/2019
N/A
144,972
 
200,000
  
Simon Property Group, LP
A-
5.650%
02/01/2020
11/01/19 @ 100
241,514
 
100,000
  
Ventas Realty, LP / Ventas Capital Corp.
BBB
4.000%
04/30/2019
01/30/19 @ 100
108,660
 
100,000
  
Weyerhaeuser Co.
BBB-
7.375%
10/01/2019
N/A
123,584
               
972,289
                 
     
Retail - 2.1%
          
 
200,000
  
Costco Wholesale Corp.
A+
1.700%
12/15/2019
N/A
200,419
 
200,000
  
CVS Caremark Corp.
BBB+
6.600%
03/15/2019
N/A
252,945
 
200,000
  
Walgreen Co.
BBB
5.250%
01/15/2019
N/A
234,242
 
100,000
  
Wal-Mart Stores, Inc.
AA
4.125%
02/01/2019
N/A
114,131
               
801,737
                 
     
Semiconductors - 0.8%
          
 
300,000
  
Texas Instruments, Inc.
A+
1.650%
08/03/2019
N/A
298,602
                 
     
Software - 2.0%
          
 
100,000
  
CA, Inc.
BBB+
5.375%
12/01/2019
N/A
113,624
 
200,000
  
Microsoft Corp.
AAA
4.200%
06/01/2019
N/A
230,408
 
350,000
  
Oracle Corp.
A+
5.000%
07/08/2019
N/A
417,826
               
761,858
                 
     
Telecommunications - 6.3%
          
 
450,000
  
AT&T, Inc.
A-
5.800%
02/15/2019
N/A
543,507
 
450,000
  
Cisco Systems, Inc.
A+
4.950%
02/15/2019
N/A
533,275
 
100,000
  
Deutsche Telekom International Finance BV (Netherlands)
BBB+
6.000%
07/08/2019
N/A
121,536
 
100,000
  
France Telecom SA (France)
A-
5.375%
07/08/2019
N/A
116,588
 
100,000
  
Telecom Italia Capital SA (Luxembourg)
BBB
7.175%
06/18/2019
N/A
114,397
 
100,000
  
Telefonica Emisiones SAU (Spain)
BBB
5.877%
07/15/2019
N/A
109,218
 
400,000
  
Verizon Communications, Inc.
A-
6.350%
04/01/2019
N/A
496,255
 
300,000
  
Vodafone Group PLC (United Kingdom)
A-
5.450%
06/10/2019
N/A
358,164
               
2,392,940
                 
     
Transportation - 2.2%
          
 
300,000
  
Burlington Northern Santa Fe LLC
BBB+
4.700%
10/01/2019
N/A
350,514
 
100,000
  
Canadian National Railway Co. (Canada)
A-
5.550%
03/01/2019
N/A
121,348
 
200,000
  
Norfolk Southern Corp.
BBB+
5.900%
06/15/2019
N/A
245,703
 
100,000
  
United Parcel Service, Inc.
A+
5.125%
04/01/2019
N/A
120,943
               
838,508
                 
     
Total Corporate Bonds - 98.7%
          
     
(Cost $36,953,394)
        
37,455,644
                 
                 
     
Investments of Collateral for Securities Loaned - 0.1%
          
 
54,000
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(b) (c)
        
54,000
     
(Cost $54,000)
          
                 
     
Total Investments - 98.8%
          
     
(Cost $37,007,394)
        
37,509,644
     
Other Assets in excess of Liabilities - 1.2%
        
450,163
     
Net Assets  - 100.0%
        
$37,959,807
 
ASA - Stock Company
BV - Limited Liability Company
LLC - Limited Liability Company
LP - Limited Partnership
N/A- Not Applicable
NV - Publicly Traded Company
PLC - Public Limited Company
SA - Corporation
SAU - Incorporated with Limited Liability
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Security, or portion thereof, was on loan at February 28, 2013.
(b)
At February 28, 2013, the total market value of the Fund's securities on loan was $52,475 and the total market value of the collateral held by the Fund was $54,000.
(c)
Interest rate shown reflects yield as of February 28, 2013.
   
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
   
Country Allocation***
 United States
82.9%
 United Kingdom
4.6%
 Canada
4.3%
 Netherlands
2.6%
 Bermuda
2.4%
 Switzerland
1.3%
 Norway
1.0%
 France
0.3%
 Luxembourg
0.3%
 Spain
0.3%
 *** Subject to change daily.  Based on total corporate bonds.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
     
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $          37,007,394
 $     555,705
 $        (53,455)
 $      502,250
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
             
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
             
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
             
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
             
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
             
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of February 28, 2013:
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
              
Assets:
                
Corporate Bonds
 $               -
  
 $         37,456
  
 $               -
  
 $       37,456
Investments of Collateral for Securities Loaned
                54
     -  
                 -
  
                54
Total
  
 $             54
  
 $         37,456
  
 $               -
  
 $       37,510
 
During the nine months ended February 28, 2013, there were no transfers between levels.
 
 
 
 
 
 
 
BSCK Guggenheim BulletShares 2020 Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 98.5%
          
     
Advertising - 0.9%
          
 
$200,000
  
Omnicom Group, Inc.
BBB+
4.450%
08/15/2020
N/A
$219,594
                 
     
Aerospace & Defense - 3.3%
          
 
100,000
  
Boeing Co.
A
4.875%
02/15/2020
N/A
118,289
 
200,000
  
L-3 Communications Corp.
BBB-
4.750%
07/15/2020
N/A
221,383
 
200,000
  
Raytheon Co.
A-
4.400%
02/15/2020
N/A
227,951
 
100,000
  
Raytheon Co.
A-
3.125%
10/15/2020
N/A
105,636
 
150,000
  
United Technologies Corp.
A
4.500%
04/15/2020
N/A
174,491
               
847,750
                 
     
Agriculture - 0.9%
          
 
100,000
  
Lorillard Tobacco Co.
BBB-
6.875%
05/01/2020
N/A
121,455
 
100,000
  
Philip Morris International, Inc.
A
4.500%
03/26/2020
N/A
115,292
               
236,747
                 
     
Banks - 23.6%
          
 
400,000
  
Bank of America Corp.
A-
5.625%
07/01/2020
N/A
468,748
 
350,000
  
Barclays Bank PLC (United Kingdom)
A+
5.125%
01/08/2020
N/A
401,672
 
100,000
  
Barclays Bank PLC (United Kingdom)
BBB+
5.140%
10/14/2020
N/A
106,244
 
350,000
  
Citigroup, Inc.
A-
5.375%
08/09/2020
N/A
411,517
 
140,000
  
Credit Suisse (Switzerland)
BBB+
5.400%
01/14/2020
N/A
157,331
 
250,000
  
Credit Suisse, Series MTN (Switzerland)
A+
4.375%
08/05/2020
N/A
282,941
 
250,000
  
Discover Bank
BBB-
7.000%
04/15/2020
N/A
310,828
 
350,000
  
Goldman Sachs Group, Inc., Series GMTN
A-
5.375%
03/15/2020
N/A
402,962
 
300,000
  
Goldman Sachs Group, Inc.
A-
6.000%
06/15/2020
N/A
358,370
 
250,000
  
HSBC Bank USA NA
A
4.875%
08/24/2020
N/A
282,532
 
100,000
  
HSBC USA, Inc.
A-
5.000%
09/27/2020
N/A
110,006
 
200,000
  
JPMorgan Chase & Co.
A
4.950%
03/25/2020
N/A
230,631
 
350,000
  
JPMorgan Chase & Co.
A
4.400%
07/22/2020
N/A
391,728
 
290,000
  
JPMorgan Chase & Co.
A
4.250%
10/15/2020
N/A
321,300
 
400,000
  
Morgan Stanley, Series GMTN
A-
5.500%
01/26/2020
N/A
455,871
 
250,000
  
Morgan Stanley
A-
5.500%
07/24/2020
N/A
287,141
 
200,000
  
Northern Trust Corp.
A+
3.450%
11/04/2020
N/A
215,882
 
150,000
  
PNC Funding Corp.
A-
5.125%
02/08/2020
N/A
176,635
 
200,000
  
PNC Funding Corp.
A-
4.375%
08/11/2020
N/A
227,720
 
100,000
  
Royal Bank of Scotland PLC (United Kingdom)
A
5.625%
08/24/2020
N/A
117,426
 
250,000
  
UBS AG, Series BKNT (Switzerland)
A
4.875%
08/04/2020
N/A
289,711
               
6,007,196
                 
     
Beverages - 5.4%
          
 
350,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
5.375%
01/15/2020
N/A
422,803
 
130,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
5.000%
04/15/2020
N/A
153,997
 
100,000
  
Coca-Cola Co.
AA-
3.150%
11/15/2020
N/A
108,288
 
200,000
  
Coca-Cola Enterprises
BBB
3.500%
09/15/2020
N/A
211,070
 
100,000
  
Diageo Capital PLC (United Kingdom)
A-
4.828%
07/15/2020
N/A
117,152
 
130,000
  
PepsiCo, Inc.
A-
4.500%
01/15/2020
N/A
149,749
 
200,000
  
PepsiCo, Inc.
A-
3.125%
11/01/2020
N/A
213,504
               
1,376,563
                 
     
Biotechnology - 0.7%
          
 
100,000
  
Amgen, Inc.
A+
3.450%
10/01/2020
N/A
106,779
 
60,000
  
Life Technologies Corp.
BBB+
6.000%
03/01/2020
N/A
67,203
               
173,982
                 
     
Chemicals - 3.4%
          
 
150,000
  
CF Industries, Inc.
BBB-
7.125%
05/01/2020
N/A
187,782
 
350,000
  
Dow Chemical Co.
BBB
4.250%
11/15/2020
08/15/20 @ 100
385,713
 
100,000
  
El du Pont de Nemours & Co.
A
4.625%
01/15/2020
N/A
115,687
 
150,000
  
Potash Corp of Saskatchewan, Inc. (Canada)
A-
4.875%
03/30/2020
N/A
172,291
               
861,473
                 
     
Commercial Services - 0.4%
          
 
100,000
  
Moody's Corp.
BBB+
5.500%
09/01/2020
N/A
108,526
                 
     
Computers - 0.8%
          
 
200,000
  
Hewlett-Packard Co.
BBB+
3.750%
12/01/2020
N/A
195,869
                 
     
Diversified Financial Services - 6.9%
          
 
200,000
  
Ameriprise Financial, Inc.
A
5.300%
03/15/2020
N/A
236,976
 
100,000
  
Aon Corp.
BBB+
5.000%
09/30/2020
N/A
114,522
 
100,000
  
Ford Motor Credit Co. LLC
BB+
8.125%
01/15/2020
N/A
126,356
 
350,000
  
General Electric Capital Corp.
AA+
5.500%
01/08/2020
N/A
416,053
 
300,000
  
General Electric Capital Corp., Series MTN
AA+
4.375%
09/16/2020
N/A
336,356
 
100,000
  
General Electric Capital Corp., Series MTN
AA+
5.550%
05/04/2020
N/A
119,432
 
100,000
  
International Lease Finance Corp.
BBB-
8.250%
12/15/2020
N/A
122,750
 
250,000
  
NASDAQ OMX Group, Inc.
BBB
5.550%
01/15/2020
N/A
269,569
               
1,742,014
                 
     
Electric - 2.2%
          
 
150,000
  
Constellation Energy Group, Inc.
BBB-
5.150%
12/01/2020
09/01/20 @ 100
171,084
 
200,000
  
NiSource Finance
BBB-
5.450%
09/15/2020
N/A
234,813
 
150,000
  
Pacific Gas & Electric
BBB
3.500%
10/01/2020
07/01/20 @ 100
163,171
               
569,068
                 
     
Environmental Control - 1.4%
          
 
200,000
  
Republic Services, Inc.
BBB
5.000%
03/01/2020
N/A
230,315
 
100,000
  
Waste Management, Inc.
BBB
4.750%
06/30/2020
N/A
113,935
               
344,250
                 
     
Food - 4.1%
          
 
100,000
  
Kellogg Co.
BBB+
4.000%
12/15/2020
N/A
111,566
 
200,000
  
Kraft Foods Group, Inc.
BBB
5.375%
02/10/2020
N/A
239,146
 
400,000
  
Mondelez International, Inc.
BBB-
5.375%
02/10/2020
N/A
477,726
 
100,000
  
Kroger Co.
BBB
6.150%
01/15/2020
N/A
121,033
 
100,000
  
Safeway, Inc.
BBB
3.950%
08/15/2020
N/A
101,853
               
1,051,324
                 
     
Forest Products & Paper - 0.4%
          
 
100,000
  
Plum Creek Timberlands LP
BBB
4.700%
03/15/2021
12/15/20 @ 100
109,706
                 
     
Health Care Products - 1.3%
          
 
100,000
  
Becton Dickinson and Co.
A
3.250%
11/12/2020
N/A
106,634
 
100,000
  
Boston Scientific Corp.
BBB-
6.000%
01/15/2020
N/A
117,034
 
100,000
  
Stryker Corp.
A+
4.375%
01/15/2020
N/A
113,690
               
337,358
                 
     
Health Care Services - 2.2%
          
 
200,000
  
Aetna, Inc.
A-
3.950%
09/01/2020
N/A
218,793
 
100,000
  
Laboratory Corporation of America Holdings
BBB
4.625%
11/15/2020
8/15/20 @ 100
109,554
 
100,000
  
Quest Diagnostics, Inc.
BBB+
4.750%
01/30/2020
N/A
108,992
 
100,000
  
WellPoint, Inc.
A-
4.350%
08/15/2020
N/A
111,037
               
548,376
                 
     
Housewares - 0.4%
          
 
100,000
  
Newell Rubbermaid, Inc.
BBB-
4.700%
08/15/2020
N/A
111,032
                 
     
Insurance - 3.1%
          
 
300,000
  
American International Group, Inc.
A-
6.400%
12/15/2020
N/A
373,738
 
100,000
  
Hartford Financial Services Group, Inc.
BBB
5.500%
03/30/2020
N/A
116,976
 
100,000
  
Prudential Financial, Inc.
A
5.375%
06/21/2020
N/A
118,086
 
100,000
  
Prudential Financial, Inc., Series MTN
A
4.500%
11/15/2020
N/A
112,257
 
50,000
  
Travelers Cos., Inc.
A
3.900%
11/01/2020
N/A
56,284
               
777,341
                 
     
Internet - 1.7%
          
 
100,000
  
eBay, Inc.
A
3.250%
10/15/2020
07/15/20 @ 100
107,009
 
100,000
  
Expedia, Inc.
BBB-
5.950%
08/15/2020
N/A
111,268
 
200,000
  
Symantec Corp.
BBB
4.200%
09/15/2020
N/A
212,417
               
430,694
                 
     
Media - 6.3%
          
 
200,000
  
CBS Corp.
BBB
5.750%
04/15/2020
N/A
235,497
 
100,000
  
Comcast Corp.
A-
5.150%
03/01/2020
N/A
118,211
 
250,000
  
DIRECTV Holdings LLC/DIRECTV Finance Co., Inc.
BBB
5.200%
03/15/2020
N/A
281,026
 
100,000
  
Discovery Communications LLC
BBB
5.050%
06/01/2020
N/A
114,908
 
350,000
  
NBCUniversal Media LLC
A-
5.150%
04/30/2020
N/A
416,118
 
100,000
  
Time Warner Cable, Inc.
BBB
5.000%
02/01/2020
N/A
113,167
 
80,000
  
Time Warner Cable, Inc.
BBB
4.125%
02/15/2021
11/15/20 @ 100
85,658
 
200,000
  
Time Warner, Inc.
BBB
4.875%
03/15/2020
N/A
229,564
               
1,594,149
                 
     
Mining - 1.2%
          
 
120,000
  
Alcoa, Inc.
BBB-
6.150%
08/15/2020
N/A
132,940
 
150,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
3.500%
11/02/2020
N/A
159,713
               
292,653
                 
     
Oil & Gas - 5.7%
          
 
350,000
  
BP Capital Markets PLC (United Kingdom)
A
4.500%
10/01/2020
N/A
398,453
 
50,000
  
ConocoPhillips
A
6.000%
01/15/2020
N/A
62,733
 
200,000
  
Occidental Petroleum Corp.
A
4.100%
02/01/2021
11/01/20 @ 100
227,697
 
100,000
  
Pride International, Inc.
BBB+
6.875%
08/15/2020
N/A
125,504
 
150,000
  
Shell International Finance BV (Netherlands)
AA
4.375%
03/25/2020
N/A
173,942
 
150,000
  
Total Capital SA (France)
AA-
4.450%
06/24/2020
N/A
173,918
 
100,000
  
Transocean, Inc. (Cayman Islands)
BBB-
6.500%
11/15/2020
N/A
116,749
 
150,000
  
Valero Energy Corp.
BBB
6.125%
02/01/2020
N/A
182,028
               
1,461,024
                 
     
Oil & Gas Services - 0.4%
          
 
100,000
  
Weatherford International Ltd. (Bermuda)
BBB-
5.125%
09/15/2020
N/A
108,174
                 
     
Pharmaceuticals - 3.2%
          
 
200,000
  
Abbott Laboratories
A+
4.125%
05/27/2020
N/A
227,555
 
250,000
  
Cardinal Health, Inc.
A-
4.625%
12/15/2020
N/A
283,868
 
250,000
  
Novartis Capital Corp.
AA-
4.400%
04/24/2020
N/A
289,099
               
800,522
                 
     
Pipelines - 7.0%
          
 
200,000
  
Buckeye Partners, LP
BBB-
4.875%
02/01/2021
11/01/20 @ 100
214,373
 
200,000
  
Enterprise Products Operating LLC
BBB+
5.250%
01/31/2020
N/A
234,625
 
100,000
  
Enterprise Products Operating LLC
BBB+
5.200%
09/01/2020
N/A
117,567
 
250,000
  
Kinder Morgan Energy Partners, LP
BBB
6.850%
02/15/2020
N/A
314,156
 
100,000
  
Kinder Morgan Energy Partners, LP
BBB
5.300%
09/15/2020
N/A
117,136
 
200,000
  
Plains All American Pipeline / PAA Finance Corp.
BBB
5.000%
02/01/2021
11/01/20 @ 100
231,573
 
150,000
  
TransCanada PipeLines Ltd. (Canada)
A-
3.800%
10/01/2020
N/A
167,064
 
150,000
  
Williams Partners, LP
BBB
5.250%
03/15/2020
N/A
171,619
 
200,000
  
Williams Partners, LP
BBB
4.125%
11/15/2020
08/15/20 @ 100
215,878
               
1,783,991
                 
     
Real Estate Investment Trusts - 4.2%
          
 
200,000
  
American Towers Corp.
BB+
5.050%
09/01/2020
N/A
223,294
 
150,000
  
Boston Properties, LP
A-
5.625%
11/15/2020
08/15/20 @ 100
178,765
 
100,000
  
Digital Realty Trust, LP
BBB
5.875%
02/01/2020
N/A
114,039
 
100,000
  
ERP Operating, LP
BBB+
4.750%
07/15/2020
04/15/20 @ 100
112,796
 
250,000
  
ProLogis, LP
BBB-
6.875%
03/15/2020
12/16/19 @ 100
306,246
 
120,000
  
Simon Property Group, LP
A-
5.650%
02/01/2020
11/01/19 @ 100
144,909
               
1,080,049
                 
     
Retail - 4.1%
          
 
100,000
  
Autozone, Inc.
BBB
4.000%
11/15/2020
08/15/20 @ 100
107,441
 
50,000
  
Home Depot, Inc.
A-
3.950%
09/15/2020
06/15/20 @ 100
56,547
 
100,000
  
Lowe's Companies, Inc.
A-
4.625%
04/15/2020
10/15/19 @ 100
115,788
 
100,000
  
Target Corp.
A+
3.875%
07/15/2020
N/A
112,024
 
350,000
  
Wal-Mart Stores, Inc.
AA
3.625%
07/08/2020
N/A
385,807
 
250,000
  
Wal-Mart Stores, Inc.
AA
3.250%
10/25/2020
N/A
269,950
               
1,047,557
                 
     
Software - 1.3%
          
 
100,000
  
Adobe Systems, Inc.
BBB+
4.750%
02/01/2020
N/A
111,878
 
200,000
  
Microsoft Corp.
AAA
3.000%
10/01/2020
N/A
214,089
               
325,967
                 
     
Telecommunications - 2.0%
          
 
350,000
  
Cisco Systems, Inc.
A+
4.450%
01/15/2020
N/A
404,398
 
90,000
  
Telefonica Emisiones SAU (Spain)
BBB
5.134%
04/27/2020
N/A
93,184
               
497,582
                 
     
Total Corporate Bonds - 98.5%
          
     
(Cost $24,433,364)
        
25,040,531
                 
     
Total Investments - 98.5%
          
     
(Cost $24,433,364)
        
25,040,531
     
Other Assets in excess of Liabilities - 1.5%
        
378,215
     
Net Assets  - 100.0%
        
$                25,418,746
 
AG - Stock Corporation
              
BV - Limited Liability Company
          
LLC - Limited Liability Company
          
LP - Limited Partnership
          
PLC - Public Limited Company
          
SA - Corporation
            
SAU - Incorporated with Limited Liability
          
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
 
See previously submitted notes to financial statements for the period ended November 30, 2012.
  
 
 
 
 
 
 
 
 
   
Country Allocation***
United States
87.9%
United Kingdom
4.5%
Switzerland
2.9%
Canada
1.4%
Netherlands
0.7%
France
0.7%
Australia
0.6%
Cayman Islands
0.5%
Bermuda
0.4%
Spain
0.4%
*** Subject to change daily. Based on total corporate bonds.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $                                                               24,433,364
 $                   640,491
 $                    (33,324)
 $                   607,167
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust ("Board of Trustees"). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
 
The following table represents the Fund’s investments carried by caption and by level within the fair value hierarchy as of February 28, 2013:
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets
                
Corporate Bonds
  
$                              –
  
$                      25,041
  
$                              –
  
$                      25,041
Total
  
$                              –
  
$                      25,041
  
$                              –
  
$                      25,041
                 
During the nine months ended February 28, 2013, there were no transfers between levels.
    
 
 
 
 
 
 
 
BSJD Guggenheim BulletShares 2013 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 89.7%
          
     
Advertising - 1.1%
          
 
$2,027,000
  
MDC Partners, Inc. (Canada)
B
11.000%
11/01/2016
11/01/13 @ 106
$2,244,903
                 
     
Aerospace & Defense - 1.6%
          
 
2,026,000
  
DAE Aviation Holdings, Inc.(a)
CCC
11.250%
08/01/2015
08/01/13 @ 100
2,096,910
 
1,013,000
  
Spirit Aerosystems, Inc.
BB-
7.500%
10/01/2017
10/01/13 @ 104
1,078,845
               
3,175,755
                 
     
Apparel - 0.8%
          
 
1,461,000
  
Hanesbrands, Inc.
BB-
8.000%
12/15/2016
12/15/13 @ 104
1,590,664
                 
     
Auto Parts & Equipment - 0.2%
          
 
406,000
  
TRW Automotive, Inc.(a)
BB
8.875%
12/01/2017
12/01/13 @ 104
445,585
                 
     
Banks - 2.7%
          
 
5,167,000
  
Ally Financial, Inc.
B+
7.500%
12/31/2013
N/A
5,438,268
                 
     
Beverages - 0.8%
          
 
1,520,000
  
Cott Beverages, Inc.
B+
8.375%
11/15/2017
11/15/13 @ 104
1,651,100
                 
     
Chemicals - 0.6%
          
 
1,140,000
  
NOVA Chemicals Corp. (Canada)
BB+
8.375%
11/01/2016
11/01/13 @ 104
1,239,750
                 
     
Coal - 1.6%
          
 
1,013,000
  
Arch Coal, Inc.(b)
B-
8.750%
08/01/2016
08/01/13 @ 104
1,038,325
 
1,945,000
  
Cloud Peak Energy Resources, LLC / Cloud Peak Energy Finance Corp.
BB-
8.250%
12/15/2017
12/15/13 @ 104
2,086,012
               
3,124,337
                 
     
Computers - 0.5%
          
 
1,013,000
  
Stream Global Services, Inc.
B+
11.250%
10/01/2014
10/01/13 @ 100
1,059,851
                 
     
Diversified Financial Services - 3.3%
          
 
659,000
  
International Lease Finance Corp., Series GMTN
NR
6.375%
03/25/2013
N/A
661,676
 
669,000
  
International Lease Finance Corp., Series MTN
BBB-
5.625%
09/20/2013
N/A
684,474
 
3,572,000
  
National Money Mart Co. (Canada)
B+
10.375%
12/15/2016
12/15/13 @ 105
3,964,920
 
1,012,000
  
Springleaf Finance Corp., Series MTN
CCC
5.850%
06/01/2013
N/A
1,024,017
 
271,000
  
TMX Finance, LLC / TitleMax Finance Corp.
B+
13.250%
07/15/2015
07/15/13 @ 107
300,810
               
6,635,897
                 
     
Electric - 4.7%
          
 
6,077,000
  
Calpine Construction Finance Co., LP / CCFC Finance Corp.(a)
BB
8.000%
06/01/2016
06/01/13 @ 104
6,441,620
 
2,806,000
  
Calpine Corp.(a)
BB-
7.250%
10/15/2017
10/15/13 @ 104
2,998,912
               
9,440,532
                 
     
Entertainment - 4.3%
          
 
2,207,000
  
American Casino & Entertainment Properties, LLC / ACEP Finance Corp.
B+
11.000%
06/15/2014
06/15/13 @ 100
2,256,658
 
2,027,000
  
NAI Entertainment Holdings, LLC(a)
BB
8.250%
12/15/2017
12/15/13 @ 106
2,219,565
 
2,644,000
  
Pinnacle Entertainment, Inc.
BB-
8.625%
08/01/2017
08/01/13 @ 104
2,822,470
 
507,000
  
Speedway Motorsports, Inc.
BB-
8.750%
06/01/2016
06/01/13 @ 104
539,321
 
710,000
  
Yonkers Racing Corp.(a)
B+
11.375%
07/15/2016
07/15/13 @ 106
770,350
               
8,608,364
                 
     
Food - 1.8%
          
 
2,862,000
  
Ingles Markets, Inc.
BB-
8.875%
05/15/2017
05/15/13 @ 104
3,026,565
 
558,000
  
Stater Bros Holdings, Inc.
B+
7.375%
11/15/2018
11/15/13 @ 106
602,291
               
3,628,856
                 
     
Forest Products & Paper - 1.5%
          
 
2,787,000
  
Boise Paper Holdings, LLC / Boise Finance Co.
BB
9.000%
11/01/2017
11/01/13 @ 105
3,027,379
                 
     
Health Care Services - 5.5%
          
 
1,647,000
  
American Renal Holdings Co., Inc.
B
8.375%
05/15/2018
N/A
1,741,703
 
4,831,000
  
DaVita HealthCare Partners, Inc.
B
6.375%
11/01/2018
11/01/13 @ 105
5,163,131
 
4,103,000
  
HCA, Inc.
B-
6.750%
07/15/2013
N/A
4,185,060
               
11,089,894
                 
     
Holding Companies-Diversified - 1.8%
          
 
1,824,000
  
Leucadia National Corp.(b)
BBB
7.000%
08/15/2013
N/A
1,867,320
 
1,672,000
  
Susser Holdings, LLC / Susser Finance Corp.
B+
8.500%
05/15/2016
05/15/13 @ 104
1,768,140
               
3,635,460
                 
     
Household Products & Housewares - 0.9%
          
 
1,738,000
  
Jarden Corp.
BB-
8.000%
05/01/2016
05/01/13 @ 104
1,831,417
                 
     
Iron & Steel - 0.1%
          
 
127,000
  
Commercial Metals Co.
BB+
5.625%
11/15/2013
N/A
131,445
                 
     
Leisure Time - 0.8%
          
 
153,000
  
Easton-Bell Sports, Inc.
B-
9.750%
12/01/2016
12/01/13 @ 105
165,242
 
1,231,000
  
NCL Corp. Ltd. (Bermuda)
BB+
11.750%
11/15/2016
N/A
1,403,340
               
1,568,582
                 
     
Lodging - 3.4%
          
 
4,001,000
  
Caesars Entertainment Operating Co., Inc.
B
11.250%
06/01/2017
06/01/13 @ 106
4,276,069
 
2,533,000
  
MGM Resorts International
B+
6.750%
04/01/2013
N/A
2,545,032
               
6,821,101
                 
     
Machinery-Diversified - 3.4%
          
 
6,508,000
  
Case New Holland, Inc.
BB+
7.750%
09/01/2013
N/A
6,719,510
                 
     
Media - 12.7%
          
 
1,520,000
  
Bresnan Broadband Holdings, LLC(a)
B+
8.000%
12/15/2018
12/15/13 @ 106
1,672,000
 
7,193,000
  
CCO Holdings, LLC / CCO Holdings Capital Corp.
BB-
7.250%
10/30/2017
10/30/13 @ 105
7,804,405
 
2,498,000
  
CCO Holdings, LLC / CCO Holdings Capital Corp.
BB-
7.875%
04/30/2018
04/30/13 @ 106
2,679,105
 
2,938,000
  
DISH DBS Corp.
BB-
7.000%
10/01/2013
N/A
3,037,157
 
1,013,000
  
Gannett Co., Inc.
BB
9.375%
11/15/2017
11/15/13 @ 105
1,109,235
 
811,000
  
Liberty Interactive, LLC
BB
5.700%
05/15/2013
N/A
819,110
 
2,534,000
  
Salem Communications Corp.
B
9.625%
12/15/2016
12/15/13 @ 105
2,809,573
 
3,040,000
  
Sinclair Television Group, Inc.(a)
BB+
9.250%
11/01/2017
11/01/13 @ 105
3,313,600
 
2,128,000
  
Videotron Ltd. (Canada)
BB
9.125%
04/15/2018
04/29/13 @ 105
2,250,360
               
25,494,545
                 
     
Mining - 3.6%
          
 
6,585,000
  
Novelis, Inc. (Canada)
B
8.375%
12/15/2017
12/15/13 @ 106
7,227,037
                 
     
Oil & Gas - 8.6%
          
 
2,914,000
  
Antero Resources Finance Corp.
B+
9.375%
12/01/2017
12/01/13 @ 105
3,190,830
 
1,875,000
  
Bill Barrett Corp.
BB-
9.875%
07/15/2016
07/15/13 @ 105
2,025,000
 
2,634,000
  
Chesapeake Energy Corp.(b)
BB-
7.625%
07/15/2013
N/A
2,709,727
 
2,219,000
  
Denbury Resources, Inc.
BB
9.750%
03/01/2016
N/A
2,332,724
 
578,000
  
HollyFrontier Corp.
BB+
9.875%
06/15/2017
06/15/13 @ 105
619,905
 
2,558,000
  
Plains Exploration & Production Co.
B
7.625%
06/01/2018
06/01/13 @ 104
2,698,690
 
1,773,000
  
Range Resources Corp.
BB
7.250%
05/01/2018
05/01/13 @ 104
1,861,650
 
1,723,000
  
Western Refining, Inc.(a)
BB
11.250%
06/15/2017
06/15/13 @ 106
1,867,301
               
17,305,827
                 
     
Oil & Gas Services - 0.1%
          
 
250,000
  
Cie Generale de Geophysique - Veritas (France)
BB-
9.500%
05/15/2016
05/15/13 @ 105
265,625
                 
     
Packaging & Containers - 1.8%
          
 
1,773,000
  
Ball Corp.
BB+
7.125%
09/01/2016
09/01/13 @ 104
1,888,245
 
1,672,000
  
Graphic Packaging International, Inc.
BB+
9.500%
06/15/2017
06/15/13 @ 105
1,793,220
               
3,681,465
                 
     
Pipelines - 2.0%
          
 
3,039,000
  
Atlas Pipeline Partners, LP / Atlas Pipeline Finance Corp.
B+
8.750%
06/15/2018
N/A
3,240,562
 
659,000
  
Regency Energy Partners, LP / Regency Energy Finance Corp.
BB
9.375%
06/01/2016
06/01/13 @ 105
701,835
               
3,942,397
                 
     
Real Estate - 4.2%
          
 
1,825,000
  
CBRE Services, Inc.
B+
11.625%
06/15/2017
06/15/13 @ 106
1,986,969
 
5,875,000
  
Toys "R" US Property Co. I, LLC
B+
10.750%
07/15/2017
07/15/13 @ 105
6,337,656
               
8,324,625
                 
     
Real Estate Investment Trusts - 3.8%
          
 
1,241,000
  
Corrections Corp. of America, REIT
BB+
7.750%
06/01/2017
06/01/13 @ 104
1,308,790
 
3,723,000
  
DuPont Fabros Technology, LP
BB
8.500%
12/15/2017
12/15/13 @ 104
4,062,724
 
634,000
  
Geo Group, Inc., REIT
B+
7.750%
10/15/2017
10/15/13 @ 104
683,135
 
1,317,000
  
Host Hotels & Resorts, LP
BBB-
9.000%
05/15/2017
05/15/13 @ 105
1,399,312
 
38,000
  
iStar Financial, Inc.
B+
8.625%
06/01/2013
N/A
38,760
 
102,000
  
iStar Financial, Inc., Series B
B+
5.950%
10/15/2013
N/A
104,550
               
7,597,271
                 
     
Retail - 1.8%
          
 
507,000
  
New Albertsons, Inc.
CCC
7.250%
05/01/2013
N/A
513,971
 
293,000
  
Office Depot, Inc.
CCC+
6.250%
08/15/2013
N/A
300,328
 
2,635,000
  
Rite Aid Corp.
B+
9.750%
06/12/2016
N/A
2,832,625
               
3,646,924
                 
     
Savings & Loans - 0.6%
          
 
1,100,000
  
Amsouth Bank, Series AI
BBB-
4.850%
04/01/2013
N/A
1,104,537
                 
     
Semiconductors - 0.3%
          
 
608,000
  
Advanced Micro Devices, Inc.(b)
B
8.125%
12/15/2017
12/15/13 @ 104
586,720
                 
     
Software - 2.2%
          
 
1,571,000
  
Fidelity National Information Services, Inc.
BBB-
7.625%
07/15/2017
07/15/13 @ 106
1,698,644
 
2,533,000
  
First Data Corp.
B-
9.875%
09/24/2015
09/30/13 @ 100
2,618,489
               
4,317,133
                 
     
Telecommunications - 5.5%
          
 
1,876,000
  
GeoEye, Inc.
NR
9.625%
10/01/2015
N/A
2,065,945
 
750,000
  
Inmarsat Finance PLC (United Kingdom)(a)
BB+
7.375%
12/01/2017
12/01/13 @ 104
806,250
 
2,634,000
  
NII Capital Corp.(b)
CCC
10.000%
08/15/2016
08/15/13 @ 105
2,344,260
 
938,000
  
Telesat Canada / Telesat, LLC (Canada)
B-
12.500%
11/01/2017
05/01/13 @ 106
1,014,212
 
4,659,000
  
Windstream Corp.
B
8.125%
08/01/2013
N/A
4,804,361
               
11,035,028
                 
     
Transportation - 1.1%
          
 
2,077,000
  
Commercial Barge Line Co.
BB-
12.500%
07/15/2017
07/15/13 @ 106
2,284,700
                 
     
Total Corporate Bonds - 89.7%
          
     
(Cost $178,690,875)
        
179,922,484
                 
 
Principal
              
 
Amount
  
Description
Coupon
Yield
Maturity
  
Value
     
U.S. Treasury Security - 8.0%
          
 
$16,106,500
  
U.S. Treasury Bill(b)
NR
0.056%
04/25/2013
16,104,293
     
(Cost $16,105,067)
          
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 3.6%
          
 
7,165,700
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(c) (d)
        
7,165,700
     
(Cost $7,165,700)
          
                 
     
Total Investments - 101.3%
          
     
(Cost $201,961,642)
        
203,192,477
     
Liabilities in excess of Other Assets - (1.3%)
        
(2,575,888)
     
Net Assets  - 100.0%
        
$              200,616,589
 
LLC - Limited Liability Company
LP - Limited Partnership
N/A- Not Applicable
PLC - Public Limited Company
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  Although not rated, U.S. Treasury Securities have an implied rating of AA+/Aaa.   The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Securities are exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.  At February 28, 2013 these securities amounted to $22,632,093, which represents 11.3% of net assets.
(b)
Security, or portion thereof, was on loan at February 28, 2013.
(c)
At February 28, 2013, the total market value of the Fund's securities on loan was $7,006,712 and the total market value of the collateral held by the Fund was $7,165,700.
(d)
Interest rate shown reflects yield as of February 28, 2013.
 
 
 
 
 
 
 
 
BSJD | Guggenheim BulletShares 2013 High Yield Corporate Bond ETF
  
   
Summary of Investments by Country
Country***
% of Investments
United States
90.0%
Canada
8.8%
Bermuda
0.7%
United Kingdom
0.4%
France
0.1%
*** Subject to change daily.
  
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments for Tax Purposes
Gross Tax Unrealized Appreciation
Gross Tax Unrealized Depreciation
Net Tax Unrealized Appreciation on Investments
 $                         201,980,222
 $        1,786,223
 $     (573,968)
 $       1,212,255
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate
relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
                 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Funds’ Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of February 28, 2013.
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets:
                
Corporate Bonds
  
 $                     -
  
        179,922
  
 $                  -
  
 $            179,922
U.S. Treasury Security
     -  
          16,104
     -  
                 16,104
Investments of Collateral for Securities Loaned
                 7,166
  
                 -
  
                     -
  
                   7,166
Total
  
 $              7,166
  
 $      196,026
  
 $                  -
  
 $            203,192
 
During the nine months ended February 28, 2013, there were no transfers between levels.
    
 
 
 
 
 
 
 
BSJE Guggenheim BulletShares 2014 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 97.7%
          
     
Advertising - 1.4%
          
 
$800,000
  
Lamar Media Corp.
BB+
9.750%
04/01/2014
N/A
 $871,000
 
2,457,000
  
Lamar Media Corp.(b)
BB-
7.875%
04/15/2018
04/15/14 @ 104
2,690,415
               
3,561,415
                 
     
Aerospace & Defense - 3.7%
          
 
1,250,000
  
Kratos Defense & Security Solutions, Inc.
B
10.000%
06/01/2017
06/01/14 @ 105
1,385,938
 
6,765,000
  
TransDigm, Inc.
B-
7.750%
12/15/2018
12/15/14 @ 104
7,458,412
 
400,000
  
Triumph Group, Inc.
BB-
8.625%
07/15/2018
07/15/14 @ 104
447,000
               
9,291,350
                 
     
Auto Manufacturers - 0.5%
          
 
1,000,000
  
Jaguar Land Rover Automotive PLC (United Kingdom)(a)
BB-
7.750%
05/15/2018
05/15/14 @ 106
1,098,750
                 
     
Auto Parts & Equipment - 1.1%
          
 
300,000
  
Affinia Group, Inc.
CCC+
9.000%
11/30/2014
04/04/13 @ 100
301,503
 
1,720,000
  
Lear Corp.
BB
7.875%
03/15/2018
03/15/14 @ 104
1,870,500
 
437,000
  
Meritor, Inc.(b)
B-
10.625%
03/15/2018
03/15/14 @ 105
469,775
 
100,000
  
TRW Automotive, Inc.(a)
BB
7.000%
03/15/2014
N/A
105,250
               
2,747,028
                 
     
Banks - 6.0%
          
 
3,550,000
  
Ally Financial, Inc.
B+
4.500%
02/11/2014
N/A
3,643,188
 
2,250,000
  
Ally Financial, Inc.
B+
6.750%
12/01/2014
N/A
2,430,000
 
2,850,000
  
Ally Financial, Inc., Series 8
B+
6.750%
12/01/2014
N/A
3,078,000
 
5,625,000
  
CIT Group, Inc.(a)
BB-
5.250%
04/01/2014
N/A
5,857,031
               
15,008,219
                 
     
Beverages - 1.7%
          
 
2,270,000
  
Constellation Brands, Inc.
BB+
8.375%
12/15/2014
N/A
2,522,537
 
1,600,000
  
Cott Beverages, Inc.
B+
8.125%
09/01/2018
09/01/14 @ 104
1,764,000
               
4,286,537
                 
     
Building Materials - 1.5%
          
 
1,500,000
  
Building Materials Corp. of America(a)
BB+
6.875%
08/15/2018
08/15/14 @ 103
1,612,500
 
1,000,000
  
Interline Brands, Inc.(a)(c)
B-
10.000%
11/15/2018
11/15/14 @ 105
1,104,375
 
1,000,000
  
USG Corp.(a)
BB-
8.375%
10/15/2018
10/15/14 @ 104
1,112,500
               
3,829,375
                 
     
Chemicals - 2.1%
          
 
3,000,000
  
Celanese US Holdings, LLC
BB
6.625%
10/15/2018
10/15/14 @ 103
3,255,000
 
1,758,000
  
NOVA Chemicals Corp. (Canada)
BB+
8.625%
11/01/2019
11/01/14 @ 104
2,004,120
               
5,259,120
                 
     
Coal - 0.7%
          
 
1,600,000
  
Cloud Peak Energy Resources, LLC / Cloud Peak Energy Finance Corp.
BB-
8.500%
12/15/2019
12/15/14 @ 104
1,736,000
                 
     
Commercial Services - 8.4%
          
 
1,500,000
  
Avis Budget Car Rental, LLC / Avis Budget Finance, Inc.
B
8.250%
01/15/2019
10/15/14 @ 104
1,646,250
 
1,300,000
  
Cardtronics, Inc.
BB
8.250%
09/01/2018
09/01/14 @ 104
1,430,000
 
500,000
  
Deluxe Corp., Series B
B
5.125%
10/01/2014
N/A
517,500
 
2,000,000
  
Emergency Medical Services Corp.
B-
8.125%
06/01/2019
06/01/14 @ 106
2,192,500
 
500,000
  
Hertz Corp.
B
7.500%
10/15/2018
10/15/14 @ 104
548,750
 
3,566,000
  
Interactive Data Corp.
B-
10.250%
08/01/2018
08/01/14 @ 105
4,060,782
 
2,550,000
  
Iron Mountain, Inc.
B+
8.375%
08/15/2021
08/15/14 @ 104
2,811,375
 
500,000
  
Jaguar Holding Co. II / Jaguar Merger Sub., Inc.(a)
B-
9.500%
12/01/2019
12/01/14 @ 107
576,250
 
700,000
  
RR Donnelley & Sons Co.
BB
4.950%
04/01/2014
N/A
721,000
 
740,000
  
Service Corp. International
BB-
7.000%
05/15/2019
11/15/14 @ 104
806,600
 
1,300,000
  
TransUnion, LLC / TransUnion Financing Corp.
B-
11.375%
06/15/2018
06/15/14 @ 106
1,504,750
 
1,150,000
  
United Rentals North America, Inc.
B+
10.250%
11/15/2019
11/15/14 @ 105
1,351,250
 
2,550,000
  
United Rentals North America, Inc.
B+
9.250%
12/15/2019
12/15/14 @ 105
2,919,750
               
21,086,757
                 
     
Computers - 1.0%
          
 
500,000
  
iGATE Corp.
B+
9.000%
05/01/2016
05/01/14 @ 105
546,875
 
1,400,000
  
Stream Global Services, Inc.
B+
11.250%
10/01/2014
10/01/13 @ 100
1,464,750
 
525,000
  
SunGard Data Systems, Inc.
BB
4.875%
01/15/2014
N/A
539,438
               
2,551,063
                 
     
Diversified Financial Services - 0.9%
          
 
1,900,000
  
Aircastle Ltd. (Bermuda)
BB+
9.750%
08/01/2018
08/01/14 @ 105
2,175,500
                 
     
Electric - 2.7%
          
 
2,665,000
  
AES Corp.
BB-
7.750%
03/01/2014
N/A
2,831,563
 
900,000
  
CMS Energy Corp.
BB+
2.750%
05/15/2014
N/A
919,715
 
925,000
  
GenOn Energy, Inc.
B
7.625%
06/15/2014
N/A
992,062
 
1,900,000
  
NRG Energy, Inc.
BB-
7.625%
05/15/2019
05/15/14 @ 104
2,052,000
               
6,795,340
                 
     
Electronics - 0.2%
          
 
475,000
  
NXP BV / NXP Funding, LLC (Netherlands)(a)
B+
9.750%
08/01/2018
08/01/14 @ 105
545,062
                 
     
Entertainment - 7.5%
          
 
1,851,000
  
American Casino & Entertainment Properties, LLC / ACEP Finance Corp.
B+
11.000%
06/15/2014
06/15/13 @ 100
1,892,648
 
2,300,000
  
Cinemark USA, Inc.
BB-
8.625%
06/15/2019
06/15/14 @ 104
2,561,625
 
1,450,000
  
Penn National Gaming, Inc.
BB-
8.750%
08/15/2019
08/15/14 @ 104
1,653,000
 
2,000,000
  
Regal Cinemas Corp.
B-
8.625%
07/15/2019
07/15/14 @ 104
2,230,000
 
2,650,000
  
Regal Entertainment Group(b)
B-
9.125%
08/15/2018
08/15/14 @ 105
2,987,875
 
1,000,000
  
Scientific Games Corp.
BB-
8.125%
09/15/2018
09/15/14 @ 104
1,105,000
 
1,900,000
  
Scientific Games International, Inc.
BB-
9.250%
06/15/2019
06/15/14 @ 105
2,113,750
 
1,200,000
  
Vail Resorts, Inc.
BB
6.500%
05/01/2019
05/01/14 @ 105
1,293,000
 
2,500,000
  
WMG Acquisition Corp.
B-
11.500%
10/01/2018
10/01/14 @ 109
2,915,625
               
18,752,523
                 
     
Food - 1.6%
          
 
2,000,000
  
Bumble Bee Acquisition Corp.(a)
B
9.000%
12/15/2017
12/15/14 @ 105
2,195,000
 
800,000
  
JBS USA, LLC / JBS USA Finance, Inc.
BB
11.625%
05/01/2014
N/A
887,000
 
750,000
  
TreeHouse Foods, Inc.
BB-
7.750%
03/01/2018
03/01/14 @ 104
812,812
               
3,894,812
                 
     
Forest Products & Paper - 1.0%
          
 
2,124,000
  
Resolute Forest Products(b)
BB
10.250%
10/15/2018
10/15/14 @ 105
2,469,150
                 
     
Health Care Services - 6.8%
          
 
2,900,000
  
Apria Healthcare Group, Inc.
BB
11.250%
11/01/2014
11/01/13 @ 100
3,001,500
 
1,600,000
  
Apria Healthcare Group, Inc.(b)
B
12.375%
11/01/2014
11/01/13 @ 100
1,602,000
 
1,400,000
  
DaVita HealthCare Partners, Inc.
B
6.625%
11/01/2020
11/01/14 @ 105
1,533,000
 
2,200,000
  
HCA, Inc.
B-
5.750%
03/15/2014
N/A
2,293,500
 
3,400,000
  
HCA, Inc.
BB
8.500%
04/15/2019
04/15/14 @ 104
3,774,000
 
4,200,000
  
Tenet Healthcare Corp.
B+
8.875%
07/01/2019
07/01/14 @ 104
4,756,500
               
16,960,500
                 
     
Home Builders - 0.2%
          
 
422,000
  
Lennar Corp., Series B
BB-
5.500%
09/01/2014
N/A
444,155
                 
     
Home Furnishings - 0.2%
          
 
500,000
  
Sealy Mattress Co.
CCC+
8.250%
06/15/2014
04/04/13 @ 100
502,505
                 
     
Household Products & Housewares - 2.7%
          
 
3,500,000
  
Reynolds Group Issuer, Inc. / Reynolds Group Issuer, LLC / Reynolds Group Issuer Lu
B+
7.125%
04/15/2019
10/15/14 @ 104
3,775,625
 
2,590,000
  
Spectrum Brands, Inc.
B
9.500%
06/15/2018
06/15/14 @ 105
2,949,362
               
6,724,987
                 
     
Internet - 1.5%
          
 
3,375,000
  
Equinix, Inc.
BB
8.125%
03/01/2018
03/01/14 @ 104
3,750,469
                 
     
Iron & Steel - 0.4%
          
 
1,000,000
  
ArcelorMittal USA, LLC
BB+
6.500%
04/15/2014
N/A
1,048,464
                 
     
Lodging - 1.3%
          
 
500,000
  
Boyd Gaming Corp.(b)
CCC+
6.750%
04/15/2014
04/04/13 @ 100
501,250
 
2,700,000
  
MGM Resorts International
B+
5.875%
02/27/2014
N/A
2,811,375
               
3,312,625
                 
     
Machinery-Diversified - 0.5%
          
 
1,000,000
  
Manitowoc Co., Inc.(b)
B+
9.500%
02/15/2018
02/15/14 @ 105
1,115,000
                 
     
Media - 4.8%
          
 
3,981,000
  
CCO Holdings, LLC / CCO Holdings Capital Corp.
BB-
7.000%
01/15/2019
01/15/14 @ 105
4,309,433
 
4,050,000
  
DISH DBS Corp.
BB-
6.625%
10/01/2014
N/A
4,333,500
 
500,000
  
MediaCom, LLC / MediaCom Capital Corp.
B-
9.125%
08/15/2019
08/15/14 @ 105
557,500
 
700,000
  
Nielsen Finance, LLC / Nielsen Finance Co.
BB-
11.625%
02/01/2014
N/A
768,250
 
500,000
  
Sinclair Television Group, Inc.(b)
B
8.375%
10/15/2018
10/15/14 @ 104
560,000
 
1,381,000
  
XM Satellite Radio, Inc.(a)
BB
7.625%
11/01/2018
11/01/14 @ 104
1,529,457
               
12,058,140
                 
     
Metal Fabricate & Hardware - 0.3%
          
 
600,000
  
Severstal Columbus, LLC
B
10.250%
02/15/2018
02/15/14 @ 105
648,000
                 
     
Mining - 1.1%
          
 
1,700,000
  
Century Aluminum Co.
B
8.000%
05/15/2014
05/15/13 @ 100
1,723,375
 
1,000,000
  
Vedanta Resources PLC (United Kingdom)(a) (b)
BB
8.750%
01/15/2014
N/A
1,053,800
               
2,777,175
                 
     
Miscellaneous Manufacturing - 2.1%
          
 
3,302,000
  
RBS Global, Inc. / Rexnord, LLC
B
8.500%
05/01/2018
05/01/14 @ 104
3,632,200
 
1,400,000
  
SPX Corp.
BB+
7.625%
12/15/2014
N/A
1,538,250
               
5,170,450
                 
     
Oil & Gas - 6.3%
          
 
500,000
  
Antero Resources Finance Corp.
B+
7.250%
08/01/2019
08/01/14 @ 105
542,500
 
1,000,000
  
Carrizo Oil & Gas, Inc.
B-
8.625%
10/15/2018
10/15/14 @ 104
1,090,000
 
350,000
  
Citgo Petroleum Corp.(a)
BB+
11.500%
07/01/2017
07/01/14 @ 106
400,750
 
1,600,000
  
Continental Resources, Inc.
BB+
8.250%
10/01/2019
10/01/14 @ 104
1,796,000
 
2,550,000
  
Energy XXI Gulf Coast, Inc.
B+
9.250%
12/15/2017
12/15/14 @ 105
2,894,250
 
1,550,000
  
Forest Oil Corp.
B-
8.500%
02/15/2014
N/A
1,664,313
 
750,000
  
McMoRan Exploration Co.
B-
11.875%
11/15/2014
11/15/13 @ 100
801,562
 
350,000
  
Petrohawk Energy Corp.
BBB+
10.500%
08/01/2014
02/01/14 @ 100
371,305
 
1,760,000
  
Plains Exploration & Production Co.
B
8.625%
10/15/2019
10/15/14 @ 104
2,019,600
 
1,365,000
  
Range Resources Corp.
BB
8.000%
05/15/2019
05/15/14 @ 104
1,508,325
 
1,340,000
  
Tesoro Corp.
BB+
9.750%
06/01/2019
06/01/14 @ 105
1,524,250
 
925,000
  
Whiting Petroleum Corp.
BB+
7.000%
02/01/2014
N/A
968,937
               
15,581,792
                 
     
Oil & Gas Services - 0.1%
          
 
240,000
  
Seitel, Inc.
B
9.750%
02/15/2014
04/04/13 @ 100
240,900
                 
     
Packaging & Containers - 3.0%
          
 
$1,325,000
  
Ardagh Packaging Finance PLC (Ireland)(a)
B+
7.375%
10/15/2017
10/15/14 @ 104
                   1,450,875
 
1,500,000
  
Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc., (Ireland)(a)
B+
7.375%
10/15/2017
10/15/14 @ 104
1,640,625
 
1,700,000
  
Ball Corp.
BB+
7.375%
09/01/2019
09/01/14 @ 104
1,891,250
 
1,395,000
  
Berry Plastics Corp.
CCC+
9.500%
05/15/2018
05/15/14 @ 105
1,558,912
 
800,000
  
Graphic Packaging International
BB+
7.875%
10/01/2018
10/01/14 @ 104
884,000
               
7,425,662
                 
     
Pharmaceuticals - 5.2%
          
 
2,700,000
  
Grifols, Inc.
B+
8.250%
02/01/2018
02/01/14 @ 106
2,976,750
 
2,200,000
  
Mylan, Inc.(a)
BBB-
7.625%
07/15/2017
07/15/14 @ 104
2,456,241
 
1,000,000
  
Valeant Pharmaceuticals International(a)
BB-
6.750%
10/01/2017
10/01/14 @ 103
1,090,000
 
3,000,000
  
Valeant Pharmaceuticals International(a)
BB-
6.875%
12/01/2018
12/01/14 @ 103
3,273,750
 
3,000,000
  
Warner Chilcott Co., LLC / Warner Chilcott Finance, LLC (Puerto Rico)
BB-
7.750%
09/15/2018
09/15/14 @ 104
3,255,000
               
13,051,741
                 
     
Pipelines - 3.1%
          
 
3,750,000
  
Crosstex Energy, LP / Crosstex Energy Finance Corp.
B+
8.875%
02/15/2018
02/15/14 @ 104
4,059,375
 
500,000
  
El Paso, LLC(b)
BB
6.875%
06/15/2014
N/A
533,618
 
2,850,000
  
Regency Energy Partners, LP / Regency Energy Finance Corp.
BB
6.875%
12/01/2018
12/01/14 @ 103
3,092,250
               
7,685,243
                 
     
Real Estate - 1.5%
          
 
3,350,000
  
Atlantic Finance Ltd. (Jersey)(a)
B+
10.750%
05/27/2014
N/A
3,647,993
                 
     
Real Estate Investment Trusts - 0.9%
          
 
1,141,000
  
Felcor Lodging, LP
B+
10.000%
10/01/2014
N/A
1,293,609
 
1,000,000
  
iStar Financial, Inc., Series B
B+
5.700%
03/01/2014
N/A
1,036,250
               
2,329,859
                 
     
Retail - 4.6%
          
 
1,500,000
  
Academy Ltd. / Academy Finance Corp.(a)
CCC+
9.250%
08/01/2019
08/01/14 @ 107
1,687,500
 
3,900,000
  
Burger King Corp.(b)
B
9.875%
10/15/2018
10/15/14 @ 105
4,465,500
 
558,000
  
CKE Restaurants, Inc.
B-
11.375%
07/15/2018
07/15/14 @ 106
652,860
 
40,000
  
Express, LLC / Express Finance Corp.
BB
8.750%
03/01/2018
03/01/14 @ 104
43,900
 
1,080,000
  
Fifth & Pacific Cos., Inc.(a)
B
10.500%
04/15/2019
04/15/14 @ 105
1,215,000
 
1,000,000
  
Michaels Stores, Inc.
B
7.750%
11/01/2018
11/01/14 @ 104
1,096,250
 
1,000,000
  
Rite Aid Corp.
B-
10.250%
10/15/2019
10/15/14 @ 105
1,162,500
 
1,000,000
  
Sonic Automotive, Inc.
B+
9.000%
03/15/2018
03/15/14 @ 105
1,105,000
               
11,428,510
                 
     
Semiconductors - 2.9%
          
 
244,000
  
Freescale Semiconductor, Inc.
CCC+
8.875%
12/15/2014
04/04/13 @ 100
247,050
 
6,400,000
  
Freescale Semiconductor, Inc.(a)
B
9.250%
04/15/2018
04/15/14 @ 105
7,072,000
               
7,319,050
                 
     
Software - 1.0%
          
 
1,400,000
  
Fidelity National Information Services, Inc.
BBB-
7.875%
07/15/2020
07/15/14 @ 106
1,590,750
 
770,000
  
IMS Health, Inc.(a)
B
12.500%
03/01/2018
03/01/15 @ 106
931,700
               
2,522,450
                 
     
Telecommunications - 5.2%
          
 
2,500,000
  
Crown Castle International Corp.
B-
7.125%
11/01/2019
11/01/14 @ 104
2,750,000
 
927,000
  
Frontier Communications Corp.
BB-
8.250%
05/01/2014
N/A
996,525
 
1,501,000
  
Level 3 Financing, Inc.
CCC
10.000%
02/01/2018
02/01/14 @ 105
1,666,110
 
500,000
  
PAETEC Holding Corp.
BB+
9.875%
12/01/2018
12/01/14 @ 105
575,000
 
2,200,000
  
Telesat Canada / Telesat, LLC (Canada)(a)
B-
6.000%
05/15/2017
05/15/14 @ 103
2,304,500
 
2,204,000
  
Virgin Media Finance PLC (United Kingdom)
BB-
8.375%
10/15/2019
10/15/14 @ 104
2,468,480
 
1,900,000
  
Windstream Corp.
B
8.125%
09/01/2018
09/01/14 @ 104
2,090,000
               
12,850,615
                 
     
Total Corporate Bonds - 97.7%
          
     
(Cost $239,446,519)
        
243,684,286
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Exchange Traded Fund - 0.3%
          
 
20,000
  
SPDR Barclays High Yield Bond ETF(b)
        
                      817,600
     
(Cost $809,665)
          
                 
     
Total Long-Term Investments - 98.0%
          
     
(Cost $240,256,184)
        
                244,501,886
                 
                 
     
Investments of Collateral for Securities Loaned - 2.7%
          
 
6,677,680
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(d) (e)
        
                   6,677,680
     
(Cost $6,677,680)
          
                 
     
Total Investments - 100.7%
          
     
(Cost $246,933,864)
        
251,179,566
     
Liabilities in excess of Other Assets - (0.7%)
        
                  (1,705,295)
     
Net Assets  - 100.0%
        
$              249,474,271
 
BV - Limited Liability Company
          
LLC - Limited Liability Company
          
LP - Limited Partnership
          
N/A- Not Applicable
          
PLC - Public Limited Company
          
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Securities are exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.  At February 28, 2013, these securities amounted to $43,960,909, which represents 17.6% of net assets.
(b)
Security, or portion thereof, was on loan at February 28, 2013.
      
(c)
Paid-in-kind toggle note. The issuer in each interest period has the option to pay interest in cash or to issue payment-in-kind shares of the note.
(d)
At February 28, 2013, the total market value of the Fund's securities on loan was $6,532,093 and the total market value of the collateral held by the Fund was $6,677,680.
(e)
Interest rate shown reflects yield as of February 28, 2013.
        
               
See previously submitted notes to financial statements for the period ended November 30, 2012.
  
 
 
 
 
 
 
 
   
Country Allocation***
United States
91.1%
United Kingdom
1.9%
Canada
1.8%
Jersey
1.5%
Puerto Rico
1.3%
Ireland
1.3%
Bermuda
0.9%
Netherlands
0.2%
 *** Subject to change daily.  Based on long-term investments.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $                    246,940,596
 $4,389,966
 $   (150,996)
 $    4,238,970
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust ("Board of Trustees"). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
 
The following table represents the Fund’s investments carried by caption and by level within the fair value hierarchy as of February 28, 2013:
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets:
                
Corporate Bonds
  
$              –
  
$     243,684
  
$                 –
  
$             243,684
Exchange Traded Fund
            818
  
                -
  
                  -
  
         818
Investments of Collateral for Securities Loaned
         6,678
  
                -
  
                  -
  
      6,678
Total
  
$        7,496
  
$     243,684
  
$                 –
  
$             251,180
 
During the nine months ended February 28, 2013, there were no transfers between levels.
          
 
 
 
 
 
 
 
BSJF Guggenheim BulletShares 2015 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 97.8%
          
     
Corporate Bonds - 97.7%
          
     
Advertising - 0.1%
          
 
$500,000
  
Affinion Group, Inc.(a)
CCC
11.500%
10/15/2015
10/15/13 @ 100
 $                   395,000
               
 
     
Aerospace & Defense - 1.2%
        
 
 
1,830,000
  
B/E Aerospace, Inc.
BB
6.875%
10/01/2020
10/01/15 @ 103
                   2,035,875
 
2,000,000
  
Esterline Technologies Corp.
BB
7.000%
08/01/2020
08/01/15 @ 104
                   2,210,000
               
                   4,245,875
               
 
     
Agriculture - 0.4%
        
 
 
1,500,000
  
Vector Group Ltd.
Ba3
11.000%
08/15/2015
N/A
                   1,560,000
               
 
     
Airlines - 1.9%
        
 
 
4,200,000
  
Air Canada (Canada)(b)
B+
9.250%
08/01/2015
08/01/13 @ 105
                   4,483,500
 
2,200,000
  
Continental Airlines, Inc.(b)
BB-
6.750%
09/15/2015
09/15/13 @ 103
                   2,321,000
               
                   6,804,500
               
 
     
Apparel - 2.5%
        
 
 
3,500,000
  
Hanesbrands, Inc.
BB-
6.375%
12/15/2020
12/15/15 @ 103
                   3,806,250
 
3,250,000
  
Levi Strauss & Co.
B+
7.625%
05/15/2020
05/15/15 @ 104
                   3,558,750
 
1,750,000
  
Quiksilver, Inc.(a)
CCC
6.875%
04/15/2015
N/A
                   1,758,750
               
                   9,123,750
               
 
     
Auto Manufacturers - 1.8%
        
 
 
6,000,000
  
Chrysler Group, LLC / CG Co.-Issuer, Inc.
B
8.000%
06/15/2019
06/15/15 @ 104
                   6,607,500
               
 
     
Auto Parts & Equipment - 1.3%
        
 
 
500,000
  
Goodyear Tire & Rubber Co.
B+
8.250%
08/15/2020
08/15/15 @ 104
                      543,750
 
2,510,000
  
Lear Corp.
BB
8.125%
03/15/2020
03/15/15 @ 104
                   2,811,200
 
1,200,000
  
Meritor, Inc.
B-
8.125%
09/15/2015
N/A
                   1,273,500
               
                   4,628,450
               
 
     
Banks - 6.1%
        
 
 
8,950,000
  
Ally Financial, Inc.
B+
8.300%
02/12/2015
N/A
                   9,979,250
 
6,185,000
  
Ally Financial, Inc.
B+
4.625%
06/26/2015
N/A
                   6,505,550
 
3,000,000
  
CIT Group, Inc.(b)
BB-
4.750%
02/15/2015
N/A
                   3,172,500
 
100,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
BB+
5.050%
01/08/2015
N/A
                      103,448
 
2,000,000
  
Zions Bancorporation
BB+
6.000%
09/15/2015
N/A
                   2,112,596
               
                 21,873,344
               
 
     
Building Materials - 1.8%
        
 
 
1,500,000
  
Building Materials Corp. of America(b)
BB+
7.000%
02/15/2020
02/15/15 @ 104
                   1,631,250
 
2,325,000
  
Building Materials Corp. of America(b)
BB+
7.500%
03/15/2020
03/15/15 @ 104
                   2,528,437
 
2,241,000
  
Lafarge SA (France)(b)
BB+
6.200%
07/09/2015
N/A
                   2,442,690
               
                   6,602,377
               
 
     
Chemicals - 2.9%
        
 
 
2,500,000
  
Huntsman International, LLC
B+
8.625%
03/15/2020
03/15/15 @ 104
                   2,800,000
 
4,350,000
  
Ineos Finance PLC (United Kingdom)(b)
B+
9.000%
05/15/2015
05/15/14 @ 100
                   4,621,875
 
2,700,000
  
PolyOne Corp.
BB-
7.375%
09/15/2020
09/15/15 @ 104
                   3,003,750
               
                 10,425,625
               
 
     
Coal - 0.3%
        
 
 
1,200,000
  
Murray Energy Corp.(b)
B
10.250%
10/15/2015
12/15/13 @ 103
                   1,212,000
               
 
     
Commercial Services - 4.8%
        
 
 
5,000,000
  
Ceridian Corp.
CCC
11.250%
11/15/2015
11/15/13 @ 100
                   5,150,000
 
1,500,000
  
Hertz Corp.
B
6.750%
04/15/2019
04/15/15 @ 103
                   1,623,750
 
3,225,000
  
Iron Mountain, Inc.
B+
7.750%
10/01/2019
10/01/15 @ 104
                   3,595,875
 
1,500,000
  
Knowledge Universe Education, LLC(b)
CCC-
7.750%
02/01/2015
N/A
                   1,466,250
 
2,478,000
  
RR Donnelley & Sons Co.(a)
BB
5.500%
05/15/2015
N/A
                   2,601,900
 
2,500,000
  
United Rentals North America, Inc.
B-
8.375%
09/15/2020
09/15/15 @ 104
                   2,762,500
               
                 17,200,275
               
 
     
Computers - 0.7%
        
 
 
2,203,000
  
SunGard Data Systems, Inc.
B
7.625%
11/15/2020
11/15/15 @ 104
                   2,395,763
               
 
     
Cosmetics & Personal Care - 0.1%
        
 
 
500,000
  
Revlon Consumer Products Corp.
B
9.750%
11/15/2015
N/A
                      525,250
               
 
     
Distribution & Wholesale - 1.3%
        
 
 
4,260,000
  
HD Supply, Inc.(b)
B+
8.125%
04/15/2019
04/15/15 @ 106
                   4,819,125
               
 
     
Diversified Financial Services - 2.8%
        
 
 
2,250,000
  
CNH Capital, LLC
BB
3.875%
11/01/2015
N/A
                   2,323,125
 
400,000
  
International Lease Finance Corp.
BBB-
8.625%
09/15/2015
N/A
                      456,500
 
2,950,000
  
Nationstar Mortgage, LLC / Nationstar Capital Corp.
B+
10.875%
04/01/2015
04/01/14 @ 100
                   3,141,750
 
1,500,000
  
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
B+
9.625%
05/01/2019
05/01/15 @ 107
                   1,717,500
 
2,400,000
  
Nuveen Investments, Inc.
CCC
5.500%
09/15/2015
N/A
                   2,340,000
 
100,000
  
Springleaf Finance Corp., Series MTNI
CCC
5.400%
12/01/2015
N/A
                      100,500
               
                 10,079,375
               
 
     
Electric - 5.6%
        
 
 
3,700,000
  
AES Corp.
BB-
7.750%
10/15/2015
N/A
                   4,162,500
 
4,375,000
  
Calpine Corp.(b)
BB-
7.875%
07/31/2020
07/31/15 @ 104
                   4,845,313
 
7,000,000
  
Calpine Corp.(b)
BB-
7.500%
02/15/2021
11/01/15 @ 104
                   7,647,500
 
3,000,000
  
NRG Energy, Inc.
BB-
8.250%
09/01/2020
09/01/15 @ 104
                   3,408,750
               
                 20,064,063
               
 
     
Electrical Components & Equipment - 0.1%
        
 
 
500,000
  
Anixter, Inc.
BB
5.950%
03/01/2015
N/A
                      531,250
               
 
     
Entertainment - 0.1%
        
 
 
425,000
  
Snoqualmie Entertainment Authority(b)
B
9.125%
02/01/2015
N/A
                      426,859
               
 
     
Food - 1.7%
        
 
 
2,350,000
  
ARAMARK Corp.
B-
8.500%
02/01/2015
N/A
                   2,364,711
 
3,718,000
  
Pinnacle Foods Finance, LLC / Pinnacle Foods Finance Corp.
CCC+
9.250%
04/01/2015
N/A
                   3,769,122
               
                   6,133,833
               
 
     
Forest Products & Paper - 0.6%
        
 
 
1,900,000
  
Appleton Papers, Inc.(b)
B+
10.500%
06/15/2015
02/08/14 @ 100
                   2,004,500
               
 
     
Health Care Products - 1.5%
        
 
 
471,000
  
Bausch & Lomb, Inc.
B
9.875%
11/01/2015
11/01/13 @ 100
                      487,485
 
4,150,000
  
Fresenius US Finance II, Inc.(b)
BB+
9.000%
07/15/2015
N/A
                   4,782,875
               
                   5,270,360
               
 
     
Health Care Services - 7.4%
        
 
 
8,750,000
  
CHS/Community Health Systems, Inc.
B
8.000%
11/15/2019
11/15/15 @ 104
                   9,701,562
 
6,125,000
  
HCA Holdings, Inc.
B-
7.750%
05/15/2021
11/15/15 @ 104
                   6,768,125
 
5,600,000
  
HCA, Inc.
B-
6.375%
01/15/2015
N/A
                   6,020,000
 
315,000
  
Select Medical Corp.(a)
B-
7.625%
02/01/2015
N/A
                      315,394
 
3,500,000
  
Tenet Healthcare Corp.(a)
CCC+
9.250%
02/01/2015
N/A
                   3,972,500
               
                 26,777,581
               
 
     
Holding Companies-Diversified - 1.2%
        
 
 
3,850,000
  
Leucadia National Corp.
BBB
8.125%
09/15/2015
N/A
                   4,369,750
               
 
     
Home Builders - 1.7%
        
 
 
1,665,000
  
KB Home
B
6.250%
06/15/2015
N/A
                   1,794,037
 
4,000,000
  
Lennar Corp., Series B
BB-
5.600%
05/31/2015
N/A
                   4,285,000
               
                   6,079,037
               
 
     
Internet - 2.4%
        
 
 
4,700,000
  
GXS Worldwide, Inc.
B
9.750%
06/15/2015
06/15/13 @ 102
                   4,911,500
 
3,425,000
  
Zayo Group, LLC / Zayo Capital, Inc.
B
8.125%
01/01/2020
07/01/15 @ 104
                   3,844,563
               
                   8,756,063
               
 
     
Iron & Steel - 2.8%
        
 
 
1,000,000
  
ArcelorMittal (Luxembourg)
BB+
9.500%
02/15/2015
N/A
                   1,129,260
 
1,000,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
02/25/2015
N/A
                   1,033,017
 
2,500,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
08/05/2015
N/A
                   2,589,843
 
1,500,000
  
Essar Steel Algoma, Inc. (Canada)(b)
B
9.375%
03/15/2015
03/15/14 @ 100
                   1,455,000
 
1,200,000
  
Steel Dynamics, Inc.
BB+
6.750%
04/01/2015
N/A
                   1,206,000
 
2,390,000
  
Steel Dynamics, Inc.
BB+
7.625%
03/15/2020
03/15/15 @ 104
                   2,664,850
               
                 10,077,970
               
 
     
Lodging - 2.9%
        
 
 
2,250,000
  
Caesars Entertainment Operating Co., Inc.
CCC
10.000%
12/15/2015
12/15/13 @ 103
                   2,058,750
 
1,700,000
  
Marina District Finance Co., Inc.
B+
9.500%
10/15/2015
10/15/13 @ 105
                   1,756,312
 
6,000,000
  
MGM Resorts International
B+
6.625%
07/15/2015
N/A
                   6,510,000
               
                 10,325,062
               
 
     
Media - 5.2%
        
 
 
5,150,000
  
CCO Holdings, LLC / CCO Holdings Capital Corp.
BB-
8.125%
04/30/2020
04/30/15 @ 104
                   5,761,562
 
5,500,000
  
DISH DBS Corp.
BB-
7.750%
05/31/2015
N/A
                   6,132,500
 
1,500,000
  
Gannett Co., Inc.
BB
6.375%
09/01/2015
N/A
                   1,650,000
 
4,500,000
  
Sirius XM Radio, Inc.(b)
BB
8.750%
04/01/2015
N/A
                   5,051,250
               
                 18,595,312
               
 
     
Metal Fabricate & Hardware - 0.4%
        
 
 
1,320,000
  
Mueller Water Products, Inc.
B2
8.750%
09/01/2020
09/01/15 @ 104
                   1,501,500
               
 
     
Mining - 1.8%
        
 
 
5,600,000
  
Novelis, Inc. (Canada)
B
8.750%
12/15/2020
12/15/15 @ 104
                   6,300,000
               
 
     
Oil & Gas - 10.4%
        
 
 
1,000,000
  
Berry Petroleum Co.
BB-
6.750%
11/01/2020
11/01/15 @ 103
                   1,070,000
 
1,500,000
  
Chaparral Energy, Inc.
B-
9.875%
10/01/2020
10/01/15 @ 105
                   1,732,500
 
4,400,000
  
Chesapeake Energy Corp.
BB-
9.500%
02/15/2015
N/A
                   4,994,000
 
1,251,000
  
Continental Resources, Inc.
BB+
7.375%
10/01/2020
10/01/15 @ 104
                   1,416,758
 
3,313,000
  
Denbury Resources, Inc.
BB
8.250%
02/15/2020
02/15/15 @ 104
                   3,735,407
 
500,000
  
Energy XXI Gulf Coast, Inc.
B+
7.750%
06/15/2019
06/15/15 @ 104
                      538,750
 
3,400,000
  
EP Energy, LLC / Everest Acquisition Finance, Inc.
B+
6.875%
05/01/2019
05/01/15 @ 103
                   3,723,000
 
5,100,000
  
Linn Energy, LLC / Linn Energy Finance Corp.
B
8.625%
04/15/2020
04/15/15 @ 104
                   5,667,375
 
350,000
  
Petrohawk Energy Corp.
BBB+
7.875%
06/01/2015
06/01/13 @ 102
                      363,715
 
2,500,000
  
Plains Exploration & Production Co.
B
7.625%
04/01/2020
04/01/15 @ 104
                   2,846,875
 
5,500,000
  
Plains Exploration & Production Co.
B
6.500%
11/15/2020
11/15/15 @ 105
                   6,173,750
 
1,700,000
  
Quicksilver Resources, Inc.(a)
CCC+
8.250%
08/01/2015
08/01/13 @ 102
                   1,640,500
 
3,250,000
  
Range Resources Corp.
BB
6.750%
08/01/2020
08/01/15 @ 103
                   3,566,875
               
                 37,469,505
               
 
     
Oil & Gas Services - 0.1%
        
 
 
500,000
  
American Petroleum Tankers Parent, LLC / AP Tankers Co.
B+
10.250%
05/01/2015
05/01/14 @ 100
                      520,625
               
 
     
Packaging & Containers - 2.5%
        
 
 
4,000,000
  
Ball Corp.
BB+
6.750%
09/15/2020
03/15/15 @ 103
                   4,430,000
 
300,000
  
Berry Plastics Corp.
B+
8.250%
11/15/2015
N/A
                      313,035
 
3,670,000
  
Sealed Air Corp.(b)
BB-
8.125%
09/15/2019
09/15/15 @ 104
                   4,137,925
               
                   8,880,960
               
 
     
Pharmaceuticals - 2.5%
        
 
 
1,750,000
  
BioScrip, Inc.
B-
10.250%
10/01/2015
10/01/14 @ 100
                   1,855,000
 
3,900,000
  
Omnicare, Inc.
BB
7.750%
06/01/2020
06/01/15 @ 104
                   4,348,500
 
2,500,000
  
Valeant Pharmaceuticals International(b)
BB-
7.000%
10/01/2020
10/01/15 @ 104
                   2,740,625
               
                   8,944,125
               
 
     
Pipelines - 1.9%
        
 
 
900,000
  
Kinder Morgan Kansas, Inc.(a)
BB
5.150%
03/01/2015
N/A
                      960,632
 
3,930,000
  
MarkWest Energy Partners, LP / MarkWest Energy Finance Corp.
BB
6.750%
11/01/2020
11/01/15 @ 103
                   4,323,000
 
1,200,000
  
NGPL PipeCo, LLC(b)
B+
9.625%
06/01/2019
06/01/15 @ 107
                   1,398,000
               
                   6,681,632
               
 
     
Real Estate Investment Trusts - 1.4%
        
 
 
4,825,000
  
Rouse Co., LLC
BB+
6.750%
11/09/2015
05/09/14 @ 100
                   5,030,063
               
 
     
Retail - 4.1%
        
 
 
2,000,000
  
AmeriGas Partners, LP / AmeriGas Finance Corp.
Ba3
6.250%
08/20/2019
08/20/15 @ 103
                   2,130,000
 
4,600,000
  
PVH Corp.
BB+
7.375%
05/15/2020
05/15/15 @ 104
                   5,180,750
 
4,500,000
  
Rite Aid Corp.
B+
8.000%
08/15/2020
08/15/15 @ 104
                   5,130,000
 
2,225,000
  
Sally Holdings, LLC / Sally Capital, Inc.
BB+
6.875%
11/15/2019
11/15/15 @ 103
                   2,492,000
               
                 14,932,750
               
 
     
Shipbuilding - 0.6%
        
 
 
2,000,000
  
Huntington Ingalls Industries, Inc.
B+
6.875%
03/15/2018
03/15/15 @ 103
                   2,188,750
               
 
     
Software - 0.8%
        
 
 
700,000
  
First Data Corp.
B-
9.875%
09/24/2015
09/30/13 @ 100
                      723,625
 
2,000,000
  
First Data Corp.(b)
B+
8.875%
08/15/2020
08/15/15 @ 104
                   2,220,000
               
                   2,943,625
               
 
     
Telecommunications - 7.9%
        
 
 
3,600,000
  
Avaya, Inc.(a)
CCC+
9.750%
11/01/2015
11/01/13 @ 100
                   3,559,500
 
4,175,000
  
CommScope, Inc. (b)
B
8.250%
01/15/2019
01/15/15 @ 104
                   4,550,750
 
1,575,000
  
Frontier Communications Corp.
BB-
6.625%
03/15/2015
N/A
                   1,712,812
 
3,300,000
  
Frontier Communications Corp.
BB-
7.875%
04/15/2015
N/A
                   3,679,500
 
2,000,000
  
Intelsat Jackson Holdings SA (Luxembourg)
B
7.250%
04/01/2019
04/01/15 @ 104
                   2,155,000
 
3,055,000
  
Intelsat Jackson Holdings SA (Luxembourg)
B
7.250%
10/15/2020
10/15/15 @ 104
                   3,287,944
 
500,000
  
Level 3 Communications, Inc.
CCC
11.875%
02/01/2019
02/01/15 @ 106
                      580,000
 
1,000,000
  
Level 3 Financing, Inc.
CCC
9.375%
04/01/2019
04/01/15 @ 105
                   1,126,250
 
2,000,000
  
Level 3 Financing, Inc.
CCC
8.125%
07/01/2019
07/01/15 @ 104
                   2,190,000
 
2,340,000
  
SBA Telecommunications, Inc.
B+
8.250%
08/15/2019
08/15/14 @ 104
                   2,597,400
 
2,700,000
  
Windstream Corp.
B
7.750%
10/15/2020
10/15/15 @ 104
                   2,916,000
               
                 28,355,156
               
 
     
Trucking & Leasing - 0.1%
        
 
 
400,000
  
Maxim Crane Works, LP / Maxim Finance Corp.(b)
B
12.250%
04/15/2015
04/15/14 @ 100
                      416,000
               
 
     
Total Corporate Bonds - 97.7%
        
 
     
(Cost $345,298,441)
        
                352,074,540
               
 
 
Number
            
 
 
of Shares
  
Description
        
 Value
     
Exchange Traded Fund - 0.1%
        
 
 
9,000
  
SPDR Barclays High Yield Bond ETF(a)
        
                      367,920
     
(Cost $366,443)
        
 
               
 
     
Total Long-Term Investments - 97.8%
        
     
(Cost $345,664,884)
        
                352,442,460
               
 
     
Investments of Collateral for Securities Loaned - 1.8%
        
 
 
6,383,760
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(c) (d)
        
                   6,383,760
     
(Cost $6,383,760)
          
                 
     
Total Investments - 99.6%
          
     
(Cost $352,048,644)
        
358,826,220
     
Other Assets in excess of Liabilities - 0.4%
        
1,451,168
     
Net Assets  - 100.0%
        
$              360,277,388
 
LLC - Limited Liability Company
LP - Limited Partnership
N/A- Not Applicable
PLC - Public Limited Company
SA - Corporation
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Security, or portion thereof, was on loan at February 28, 2013.
(b)
Securities are exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.  At February 28, 2013 these securities amounted to $72,092,724, which represents 20.0% of net assets.
(c)
At February 28, 2013, the total market value of the Fund's securities on loan was $6,230,117 and the total market value of the collateral held by the Fund was $6,383,760.
(d)
Interest rate shown reflects yield as of February 28, 2013.
   
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
BSJF | Guggenheim BulletShares 2015 High Yield Corporate Bond ETF
           
Country Allocation***
United States
        
91.6%
Canada
        
3.5%
Luxembourg
        
2.9%
United Kingdom
        
1.3%
France
        
0.7%
*** Subject to change daily.  Based on long-term investments.
 
At February 28, 2013 the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
     
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $                         352,203,762
 $        7,151,582
 $     (529,124)
 $       6,622,458
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange ("NYSE") on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate
relevant cash flows, which are then discounted to calculate a security's fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
                 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Funds’ Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of February 28, 2013.
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets:
                
Corporate Bonds
  
 $                     -
  
 $      352,074
  
 $                  -
  
 $            352,074
Exchange Traded Fund
  
                    368
  
                 -
  
                     -
  
                     368
Investments of Collateral for Securities Loaned
                 6,384
  
                 -
  
                     -
  
                   6,384
Total
  
 $              6,752
  
 $      352,074
  
 $                  -
  
 $            358,826
 
During the nine months ended February 28, 2013, there were no transfers between levels.
 
 
 
 
 
 
 
BSJG Guggenheim BulletShares 2016 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 98.3%
          
     
Corporate Bonds - 97.9%
          
     
Agriculture - 0.8%
          
 
$750,000
  
Alliance One International, Inc.
B-
10.000%
07/15/2016
07/15/13 @ 105
$795,937
                 
     
Airlines - 0.6%
          
 
500,000
  
Air Canada (Canada)(a)
B-
12.000%
02/01/2016
02/01/14 @ 106
546,875
                 
     
Auto Manufacturers - 2.8%
          
 
1,900,000
  
Chrysler Group, LLC / CG Co.-Issuer, Inc.(b)
B
8.250%
06/15/2021
06/15/16 @ 104
2,113,750
 
500,000
  
Jaguar Land Rover Automotive PLC (United Kingdom)(a)
BB-
8.125%
05/15/2021
05/15/16 @ 104
558,750
               
2,672,500
                 
     
Banks - 1.1%
          
 
1,000,000
  
Ally Financial, Inc.
B+
3.125%
01/15/2016
N/A
1,010,909
                 
     
Beverages - 1.4%
          
 
1,200,000
  
Constellation Brands, Inc.
BB+
7.250%
09/01/2016
N/A
1,366,500
                 
     
Building Materials - 4.7%
          
 
1,500,000
  
Building Materials Corp. of America(a)
BB+
6.750%
05/01/2021
05/01/16 @ 103
1,614,375
 
400,000
  
Lafarge SA (France)
BB+
6.500%
07/15/2016
N/A
446,000
 
500,000
  
Nortek, Inc.
B
8.500%
04/15/2021
04/15/16 @ 104
553,750
 
700,000
  
USG Corp.
B-
6.300%
11/15/2016
N/A
740,250
 
500,000
  
USG Corp.(a)
BB-
7.875%
03/30/2020
03/30/16 @ 104
575,000
 
536,000
  
Vulcan Materials Co.
BB
6.500%
12/01/2016
N/A
605,010
               
4,534,385
                 
     
Chemicals - 1.3%
          
 
266,000
  
Huntsman International LLC(b)
BB-
5.500%
06/30/2016
N/A
266,000
 
900,000
  
INEOS Group Holdings SA (Luxembourg)(a) (b)
CCC+
8.500%
02/15/2016
02/15/14 @ 100
919,125
               
1,185,125
                 
     
Coal - 0.7%
          
 
600,000
  
Peabody Energy Corp.
BB+
7.375%
11/01/2016
N/A
687,000
                 
     
Commercial Services - 3.6%
          
 
548,000
  
Hertz Corp.
B
7.375%
01/15/2021
01/16/16 @ 104
606,910
 
600,000
  
PHH Corp.
BB-
9.250%
03/01/2016
N/A
703,500
 
850,000
  
R.R. Donnelley & Sons
BB
8.600%
08/15/2016
N/A
960,500
 
1,000,000
  
United Rentals North America, Inc.
B+
8.250%
02/01/2021
02/01/16 @ 104
1,138,750
               
3,409,660
                 
     
Computers - 1.0%
          
 
900,000
  
iGATE Corp.
B+
9.000%
05/01/2016
05/01/14 @ 105
984,375
                 
     
Cosmetics & Personal Care - 0.6%
          
 
500,000
  
Elizabeth Arden, Inc.
BB-
7.375%
03/15/2021
03/15/16 @ 104
557,500
                 
     
Distribution & Wholesale - 1.9%
          
 
500,000
  
HD Supply, Inc.(a)
CCC+
11.000%
04/15/2020
04/15/16 @ 106
605,000
 
1,000,000
  
HD Supply, Inc.(a)
CCC+
11.500%
07/15/2020
10/15/16 @ 106
1,155,000
               
1,760,000
                 
     
Diversified Financial Services - 1.9%
          
 
725,000
  
CNH Capital LLC
BB
6.250%
11/01/2016
N/A
804,750
 
900,000
  
E*TRADE Financial Corp.
B-
6.750%
06/01/2016
N/A
965,250
               
1,770,000
                 
     
Electric - 3.1%
          
 
600,000
  
AES Corp.
BB-
9.750%
04/15/2016
N/A
717,000
 
800,000
  
DPL, Inc.
BB-
6.500%
10/15/2016
09/15/16 @ 100
844,000
 
1,250,000
  
NRG Energy, Inc.
BB-
7.875%
05/15/2021
05/15/16 @ 104
1,409,375
               
2,970,375
                 
     
Entertainment - 0.7%
          
 
600,000
  
Yonkers Racing Corp.(a)
B+
11.375%
07/15/2016
07/15/13 @ 106
651,000
                 
     
Food - 0.8%
          
 
600,000
  
Dean Foods Co.
B-
7.000%
06/01/2016
N/A
666,750
 
100,000
  
SUPERVALU, Inc.(b)
B-
8.000%
05/01/2016
N/A
100,625
               
767,375
                 
     
Forest Products & Paper - 1.0%
          
 
350,000
  
Longview Fibre Paper & Packing, Inc.(a)
B+
8.000%
06/01/2016
06/01/13 @ 104
369,250
 
500,000
  
Stora Enso OYJ (Finland)(a)
BB
6.404%
04/15/2016
N/A
540,000
               
909,250
                 
     
Gas - 1.9%
          
 
1,650,000
  
Sabine Pass LNG, LP
BB+
7.500%
11/30/2016
N/A
1,831,500
                 
     
Health Care Products - 0.8%
          
 
750,000
  
Alere, Inc.
CCC+
9.000%
05/15/2016
05/15/14 @ 102
791,250
                 
     
Health Care Services - 4.2%
          
 
1,100,000
  
HCA, Inc.
B-
6.500%
02/15/2016
N/A
1,205,875
 
500,000
  
Health Management Associates, Inc.
BB-
6.125%
04/15/2016
N/A
552,500
 
1,000,000
  
Health Management Associates, Inc.
B-
7.375%
01/15/2020
01/15/16 @ 104
1,097,500
 
500,000
  
Symbion, Inc.
B
8.000%
06/15/2016
06/15/14 @ 104
525,000
 
515,000
  
Universal Health Services, Inc.
BB+
7.125%
06/30/2016
N/A
592,894
               
3,973,769
                 
     
Home Builders - 1.2%
          
 
550,000
  
D.R. Horton, Inc.
BB-
6.500%
04/15/2016
N/A
611,875
 
250,000
  
Lennar Corp., Series B
BB-
6.500%
04/15/2016
N/A
276,563
 
200,000
  
Standard Pacific Corp.
B+
10.750%
09/15/2016
N/A
250,000
               
1,138,438
                 
     
Household Products & Housewares - 1.5%
          
 
650,000
  
American Achievement Corp.(a)
B-
10.875%
04/15/2016
10/15/13 @ 105
606,125
 
750,000
  
Prestige Brands, Inc.
B-
8.125%
02/01/2020
02/01/16 @ 104
847,500
               
1,453,625
                 
     
Internet - 2.4%
          
 
970,000
  
Equinix, Inc.
BB
7.000%
07/15/2021
07/15/16 @ 104
1,068,213
 
1,000,000
  
Zayo Group LLC / Zayo Capital, Inc.
CCC+
10.125%
07/01/2020
07/01/16 @ 105
1,177,500
               
2,245,713
                 
     
Iron & Steel - 1.8%
          
 
700,000
  
APERAM (Luxembourg)(a)
B+
7.375%
04/01/2016
10/01/13 @ 104
701,750
 
1,000,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
03/01/2016
N/A
1,030,720
               
1,732,470
                 
     
Leisure Time - 1.4%
          
 
500,000
  
Good Sam Enterprises, LLC
B3
11.500%
12/01/2016
12/01/13 @ 109
533,750
 
250,000
  
Icon Health & Fitness, Inc.(a)
CCC+
11.875%
10/15/2016
10/15/13 @ 106
210,000
 
500,000
  
Sabre Holdings Corp.
CCC+
8.350%
03/15/2016
N/A
545,000
               
1,288,750
                 
     
Lodging - 4.9%
          
 
500,000
  
Boyd Gaming Corp.
CCC+
7.125%
02/01/2016
02/01/14 @ 100
502,500
 
750,000
  
Caesars Entertainment Operating Co., Inc.
CCC
10.750%
02/01/2016
02/01/14 @ 100
693,750
 
575,000
  
CityCenter Holdings, LLC / CityCenter Finance Corp.
B
7.625%
01/15/2016
01/15/14 @ 104
621,719
 
350,000
  
MGM Resorts International
B+
6.875%
04/01/2016
N/A
378,875
 
1,020,000
  
MGM Resorts International
B+
7.500%
06/01/2016
N/A
1,128,375
 
850,000
  
MGM Resorts International(b)
B+
10.000%
11/01/2016
N/A
1,015,750
 
330,000
  
Sugarhouse HSP Gaming Prop. Mezz., LP / Sugarhouse HSP Gaming Finance Corp.(a)
B-
8.625%
04/15/2016
10/15/13 @ 104
355,162
               
4,696,131
                 
     
Machinery-Diversified - 0.7%
          
 
600,000
  
CNH America, LLC
BB+
7.250%
01/15/2016
N/A
675,000
                 
     
Media - 4.3%
          
 
1,057,000
  
AMC Networks, Inc.
BB-
7.750%
07/15/2021
07/15/16 @ 104
1,204,980
 
1,590,000
  
DISH DBS Corp.
BB-
7.125%
02/01/2016
N/A
1,776,825
 
600,000
  
New York Times Co.
BB-
6.625%
12/15/2016
N/A
659,250
 
100,000
  
Quebecor Media, Inc. (Canada)
B+
7.750%
03/15/2016
03/15/14 @ 100
102,000
 
348,000
  
Salem Communications Corp.
B
9.625%
12/15/2016
12/15/13 @ 105
385,845
               
4,128,900
                 
     
Mining - 2.0%
          
 
1,750,000
  
Inmet Mining Corp. (Canada)(a)
B+
8.750%
06/01/2020
06/01/16 @ 104
1,911,875
                 
     
Miscellaneous Manufacturing - 1.0%
          
 
900,000
  
Bombardier, Inc. (Canada)(a)
BB
4.250%
01/15/2016
N/A
938,250
                 
     
Oil & Gas - 11.3%
          
 
500,000
  
Chaparral Energy, Inc.
B-
8.250%
09/01/2021
09/01/16 @ 104
565,000
 
900,000
  
Concho Resources, Inc.
BB+
7.000%
01/15/2021
01/15/16 @ 104
999,000
 
500,000
  
Continental Resources, Inc.
BB+
7.125%
04/01/2021
04/01/16 @ 104
570,000
 
500,000
  
Denbury Resources, Inc.
BB
6.375%
08/15/2021
08/15/16 @ 103
548,750
 
2,450,000
  
EP Energy, LLC / Everest Acquisition Finance, Inc.
B
9.375%
05/01/2020
05/01/16 @ 105
2,805,250
 
600,000
  
PBF Holding Co. LLC / PBF Finance Corp.(a)
BB+
8.250%
02/15/2020
02/15/16 @ 104
655,500
 
500,000
  
Penn Virginia Corp.(b)
B-
10.375%
06/15/2016
06/15/13 @ 105
532,500
 
1,250,000
  
Plains Exploration & Production Co.
B
6.125%
06/15/2019
06/15/16 @ 103
1,387,500
 
1,000,000
  
Plains Exploration & Production Co.
B
6.625%
05/01/2021
05/01/16 @ 103
1,118,750
 
1,000,000
  
Quicksilver Resources, Inc.
CCC+
11.750%
01/01/2016
07/01/13 @ 106
1,010,000
 
350,000
  
Quicksilver Resources, Inc.(b)
CCC
7.125%
04/01/2016
04/01/14 @ 100
285,250
 
250,000
  
SandRidge Energy, Inc.
B-
9.875%
05/15/2016
05/15/14 @ 102
266,737
               
10,744,237
                 
     
Oil & Gas Services - 1.1%
          
 
1,000,000
  
Cie Generale de Geophysique - Veritas (France)
BB-
6.500%
06/01/2021
6/01/16 @ 103
1,045,000
                 
     
Packaging & Containers - 5.0%
          
 
1,000,000
  
Berry Plastics Corp.
CCC+
9.750%
01/15/2021
01/15/16 @ 105
1,160,000
 
1,000,000
  
Crown Americas / Crown Americas Capital Corp. III
BB
6.250%
02/01/2021
02/01/16 @ 103
1,095,000
 
850,000
  
Owens-Brockway Glass Container, Inc.
BB
7.375%
05/15/2016
N/A
981,750
 
500,000
  
Packaging Dynamics Corp.(a)
B
8.750%
02/01/2016
02/01/14 @ 102
525,000
 
850,000
  
Sealed Air Corp.(a)
BB-
8.375%
09/15/2021
09/15/16 @ 104
973,250
               
4,735,000
                 
     
Pharmaceuticals - 4.1%
          
 
650,000
  
Valeant Pharmaceuticals International(a)
BB-
6.500%
07/15/2016
07/15/13 @ 103
686,156
 
1,000,000
  
Valeant Pharmaceuticals International(a)
BB-
6.375%
10/15/2020
10/15/16 @ 103
1,078,750
 
2,000,000
  
VPI Escrow Corp.(a)
BB-
6.375%
10/15/2020
10/15/16 @ 103
2,162,500
               
3,927,406
                 
     
Pipelines - 2.9%
          
 
1,000,000
  
Kinder Morgan Finance Co. LLC
BB
5.700%
01/05/2016
N/A
1,093,457
 
500,000
  
MarkWest Energy Partners LP / MarkWest Energy Finance Corp.
BB
6.500%
08/15/2021
02/15/16 @ 103
542,500
 
525,000
  
Regency Energy Partners LP / Regency Energy Finance Corp.
BB
6.500%
07/15/2021
07/15/16 @ 103
576,187
 
500,000
  
Targa Resources Partners LP / Targas Resources Finance Corp.
BB
6.875%
02/01/2021
02/01/16 @ 103
547,500
               
2,759,644
                 
     
Real Estate - 1.2%
          
 
500,000
  
Realogy Corp.(a)
BB-
7.625%
01/15/2020
01/15/16 @ 104
566,250
 
500,000
  
Realogy Corp.(a)
B-
9.000%
01/15/2020
01/15/16 @ 105
576,250
               
1,142,500
                 
     
Real Estate Investment Trusts - 1.0%
          
 
500,000
  
Geo Group, Inc.
B+
6.625%
02/15/2021
02/15/16 @ 103
551,875
 
350,000
  
iStar Financial, Inc., Series 1
B+
5.875%
03/15/2016
N/A
362,250
               
914,125
                 
     
Retail - 1.3%
          
 
900,000
  
AmeriGas Finance LLC / AmeriGas Finance Corp.
Ba2
6.750%
05/20/2020
05/20/16 @ 103
974,250
 
250,000
  
Toys "R" US, Inc.(a) (b)
B+
7.375%
09/01/2016
09/01/13 @ 104
255,000
               
1,229,250
                 
     
Shipbuilding - 1.0%
          
 
900,000
  
Huntington Ingalls Industries, Inc.
B+
7.125%
03/15/2021
03/15/16 @ 104
985,500
                 
     
Software - 1.9%
          
 
1,850,000
  
First Data Corp.(b)
CCC+
11.250%
03/31/2016
09/30/13 @ 100
1,838,438
                 
     
Telecommunications - 10.3%
          
 
350,000
  
Clearwire Communications, LLC / Clearwire Finance, Inc.(a)
CCC
14.750%
12/01/2016
N/A
492,625
 
800,000
  
Cricket Communications, Inc.
B+
7.750%
05/15/2016
05/15/14 @ 102
841,960
 
500,000
  
Integra Telecom Holdings, Inc.(a)
B-
10.750%
04/15/2016
04/15/14 @ 103
532,500
 
1,300,000
  
Intelsat Jackson Holdings SA (Luxembourg)
B
7.500%
04/01/2021
04/01/16 @ 104
1,413,750
 
450,000
  
ITC Deltacom, Inc.
B-
10.500%
04/01/2016
04/01/14 @ 103
477,000
 
1,000,000
  
Level 3 Financing, Inc.
CCC
8.625%
07/15/2020
01/15/16 @ 104
1,113,750
 
800,000
  
NII Capital Corp.(b)
CCC
10.000%
08/15/2016
08/15/13 @ 105
712,000
 
2,100,000
  
Sprint Nextel Corp.
B+
6.000%
12/01/2016
N/A
2,278,500
 
1,250,000
  
UPCB Finance V Ltd. (Cayman Islands)(a)
BB-
7.250%
11/15/2021
11/15/16 @ 104
1,381,250
 
500,000
  
Windstream Corp.
B
7.750%
10/01/2021
10/01/16 @ 104
541,250
               
9,784,585
                 
     
Textiles - 0.1%
          
 
100,000
  
Mohawk Industries, Inc.
BBB-
6.375%
01/15/2016
N/A
113,125
                 
     
Transportation - 0.6%
          
 
500,000
  
CEVA Group PLC (United Kingdom)(a)
CCC+
11.625%
10/01/2016
10/01/13 @ 106
527,500
                 
     
Total Corporate Bonds - 97.9%
          
     
(Cost $91,940,712)
        
93,130,747
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Exchange Traded Fund - 0.4%
          
 
9,500
  
SPDR Barclays High Yield Bond ETF(b)
        
388,360
     
(Cost $385,542)
          
                 
     
Total Long-Term Investments - 98.3%
          
     
(Cost $92,326,254)
        
93,519,107
                 
     
Investments of Collateral for Securities Loaned - 3.2%
          
 
3,012,164
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(c) (d)
        
3,012,164
     
(Cost $3,012,164)
          
                 
     
Total Investments - 101.5%
          
     
(Cost $95,338,418)
        
96,531,271
     
Liabilities in excess of Other Assets - (1.5%)
        
(1,382,391)
     
Net Assets  - 100.0%
        
$                95,148,880
 
LLC - Limited Liability Company
  
LP - Limited Partnership
  
N/A- Not Applicable
  
PLC - Public Limited Company
  
SA - Corporation
  
ULC - Unlimited Liability Company
  
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Securities are exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.  At February 28, 2013 these securities amounted to $22,670,068, which represents 23.8% of net assets.
(b)
Security, or portion thereof, was on loan at February 28, 2013.
  
(c)
At February 28, 2013, the total market value of the Fund's securities on loan was $2,941,382 and the total market value of the collateral held by the Fund was $3,012,164.
(d)
Interest rate shown reflects yield as of February 28, 2013.
    
       
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
BSJG | Guggenheim BulletShares 2016 High Yield Corporate Bond ETF
   
Country Allocation***
United States
87.1%
Luxembourg
4.3%
Canada
3.7%
France
1.6%
Cayman Islands
1.5%
United Kingdom
1.2%
Finland
0.6%
*** Subject to change daily.  Based on long-term investments.
 
At February 28, 2013 the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
     
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $                           95,338,418
 $        1,582,481
 $     (389,628)
 $       1,192,853
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
                 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Funds’ Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of February 28, 2013.
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets:
                
Corporate Bonds
  
 $                     -
  
 $       93,131
  
 $                  -
  
 $              93,131
Exchange Traded Fund
  
                    388
  
                 -
  
                     -
  
                     388
Investments of Collateral for Securities Loaned
                 3,012
  
                 -
  
                     -
  
                   3,012
Total
  
 $              3,400
  
 $       93,131
  
 $                  -
  
 $              96,531
                 
During the nine months ended February 28, 2013, there were no transfers between levels.
 
 
 
 
 
 
 
BSJH Guggenheim BulletShares 2017 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 97.6%
          
     
Advertising - 1.6%
          
 
$250,000
  
Lamar Media Corp.
BB-
5.875%
02/01/2022
02/01/17 @ 103
$272,500
 
300,000
  
Sitel, LLC / Sitel Finance Corp.(a)
B
11.000%
08/01/2017
08/01/14 @ 106
318,000
               
590,500
                 
     
Aerospace & Defense - 1.0%
          
 
350,000
  
Kratos Defense & Security Solutions, Inc.
B
10.000%
06/01/2017
06/01/14 @ 105
388,063
                 
     
Auto Manufacturers - 0.2%
          
 
75,000
  
Oshkosh Corp.
BB
8.250%
03/01/2017
03/01/14 @ 104
82,312
                 
     
Auto Parts & Equipment - 0.9%
          
 
300,000
  
Schaeffler Finance BV (Netherlands)(a)
B+
7.750%
02/15/2017
N/A
341,250
                 
     
Banks - 7.2%
          
 
750,000
  
Ally Financial, Inc.
B+
5.500%
02/15/2017
N/A
816,748
 
400,000
  
Ally Financial, Inc.
B+
6.250%
12/01/2017
N/A
448,203
 
500,000
  
CIT Group, Inc.
BB-
5.000%
05/15/2017
N/A
534,375
 
750,000
  
CIT Group, Inc.
BB-
4.250%
08/15/2017
N/A
780,000
 
100,000
  
Synovus Financial Corp.
B
5.125%
06/15/2017
N/A
100,125
               
2,679,451
                 
     
Beverages - 1.1%
          
 
350,000
  
Constellation Brands, Inc.
BB+
7.250%
05/15/2017
N/A
398,563
                 
     
Building Materials - 2.2%
          
 
250,000
  
Ainsworth Lumber Co. Ltd. (Canada)(a)
B
7.500%
12/15/2017
12/15/14 @ 104
270,313
 
250,000
  
Associated Materials, LLC / AMH New Finance, Inc.
B-
9.125%
11/01/2017
11/01/13 @ 107
262,187
 
250,000
  
Norbord Delaware GP(a)
BB-
7.700%
02/15/2017
N/A
286,250
               
818,750
                 
     
Coal - 1.0%
          
 
350,000
  
CONSOL Energy, Inc.
BB
8.000%
04/01/2017
04/01/14 @ 104
382,375
                 
     
Commercial Services - 4.0%
          
 
250,000
  
Ashtead Capital, Inc.(a)
BB-
6.500%
07/15/2022
07/15/17 @ 103
270,625
 
250,000
  
Avis Budget Car Rental, LLC / Avis Budget Finance, Inc.(a)
B
4.875%
11/15/2017
05/15/15 @ 102
253,125
 
250,000
  
DynCorp International, Inc.
B-
10.375%
07/01/2017
07/01/14 @ 105
249,063
 
350,000
  
RR Donnelley & Sons Co.
BB
6.125%
01/15/2017
N/A
366,625
 
300,000
  
Service Corp. International
BB-
7.000%
06/15/2017
N/A
340,875
               
1,480,313
                 
     
Computers - 0.7%
          
 
250,000
  
Unisys Corp.
BB-
6.250%
08/15/2017
N/A
270,625
                 
     
Diversified Financial Services - 4.4%
          
 
400,000
  
Credit Acceptance Corp.
BB
9.125%
02/01/2017
02/01/14 @ 105
438,000
 
250,000
  
E*Trade Financial Corp.
B-
6.000%
11/15/2017
11/15/14 @ 103
260,625
 
100,000
  
Ford Motor Credit Co., LLC
BB+
6.625%
08/15/2017
N/A
116,894
 
500,000
  
General Motors Financial Co., Inc.(a)
BB-
4.750%
08/15/2017
N/A
523,253
 
280,000
  
Nuveen Investments, Inc.(a)
CCC
9.125%
10/15/2017
10/15/14 @ 107
282,800
               
1,621,572
                 
     
Electric - 3.6%
          
 
750,000
  
AES Corp.
BB-
8.000%
10/15/2017
N/A
870,000
 
82,000
  
Calpine Corp.(a)
BB-
7.250%
10/15/2017
10/15/13 @ 104
87,637
 
250,000
  
CMS Energy Corp.
BB+
6.550%
07/17/2017
N/A
296,833
 
100,000
  
InterGen NV (Netherlands)(a)
B
9.000%
06/30/2017
04/04/13 @ 105
96,000
               
1,350,470
                 
     
Electrical Components & Equipment - 1.1%
          
 
250,000
  
International Wire Group Holdings, Inc.(a)
B
8.500%
10/15/2017
10/15/15 @ 104
256,875
 
150,000
  
WireCo WorldGroup, Inc.
B
9.500%
05/15/2017
05/15/13 @ 105
157,875
               
414,750
                 
     
Food - 4.3%
          
 
582,000
  
Bumble Bee Acquisition Corp.(a)
B
9.000%
12/15/2017
12/15/14 @ 105
638,745
 
250,000
  
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp.
CCC+
8.250%
09/01/2017
09/01/13 @ 106
268,750
 
350,000
  
Smithfield Foods, Inc.(b)
BB
7.750%
07/01/2017
N/A
404,250
 
250,000
  
Smithfield Foods, Inc.
BB
6.625%
08/15/2022
08/15/17 @ 103
272,500
               
1,584,245
                 
     
Forest Products & Paper - 1.5%
          
 
250,000
  
Cascades, Inc. (Canada)
B+
7.750%
12/15/2017
12/15/13 @ 104
265,625
 
250,000
  
Sappi Papier Holding GmbH (Austria)(a)
BB
7.750%
07/15/2017
04/15/17 @ 100
277,187
               
542,812
                 
     
Hand & Machine Tools - 0.7%
          
 
250,000
  
Thermadyne Holdings Corp.
B-
9.000%
12/15/2017
12/15/13 @ 107
272,500
                 
     
Health Care Products - 0.7%
          
 
250,000
  
Accellent, Inc.
B+
8.375%
02/01/2017
04/04/13 @ 106
266,250
                 
     
Health Care Services - 2.8%
          
 
250,000
  
Capella Healthcare, Inc.
B
9.250%
07/01/2017
07/01/13 @ 107
270,625
 
250,000
  
Centene Corp.
BB
5.750%
06/01/2017
N/A
266,250
 
200,000
  
Fresenius Medical Care US Finance, Inc.
BB+
6.875%
07/15/2017
N/A
230,000
 
250,000
  
Health Net, Inc.
BB
6.375%
06/01/2017
N/A
264,375
               
1,031,250
                 
     
Home Builders - 3.9%
          
 
200,000
  
D.R. Horton, Inc.
BB-
4.750%
05/15/2017
N/A
212,000
 
75,000
  
KB Home
B
9.100%
09/15/2017
N/A
88,031
 
250,000
  
Lennar Corp.
BB-
12.250%
06/01/2017
N/A
334,063
 
250,000
  
Lennar Corp.
BB-
4.750%
12/15/2017
09/15/17 @ 100
260,625
 
250,000
  
Lennar Corp.(a)
BB-
4.750%
11/15/2022
08/15/22 @ 100
242,188
 
250,000
  
Ryland Group
BB-
8.400%
05/15/2017
N/A
297,187
               
1,434,094
                 
     
Internet - 0.3%
          
 
100,000
  
Netflix, Inc.
BB-
8.500%
11/15/2017
N/A
109,681
                 
     
Iron & Steel - 4.7%
          
 
750,000
  
ArcelorMittal (Luxembourg)
BB+
5.000%
02/25/2017
N/A
781,076
 
50,000
  
Commercial Metals Co.
BB+
6.500%
07/15/2017
N/A
54,625
 
250,000
  
Ryerson, Inc. / Joseph T. Ryerson & Son, Inc.(a)
CCC+
9.000%
10/15/2017
04/15/15 @ 105
274,687
 
600,000
  
United States Steel Corp.
BB
6.050%
06/01/2017
N/A
627,000
               
1,737,388
                 
     
Lodging - 3.6%
          
 
750,000
  
Caesars Entertainment Operating Co., Inc.
B
11.250%
06/01/2017
06/01/13 @ 106
801,562
 
500,000
  
MGM Resorts International
B+
7.625%
01/15/2017
N/A
553,750
               
1,355,312
                 
     
Machinery-Diversified - 1.6%
          
 
500,000
  
Case New Holland, Inc.
BB+
7.875%
12/01/2017
N/A
589,375
                 
     
Media - 2.5%
          
 
400,000
  
Cablevision Systems Corp.
B+
8.625%
09/15/2017
N/A
466,000
 
350,000
  
DISH DBS Corp.
BB-
4.625%
07/15/2017
N/A
364,000
 
75,000
  
Nexstar Broadcasting, Inc. / Mission Broadcasting, Inc.
B
8.875%
04/15/2017
04/15/14 @ 104
82,875
               
912,875
                 
     
Metal Fabricate & Hardware - 1.0%
          
 
350,000
  
Mueller Water Products, Inc.
CCC+
7.375%
06/01/2017
06/01/13 @ 102
362,250
                 
     
Mining - 0.3%
          
 
100,000
  
Vulcan Materials Co.
BB
6.400%
11/30/2017
N/A
112,250
                 
     
Miscellaneous Manufacturing - 2.1%
          
 
250,000
  
Polypore International, Inc.(b)
B+
7.500%
11/15/2017
11/15/13 @ 106
270,000
 
450,000
  
SPX Corp.
BB+
6.875%
09/01/2017
N/A
505,125
               
775,125
                 
     
Oil & Gas - 5.9%
          
 
250,000
  
Chesapeake Energy Corp.(b)
BB-
6.500%
08/15/2017
N/A
276,250
 
100,000
  
Comstock Resources, Inc.
B-
8.375%
10/15/2017
10/15/13 @ 104
106,250
 
100,000
  
Hercules Offshore, Inc.(a)
BB-
7.125%
04/01/2017
04/01/14 @ 105
108,250
 
500,000
  
Sandridge Energy, Inc.
B-
8.125%
10/15/2022
04/15/17 @ 104
540,625
 
100,000
  
Stone Energy Corp.
B-
8.625%
02/01/2017
02/01/14 @ 104
108,250
 
300,000
  
Sunoco, Inc.
BBB-
5.750%
01/15/2017
N/A
338,886
 
100,000
  
Swift Energy Co.
B+
7.125%
06/01/2017
04/04/13 @ 104
103,000
 
250,000
  
Tesoro Corp.
BB+
4.250%
10/01/2017
09/01/17 @ 100
261,250
 
350,000
  
WPX Energy, Inc.
BB+
5.250%
01/15/2017
N/A
365,750
               
2,208,511
                 
     
Packaging & Containers - 1.4%
          
 
250,000
  
Pactiv LLC
CCC+
8.125%
06/15/2017
N/A
261,250
 
250,000
  
Sealed Air Corp.
BB-
7.875%
06/15/2017
06/15/13 @ 104
264,375
               
525,625
                 
     
Pharmaceuticals - 1.0%
          
 
350,000
  
Valeant Pharmaceuticals International(a)
BB-
6.750%
10/01/2017
10/01/14 @ 103
381,500
                 
     
Pipelines - 3.7%
          
 
250,000
  
Access Midstream Partners, LP / ACMP Finance Corp.
BB-
6.125%
07/15/2022
01/15/17 @ 103
269,375
 
500,000
  
El Paso LLC
BB
7.000%
06/15/2017
N/A
571,389
 
500,000
  
NGPL Pipeco LLC(a)
B+
7.119%
12/15/2017
N/A
552,500
               
1,393,264
                 
     
Real Estate - 1.4%
          
 
500,000
  
Toys "R" US Property Co. II, LLC
B+
8.500%
12/01/2017
12/01/13 @ 104
528,750
                 
     
Real Estate Investment Trusts - 0.3%
          
 
110,000
  
iStar Financial, Inc.(b)
B+
9.000%
06/01/2017
N/A
122,787
                 
     
Retail - 9.7%
          
 
250,000
  
Bon-Ton Department Stores, Inc.
Caa1
10.625%
07/15/2017
04/04/13 @ 100
248,750
 
200,000
  
Dollar General Corp.
BB+
4.125%
07/15/2017
N/A
212,500
 
100,000
  
Ferrellgas, LP / Ferrellgas Finance Corp.
B-
9.125%
10/01/2017
10/01/13 @ 105
108,000
 
362,000
  
Limited Brands, Inc.
BB-
6.900%
07/15/2017
N/A
417,205
 
250,000
  
Logan's Roadhouse, Inc.
B-
10.750%
10/15/2017
10/15/13 @ 108
237,500
 
500,000
  
Rite Aid Corp.(b)
B-
7.500%
03/01/2017
03/01/14 @ 101
516,250
 
400,000
  
Rite Aid Corp.
CCC
9.500%
06/15/2017
06/15/13 @ 103
422,500
 
500,000
  
Sally Holdings, LLC / Sally Capital, Inc.
BB+
5.750%
06/01/2022
06/01/17 @ 103
530,625
 
500,000
  
Sonic Automotive, Inc.
B+
7.000%
07/15/2022
07/15/17 @ 104
557,500
 
100,000
  
Tops Holding Corp./Tops Markets LLC(a)
B+
8.875%
12/15/2017
06/15/15 @ 104
108,750
 
250,000
  
Toys "R" US, Inc.(b)
CCC+
10.375%
08/15/2017
02/15/15 @ 105
245,625
               
3,605,205
                 
     
Software - 0.7%
          
 
250,000
  
Aspect Software, Inc.
CCC+
10.625%
05/15/2017
05/15/14 @ 105
247,500
                 
     
Telecommunications - 11.5%
          
 
70,000
  
Cincinnati Bell, Inc.
B
8.250%
10/15/2017
10/15/13 @ 104
74,550
 
600,000
  
Frontier Communications Corp.(b)
BB-
8.250%
04/15/2017
N/A
688,500
 
250,000
  
Inmarsat Finance PLC (United Kingdom)(a)
BB+
7.375%
12/01/2017
12/01/13 @ 104
268,750
 
500,000
  
Sprint Nextel Corp.
B+
9.125%
03/01/2017
N/A
593,125
 
750,000
  
Sprint Nextel Corp.
B+
8.375%
08/15/2017
N/A
873,750
 
300,000
  
Telesat Canada / Telesat, LLC (Canada)(a)
B-
6.000%
05/15/2017
05/15/14 @ 103
314,250
 
750,000
  
Wind Acquisition Finance SA (Luxembourg)(a)
B+
11.750%
07/15/2017
07/15/13 @ 106
793,125
 
600,000
  
Windstream Corp.
B
7.875%
11/01/2017
N/A
682,500
               
4,288,550
                 
     
Transportation - 3.0%
          
 
400,000
  
CEVA Group PLC (United Kingdom)(a) (b)
B-
8.375%
12/01/2017
12/01/13 @ 106
416,000
 
250,000
  
Florida East Coast Railway Corp.
B-
8.125%
02/01/2017
02/01/14 @ 104
270,312
 
400,000
  
Marquette Transportation Co. / Marquette Transportation Finance Corp.
B-
10.875%
01/15/2017
01/15/14 @ 105
427,500
               
1,113,812
                 
     
Total Corporate Bonds - 97.6%
          
     
(Cost $35,694,431)
        
36,319,905
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Exchange Traded Fund - 0.8%
          
 
7,700
  
SPDR Barclays High Yield Bond ETF(b)
        
                      314,776
     
(Cost $311,339)
          
                 
     
Total Long-Term Investments – 98.4%
          
     
(Cost $36,005,770)
        
                 36,634,681
                 
     
Investments of Collateral for Securities Loaned - 4.1%
          
 
1,524,480
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(c) (d)
        
                   1,524,480
     
(Cost $1,524,480)
          
                 
     
Total Investments - 102.5%
          
     
(Cost $37,530,250)
        
38,159,161
     
Liabilities in excess of Other Assets - (2.5%)
        
                     (930,931)
     
Net Assets  - 100.0%
        
$                37,228,230
 
BV - Limited Liability Company
  
LLC - Limited Liability Company
  
LP - Limited Partnership
  
N/A- Not Applicable
  
NV - Publicly Traded Company
  
PLC - Public Limited Company
  
SA - Corporation
  
GmbH - Limited Liability
  
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Securities are exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.  At February 28, 2013, these securities amounted to $7,362,060, which represents 19.8% of net assets.
(b)
Security, or portion thereof, was on loan at February 28, 2013.
(c)
At February 28, 2013, the total market value of the Fund's securities on loan was $1,488,903 and the total market value of the collateral held by the Fund was $1,524,480.
(d)
Interest rate shown reflects yield as of February 28, 2013.
   
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
   
Country Allocation***
United States
89.6%
Luxembourg
4.3%
Canada
2.3%
United Kingdom
1.9%
Netherlands
1.2%
Austria
0.7%
*** Subject to change daily.  Based on long-term investments.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $                      37,530,250
 $   737,058
 $   (108,147)
 $       628,911
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust ("Board of Trustees"). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
 
The following table represents the Fund’s investments carried by caption and by level within the fair value hierarchy as of February 28, 2013:
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets:
                
Corporate Bonds
  
$              –
  
$       36,320
  
$                 –
  
$   36,320
Exchange Traded Fund
            315
  
                -
  
                  -
  
         315
Investments of Collateral for Securities Loaned
         1,524
  
                -
  
                  -
  
      1,524
Total
  
$        1,839
  
$       36,320
  
$                 –
  
$   38,159
                 
During the nine months ended February 28, 2013, there were no transfers between levels.
 
 
 
 
 
 
 
BSJI Guggenheim BulletShares 2018 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 97.3%
          
     
Auto Parts & Equipment - 1.0%
          
 
$300,000
  
Meritor, Inc.
B-
10.625%
03/15/2018
03/15/14 @ 105
$322,500
 
36,000
  
Tomkins LLC / Tomkins, Inc.
BB-
9.000%
10/01/2018
10/01/14 @ 105
40,410
               
362,910
                 
     
Banks - 4.0%
          
 
359,000
  
Ally Financial, Inc.
B-
8.000%
12/31/2018
N/A
428,107
 
600,000
  
CIT Group, Inc.
BB-
5.250%
03/15/2018
N/A
648,000
 
350,000
  
CIT Group, Inc.(a)
BB-
6.625%
04/01/2018
N/A
399,000
               
1,475,107
                 
     
Building Materials - 3.5%
          
 
250,000
  
Griffon Corp.
BB-
7.125%
04/01/2018
04/01/14 @ 105
271,875
 
250,000
  
Interline Brands, Inc.
B+
7.500%
11/15/2018
11/15/13 @ 106
271,875
 
300,000
  
Ply Gem Industries, Inc.(b)
B-
8.250%
02/15/2018
02/15/14 @ 106
326,250
 
350,000
  
USG Corp.
B-
9.750%
01/15/2018
N/A
413,437
               
1,283,437
                 
     
Chemicals - 1.6%
          
 
600,000
  
Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC
CCC+
8.875%
02/01/2018
02/01/14 @ 104
606,000
                 
     
Coal - 2.9%
          
 
700,000
  
Peabody Energy Corp.
BB+
6.000%
11/15/2018
N/A
747,250
 
300,000
  
Penn Virginia Resource Partners LP / Penn Virginia Resource Finance Corp.
B
8.250%
04/15/2018
04/15/14 @ 104
317,250
               
1,064,500
                 
     
Commercial Services - 2.6%
          
 
350,000
  
RR Donnelley & Sons Co.
BB
7.250%
05/15/2018
N/A
367,500
 
200,000
  
Service Corp. International
BB-
7.625%
10/01/2018
N/A
237,000
 
250,000
  
Speedy Cash Intermediate Holdings Corp.(a)
B
10.750%
05/15/2018
05/15/15 @ 105
268,750
 
100,000
  
United Rentals North America, Inc.
BB
5.750%
07/15/2018
07/15/15 @ 103
108,125
               
981,375
                 
     
Computers - 1.4%
          
 
500,000
  
SunGard Data Systems, Inc.
B
7.375%
11/15/2018
11/15/13 @ 106
539,375
                 
     
Diversified Financial Services - 0.8%
          
 
250,000
  
General Motors Financial Co., Inc.
BB-
6.750%
06/01/2018
N/A
288,750
                 
     
Electric - 3.5%
          
 
250,000
  
CMS Energy Corp.
BB+
5.050%
02/15/2018
N/A
285,057
 
300,000
  
Ipalco Enterprises, Inc.
BB+
5.000%
05/01/2018
04/01/18 @ 100
321,000
 
600,000
  
NRG Energy, Inc.
BB-
7.625%
01/15/2018
N/A
690,750
               
1,296,807
                 
     
Entertainment - 1.9%
          
 
500,000
  
Diamond Resorts Corp.
B-
12.000%
08/15/2018
08/15/14 @ 106
552,500
 
120,000
  
WMG Acquisition Corp.
B-
11.500%
10/01/2018
10/01/14 @ 109
139,950
               
692,450
                 
     
Environmental Control - 1.5%
          
 
250,000
  
Darling International, Inc.
BB+
8.500%
12/15/2018
12/15/14 @ 104
285,625
 
250,000
  
Heckmann Corp.
B
9.875%
04/15/2018
04/15/15 @ 105
262,188
               
547,813
                 
     
Food - 1.1%
          
 
142,000
  
B&G Foods, Inc.
B
7.625%
01/15/2018
01/15/14 @ 104
153,005
 
250,000
  
Pilgrim's Pride Corp.
B-
7.875%
12/15/2018
12/15/14 @ 104
268,125
               
421,130
                 
     
Health Care Products - 2.8%
          
 
200,000
  
Alere, Inc.
CCC+
8.625%
10/01/2018
10/01/14 @ 104
211,000
 
150,000
  
Hanger, Inc.
B
7.125%
11/15/2018
11/15/14 @ 104
162,750
 
600,000
  
Kinetics Concept, Inc. / KCI USA, Inc.(a)
B
10.500%
11/01/2018
11/01/15 @ 105
649,500
               
1,023,250
                 
     
Health Care Services - 7.4%
          
 
800,000
  
CHS / Community Health System, Inc.
BB
5.125%
08/15/2018
08/15/15 @ 103
843,000
 
300,000
  
DaVita HealthCare Partners, Inc.
B
6.375%
11/01/2018
11/01/13 @ 105
320,625
 
100,000
  
Fresenius Medical Care US Finance, Inc.(a)
BB+
6.500%
09/15/2018
N/A
113,500
 
350,000
  
HCA, Inc.
B-
8.000%
10/01/2018
N/A
410,375
 
600,000
  
Tenet Healthcare Corp.
B+
6.250%
11/01/2018
N/A
666,750
 
350,000
  
Vanguard Health Holding Co. II, LLC / Vanguard Holding Co. II, Inc.
B-
8.000%
02/01/2018
02/01/14 @ 104
374,500
               
2,728,750
                 
     
Home Builders - 3.4%
          
 
305,000
  
KB Home
B
7.250%
06/15/2018
N/A
338,550
 
300,000
  
Lennar Corp.
BB-
6.950%
06/01/2018
N/A
337,125
 
500,000
  
Standard Pacific Corp.
B
8.375%
05/15/2018
N/A
591,250
               
1,266,925
                 
     
Household Products & Housewares - 2.4%
          
 
170,000
  
Armored Autogroup, Inc.
CCC
9.250%
11/01/2018
11/01/14 @ 105
153,212
 
100,000
  
Central Garden and Pet Co.
CCC+
8.250%
03/01/2018
03/01/14 @ 104
103,750
 
600,000
  
Reynolds Group Issuer, Inc.
CCC+
8.500%
05/15/2018
05/15/14 @ 104
634,500
               
891,462
                 
     
Insurance - 0.7%
          
 
250,000
  
Hub International Ltd.(a)
CCC+
8.125%
10/15/2018
10/15/14 @ 104
261,875
                 
     
Iron & Steel - 4.7%
          
 
250,000
  
APERAM (Luxembourg)(a)
B+
7.750%
04/01/2018
04/01/15 @ 104
248,125
 
500,000
  
Arcelormittal (Luxembourg)
BB+
6.125%
06/01/2018
N/A
539,755
 
300,000
  
Commercial Metals Co.
BB+
7.350%
08/15/2018
N/A
333,750
 
600,000
  
United States Steel Corp.(b)
BB
7.000%
02/01/2018
N/A
639,000
               
1,760,630
                 
     
Lodging - 6.4%
          
 
500,000
  
Boyd Acquisition Sub LLC / Boyd Acquisition Finance Corp.(a)
CCC+
8.375%
02/15/2018
08/15/14 @ 106
526,250
 
350,000
  
Boyd Gaming Corp.(b)
B
9.125%
12/01/2018
12/01/14 @ 105
364,875
 
250,000
  
Caesars Entertainment Operating Co.
CCC
10.000%
12/15/2018
12/15/13 @ 105
161,250
 
250,000
  
Caesars Entertainment Operating Co., Inc.
CCC
10.000%
12/15/2018
12/15/13 @ 105
166,250
 
400,000
  
Marina District Finance Co., Inc.(b)
B+
9.875%
08/15/2018
08/15/14 @ 105
413,000
 
600,000
  
MGM Resorts International
B+
11.375%
03/01/2018
N/A
757,500
               
2,389,125
                 
     
Media - 8.8%
          
 
350,000
  
Cablevision Systems Corp.
B+
7.750%
04/15/2018
N/A
386,750
 
250,000
  
CCO Holdings, LLC / CCO Holdings Capital Corp.
BB-
7.875%
04/30/2018
04/30/14 @ 104
268,125
 
500,000
  
CSC Holdings LLC
BB+
7.875%
02/15/2018
N/A
578,750
 
350,000
  
CSC Holdings LLC
BB+
7.625%
07/15/2018
N/A
404,250
 
400,000
  
Gannett Co., Inc.
BB
7.125%
09/01/2018
09/01/14 @ 104
438,000
 
300,000
  
Nara Cable Funding Ltd (Ireland)(a)
B+
8.875%
12/01/2018
12/01/13 @ 109
311,250
 
400,000
  
Nara Cable Funding Ltd (Ireland)(a)
B+
8.875%
12/01/2018
12/01/13 @ 109
420,000
 
300,000
  
Sinclair Television Group, Inc.(b)
B
8.375%
10/15/2018
10/15/14 @ 104
336,000
 
100,000
  
XM Satellite Radio, Inc.(a)
BB
7.625%
11/01/2018
11/01/14 @ 104
110,750
               
3,253,875
                 
     
Metal Fabricate & Hardware - 2.8%
          
 
300,000
  
Atkore International, Inc.
B
9.875%
01/01/2018
01/01/14 @ 107
332,250
 
400,000
  
JMC Steel Group, Inc.(a)
B
8.250%
03/15/2018
03/15/14 @ 106
427,000
 
250,000
  
Severstal Columbus, LLC
B
10.250%
02/15/2018
02/15/14 @ 105
270,000
               
1,029,250
                 
     
Mining - 3.0%
          
 
500,000
  
Aleris International, Inc.
B
7.625%
02/15/2018
02/15/14 @ 106
531,250
 
525,000
  
Vulcan Materials Co.
BB
7.000%
06/15/2018
N/A
601,125
               
1,132,375
                 
     
Miscellaneous Manufacturing - 1.5%
          
 
150,000
  
Amsted Industries, Inc.(a)
BB-
8.125%
03/15/2018
03/15/14 @ 104
162,000
 
350,000
  
Bombardier, Inc. (Canada)(a)
BB
7.500%
03/15/2018
N/A
399,438
               
561,438
                 
     
Oil & Gas - 5.6%
          
 
350,000
  
Carrizo Oil & Gas, Inc.
B-
8.625%
10/15/2018
10/15/14 @ 104
381,500
 
300,000
  
Chesapeake Energy Corp.
BB-
6.875%
08/15/2018
08/15/13 @ 105
319,500
 
250,000
  
Chesapeake Energy Corp.
BB-
7.250%
12/15/2018
N/A
283,750
 
250,000
  
EPL Oil & Gas, Inc.
B-
8.250%
02/15/2018
02/15/15 @ 104
262,500
 
250,000
  
EPL Oil & Gas, Inc.(a)
B-
8.250%
02/15/2018
02/15/15 @ 104
261,875
 
100,000
  
Newfield Exploration Co.
BB+
7.125%
05/15/2018
05/15/13 @ 104
104,625
 
350,000
  
SandRidge Energy, Inc.(a)
B-
8.000%
06/01/2018
06/01/13 @ 104
369,967
 
100,000
  
Whiting Petroleum Corp.
BB+
6.500%
10/01/2018
10/01/14 @ 103
108,000
               
2,091,717
                 
     
Oil & Gas Services - 0.8%
          
 
150,000
  
Exterran Holdings, Inc.
BB
7.250%
12/01/2018
12/01/13 @ 105
160,125
 
146,000
  
FTS International Services LLC / FTS International Bonds, Inc.(a)
B+
8.125%
11/15/2018
11/15/14 @ 104
151,840
               
311,965
                 
     
Packaging & Containers - 1.0%
          
 
75,000
  
Berry Plastics Corp.
CCC+
9.500%
05/15/2018
05/15/14 @ 105
83,813
 
250,000
  
Owens-Illinois, Inc.
BB-
7.800%
05/15/2018
N/A
294,375
               
378,188
                 
     
Pharmaceuticals - 1.5%
          
 
100,000
  
Grifols, Inc.
B+
8.250%
02/01/2018
02/01/14 @ 106
110,250
 
100,000
  
Valeant Pharmaceuticals International(a)
BB-
6.875%
12/01/2018
12/01/14 @ 103
109,125
 
300,000
  
Warner Chilcott Co., LLC / Warner Chilcott Finance, LLC (Puerto Rico)
BB-
7.750%
09/15/2018
09/15/14 @ 104
325,500
               
544,875
                 
     
Pipelines - 2.4%
          
 
200,000
  
El Paso LLC
BB
7.250%
06/01/2018
N/A
229,886
 
350,000
  
Kinder Morgan Finance Co. LLC(a)
BB
6.000%
01/15/2018
N/A
388,033
 
250,000
  
Targa Resources Partners LP / Targa Resources Partners Finance Corp.
BB
7.875%
10/15/2018
10/15/14 @ 104
275,000
               
892,919
                 
     
Real Estate Investment Trusts - 1.5%
          
 
500,000
  
Sabra Health Care LP / Sabra Capital Corp.
BB-
8.125%
11/01/2018
11/01/14 @ 104
542,500
                 
     
Retail - 4.3%
          
 
300,000
  
AutoNation, Inc.
BB+
6.750%
04/15/2018
N/A
344,250
 
86,000
  
CKE Restaurants, Inc.
B-
11.375%
07/15/2018
07/15/14 @ 106
100,620
 
100,000
  
DineEquity, Inc.
B-
9.500%
10/30/2018
10/30/14 @ 105
114,000
 
100,000
  
JC Penney Corp., Inc.
CCC+
5.750%
02/15/2018
N/A
84,250
 
75,000
  
Michaels Stores, Inc.
B
7.750%
11/01/2018
11/01/14 @ 104
82,219
 
250,000
  
New Academy Finance Co. LLC / New Academy Finance Corp.(a)
CCC+
8.000%
06/15/2018
12/15/13 @ 102
259,375
 
250,000
  
Suburban Propane Partners LP / Suburban Energy Finance Corp.
BB-
7.500%
10/01/2018
10/01/14 @ 104
271,250
 
400,000
  
Toys "R" Us, Inc.
CCC+
7.375%
10/15/2018
N/A
337,000
               
1,592,964
                 
     
Semiconductors - 0.3%
          
 
100,000
  
Freescale Semiconductor, Inc.(a)
B
10.125%
03/15/2018
03/15/14 @ 105
111,250
                 
     
Software - 0.8%
          
 
100,000
  
Audatex North America, Inc.(a)
BB
6.750%
06/15/2018
06/15/14 @ 103
107,250
 
150,000
  
Infor US, Inc.
B-
11.500%
07/15/2018
07/15/15 @ 106
176,250
               
283,500
                 
     
Telecommunications - 8.1%
          
 
350,000
  
Cincinnati Bell, Inc.
CCC+
8.750%
03/15/2018
03/15/14 @ 104
359,625
 
325,000
  
Frontier Communications Corp.
BB-
8.125%
10/01/2018
N/A
369,687
 
100,000
  
Level 3 Financing, Inc.
CCC
10.000%
02/01/2018
02/01/14 @ 105
111,000
 
100,000
  
PAETEC Holding Corp.
NR
9.875%
12/01/2018
12/01/14 @ 105
115,000
 
1,100,000
  
Sprint Nextel Corp.(a)
BB-
9.000%
11/15/2018
N/A
1,366,750
 
250,000
  
Wind Acquisition Finance SA (Luxembourg)(a)
BB-
7.250%
02/15/2018
11/15/13 @ 105
256,875
 
400,000
  
Wind Acquisition Finance SA (Luxembourg)(a)
BB-
7.250%
02/15/2018
11/15/13 @ 105
414,000
               
2,992,937
                 
     
Transportation - 1.3%
          
 
400,000
  
CEVA Group PLC (United Kingdom)(a)
CCC+
11.500%
04/01/2018
04/01/14 @ 106
371,000
 
100,000
  
Quality Distribution, LLC / QD Capital Corp.
B-
9.875%
11/01/2018
11/01/14 @ 105
110,000
               
481,000
                 
     
Total Corporate Bonds - 97.3%
          
     
(Cost $35,157,022)
        
36,082,424
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Exchange Traded Fund - 0.6%
          
 
5,500
  
SPDR Barclays High Yield Bond ETF(b)
        
224,840
     
(Cost $223,898)
          
                 
     
Total Long-Term Investments - 97.9%
          
     
(Cost $35,380,920)
        
36,307,264
                 
     
Investments of Collateral for Securities Loaned - 2.9%
          
 
1,065,837
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(c) (d)
        
1,065,837
     
(Cost $1,065,837)
          
                 
     
Total Investments - 100.8%
          
     
(Cost $36,446,757)
        
37,373,101
     
Liabilities in excess of Other Assets - (0.8%)
        
(289,722)
     
Net Assets  - 100.0%
        
$37,083,379
 
LLC - Limited Liability Company
LP - Limited Partnership
N/A- Not Applicable
PLC - Public Limited Company
SA - Corporation
ULC - Unlimited Liability Company
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Securities are exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.  At February 28, 2013 these securities amounted to $8,464,778, which represents 22.8% of net assets applicable to common shares.
(b)
Security, or portion thereof, was on loan at February 28, 2013.
(c)
At February 28, 2013, the total market value of the Fund's securities on loan was $1,042,396 and the total market value of the collateral held by the Fund was $1,065,837.
(d)
Interest rate shown reflects yield as of February 28, 2013.
   
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
   
Country Allocation***
United States
91.0%
Luxembourg
4.0%
Ireland
2.0%
Canada
1.1%
United Kingdom
1.0%
Puerto Rico
0.9%
*** Subject to change daily.  Based on total long-term investments.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
 
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $                 36,447,456
 $           987,523
 $      (61,878)
 $         925,645
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
                 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of February 28, 2013.
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets:
                
Corporate Bonds
  
 $                     -
  
 $       36,082
  
 $                  -
  
 $              36,082
Exchange Traded Fund
                    225
  
                 -
  
                     -
  
                     225
Investments of Collateral for Securities Loaned
                 1,066
  
                 -
  
                     -
  
                   1,066
Total
  
 $              1,291
  
 $       36,082
  
 $                  -
  
 $              37,373
                 
During the nine months ended February 28, 2013, there were no transfers between levels.
 
 
 
 
 
 
 
GIY Guggenheim Enhanced Core Bond ETF
        
Portfolio of Investments
        
February 28, 2013 (unaudited)
        
               
 
Principal
            
 
Amount
  
Description
Rating*
Coupon
Maturity
Value
     
Long-Term Investments - 92.5%
        
     
Corporate Bonds - 19.9%
        
     
Banks - 6.7%
        
 
$40,000
  
Bank of America Corp.
A-
7.625%
06/01/2019
$51,089
 
50,000
  
Citigroup, Inc.
A-
8.125%
07/15/2039
74,481
 
50,000
  
City National Corp.
BBB+
5.250%
09/15/2020
55,701
 
50,000
  
Goldman Sachs Group, Inc., Series GMTN
A-
5.375%
03/15/2020
57,566
 
40,000
  
JPMorgan Chase & Co.
A
4.750%
03/01/2015
43,026
 
50,000
  
Morgan Stanley, Series GMTN
A-
7.300%
05/13/2019
62,100
             
343,963
               
     
Biotechnology - 1.0%
        
 
40,000
  
Biogen IDEC, Inc.
BBB+
6.875%
03/01/2018
49,072
               
     
Building Materials - 0.2%
        
 
9,000
  
Owens Corning
BBB-
6.500%
12/01/2016
10,166
               
     
Diversified Financial Services - 0.8%
        
 
40,000
  
American Express Co.
BBB+
7.250%
05/20/2014
43,140
               
     
Electric - 1.0%
        
 
50,000
  
Constellation Energy Group, Inc.
BBB-
4.550%
06/15/2015
53,795
               
     
Insurance - 5.5%
        
 
50,000
  
ACE INA Holdings, Inc.
A
2.600%
11/23/2015
52,520
 
40,000
  
American Financial Group, Inc.
BBB+
9.875%
06/15/2019
52,630
 
50,000
  
Axis Specialty Finance, LLC
A-
5.875%
06/01/2020
56,668
 
50,000
  
Chubb Corp.
A+
5.750%
05/15/2018
61,149
 
50,000
  
PartnerRe Finance, LLC
A-
6.875%
06/01/2018
60,794
             
283,761
               
     
Media - 2.1%
        
 
40,000
  
CBS Corp.
BBB
8.875%
05/15/2019
53,737
 
50,000
  
Time Warner, Inc.
BBB
4.750%
03/29/2021
56,444
             
110,181
               
     
Oil & Gas - 1.0%
        
 
40,000
  
EQT Corp.
BBB
8.125%
06/01/2019
49,835
               
     
Pipelines - 1.2%
        
 
50,000
  
Oneok, Inc.
BBB
5.200%
06/15/2015
54,523
 
6,000
  
Williams Cos., Inc.
BBB-
8.750%
03/15/2032
8,210
             
62,733
               
     
Retail - 0.4%
        
 
19,000
  
Macy's Retail Holdings, Inc.
BBB
7.875%
07/15/2015
22,034
               
     
Total Corporate Bonds - 19.9%
        
     
(Cost $948,579)
      
1,028,680
               
     
Mortgage Backed Securities - 51.9%
        
 
486,277
  
Freddie Mac
NR
5.500%
01/01/2039
528,131
 
1,155,021
  
Freddie Mac
NR
4.500%
11/01/2039
1,235,260
 
896,610
  
Freddie Mac
NR
3.000%
11/01/2042
924,647
     
(Cost $2,631,876)
      
2,688,038
               
     
U.S. Government Agency Securities - 9.0%
        
 
5,000
  
Federal Home Loan Banks
AA+
3.125%
12/13/2013
5,116
 
400,000
  
Freddie Mac
AA+
5.250%
04/18/2016
460,116
     
(Cost $448,133)
      
465,232
               
     
U.S. Treasury Securities - 11.7%
        
 
600,000
  
U.S. Treasury Note/Bond
NR
3.125%
11/15/2041
606,750
     
(Cost $633,887)
        
               
     
Total Long-Term Investments - 92.5%
        
     
(Cost $4,662,475)
      
4,788,700
               
     
Short-Term Investments - 6.9%
        
     
U.S. Treasury Securities - 6.8%
        
 
350,000
  
U.S. Treasury Bill
NR
0.070%
03/07/2013
349,998
     
(Cost $349,997)
        
               
 
Number
            
 
of Shares
  
Description
       Value
     
Money Market Fund - 0.1%
        
 
5,283
  
Dreyfus Treasury Prime Cash Management Institutional Shares
      
5,283
     
(Cost $5,283)
        
               
     
Total Short-Term Investments - 6.9%
      
           355,281
     
(Cost $355,280)
        
               
     
Total Investments - 99.4%
        
     
(Cost $5,017,755)
      
5,143,981
     
Other Assets in excess of Liabilities - 0.6%
      
31,857
     
Net Assets  - 100.0%
      
$      5,175,838
               
 
LLC - Limited Liability Company
NR – Not Rated
 
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.  Although not rated, U.S. Treasury Securities have an implied rating of AA+/Aa+.   The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
   
The obligations of certain United States Government sponsored entities are neither issued nor guaranteed by the United States Treasury.
   
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
   
Country Allocation**
United States
100.0%
 ** Subject to change daily.  Based on total long-term investments.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
       
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
$5,017,755
$153,363
($27,137)
$126,226
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
                 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
                 
The following table represents the Fund's investments carried by caption and by level withing the fair value hierarchy as of February 28, 2013.
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets:
                
Corporate Bonds
  
 $                   -
  
 $         1,029
  
 $                  -
  
 $                1,029
Mortgage Backed Securities
  
                      -
  
            2,688
  
                     -
  
                   2,688
U.S. Government Agency Securities
  
                      -
  
               465
  
                     -
  
                     465
U.S. Treasury Securities
  
                      -
  
               957
  
                     -
  
                     957
Money Market Fund
  
                       5
  
                 -
  
                     -
  
                         5
Total
  
 $                     5
  
 $         5,139
  
 $                  -
  
 $                5,144
                 
During the nine months ended February 28, 2013, there were no transfers between levels.
    
 
 
 
 
 
 
 
GSY Guggenheim Enhanced Short Duration Bond ETF
          
Portfolio of Investments
          
February 28, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 27.1%
          
     
Banks - 4.3%
          
 
$1,500,000
  
Barclays Bank PLC (United Kingdom)(a)
A+
1.345%
01/13/2014
N/A
$1,508,789
 
2,000,000
  
Fifth Third Bancorp
BBB
6.250%
05/01/2013
N/A
2,019,416
 
300,000
  
Fifth Third Bank, Series BKNT(a)
BBB+
0.400%
05/17/2013
N/A
299,975
 
2,250,000
  
UBS AG, Series FRN (Switzerland)(a)
A
1.301%
01/28/2014
N/A
2,265,266
 
1,500,000
  
Wachovia Corp., Series MTN
A+
5.500%
05/01/2013
N/A
1,512,135
 
300,000
  
Wachovia Corp., Series MTN(a)
A+
0.489%
08/01/2013
N/A
300,369
 
1,500,000
  
Wells Fargo & Co., Series FRN(a)
A+
1.230%
06/26/2015
N/A
1,521,648
               
9,427,598
                 
     
Commercial Financial - 2.8%
          
 
900,000
  
Ford Motor Credit Co., LLC
BB+
8.000%
06/01/2014
N/A
971,821
 
2,000,000
  
Ford Motor Credit Co., LLC
BB+
8.700%
10/01/2014
N/A
2,229,960
 
3,000,000
  
General Electric Capital Corp.(a)
AA+
1.338%
07/02/2015
N/A
3,036,996
               
6,238,777
                 
     
Construction Materials - 0.7%
          
 
1,500,000
  
CRH America, Inc.
BBB+
5.300%
10/15/2013
N/A
1,539,462
                 
     
Consumer Financial - 0.2%
          
 
400,000
  
American Express Credit Corp.(a)
A-
1.160%
06/24/2014
N/A
403,549
                 
     
Development Bank - 0.7%
          
 
1,500,000
  
Korea Development Bank (South Korea)
A
8.000%
01/23/2014
N/A
1,596,002
                 
     
Exploration & Production - 0.5%
          
 
1,000,000
  
Canadian Oil Sands Ltd. (Canada)(b)
BBB
5.800%
08/15/2013
N/A
1,023,018
                 
     
Financial Services- 4.3%
          
 
3,000,000
  
Goldman Sachs Group, Inc., Series MTN(a)
A-
1.301%
07/29/2013
N/A
3,010,479
 
3,500,000
  
JPMorgan Chase & Co., Series GMTN(a)
A
0.908%
02/26/2016
N/A
3,504,644
 
3,000,000
  
Morgan Stanley
A-
2.875%
01/24/2014
N/A
3,056,670
               
9,571,793
                 
     
Food & Beverages - 0.2%
          
 
500,000
  
Anheuser - Busch InBev Worldwide, Inc.(a)
A
0.665%
07/14/2014
N/A
502,453
                 
     
Hardware- 1.1%
          
 
2,500,000
  
Xerox Corp., Series FRN(a)
BBB-
1.710%
09/13/2013
N/A
2,510,603
                 
     
Life Insurance - 1.7%
          
 
3,240,000
  
Allstate Life Global Funding Trusts, Series MTN
A+
5.375%
04/30/2013
N/A
3,264,971
 
400,000
  
MetLife, Inc.(a)
A-
1.546%
08/06/2013
N/A
402,058
               
3,667,029
                 
     
Media Non-Cable - 1.3%
          
 
2,613,000
  
WPP Finance (United Kingdom)
BBB
8.000%
09/15/2014
N/A
2,878,943
                 
     
Mining - 1.2%
          
 
2,500,000
  
Xstrata Finance Canada Ltd. (Canada)(b)
BBB+
2.850%
11/10/2014
N/A
2,566,180
                 
     
Property & Casuality Insurance - 2.6%
          
 
3,100,000
  
Aspen Insurance Holdings Ltd. (Bermuda)
BBB+
6.000%
08/15/2014
N/A
3,281,899
 
500,000
  
Berkshire Hathaway, Inc., Series FRN(a)
AA+
0.990%
08/15/2014
N/A
505,099
 
2,000,000
  
XL Group PLC (Ireland)
BBB+
5.250%
09/15/2014
N/A
2,117,138
               
5,904,136
                 
     
Railroad - 1.5%
          
 
2,240,000
  
CSX Corp.
BBB
5.750%
03/15/2013
N/A
2,243,250
 
1,000,000
  
CSX Corp.
BBB
5.500%
08/01/2013
N/A
1,020,006
               
3,263,256
                 
     
Retail Staples- 0.9%
          
 
2,000,000
  
Walgreen Co.(a)
BBB
0.810%
03/13/2014
N/A
2,005,858
                 
     
Software & Services- 1.0%
          
 
2,000,000
  
CA, Inc.
BBB+
6.125%
12/01/2014
N/A
2,161,260
                 
     
Trucking & Leasing - 1.4%
          
 
3,000,000
  
Penske Truck Leasing Co., LP / PTL Finance Corp.(b)
BBB-
2.500%
07/11/2014
N/A
3,051,519
                 
     
Utilities - 0.7%
          
 
1,500,000
  
Taqa Abu Dhabi National Energy Co. (United Arab Emirates)(b)
A-
6.600%
08/01/2013
N/A
1,536,750
                 
     
Total Corporate Bonds - 27.1%
          
     
(Cost $59,596,523)
        
59,848,186
                 
     
Asset Backed Securities - 10.6%
          
     
Airlines - 0.6%
          
 
1,413,867
  
ACS Pass-Through Trust, Series 2007-1X, Class G1
A+
0.509%
06/14/2037
N/A
1,321,966
                 
     
Collateralized Debt Obligation - 1.2%
          
 
1,500,000
  
GSC Partners Gemini Fund Ltd., Series 1A, Class C (Cayman Islands)(a) (b)
AAA
3.805%
10/10/2014
N/A
1,500,045
 
96,005
  
Putnam Structured Product Funding, Series 2001-1A, Class A1SS (Cayman Islands)(a) (b)
AA
0.788%
02/25/2032
N/A
91,935
 
1,214,036
  
South Coast Funding, Series 5X, Class A1 (Cayman Islands)(a)
A
0.656%
08/06/2039
N/A
1,189,755
               
2,781,735
                 
     
Collateralized Loan Obligation - 6.0%
          
 
2,500,000
  
Battalion CLO II Ltd., Series 2012-2A, Class C (Cayman Islands)(a) (b)
BBB
4.304%
11/15/2019
N/A
2,500,175
 
1,000,000
  
Genesis CLO Ltd., Series 2007-2X, Class A1 (Cayman Islands)(a)
BBB
4.305%
01/10/2016
N/A
996,234
 
1,500,000
  
Goldentree Credit Opportunities Financing Ltd., Series 2012-1X, Class B2 (Cayman Islands)(a) (c)
Aa2
4.308%
09/15/2024
N/A
1,500,015
 
500,000
  
Golub Capital Partners Fundings Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (b)
A
1.058%
03/15/2022
N/A
465,505
 
2,000,000
  
Great Lakes CLO 2012-1 Ltd., Series 2012-1A, Class C (Cayman Islands)(a) (b)
A
4.674%
01/15/2023
N/A
1,956,880
 
250,000
  
ICE EM CLO, Series 2007-1A, Class A1D (Ireland)(a) (b)
AAA
0.815%
08/15/2022
N/A
238,498
 
500,000
  
ICE EM CLO, Series 2007-1X, Class A2 (Ireland)(a)
AA
1.065%
08/15/2022
N/A
440,900
 
500,000
  
Knightbridge CLO Ltd., Series 2007-1X, Class A2 (Cayman Islands)(a) (b)
AA+
1.155%
01/11/2022
N/A
465,050
 
2,000,000
  
Newstar Trust, Series 2012-2A, Class B(a)
Aa2
3.558%
01/20/2023
N/A
2,019,980
 
2,000,000
  
Salus CLO 2012-1 Ltd., Series 2012-1A, Class B (Cayman Islands)(a) (b)
AA
4.808%
03/05/2021
N/A
2,000,080
 
750,000
  
Telos CLO Ltd., Series 2013-3A, Class C (Cayman Islands)(a) (b) (c)
A
3.288%
01/17/2024
N/A
726,285
               
13,309,602
                 
     
Financial - 0.8%
          
 
1,872,000
  
Garanti Diversified Payment Rights Finance Co., Series 2007-A, Class A1 (Cayman Islands)(a)
BBB
0.495%
07/09/2017
N/A
1,760,317
                 
     
Other - 0.9%
          
 
1,953,778
  
Drug Royalty II LP, Series 2012-1, Class A1(a) (b)
BBB
4.304%
01/15/2025
N/A
1,975,641
                 
     
Transportation - 1.1%
          
 
1,195,581
  
Aircraft Lease Securitisation Ltd., Series 2007-1X, Class G3 (Jersey) (a)
A
0.459%
05/10/2032
N/A
1,153,018
 
1,365,836
  
Genesis Funding Ltd, Series 2006-1X, Class G1 (Bermuda)(a)
A-
0.442%
12/19/2032
N/A
1,241,408
               
2,394,426
     
Total Asset Backed Securities - 10.6%
          
     
(Cost $23,202,262)
        
23,543,687
                 
     
Collateralized Mortgage Obligations - 0.6%
          
     
Commercial Mortgage Backed Security - Traditional - 0.5%
          
 
1,011,735
  
Credit Suisse Commercial Mortgage Trust, Series 2007-TF2A, Class A1(a) (b)
BB-
0.381%
04/15/2022
N/A
982,246
                 
     
Residential Mortgage Backed Security - 0.1%
          
 
273,976
  
Accredited Mortgage Loan Trust, Series 2006-2, Class A3(a)
BB
0.352%
09/25/2036
N/A
270,397
                 
     
Total Collateralized Mortgage Obligations - 0.6%
          
     
(Cost $1,225,687)
        
1,252,643
                 
     
US Government and Agency Security - 1.1%
          
 
2,500,000
  
Fannie Mae
AA+
0.800%
11/24/2015
08/24/13 @ 100
2,502,857
     
(Cost $2,500,000)
          
                 
     
Term Loans - 6.3%(d)
          
     
Communication Equipment - 0.4%
          
 
994,715
  
Avaya, Inc.(a)
B
4.812%
10/26/2017
N/A
928,745
                 
     
Consumer Products - 0.3%
          
 
498,750
  
Reynolds Group Holdings, Inc.(a)
B+
4.750%
09/20/2018
N/A
505,401
                 
     
Electric Equipment- 0.1%
          
 
278,578
  
Excelitas Technologies Corp.(a)
BB-
5.000%
11/29/2019
N/A
279,971
                 
     
Entertainment - 0.2%
          
 
400,000
  
Travelport, LLC(a)
B+
5.056%
08/21/2015
N/A
394,642
                 
     
Financial Services - 1.4%
          
 
1,000,000
  
Nuveen Investments, Inc.(a)
B
5.764%
05/13/2017
N/A
1,014,625
 
1,991,261
  
RPI Finance Trust(a)
BBB-
3.500%
05/10/2018
N/A
2,013,662
               
3,028,287
                 
     
Home & Office - 0.5%
          
 
1,000,000
  
Serta Simmons Holdings, LLC(a)
B+
5.000%
09/19/2019
N/A
1,013,355
                 
     
Life Insurance - 0.2%
          
 
478,985
  
CNO Financial Group(a)
B+
5.000%
09/18/2018
N/A
485,372
                 
     
Media Non-Cable- 0.7%
          
 
500,000
  
Acosta, Inc.(a)
B+
5.000%
03/01/2018
N/A
505,688
 
1,000,000
  
Getty Images, Inc.(a)
B
4.750%
10/03/2019
N/A
1,009,860
               
1,515,548
                 
     
Oil & Gas Services - 0.4%
          
 
748,125
  
Paradigm Pinnacle Holding Co. (Luxembourg)(a)
B+
6.500%
07/24/2019
N/A
753,362
                 
     
Other - 0.2%
          
 
500,000
  
Ellucian (Datatel)(a)
Ba3
4.500%
07/19/2018
N/A
505,155
                 
     
Retail Staples- 0.2%
          
 
498,750
  
BJ's Wholesale Club, Inc.(a)
B
5.750%
09/20/2019
N/A
500,466
                 
     
Software & Services- 1.4%
          
 
892,009
  
Aspect Software, Inc.(a)
B
7.000%
05/07/2016
N/A
902,601
 
500,000
  
Deltek, Inc.(a)
B+
6.000%
10/04/2018
N/A
505,355
 
750,000
  
First Data Corp.(a)
B+
4.205%
03/23/2018
N/A
742,605
 
1,000,000
  
First Data Corp.(a)
B+
5.205%
09/30/2018
N/A
1,002,160
               
3,152,721
                 
     
Travel & Leisure - 0.1%
          
 
249,375
  
Cannery Casino Resorts, LLC(a)
BB-
6.000%
09/25/2018
N/A
253,071
                 
     
Waste & Environmental Service Equipment & Facility - 0.2%
          
 
500,000
  
ADS Waste Holdings, Inc.(a)
B+
4.250%
10/09/2019
N/A
501,757
                 
     
Total Term Loans - 6.3%
          
     
(Cost $13,580,803)
        
13,817,853
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Exchange Traded Funds - 5.2%
          
 
72,700
  
Guggenheim BulletShares 2013 High Yield Corporate Bond ETF
        
1,882,930
 
208,000
  
Guggenheim BulletShares 2014 High Yield Corporate Bond ETF
        
5,541,120
 
148,000
  
Guggenheim BulletShares 2015 High Yield Corporate Bond ETF
        
3,953,080
     
(Cost $11,260,238)
        
11,377,130
                 
 
Principal
            
 
Amount
  
Description
Rating*
 Maturity
Value
      Short-Term Securities - 49.0%        
     
Commercial Paper - 25.7%
        
 
$6,000,000
  
American Water Capital Corp.
A2
  
03/04/2013
5,999,820
 
5,500,000
  
AON Corp.
A2
  
03/28/2013
5,498,790
 
2,500,000
  
Campbell Soup Co.
A2
  
03/11/2013
2,499,950
 
6,000,000
  
Celgene Corp.
A2
  
03/21/2013
5,999,040
 
2,000,000
  
CIGNA Corp.
A2
  
03/18/2013
1,999,720
 
5,850,000
  
National Grid Holdings, Inc.
A2
  
03/06/2013
5,849,766
 
6,000,000
  
Nissan Motor Acceptance Corp.
A2
  
03/19/2013
5,999,100
 
6,000,000
  
Pacific Gas & Electric Co.
A2
  
03/08/2013
5,999,760
 
6,000,000
  
Tesco Treasury Services PLC
A2
  
03/13/2013
5,999,400
 
6,000,000
  
Verizon Communication, Inc.
A2
  
03/07/2013
5,999,700
 
5,000,000
  
Viacom, Inc.
A2
  
03/12/2013
4,999,557
     
(Cost $56,844,354)
      
56,844,603
               
     
Repurchase Agreements - 22.8%
        
 
798,000
   Jefferies & Company, Inc., dated 2/27/2013; Proceeds at maturity - $799,736; (Collateralized by J.P. Morgan Alternative Loan Trust, Series 2007-A1, Class 1A2A, 0.2600%, due 03/25/2037; Market Value $1,720,885)  
03/28/2013
798,000
 
9,911,000
   Jefferies & Company, Inc., dated 2/27/2013; Proceeds at maturity - $9,914,992; (Collateralized by Maryland State & Local Facilities Loan, Series B, 4.000%, due 03/15/2021; Market Value $10,432,440)  
03/28/2013
9,911,000
 
2,012,000
   Jefferies & Company, Inc., dated 2/27/2013; Proceeds at maturity - $2,016,376; (Collateralized by Wells Fargo Mortgage Backed Securities, Series 2007-AR8, Class A1, 5.990%, due 11/25/2037; Market Value $2,533,066)  
03/28/2013
2,012,000
 
7,079,000
   Jefferies & Company, Inc. dated 2/27/2013; Proceeds at maturity - $7,094,397; (Collateralized by HIS Asset Securitization Corp., Series 2007-NC1, Class A1, 0.3000%, due 04/25/2037; Market Value $9,158,720)  
03/28/2013
7,079,000
 
9,223,498
    Merrill Lynch, Pierce, Fenner & Smith, Inc., dated 2/19/2013; Proceeds at maturity - $9,234,213; (Collateralized by CountryWide Alternative Loan Trust, Series 2006-0A18, Class A1, 0.3200%, due 12/25/2046; Market Value $11,625,762)  
04/01/2013
9,223,498
 
9,865,000
   Nomura Securities International, Inc., dated 2/8/2013; Proceeds at maturity - $9,874,317; (Collateralized by Banc of America Funding Corp., Series 2005-8, Class 2A8, 5.750%, due 01/25/2036; Market Value $12,331,250)  
03/14/2013
 
9,865,000
 
8,398,000
   RBS Securities, Inc., dated 2/4/2013; Proceeds at maturity - $8,402,180; Collateralized by MLCC Mortgage Investors, Inc., Series 2005-3, Class 1A, 2.750%, due 11/25/2035, Market Value $10,499,521)  
03/04/2013
8,398,000
 
2,970,000
    RBS Securities, Inc., dated 2/4/2013; Proceeds at maturity - $2,971,478; Collateralized by Citigroup Mortgage Loan Trust, Inc., Series 2006-AR9, Class 1A3, 0.4400%, due 11/25/2036, Market Value $3,712,050)  
03/04/2013
2,970,000
     
(Cost $50,256,498)
      
50,256,498
               
     
Short Term Municipal Bonds - 0.3%
        
     
New York - 0.3%
        
 
300,000
  
New York City Municipal Water Finance Authority(e)
A-2
0.210%
03/15/13 @ 100
300,000
 
400,000
  
New York City, New York General Obligation Variable Rate, Series L-5(e)
A-2
0.210%
03/04/13 @ 100
400,000
     
(Cost $700,000)
      
700,000
               
 
Number
            
 
of Shares
  
Description
      
Value
     
Money Market Fund - 0.2%
        
 
443,460
  
Dreyfus Treasury Prime Cash Management Institutional Shares
      
443,460
     
(Cost $443,460)
AAAm
      
               
     
Total Short-Term Investments - 49.0%
        
     
(Cost $108,244,312)
      
108,244,561
               
     
Total Investments - 99.9%
        
     
(Cost $219,609,825)
      
220,586,917
     
Other Assets in excess of Liabilities - 0.1%
      
255,621
     
Net Assets  - 100.0%
      
$220,842,538
 
AG - Stock Corporation
  
CDO - Collateralized Debt Obligation
  
CLO - Collateralized Loan Obligation
  
LLC - Limited Liability Company
  
LP - Limited Partnership
  
N/A- Not Applicable
  
PLC - Public Limited Company
  
 
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc., Fitch Ratings or DBRS.  Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided. For securities not rated by Standard & Poor's Rating Group, Moody, Investor Services, Inc or Fitch Rating Group, the rating by DBRS is provided)  All ratings are unaudited.  The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
(a)
Floating or variable rate coupon.  The rate shown is as of February 28, 2013.
(b)
Securities are exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.  At February 28, 2013 these securities amounted to $22,396,239, which represents 10.1% of net assets.
(c)
Security is valued in accordance with Fair Valuation procedures established in good faith by management and approved by the Board of Trustees. The total market value of such securities is $2,226,300 which represents 1.0% of net assets.
(d)
Term loans held by the Fund have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark.  In addition, term loans may include mandatory and/or optional prepayment terms.  As a result, the actual maturity dates of the loan may be different than the amounts disclosed in the portfolios of investments.  Term loans may be considered restricted in that the Fund may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of loan.
(e)
Security has a maturity of more than one year, but has a variable rate and demand features which qualify it as a short-term security.  The rate shown is that earned by the Fund as of February 28, 2013.
   
 
The obligations of certain United States Government sponsored entities are neither insured nor guaranteed by the United States Treasury.
 
 
 
 
 
 
 
GSY | Guggenheim Enhanced Short Duration Bond ETF
  
   
Country Allocation***
United States
82.9%
Cayman Islands
6.9%
Bermuda
2.1%
United Kingdom
2.0%
Canada
1.6%
Ireland
1.3%
Switzerland
1.0%
South Korea
0.7%
United Arab Emirates
0.7%
Jersey
0.5%
Luxembourg
0.3%
*** Subject to change daily.  Based on total investments.
  
 
At February 28, 2013 the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
       
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation
on Investments
 $                                  219,610,565
 $        1,011,258
 $      (34,906)
 $         976,352
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and  asked prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
               
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by  management and approved by the Board of Trustees of the Trust (“Board of Trustees”). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed.  The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices.  On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
               
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
               
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
               
The Funds value Level 1 securities using readily available market quotations in active markets. The Funds value Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Funds value Level 2 equity securities using various observable market inputs. The fair value estimates for the Level 3 securities are determined in accordance with the Trust’s valuation procedures.
               
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of February 28, 2013.
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets:
                
Corporate Bonds
  
 $                      -
  
 $        59,848
  
 $                    -
  
 $              59,848
Asset Backed Securities
                
Airlines
  
                      -
  
            1,322
  
                     -
  
                   1,322
Collateralized Debt Obligation
  
                      -
  
            2,782
  
                     -
  
                   2,782
Collateralized Loan Obligation
  
                      -
  
          11,084
  
                2,226
  
                 13,310
Financial
  
                      -
  
            1,760
  
                     -
  
                   1,760
Other
  
                      -
  
            1,975
  
                     -
  
                   1,975
Transportation
  
                      -
  
            2,395
  
                     -
  
                   2,395
Collateralized Mortgage Obligations
                      -
  
            1,253
  
                     -
  
                   1,253
U.S. Government Agency Securities
                      -
  
            2,503
  
                     -
  
                   2,503
Term Loans
  
                      -
  
          13,818
  
                     -
  
                 13,818
Exchange Traded Funds
  
               11,377
  
                 -
  
                     -
  
                 11,377
Commercial Paper
  
                      -
  
          56,845
  
                     -
  
                 56,845
Municipal Bonds
  
                      -
  
               700
  
                     -
  
                     700
Repurchase Agreement
  
                      -
  
          50,256
  
                     -
  
                 50,256
Money Market Fund
  
                    443
  
                 -
  
                     -
  
                     443
Total
  
 $             11,820
  
 $      206,541
  
 $             2,226
  
 $            220,587
 
During the nine months ended February 28, 2013, there were no transfers between Level 1 and Level 2.
             
There was one transfer from Level 2 to Level 3 for the asset backed securities during the nine months ended February 28, 2013 due to the lack of an available market price at period end. A transfer in the amount of $1,500,015 for Goldentree Credit Opportunities Financing Ltd.
             
With regards to the Level 3 securities:
            
Goldentree Credit Opportunities Financing Ltd. and Telos CLO Ltd. were priced using an option adjusted spread model based on broker quotes.
             
The following table presents the activity for the Fund's investments measured at fair value using significant unobservable inputs (Level 3 valuations) for the nine months ended February 28, 2013.
 
Beginning Balance at 5/31/12
        
Asset Backed Securities
      
 $                -
Purchases:
        
Asset Backed Securities
      
               726
Transfer In:
        
Asset Backed Securities
      
            1,500
Ending Balance at 2/28/13
        
Asset Backed Securities
      
            2,226
Total Level 3 holdings
      
 $         2,226
 
 
 
 
 
 
 
LVL Guggenheim S&P Global Dividend Opportunities Index ETF
  
Portfolio of Investments
  
February 28, 2013 (unaudited)
  
         
 
Number
      
 
of Shares
  
Description
Value
     
Long-Term Investments - 100.2%
  
     
Common Stocks - 100.0%
  
     
Australia - 16.1%
  
 
899
  
ASX Ltd.
$33,547
 
1,161
  
Australia & New Zealand Banking Group Ltd.
34,136
 
3,464
  
Bendigo and Adelaide Bank Ltd.
35,214
 
14,541
  
CFS Retail Property Trust Group, REIT
31,112
 
478
  
Commonwealth Bank of Australia
32,919
 
437,234
  
David Jones Ltd.(a)
1,248,855
 
454,387
  
DUET Group
1,028,045
 
194,759
  
Iluka Resources Ltd.(a)
2,097,525
 
513,368
  
Metcash Ltd.
2,144,287
 
1,132
  
National Australia Bank Ltd.
34,998
 
4,131
  
OZ Minerals Ltd.
26,897
 
878,752
  
SP AusNet
1,070,551
 
8,314
  
Stockland, REIT
32,003
 
557,940
  
Tatts Group Ltd.
1,822,099
 
6,470
  
Telstra Corp. Ltd.
30,403
 
1,112
  
Westpac Banking Corp.
35,029
       
9,737,620
         
     
Belgium - 6.1%
  
 
60,379
  
Belgacom SA
1,690,030
 
38,667
  
Telenet Group Holding NV(b)
1,982,370
       
3,672,400
         
     
Bermuda - 2.9%
  
 
48,055
  
Seadrill Ltd.
1,754,494
         
     
Brazil - 2.6%
  
 
78,045
  
CPFL Energia SA, ADR
1,601,483
         
     
Canada - 5.0%
  
 
1,077
  
Bell Aliant, Inc.
27,908
 
89,995
  
Canadian Oil Sands Ltd.
1,847,959
 
141,641
  
PetroBakken Energy Ltd.(a)
1,173,855
       
3,049,722
         
     
Cayman Islands - 0.7%
  
 
655,000
  
Dongyue Group
434,141
         
     
Czech Republic - 0.6%
  
 
896
  
CEZ AS
26,986
 
21,821
  
Telefonica Czech Republic AS
360,793
       
387,779
         
     
Denmark - 3.0%
  
 
244,040
  
TDC A/S(a)
1,840,035
         
     
Finland - 1.6%
  
 
1,342
  
Elisa OYJ
28,317
 
43,636
  
Fortum OYJ
833,464
 
993
  
Orion OYJ, Class B
29,469
 
4,550
  
Stora ENSO OYJ
30,635
 
2,435
  
UPM-Kymmene OYJ
28,507
       
950,392
         
     
France - 4.3%
  
 
1,688
  
AXA SA
29,361
 
380
  
Fonciere DES Regions, REIT
31,482
 
157,105
  
France Telecom SA
1,523,798
 
17,309
  
Neopost SA
1,002,348
       
2,586,989
         
     
Germany - 0.1%
  
 
1,525
  
Freenet AG
34,133
 
766
  
RWE AG
28,175
       
62,308
         
     
Hong Kong - 0.1%
  
 
66,000
  
Shougang Fushan Resources Group Ltd.
29,107
 
67,000
  
Yuexiu Real Estate Investment Trust, REIT
35,337
       
64,444
         
     
Israel - 6.3%
  
 
1,512,050
  
Bezeq The Israeli Telecommunication Corp. Ltd.
1,938,030
 
145,328
  
Israel Chemicals Ltd.
1,878,356
       
3,816,386
         
     
Italy - 0.1%
  
 
1,708
  
Atlantia SpA
29,587
 
7,545
  
Terna Rete Elettrica Nazionale SpA
31,584
       
61,171
         
     
Luxembourg - 2.5%
  
 
43,803
  
Oriflame Cosmetics SA
1,520,244
         
     
Netherlands - 1.9%
  
 
1,593
  
Corio NV, REIT
73,589
 
322,745
  
Koninklijke KPN NV
1,102,953
       
1,176,542
         
     
Norway - 0.1%
  
 
2,080
  
Gjensidige Forsikring ASA
33,354
         
     
Portugal - 2.9%
  
 
583,933
  
EDP - Energias de Portugal SA
1,754,305
         
     
Singapore - 2.7%
  
 
14,000
  
Ascendas Real Estate Investment Trust, REIT
29,069
 
33,000
  
Hutchison Port Holdings Trust
26,730
 
8,000
  
Keppel Land Ltd.
26,887
 
1,519,098
  
STX OSV Holdings Ltd.
1,552,542
 
19,000
  
Suntec Real Estate Investment Trust, REIT
27,554
       
1,662,782
         
     
South Africa - 4.3%
  
 
8,272
  
African Bank Investments Ltd.
26,551
 
22,411
  
Kumba Iron Ore Ltd.(a)
1,419,510
 
460,788
  
MMI Holdings Ltd.
1,147,772
       
2,593,833
         
     
South Korea - 0.0%*
  
 
1,820
  
KT Corp., ADR
29,448
         
     
Spain - 3.1%
  
 
1,316
  
Enagas SA
31,562
 
113,741
  
Ferrovial SA
1,785,879
 
566
  
Red Electrica Corporacion
31,359
       
1,848,800
         
     
Sweden - 4.6%
  
 
43,764
  
NCC AB
1,144,090
 
1,866
  
Skanska AB
33,235
 
100,571
  
Tele2 AB
1,607,139
       
2,784,464
         
     
Switzerland - 0.1%
  
 
110
  
Zurich Insurance Group AG
30,235
         
     
Taiwan - 0.1%
  
 
953
  
Chunghwa Telecom Co. Ltd., ADR(a)
29,562
         
     
Thailand - 3.3%
  
 
843,418
  
Shin Corp. PCL
2,019,951
         
     
Turkey - 3.1%
  
 
21,298
  
Eregli Demir ve Celik Fabrikalari TAS
27,471
 
64,289
  
Tupras Turkiye Petrol Rafinerileri AS
1,801,443
 
7,772
  
Turk Telekomunikasyon AS
32,062
       
1,860,976
         
     
United Kingdom - 2.4%
  
 
1,546
  
Admiral Group PLC
29,358
 
606
  
AstraZeneca PLC
27,555
 
445,146
  
Firstgroup PLC
1,308,174
 
2,580
  
National Grid PLC
28,569
 
1,297
  
SSE PLC
28,469
 
6,695
  
TUI Travel PLC
32,246
       
1,454,371
         
     
United States - 19.4%
  
 
58,983
  
American Capital Agency Corp., REIT
1,870,941
 
2,074
  
Annaly Capital Management, Inc., REIT
32,126
 
1,720
  
Ares Capital Corp.
31,846
 
24,929
  
Capstead Mortgage Corp., REIT
312,610
 
653,767
  
Chimera Investment Corp., REIT
1,948,226
 
1,238
  
Government Properties Income Trust, REIT
32,757
 
59,018
  
Hatteras Financial Corp., REIT
1,575,190
 
887
  
Highwoods Properties, Inc., REIT
32,375
 
1,278
  
Hospitality Properties Trust, REIT
34,123
 
1,429
  
Invesco Mortgage Capital, Inc., REIT
30,038
 
1,163
  
Mack-Cali Realty Corp., REIT
33,006
 
785
  
Mercury General Corp.
30,513
 
3,537
  
MFA Financial, Inc., REIT
31,408
 
2,200
  
New York Community Bancorp, Inc.
29,700
 
1,235
  
Omega Healthcare Investors, Inc., REIT
34,568
 
1,106
  
PennyMac Mortgage Investment Trust, REIT
28,114
 
162,864
  
Prospect Capital
1,815,934
 
822
  
TAL International Group, Inc.
35,387
 
190,292
  
Valley National Bancorp(a)
1,908,629
 
118,675
  
Vector Group Ltd.
1,904,734
       
11,752,225
         
     
Total Common Stocks - 100.0%
  
     
(Cost $62,309,136)
60,570,456
         
     
Preferred Stocks - 0.2%
  
     
Brazil - 0.1%
  
 
2,814
  
Cia Energetica de Minas Gerais, ADR
33,487
 
7,115
  
Oi SA, ADR(a)
26,254
 
1,576
  
Vale SA, ADR
28,951
       
88,692
         
     
Germany - 0.1%
  
 
995
  
ProSiebenSat.1 Media AG
34,341
         
     
Total Preferred Stocks - 0.2%
  
     
(Cost $134,244)
123,033
         
     
Total Long-Term Investments - 100.2%
  
     
(Cost $62,443,380)
60,693,489
         
     
Investments of Collateral for Securities Loaned - 10.0%
  
 
6,079,455
  
BNY Mellon Securities Lending Overnight Fund, 0.1879%(c) (d)
                   6,079,455
     
(Cost $6,079,455)
  
         
     
Total Investments - 110.2%
  
     
(Cost $68,522,835)
66,772,944
     
Liabilities in excess of Other Assets - (10.2%)
(6,168,099)
     
Net Assets  - 100.0%
$                60,604,845
 
* Less than 0.1%
  
AB - Stock Company
  
ADR - American Depositary Receipt
  
AG - Stock Corporation
  
AS - Joint Stock Company
  
ASA - Stock Company
  
A/S - Limited Liability Stock Company or Stock Company
  
NV - Publicly Traded Company
  
OYJ - Public Traded Company
  
PCL - Public Company Limited
  
PLC - Public Limited Company
  
REIT - Real Estate Investment Trust
  
SA - Corporation
  
SpA - Limited Share Company
  
 
(a)
Security, or portion thereof, was on loan at February 28, 2013.
(b)
Non-income producing security.
(c)
At February 28, 2013, the total market value of the Fund's securities on loan was $5,779,336 and the total market value of the collateral held by the Fund was $6,079,455.
(d)
Interest rate shown reflects yield as of February 28, 2013.
   
See previously submitted notes to financial statements for the period ended November 30, 2012.
 
 
 
 
 
 
 
 
   
Security of Investments by Sector Classification**
Communications
23.6%
Financial
19.1%
Energy
10.9%
Utilities
10.8%
Basic Materials
9.8%
Industrial
9.7%
Consumer, Non-cyclical
9.3%
Consumer, Cyclical
5.1%
Technology
1.7%
** Subject to change daily. Based on long-term investments. Securities are classified by sectors that represent broad groups of related industries.
 
At February 28, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
       
Cost of Investments
for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Depreciation
on Investments
 $                                   68,901,866
 $        2,437,055
 $(4,565,977)
 $     (2,128,922)
 
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust ("Board of Trustees"). A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Funds and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
 
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Fund values Level 2 equity securities using various observable market inputs. The Fund did not have any Level 3 securities at February 28, 2013.
 
The following table represents the Fund’s investments carried on the Statement of Assets and Liabilities by caption and by level within the fair value hierarchy as of February 28, 2013:
 
Description
  
Level 1
  
Level 2
  
Level 3
  
Total
(value in $000s)
                
Assets:
                
Common Stocks
  
 $             60,570
  
 $            -
  
 $                 -
  
 $         60,570
Preferred Stocks
  
                    123
  
               -
  
                    -
  
        123
Investments of Collateral for Securities Loaned
                 6,080
  
               -
  
                    -
  
     6,080
Total
  
 $             66,773
  
 $            -
  
 $                 -
  
 $         66,773
                 
During the nine months ended November 30, 2012, there were no transfers between levels.
    
 
 
 
 
 
 
 
Item 2. Controls and Procedures.

 
(a)
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Investment Company Act”)) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 
(b)
There was no change in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.

Item 3. Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), is attached hereto.
 
 
 
 
 
 
 
SIGNATURES


 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Claymore Exchange-Traded Fund Trust

By:
 /s/ Donald C. Cacciapaglia
Donald C. Cacciapaglia
Chief Executive Officer

Date:
 April 29, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:
 /s/ Donald C. Cacciapaglia
Donald C. Cacciapaglia
Chief Executive Officer

Date:
 April 29, 2013

By:
 /s/ John L. Sullivan
John L. Sullivan
Chief Financial Officer, Chief Accounting Officer and Treasurer

Date:
 April 29, 2013