N-Q 1 gug57634etf1-nq.htm ETF TRUST 1 gug57634etf1-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: May 31, 2013 to August 31, 2013                                                                                                


 
 
 

Item 1.                      Schedule of Investments.
                    Attached hereto.
 
BSCD Guggenheim BulletShares 2013 Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 57.6%
          
     
Agriculture - 1.7%
          
 
$3,196,000
  
Altria Group, Inc.
BBB
8.500%
11/10/2013
N/A
$ 3,242,067
                 
     
Auto Manufacturers - 2.3%
          
 
4,254,000
  
Daimler Finance North America LLC
A-
6.500%
11/15/2013
N/A
4,301,896
                 
     
Banks - 11.3%
          
 
3,894,000
  
Bank of Nova Scotia (Canada)
A+
2.375%
12/17/2013
N/A
3,918,431
 
1,019,000
  
BB&T Corp., Series MTN
A-
3.375%
09/25/2013
N/A
1,020,747
 
2,141,000
  
Canadian Imperial Bank of Commerce (Canada)
A+
1.450%
09/13/2013
N/A
2,141,578
 
3,740,000
  
Citigroup, Inc.
A-
6.000%
12/13/2013
N/A
3,796,646
 
5,009,000
  
Goldman Sachs Group, Inc.
A-
5.250%
10/15/2013
N/A
5,035,798
 
1,917,000
  
JPMorgan Chase & Co., Series 2
A
1.650%
09/30/2013
N/A
1,918,863
 
204,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
BB+
5.000%
11/12/2013
N/A
204,357
 
1,332,000
  
US Bancorp, Series MTN
A+
1.125%
10/30/2013
N/A
1,333,032
 
2,121,000
  
Wells Fargo & Co.
A
4.950%
10/16/2013
N/A
2,131,654
               
21,501,106
                 
     
Beverages - 2.2%
          
 
2,343,000
  
Coca-Cola Co.(a)
AA-
0.750%
11/15/2013
N/A
2,344,368
 
908,000
  
Coca-Cola HBC Finance BV (Netherlands)
BBB
5.125%
09/17/2013
N/A
909,322
 
917,000
  
PepsiCo, Inc.
A-
0.875%
10/25/2013
N/A
917,541
               
4,171,231
                 
     
Building Materials - 1.0%
          
 
1,908,000
  
CRH America, Inc.
BBB+
5.300%
10/15/2013
N/A
1,917,565
                 
     
Chemicals - 0.7%
          
 
1,363,000
  
ICI Wilmington, Inc.
BBB+
5.625%
12/01/2013
N/A
1,379,481
                 
     
Computers - 4.1%
          
 
1,630,000
  
Dell, Inc.
BBB
1.400%
09/10/2013
N/A
1,630,044
 
3,289,000
  
Hewlett-Packard Co.
BBB+
1.250%
09/13/2013
N/A
3,289,092
 
2,850,000
  
International Business Machines Corp.
AA-
6.500%
10/15/2013
N/A
2,869,688
               
7,788,824
                 
     
Diversified Financial Services - 12.7%
          
 
2,019,000
  
Caterpillar Financial Services Corp., Series MTN
A
6.200%
09/30/2013
N/A
2,028,269
 
510,000
  
Caterpillar Financial Services Corp., Series MTN
A
1.550%
12/20/2013
N/A
511,724
 
7,329,000
  
Ford Motor Credit Co., LLC
BBB-
7.000%
10/01/2013
N/A
7,364,377
 
5,109,000
  
General Electric Capital Corp., Series MTN
AA+
1.875%
09/16/2013
N/A
5,111,560
 
1,824,000
  
General Electric Capital Corp., Series GMTN
AA+
5.400%
09/20/2013
N/A
1,827,947
 
1,519,000
  
International Lease Finance Corp., Series MTN
BBB-
5.625%
09/20/2013
N/A
1,522,798
 
2,324,000
  
International Lease Finance Corp., Series MTN
BBB-
6.625%
11/15/2013
N/A
2,350,726
 
1,461,000
  
John Deere Capital Corp., Series MTN
A
4.900%
09/09/2013
N/A
1,461,742
 
1,984,000
  
SLM Corp., Series MTNA
BBB-
5.000%
10/01/2013
N/A
1,991,440
               
24,170,583
                 
     
Electric - 0.7%
          
 
1,315,000
  
Georgia Power Co.
A
1.300%
09/15/2013
N/A
1,315,301
                 
     
Food - 0.9%
          
 
1,700,000
  
Mondelez International, Inc.
BBB-
5.250%
10/01/2013
N/A
1,706,006
                 
     
Insurance - 1.3%
          
 
1,569,000
  
Berkshire Hathaway Finance Corp.
AA
4.625%
10/15/2013
N/A
1,576,129
 
917,000
  
MetLife, Inc.
A-
5.000%
11/24/2013
N/A
926,270
               
2,502,399
                 
     
Lodging - 0.3%
          
 
612,000
  
Wynn Las Vegas, LLC / Wynn Las Vegas Capital Corp.
BBB-
7.875%
11/01/2017
11/01/13 @ 104
644,130
                 
     
Media - 1.5%
          
 
2,864,000
  
Walt Disney Co., Series MTN
A
4.500%
12/15/2013
N/A
2,896,564
                 
     
Mining - 1.6%
          
 
3,029,000
  
Barrick Gold Financeco, LLC, Series GMTN
BBB
6.125%
09/15/2013
N/A
3,033,459
                 
     
Oil & Gas - 4.8%
          
 
6,930,000
  
BP Capital Markets PLC (United Kingdom)
A
5.250%
11/07/2013
N/A
6,989,376
 
1,388,000
  
EnCana Corp. (Canada)
BBB
4.750%
10/15/2013
N/A
1,394,419
 
815,000
  
Occidental Petroleum Corp.
A
1.450%
12/13/2013
N/A
817,328
               
9,201,123
                 
     
Pharmaceuticals - 1.4%
          
 
2,630,000
  
Merck & Co., Inc.
AA
5.300%
12/01/2013
N/A
2,660,087
                 
     
Pipelines - 0.4%
          
 
713,000
  
Kinder Morgan Energy Partners, LP
BBB
5.000%
12/15/2013
N/A
721,589
                 
     
Retail - 1.8%
          
 
2,122,000
  
Home Depot, Inc.
A-
5.250%
12/16/2013
N/A
2,150,823
 
1,274,000
  
Wal-Mart Stores, Inc.
AA
0.750%
10/25/2013
N/A
1,274,514
               
3,425,337
                 
     
Software - 0.9%
          
 
1,732,000
  
Microsoft Corp.
AAA
0.875%
09/27/2013
N/A
1,732,556
                 
     
Telecommunications - 6.0%
          
 
2,935,000
  
Cellco Partnership / Verizon Wireless Capital, LLC
BBB+
7.375%
11/15/2013
N/A
2,973,578
 
408,000
  
Qwest Communications International, Inc.
BB
7.125%
04/01/2018
04/01/14 @ 102
424,575
 
4,615,000
  
Telecom Italia Capital SA (Luxembourg)
BBB-
5.250%
11/15/2013
N/A
4,649,036
 
3,223,000
  
Vodafone Group PLC (United Kingdom)
A-
5.000%
12/16/2013
N/A
3,263,619
               
11,310,808
                 
     
Total Corporate Bonds - 57.6%
          
     
(Cost $109,581,794)
        
109,622,112
                 
                 
 
Principal
              
 
Amount
  
Description
Coupon
Yield
Maturity
  
Value
     
US Treasury Security - 41.0%
          
 
 $               78,000,000
  
U.S. Treasury Bill
NR
0.019%
11/29/2013
N/A
 $         77,995,788
     
(Cost $77,996,117)
          
                 
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 0.1%
          
 
86,343
  
BNY Mellon Securities Lending Overnight Fund, 0.081267%(b) (c)
        
 $               86,343
     
(Cost $86,343)
          
                 
     
Total Investments - 98.7%
          
     
(Cost $187,664,254)
        
187,704,243
     
Other Assets in excess of Liabilities - 1.3%
        
2,406,041
     
Net Assets  - 100.0%
        
$   190,110,284
                 
                 
 
 
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.   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 August 31, 2013.
        
(b)
At August 31, 2013, the total market value of the Fund's securities on loan was $84,056 and the total market value of the collateral held by the Fund was $86,343.
(c)
Interest rate shown reflects yield as of August 31, 2013.
        
 
 
 
 
 
 
 
 
           
Country Breakdown
      
% of Corporate Bonds
  
United States
        
78.6%
United Kingdom
        
9.5%
Canada
        
6.8%
Luxembourg
        
4.3%
Netherlands
        
0.8%
Subject to change daily.
          
 
See previously submitted notes to financial statements for the period ended May 31, 2013.
 
At August 31, 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
$ 187,664,374   $ 50,596   $ (10,727)   $ 39,869
 
                         
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 investment management, 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, unchanged 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 Board of Trustees.
  
                         
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
  
                         
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
  
                         
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Fund’s valuation procedures. The Fund did not have any Level 3 securities at August 31, 2013.
  
                         
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
  
                         
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
  
                         
                         
                         
Description
  
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                        
Assets:
                        
Corporate Bonds
   $ -       109,622     $ -     $ 109,622  
US Treasury Security
     -       77,996       -       77,996  
Investments of Collateral for Securities Loaned
     86       -       -       86  
Total
   $ 86     $ 187,618     $ -     $ 187,704  
                                 
During the three months ended August 31, 2013, there were no transfers between levels.
          
 
 
 
 
 
 
 
BSCE Guggenheim BulletShares 2014 Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 98.7%
          
     
Advertising - 0.3%
          
 
$600,000
  
WPP Finance (United Kingdom)
BBB
8.000%
09/15/2014
N/A
$642,082
 
333,000
  
WPP Finance 2010 (United Kingdom)
BBB
4.750%
11/21/2021
N/A
341,999
               
984,081
                 
     
Aerospace & Defense - 0.3%
          
 
1,100,000
  
Boeing Co.
A
5.000%
03/15/2014
N/A
1,126,066
                 
     
Agriculture - 0.7%
          
 
750,000
  
Altria Group, Inc.
BBB
7.750%
02/06/2014
N/A
772,430
 
1,527,000
  
Philip Morris International, Inc.
A
6.875%
03/17/2014
N/A
1,579,130
               
2,351,560
                 
     
Auto Manufacturers - 0.2%
          
 
800,000
  
PACCAR, Inc., Series MTN
A+
6.875%
02/15/2014
N/A
822,030
                 
     
Banks - 32.6%
          
 
700,000
  
Abbey National Treasury Services PLC (United Kingdom)
A
2.875%
04/25/2014
N/A
709,344
 
4,771,000
  
Bank of America Corp., Series MTN
A-
7.375%
05/15/2014
N/A
4,991,487
 
1,329,000
  
Bank of America Corp.
A-
5.375%
06/15/2014
N/A
1,373,825
 
1,200,000
  
Bank of America Corp.
A-
5.125%
11/15/2014
N/A
1,253,495
 
1,000,000
  
Bank of Montreal, Series MTN (Canada)
A+
1.750%
04/29/2014
N/A
1,009,270
 
1,650,000
  
Bank of New York Mellon Corp., Series MTN
A+
4.300%
05/15/2014
N/A
1,695,715
 
500,000
  
Bank of New York Mellon Corp., Series MTN
A+
1.700%
11/24/2014
10/25/14 @ 100
506,986
 
1,600,000
  
Barclays Bank PLC (United Kingdom)
A
2.375%
01/13/2014
N/A
1,611,344
 
3,850,000
  
Barclays Bank PLC (United Kingdom)
A
5.200%
07/10/2014
N/A
3,994,259
 
1,080,000
  
BB&T Corp., Series MTN
A-
2.050%
04/28/2014
03/28/14 @ 100
1,089,668
 
900,000
  
BB&T Corp., Series MTN
A-
5.700%
04/30/2014
N/A
930,647
 
1,275,000
  
BBVA US Senior SAU (Spain)
BBB-
3.250%
05/16/2014
N/A
1,286,364
 
1,114,000
  
Capital One Financial Corp.
BBB
7.375%
05/23/2014
N/A
1,166,727
 
1,250,000
  
Capital One Financial Corp.
BBB
2.125%
07/15/2014
N/A
1,264,679
 
2,021,000
  
Citigroup, Inc.
A-
5.125%
05/05/2014
N/A
2,078,873
 
3,532,000
  
Citigroup, Inc.
A-
6.375%
08/12/2014
N/A
3,722,004
 
5,176,000
  
Citigroup, Inc.
BBB+
5.000%
09/15/2014
N/A
5,379,634
 
2,668,000
  
Citigroup, Inc., Series MTN
A-
5.500%
10/15/2014
N/A
2,800,656
 
1,300,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)
AA-
1.850%
01/10/2014
N/A
1,306,950
 
1,250,000
  
Credit Suisse New York (Switzerland)
A
2.200%
01/14/2014
N/A
1,258,300
 
3,850,000
  
Credit Suisse New York (Switzerland)
A
5.500%
05/01/2014
N/A
3,976,823
 
1,200,000
  
Deutsche Bank AG (Germany)
A
3.875%
08/18/2014
N/A
1,235,466
 
2,858,000
  
Goldman Sachs Group, Inc.
A-
5.150%
01/15/2014
N/A
2,905,406
 
3,932,000
  
Goldman Sachs Group, Inc., Series MTN
A-
6.000%
05/01/2014
N/A
4,065,818
 
1,300,000
  
Goldman Sachs Group, Inc.
A-
5.000%
10/01/2014
N/A
1,357,048
 
1,450,000
  
Goldman Sachs Group, Inc.
A-
5.500%
11/15/2014
N/A
1,527,286
 
1,600,000
  
HSBC Bank USA NA
A
4.625%
04/01/2014
N/A
1,636,274
 
850,000
  
JPMorgan Chase & Co., Series MTN
A
5.375%
01/15/2014
N/A
865,553
 
1,700,000
  
JPMorgan Chase & Co., Series MTN
A
2.050%
01/24/2014
N/A
1,711,677
 
1,000,000
  
JPMorgan Chase & Co.
A-
4.875%
03/15/2014
N/A
1,022,186
 
3,693,000
  
JPMorgan Chase & Co.
A
4.650%
06/01/2014
N/A
3,805,345
 
3,068,000
  
JPMorgan Chase & Co.
A-
5.125%
09/15/2014
N/A
3,201,648
 
750,000
  
KeyBank NA, Series BKNT
BBB+
5.800%
07/01/2014
N/A
781,096
 
1,500,000
  
Morgan Stanley
A-
2.875%
01/24/2014
N/A
1,512,450
 
5,036,000
  
Morgan Stanley
BBB+
4.750%
04/01/2014
N/A
5,140,195
 
3,900,000
  
Morgan Stanley, Series GMTN
A-
6.000%
05/13/2014
N/A
4,023,887
 
550,000
  
Morgan Stanley
A-
2.875%
07/28/2014
N/A
558,697
 
1,900,000
  
Morgan Stanley
A-
4.200%
11/20/2014
N/A
1,972,388
 
600,000
  
Northern Trust Corp.
A+
4.625%
05/01/2014
N/A
617,173
 
1,000,000
  
PNC Funding Corp.
A-
3.000%
05/19/2014
N/A
1,018,494
 
1,000,000
  
Regions Financial Corp.
BBB-
7.750%
11/10/2014
N/A
1,076,378
 
1,400,000
  
Royal Bank of Canada, Series GMTN (Canada)
AA-
1.125%
01/15/2014
N/A
1,404,407
 
2,290,000
  
Royal Bank of Canada, Series GMTN (Canada)
AA-
1.450%
10/30/2014
N/A
2,314,748
 
600,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
BB+
5.000%
10/01/2014
N/A
612,760
 
900,000
  
State Street Corp.
A+
4.300%
05/30/2014
N/A
926,627
 
1,000,000
  
Toronto-Dominion Bank (Canada)
AA-
1.375%
07/14/2014
N/A
1,009,501
 
1,436,000
  
UBS AG, Series 001 (Switzerland)
A
2.250%
01/28/2014
N/A
1,447,281
 
2,000,000
  
US Bancorp
A+
4.200%
05/15/2014
N/A
2,055,230
 
500,000
  
US Bancorp, Series MTN
A+
2.875%
11/20/2014
N/A
513,989
 
1,750,000
  
US Bank NA, Series BKNT
A+
6.300%
02/04/2014
N/A
1,792,831
 
750,000
  
US Bank NA, Series BKNT
A+
4.950%
10/30/2014
N/A
787,789
 
1,337,000
  
Wachovia Bank NA, Series BKNT
A+
4.800%
11/01/2014
N/A
1,400,946
 
1,310,000
  
Wachovia Corp.
A
4.875%
02/15/2014
N/A
1,335,322
 
2,945,000
  
Wachovia Corp.
A
5.250%
08/01/2014
N/A
3,068,089
 
1,000,000
  
Wells Fargo & Co.
A
4.625%
04/15/2014
N/A
1,024,764
 
2,747,000
  
Wells Fargo & Co., Series GMTN
A+
3.750%
10/01/2014
N/A
2,842,991
 
1,200,000
  
Wells Fargo & Co.
A
5.000%
11/15/2014
N/A
1,248,917
 
500,000
  
Zions Bancorporation
BBB-
7.750%
09/23/2014
N/A
532,546
               
107,760,253
                 
     
Beverages - 2.6%
          
 
1,500,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
1.500%
07/14/2014
N/A
1,514,790
 
1,650,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
5.375%
11/15/2014
N/A
1,742,626
 
2,045,000
  
Bottling Group, LLC
A
6.950%
03/15/2014
N/A
2,114,450
 
1,175,000
  
Coca-Cola Co.
AA-
3.625%
03/15/2014
N/A
1,194,527
 
927,000
  
Diageo Capital PLC (United Kingdom)
A-
7.375%
01/15/2014
N/A
949,751
 
1,000,000
  
PepsiCo, Inc.
A-
0.800%
08/25/2014
N/A
1,003,412
               
8,519,556
                 
     
Biotechnology - 1.4%
          
 
2,100,000
  
Amgen, Inc.
A
1.875%
11/15/2014
N/A
2,133,115
 
1,800,000
  
Amgen, Inc.
A
4.850%
11/18/2014
N/A
1,891,564
 
600,000
  
Gilead Sciences, Inc.
A-
2.400%
12/01/2014
N/A
611,970
               
4,636,649
                 
     
Chemicals - 0.7%
          
 
500,000
  
Ecolab, Inc.
BBB+
2.375%
12/08/2014
N/A
509,721
 
500,000
  
EI du Pont de Nemours & Co.
A
4.875%
04/30/2014
N/A
513,906
 
700,000
  
Potash Corp. of Saskatchewan, Inc. (Canada)
A-
5.250%
05/15/2014
N/A
722,467
 
500,000
  
Sherwin-Williams Co.
A
3.125%
12/15/2014
N/A
515,210
               
2,261,304
                 
     
Commercial Services - 0.6%
          
 
1,100,000
  
Western Union Co.
BBB+
6.500%
02/26/2014
N/A
1,129,725
 
760,000
  
Yale University, Series MTN
AAA
2.900%
10/15/2014
N/A
780,454
               
1,910,179
                 
     
Computers - 3.3%
          
 
620,000
  
Dell, Inc.
BBB
5.625%
04/15/2014
N/A
635,687
 
2,687,000
  
Hewlett-Packard Co.
BBB+
6.125%
03/01/2014
N/A
2,753,740
 
700,000
  
Hewlett-Packard Co.
BBB+
1.550%
05/30/2014
N/A
703,233
 
2,220,000
  
Hewlett-Packard Co.
BBB+
4.750%
06/02/2014
N/A
2,282,027
 
1,130,000
  
Hewlett-Packard Co.
BBB+
2.625%
12/09/2014
N/A
1,153,399
 
1,550,000
  
International Business Machines Corp.
AA-
1.250%
05/12/2014
N/A
1,558,286
 
1,840,000
  
International Business Machines Corp.
AA-
0.875%
10/31/2014
N/A
1,850,711
               
10,937,083
                 
     
Cosmetics & Personal Care - 0.8%
          
 
1,100,000
  
Procter & Gamble Co.
AA-
0.700%
08/15/2014
N/A
1,103,194
 
1,400,000
  
Procter & Gamble Co.
AA-
4.950%
08/15/2014
N/A
1,461,935
               
2,565,129
                 
     
Diversified Financial Services - 13.9%
          
 
2,400,000
  
American Express Co.
BBB+
7.250%
05/20/2014
N/A
2,513,988
 
3,057,000
  
American Express Credit Corp., Series MTN
A-
5.125%
08/25/2014
N/A
3,194,217
 
3,060,000
  
Bear Stearns Cos., LLC
A
5.700%
11/15/2014
N/A
3,239,799
 
1,200,000
  
BlackRock, Inc.
A+
3.500%
12/10/2014
N/A
1,244,388
 
1,000,000
  
Boeing Capital Corp.
A
3.250%
10/27/2014
N/A
1,032,175
 
2,037,000
  
Caterpillar Financial Services Corp., Series MTN
A
6.125%
02/17/2014
N/A
2,090,858
 
1,400,000
  
Caterpillar Financial Services Corp., Series MTN
A
1.375%
05/20/2014
N/A
1,410,577
 
907,000
  
CME Group, Inc.
AA-
5.750%
02/15/2014
N/A
927,497
 
1,250,000
  
Credit Suisse USA, Inc.(a)
A
5.125%
01/15/2014
N/A
1,271,301
 
1,539,000
  
Ford Motor Credit Co., LLC
BB+
8.000%
06/01/2014
N/A
1,613,971
 
2,300,000
  
Ford Motor Credit Co., LLC
BB+
8.700%
10/01/2014
N/A
2,480,440
 
2,120,000
  
General Electric Capital Corp.
AA+
2.100%
01/07/2014
N/A
2,132,801
 
3,586,000
  
General Electric Capital Corp.
AA+
5.900%
05/13/2014
N/A
3,722,838
 
1,500,000
  
General Electric Capital Corp., Series MTN
AA+
5.500%
06/04/2014
N/A
1,557,396
 
850,000
  
General Electric Capital Corp., Series MTN
AA+
5.650%
06/09/2014
N/A
884,098
 
1,700,000
  
General Electric Capital Corp., Series MTNA
AA+
4.750%
09/15/2014
N/A
1,775,439
 
2,000,000
  
General Electric Capital Corp., Series A
AA+
3.750%
11/14/2014
N/A
2,073,746
 
1,100,000
  
HSBC Finance Corp.
A
5.250%
01/15/2014
N/A
1,118,697
 
2,150,000
  
International Lease Finance Corp., Series MTN
BBB-
5.650%
06/01/2014
N/A
2,211,813
 
500,000
  
John Deere Capital Corp., Series MTN
A
1.600%
03/03/2014
N/A
503,281
 
1,000,000
  
John Deere Capital Corp., Series MTN
A
1.250%
12/02/2014
N/A
1,010,162
 
1,200,000
  
Merrill Lynch & Co., Inc., Series MTNC
A-
5.000%
02/03/2014
N/A
1,220,622
 
2,787,000
  
Merrill Lynch & Co., Inc., Series MTN
A-
5.450%
07/15/2014
N/A
2,900,169
 
975,000
  
National Rural Utilities Cooperative Finance Corp.
A+
4.750%
03/01/2014
N/A
995,820
 
620,000
  
SLM Corp., Series MTNA
BBB-
5.375%
05/15/2014
N/A
633,175
 
800,000
  
TD Ameritrade Holding Corp.
A
4.150%
12/01/2014
N/A
835,012
 
1,460,000
  
Toyota Motor Credit Corp., Series GMTN
AA-
1.250%
11/17/2014
N/A
1,473,461
               
46,067,741
                 
     
Electric - 1.8%
          
 
1,190,000
  
Commonwealth Edison Co.
A-
1.625%
01/15/2014
N/A
1,195,702
 
700,000
  
Duke Energy Corp.
BBB
6.300%
02/01/2014
N/A
716,202
 
830,000
  
Duke Energy Corp.
BBB
3.950%
09/15/2014
N/A
857,688
 
700,000
  
Exelon Generation Co., LLC
BBB
5.350%
01/15/2014
N/A
712,058
 
600,000
  
NiSource Finance Corp.
BBB-
5.400%
07/15/2014
N/A
623,448
 
1,168,000
  
Pacific Gas & Electric Co.
BBB
4.800%
03/01/2014
N/A
1,192,353
 
800,000
  
Southern California Edison Co.
A
5.750%
03/15/2014
N/A
822,005
               
6,119,456
                 
     
Electronics - 0.4%
          
 
600,000
  
Amphenol Corp.
BBB
4.750%
11/15/2014
N/A
627,166
 
800,000
  
Honeywell International, Inc.
A
3.875%
02/15/2014
N/A
812,345
               
1,439,511
                 
     
Food - 1.2%
          
 
677,000
  
ConAgra Foods, Inc.
BBB-
5.875%
04/15/2014
N/A
698,328
 
1,100,000
  
Kroger Co.
BBB
7.500%
01/15/2014
N/A
1,127,454
 
700,000
  
Mondelez International, Inc.
BBB-
6.750%
02/19/2014
N/A
719,394
 
705,000
  
Safeway, Inc.
BBB
6.250%
03/15/2014
N/A
724,818
 
850,000
  
Unilever Capital Corp.
A+
3.650%
02/15/2014
N/A
861,656
               
4,131,650
                 
     
Forest Products & Paper - 0.0%***
          
 
100,000
  
International Paper Co.
BBB
5.500%
01/15/2014
N/A
101,580
                 
     
Gas - 0.4%
          
 
400,000
  
Atmos Energy Corp.
BBB+
4.950%
10/15/2014
N/A
418,102
 
761,000
  
Sempra Energy
BBB+
2.000%
03/15/2014
N/A
766,589
               
1,184,691
                 
     
Health Care Products - 0.6%
          
 
1,200,000
  
Boston Scientific Corp.
BBB-
5.450%
06/15/2014
N/A
1,246,250
 
825,000
  
Medtronic, Inc.
A+
4.500%
03/15/2014
N/A
841,935
               
2,088,185
                 
     
Health Care Services - 0.2%
          
 
560,000
  
WellPoint, Inc.
A-
5.000%
12/15/2014
N/A
589,846
                 
     
Holding Companies-Diversified - 0.5%
          
 
1,470,000
  
EnCana Holdings Finance Corp. (Canada)
BBB
5.800%
05/01/2014
N/A
1,517,647
                 
     
Home Furnishings - 0.2%
          
 
700,000
  
Whirlpool Corp., Series MTN
BBB
8.600%
05/01/2014
N/A
735,384
                 
     
Insurance - 3.5%
          
 
850,000
  
ACE INA Holdings, Inc.
A
5.875%
06/15/2014
N/A
883,324
 
1,400,000
  
Allstate Corp.
A-
5.000%
08/15/2014
N/A
1,457,183
 
850,000
  
American International Group, Inc.
A-
3.650%
01/15/2014
N/A
858,939
 
1,300,000
  
American International Group, Inc.
A-
4.250%
09/15/2014
N/A
1,344,404
 
550,000
  
Assurant, Inc.
BBB+
5.625%
02/15/2014
N/A
561,616
 
400,000
  
CNA Financial Corp.
BBB
5.850%
12/15/2014
N/A
424,307
 
500,000
  
Genworth Holdings, Inc.(a)
BBB-
5.750%
06/15/2014
N/A
516,994
 
2,200,000
  
MetLife, Inc.
A-
2.375%
02/06/2014
N/A
2,218,955
 
800,000
  
Prudential Financial, Inc., Series MTNB
A
4.750%
04/01/2014
N/A
819,487
 
1,400,000
  
Prudential Financial, Inc., Series MTNB
A
5.100%
09/20/2014
N/A
1,466,457
 
1,099,000
  
XL Group PLC (Ireland)
BBB+
5.250%
09/15/2014
N/A
1,148,162
               
11,699,828
                 
     
Internet - 0.4%
          
 
1,200,000
  
Google, Inc.
AA
1.250%
05/19/2014
N/A
1,207,616
                 
     
Iron & Steel - 0.1%
          
 
400,000
  
ArcelorMittal USA, LLC
BB+
6.500%
04/15/2014
N/A
410,526
                 
     
Machinery-Construction & Mining - 0.3%
          
 
1,090,000
  
Caterpillar, Inc.
A
1.375%
05/27/2014
N/A
1,097,328
                 
     
Machinery-Diversified - 0.4%
          
 
1,300,000
  
Deere & Co.
A
6.950%
04/25/2014
N/A
1,354,283
                 
     
Media - 3.8%
          
 
1,300,000
  
Comcast Corp.
A-
5.300%
01/15/2014
N/A
1,321,715
 
1,226,000
  
COX Communications, Inc.
BBB
5.450%
12/15/2014
N/A
1,292,681
 
1,400,000
  
DIRECTV Holdings, LLC / DIRECTV Financing Co., Inc.
BBB
4.750%
10/01/2014
N/A
1,456,941
 
1,000,000
  
NBCUniversal Media, LLC
A-
2.100%
04/01/2014
N/A
1,009,758
 
950,000
  
News America, Inc.
BBB+
5.300%
12/15/2014
N/A
1,004,623
 
600,000
  
Reed Elsevier Capital, Inc.
BBB+
7.750%
01/15/2014
N/A
614,732
 
700,000
  
Thomson Reuters Corp. (Canada)
A-
5.700%
10/01/2014
N/A
735,625
 
950,000
  
Time Warner Cable, Inc.
BBB
8.250%
02/14/2014
N/A
980,750
 
1,243,000
  
Time Warner Cable, Inc.
BBB
7.500%
04/01/2014
N/A
1,289,423
 
1,100,000
  
Viacom, Inc.
BBB
4.375%
09/15/2014
N/A
1,139,264
 
1,800,000
  
Walt Disney Co., Series E(a)
A
0.875%
12/01/2014
N/A
1,812,377
               
12,657,889
                 
     
Mining - 1.6%
          
 
1,300,000
  
Barrick Gold Corp. (Canada)
BBB
1.750%
05/30/2014
N/A
1,305,641
 
850,000
  
Rio Tinto Alcan, Inc. (Canada)
A-
5.200%
01/15/2014
N/A
864,708
 
2,950,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
8.950%
05/01/2014
N/A
3,110,191
               
5,280,540
                 
     
Miscellaneous Manufacturing - 0.3%
          
 
900,000
  
Illinois Tool Works, Inc.
A+
5.150%
04/01/2014
N/A
923,361
                 
     
Office & Business Equipment - 0.5%
          
 
1,450,000
  
Xerox Corp.
BBB-
8.250%
05/15/2014
N/A
1,523,599
                 
     
Oil & Gas - 4.9%
          
 
700,000
  
Anadarko Petroleum Corp.
BBB-
7.625%
03/15/2014
N/A
724,848
 
1,950,000
  
BP Capital Markets PLC (United Kingdom)
A
3.625%
05/08/2014
N/A
1,993,637
 
900,000
  
BP Capital Markets PLC (United Kingdom)
A
1.700%
12/05/2014
N/A
913,117
 
800,000
  
Canadian Natural Resources Ltd. (Canada)
BBB+
1.450%
11/14/2014
N/A
805,977
 
735,000
  
Cenovus Energy, Inc. (Canada)
BBB+
4.500%
09/15/2014
N/A
763,564
 
994,000
  
ConocoPhillips
A
4.750%
02/01/2014
N/A
1,011,516
 
880,000
  
Devon Energy Corp.
BBB+
5.625%
01/15/2014
N/A
895,599
 
1,200,000
  
Husky Energy, Inc. (Canada)
BBB+
5.900%
06/15/2014
N/A
1,246,698
 
900,000
  
Petrohawk Energy Corp.
BBB+
10.500%
08/01/2014
02/01/14 @ 100
939,420
 
900,000
  
Petrohawk Energy Corp.
BBB+
7.250%
08/15/2018
08/15/14 @ 104
980,550
 
4,213,000
  
Shell International Finance BV (Netherlands)
AA
4.000%
03/21/2014
N/A
4,297,028
 
500,000
  
Statoil ASA (Norway)
AA-
3.875%
04/15/2014
N/A
510,696
 
570,000
  
Statoil ASA (Norway)
AA-
2.900%
10/15/2014
N/A
584,955
 
510,000
  
Total Capital Canada Ltd. (Canada)
AA-
1.625%
01/28/2014
N/A
512,945
               
16,180,550
                 
     
Pharmaceuticals - 5.7%
          
 
1,250,000
  
AstraZeneca PLC (United Kingdom)
AA-
5.400%
06/01/2014
N/A
1,296,734
 
1,600,000
  
Eli Lilly & Co.
AA-
4.200%
03/06/2014
N/A
1,630,520
 
1,700,000
  
Express Scripts Holding Co.
BBB+
2.750%
11/21/2014
N/A
1,738,857
 
2,227,000
  
GlaxoSmithKline Capital, Inc.
A+
4.375%
04/15/2014
N/A
2,280,713
 
1,200,000
  
Johnson & Johnson
AAA
1.200%
05/15/2014
N/A
1,207,164
 
400,000
  
Mead Johnson Nutrition Co.
BBB-
3.500%
11/01/2014
N/A
410,063
 
3,790,000
  
Novartis Capital Corp.
AA-
4.125%
02/10/2014
N/A
3,849,916
 
800,000
  
Pfizer, Inc.
AA
4.500%
02/15/2014
N/A
813,975
 
1,060,000
  
Sanofi (France)
AA
1.625%
03/28/2014
N/A
1,066,828
 
1,270,000
  
Sanofi (France)
AA
1.200%
09/30/2014
N/A
1,281,670
 
3,208,000
  
Wyeth, LLC
AA
5.500%
02/01/2014
N/A
3,274,374
               
18,850,814
                 
     
Pipelines - 0.6%
          
 
500,000
  
Enterprise Products Operating, LLC, Series O
BBB+
9.750%
01/31/2014
N/A
517,933
 
850,000
  
Enterprise Products Operating, LLC, Series G
BBB+
5.600%
10/15/2014
N/A
894,173
 
550,000
  
Kinder Morgan Energy Partners, LP
BBB
5.125%
11/15/2014
N/A
577,549
               
1,989,655
                 
     
Real Estate Investment Trusts - 0.5%
          
 
800,000
  
ERP Operating, LP
BBB+
5.250%
09/15/2014
N/A
836,377
 
700,000
  
Simon Property Group, LP
A
6.750%
05/15/2014
02/15/14 @ 100
718,607
               
1,554,984
                 
     
Retail - 2.3%
          
 
950,000
  
AutoZone, Inc.
BBB
6.500%
01/15/2014
N/A
969,479
 
880,000
  
CVS Caremark Corp.
BBB+
4.875%
09/15/2014
N/A
918,037
 
50,000
  
Macy's Retail Holdings, Inc.
BBB
5.750%
07/15/2014
N/A
52,138
 
1,291,000
  
Staples, Inc.
BBB
9.750%
01/15/2014
N/A
1,331,881
 
1,000,000
  
Wal-Mart Stores, Inc.
AA
3.000%
02/03/2014
N/A
1,010,882
 
1,580,000
  
Wal-Mart Stores, Inc.
AA
1.625%
04/15/2014
N/A
1,592,010
 
1,570,000
  
Wal-Mart Stores, Inc.
AA
3.200%
05/15/2014
N/A
1,600,467
               
7,474,894
                 
     
Semiconductors - 0.5%
          
 
1,620,000
  
Texas Instruments, Inc.
A+
1.375%
05/15/2014
N/A
1,629,942
                 
     
Software - 1.6%
          
 
200,000
  
CA, Inc.
BBB+
6.125%
12/01/2014
N/A
211,821
 
2,787,000
  
Microsoft Corp.
AAA
2.950%
06/01/2014
N/A
2,840,867
 
2,155,000
  
Oracle Corp.
A+
3.750%
07/08/2014
N/A
2,217,294
               
5,269,982
                 
     
Telecommunications - 8.3%
          
 
3,050,000
  
AT&T, Inc.
A-
5.100%
09/15/2014
N/A
3,193,094
 
2,314,000
  
BellSouth Corp.
A-
5.200%
09/15/2014
N/A
2,422,235
 
5,655,000
  
Cellco Partnership / Verizon Wireless Capital, LLC
BBB+
5.550%
02/01/2014
N/A
5,763,582
 
2,400,000
  
Cisco Systems, Inc.
A+
1.625%
03/14/2014
N/A
2,415,170
 
700,000
  
Cisco Systems, Inc.
A+
2.900%
11/17/2014
N/A
720,427
 
900,000
  
Deutsche Telekom International Finance BV (Netherlands)
BBB+
4.875%
07/08/2014
N/A
931,710
 
1,725,000
  
Orange SA (France)
BBB+
4.375%
07/08/2014
N/A
1,776,507
 
700,000
  
Qwest Corp.
BBB-
7.500%
10/01/2014
N/A
742,955
 
900,000
  
Rogers Communications, Inc. (Canada)
BBB+
6.375%
03/01/2014
N/A
925,451
 
1,300,000
  
Telecom Italia Capital SA (Luxembourg)
BBB-
6.175%
06/18/2014
N/A
1,342,020
 
1,400,000
  
Telecom Italia Capital SA (Luxembourg)
BBB-
4.950%
09/30/2014
N/A
1,440,218
 
2,400,000
  
Verizon Communications, Inc.
BBB+
1.950%
03/28/2014
N/A
2,419,922
 
1,000,000
  
Verizon Communications, Inc.
BBB+
1.250%
11/03/2014
N/A
1,006,829
 
900,000
  
Virgin Media Secured Finance PLC (United Kingdom)
BB-
6.500%
01/15/2018
01/15/14 @ 103
942,750
 
1,504,000
  
Vodafone Group PLC (United Kingdom)
A-
4.150%
06/10/2014
N/A
1,544,397
               
27,587,267
                 
     
Transportation - 0.7%
          
 
700,000
  
Burlington Northern Santa Fe, LLC
BBB+
7.000%
02/01/2014
N/A
717,534
 
1,500,000
  
United Parcel Service, Inc.
A+
3.875%
04/01/2014
N/A
1,529,074
               
2,246,608
                 
     
Total Corporate Bonds - 98.7%
          
     
(Cost $325,457,424)
        
326,789,247
                 
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 0.7%
          
 
2,181,030
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(b) (c)
        
                 2,181,030
     
(Cost $2,181,030)
          
                 
     
Total Investments - 99.4%
          
     
(Cost $327,638,454)
        
328,970,277
     
Other Assets in excess of Liabilities - 0.6%
        
1,977,125
     
Net Assets  - 100.0%
        
$ 330,947,402
                 
 
 
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.  All optional call provisions are unaudited.
***
Less than 0.1%.
          
(a)
Security, or portion thereof, was on loan at August 31, 2013.
    
(b)
At August 31, 2013, the total market value of the Fund's securities on loan was $2,129,154 and the total market value of the collateral held by the Fund was $2,181,030.
(c)
Interest rate shown reflects yield as of August 31, 2013.
  
 
See previously submitted notes to financial statements for the period ended May 31, 2013.
          
 
 
 
 
 
 
       
Country Breakdown
% of Corporate Bonds
 United States
  
82.0%
 United Kingdom
4.8%
 Canada
  
4.6%
 Switzerland
  
2.0%
 Netherlands
  
2.0%
 France
  
1.3%
 Australia
  
1.0%
 Luxembourg
  
0.9%
 Spain
  
0.4%
 Germany
  
0.4%
 Ireland
  
0.3%
 Norway
  
0.3%
       
 Subject to change daily.
 
                 
                 
At August 31, 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
$ 327,638,454   $ 1,343,588   $ (11,765)   $ 1,331,823
 
                 
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 investment management, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Fund 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, unchanged 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 Board of Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Trust's valuation procedures. The Fund did not have any Level 3 securities at August 31, 2013.
                 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013:
                 
                 
 
Description
  
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                        
Assets:
                        
Corporate Bonds
   $ -     $ 326,789     $ -     $ 326,789  
Investments of Collateral for Securities Loaned
     2,181               -       2,181  
Total
   $ 2,181     $ 326,789     $ -     $ 328,970  
                                 
                                 
During the three months ended August 31, 2013, there were no transfers between levels.
  
 
 
 
 
 
 
BSCF Guggenheim BulletShares 2015 Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 98.9%
          
     
Aerospace & Defense - 1.0%
          
 
$965,000
  
Boeing Co.
A
3.500%
02/15/2015
N/A
$1,005,921
 
900,000
  
General Dynamics Corp.
A
1.375%
01/15/2015
N/A
910,073
 
1,562,000
  
United Technologies Corp.
A
4.875%
05/01/2015
N/A
1,672,138
               
3,588,132
                 
     
Agriculture - 0.4%
          
 
1,400,000
  
Altria Group, Inc.
BBB
4.125%
09/11/2015
N/A
1,488,623
                 
     
Banks - 36.3%
          
 
1,000,000
  
American Express Centurion Bank
A-
0.875%
11/13/2015
N/A
998,843
 
3,180,000
  
Bank of America Corp.
A-
4.500%
04/01/2015
N/A
3,336,383
 
1,275,000
  
Bank of America Corp.
A-
4.750%
08/01/2015
N/A
1,354,068
 
2,100,000
  
Bank of America Corp.
A-
3.700%
09/01/2015
N/A
2,194,055
 
2,500,000
  
Bank of America Corp.
A-
1.500%
10/09/2015
N/A
2,506,760
 
500,000
  
Bank of America Corp.
BBB+
5.250%
12/01/2015
N/A
539,410
 
1,300,000
  
Bank of Montreal, Series MTN (Canada)
A+
0.800%
11/06/2015
N/A
1,297,534
 
700,000
  
Bank of New York Mellon Corp., Series MTN
A+
3.100%
01/15/2015
N/A
723,215
 
900,000
  
Bank of New York Mellon Corp., Series MTN
A+
1.200%
02/20/2015
01/20/15 @ 100
906,538
 
300,000
  
Bank of New York Mellon Corp., Series MTNG
A
4.950%
03/15/2015
N/A
318,165
 
695,000
  
Bank of New York Mellon Corp., Series 001
A+
2.950%
06/18/2015
N/A
721,966
 
1,160,000
  
Bank of New York Mellon Corp.
A+
0.700%
10/23/2015
09/23/15 @ 100
1,157,833
 
1,100,000
  
Bank of Nova Scotia (Canada)
A+
1.850%
01/12/2015
N/A
1,117,471
 
2,333,000
  
Bank of Nova Scotia (Canada)
A+
3.400%
01/22/2015
N/A
2,420,746
 
1,900,000
  
Bank of Nova Scotia (Canada)
A+
2.050%
10/07/2015
N/A
1,945,969
 
2,000,000
  
Bank of Nova Scotia (Canada)
A+
0.750%
10/09/2015
N/A
1,995,920
 
1,500,000
  
Barclays (United Kingdom)
A
2.750%
02/23/2015
N/A
1,538,600
 
1,300,000
  
Barclays Bank PLC (United Kingdom)
A
3.900%
04/07/2015
N/A
1,358,462
 
825,000
  
BB&T Corp.
BBB+
5.200%
12/23/2015
N/A
898,083
 
3,000,000
  
BBVA US Senior SAU (Spain)
BBB-
4.664%
10/09/2015
N/A
3,105,573
 
147,000
  
BNP Paribas SA, Series MTN (France)(a)
A+
3.022%
12/20/2014
N/A
151,267
 
2,955,000
  
BNP Paribas SA, Series 0212 (France)
A+
3.250%
03/11/2015
N/A
3,057,624
 
1,300,000
  
Canadian Imperial Bank of Commerce (Canada)
A+
2.350%
12/11/2015
N/A
1,340,755
 
1,500,000
  
Canadian Imperial Bank of Commerce/Canada (Canada)
A+
0.900%
10/01/2015
N/A
1,499,739
 
2,000,000
  
Capital One Financial Corp.
BBB
2.150%
03/23/2015
N/A
2,032,850
 
1,000,000
  
Capital One Financial Corp.
BBB
1.000%
11/06/2015
N/A
993,846
 
2,500,000
  
Citigroup, Inc.
A-
6.010%
01/15/2015
N/A
2,665,415
 
1,000,000
  
Citigroup, Inc.
A-
2.650%
03/02/2015
N/A
1,023,193
 
750,000
  
Citigroup, Inc.
BBB+
4.875%
05/07/2015
N/A
791,780
 
2,588,000
  
Citigroup, Inc.
A-
4.750%
05/19/2015
N/A
2,742,672
 
960,000
  
Citigroup, Inc.
A-
4.700%
05/29/2015
N/A
1,015,773
 
2,250,000
  
Citigroup, Inc.
A-
2.250%
08/07/2015
N/A
2,291,369
 
2,500,000
  
Citigroup, Inc.
A-
4.587%
12/15/2015
N/A
2,672,805
 
2,300,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)
AA-
2.125%
10/13/2015
N/A
2,356,272
 
3,050,000
  
Credit Suisse New York, Series MTN (Switzerland)
A
3.500%
03/23/2015
N/A
3,181,013
 
1,957,000
  
Deutsche Bank AG (Germany)
A2
3.450%
03/30/2015
N/A
2,037,139
 
200,000
  
Dresdner Bank AG (Germany)
BB+
7.250%
09/15/2015
N/A
211,875
 
500,000
  
Fifth Third Bank, Series BKNT
BBB
4.750%
02/01/2015
N/A
524,457
 
200,000
  
First Horizon National Corp.
BBB-
5.375%
12/15/2015
N/A
215,655
 
3,286,000
  
Goldman Sachs Group, Inc.
A-
5.125%
01/15/2015
N/A
3,460,089
 
2,250,000
  
Goldman Sachs Group, Inc.
A-
3.300%
05/03/2015
N/A
2,329,783
 
3,550,000
  
Goldman Sachs Group, Inc., Series GMTN
A-
3.700%
08/01/2015
N/A
3,711,294
 
2,000,000
  
Goldman Sachs Group, Inc., Series MTN
A-
1.600%
11/23/2015
N/A
2,014,000
 
3,300,000
  
HSBC USA, Inc.
A+
2.375%
02/13/2015
N/A
3,376,672
 
3,136,000
  
JPMorgan Chase & Co.
A
3.700%
01/20/2015
N/A
3,253,136
 
1,480,000
  
JPMorgan Chase & Co.
A
4.750%
03/01/2015
N/A
1,562,532
 
2,200,000
  
JPMorgan Chase & Co., Series MTN
A
1.875%
03/20/2015
N/A
2,229,766
 
1,000,000
  
JPMorgan Chase & Co.
A-
5.250%
05/01/2015
N/A
1,064,838
 
2,370,000
  
JPMorgan Chase & Co.
A
3.400%
06/24/2015
N/A
2,469,682
 
1,180,000
  
JPMorgan Chase & Co.
A-
5.150%
10/01/2015
N/A
1,272,363
 
3,000,000
  
JPMorgan Chase & Co., Series GMTN
A
1.100%
10/15/2015
N/A
3,000,090
 
500,000
  
KeyCorp, Series MTN
BBB+
3.750%
08/13/2015
N/A
526,351
 
3,000,000
  
Morgan Stanley, Series GMTN
A-
4.100%
01/26/2015
N/A
3,111,279
 
3,564,000
  
Morgan Stanley, Series MTN
A-
6.000%
04/28/2015
N/A
3,825,209
 
900,000
  
Morgan Stanley, Series GMTN
A-
4.000%
07/24/2015
N/A
940,503
 
2,900,000
  
Morgan Stanley
A-
5.375%
10/15/2015
N/A
3,123,897
 
1,300,000
  
Morgan Stanley
A-
3.450%
11/02/2015
N/A
1,348,036
 
1,000,000
  
National Bank of Canada (Canada)
A
1.500%
06/26/2015
N/A
1,012,748
 
950,000
  
PNC Funding Corp.
A-
3.625%
02/08/2015
N/A
988,106
 
326,000
  
PNC Funding Corp.
A-
4.250%
09/21/2015
N/A
347,740
 
665,000
  
PNC Funding Corp.
BBB+
5.250%
11/15/2015
N/A
723,170
 
720,000
  
Regions Financial Corp.
BBB-
5.750%
06/15/2015
N/A
772,502
 
1,200,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
1.150%
03/13/2015
N/A
1,209,649
 
1,500,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
0.800%
10/30/2015
N/A
1,499,729
 
2,000,000
  
Royal Bank of Canada (Canada)
AAA
0.625%
12/04/2015
N/A
1,992,288
 
1,100,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
2.625%
12/15/2015
N/A
1,143,733
 
550,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
BB+
5.050%
01/08/2015
N/A
562,154
 
2,700,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
A-
2.550%
09/18/2015
N/A
2,753,989
 
1,100,000
  
Royal Bank of Scotland PLC (United Kingdom)
A
4.875%
03/16/2015
N/A
1,154,768
 
1,000,000
  
Royal Bank of Scotland PLC (United Kingdom)
A
3.950%
09/21/2015
N/A
1,047,522
 
1,000,000
  
Sumitomo Mitsui Banking Corp. (Japan)
A+
1.350%
07/18/2015
N/A
1,008,350
 
2,111,000
  
UBS AG, Series BKNT (Switzerland)
A
3.875%
01/15/2015
N/A
2,199,905
 
300,000
  
US Bancorp, Series MTN
A+
3.150%
03/04/2015
N/A
311,072
 
1,100,000
  
US Bancorp, Series MTN
A+
2.450%
07/27/2015
N/A
1,136,406
 
300,000
  
US Bank NA, Series BKNT
A+
4.800%
04/15/2015
N/A
319,427
 
1,500,000
  
Wachovia Bank NA, Series BKNT
A+
4.875%
02/01/2015
N/A
1,582,680
 
200,000
  
Wachovia Bank NA, Series BKNT
A+
5.000%
08/15/2015
N/A
214,769
 
2,605,000
  
Wells Fargo & Co., Series MTN
A+
1.250%
02/13/2015
N/A
2,619,927
 
1,080,000
  
Wells Fargo & Co.
A+
3.625%
04/15/2015
N/A
1,127,698
 
2,700,000
  
Wells Fargo & Co.(b)
A+
1.500%
07/01/2015
N/A
2,732,227
 
1,250,000
  
Wells Fargo Bank NA, Series AI
A+
4.750%
02/09/2015
N/A
1,318,141
               
133,639,313
                 
     
Beverages - 3.8%
          
 
1,730,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
4.125%
01/15/2015
N/A
1,810,877
 
750,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
3.625%
04/15/2015
N/A
785,224
 
2,151,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
0.800%
07/15/2015
N/A
2,155,429
 
1,500,000
  
Coca-Cola Co.
AA-
0.750%
03/13/2015
N/A
1,505,715
 
1,500,000
  
Coca-Cola Co.
AA-
1.500%
11/15/2015
N/A
1,529,436
 
500,000
  
Diageo Finance BV (Netherlands)
A-
3.250%
01/15/2015
N/A
517,458
 
1,190,000
  
Diageo Finance BV (Netherlands)
A-
5.300%
10/28/2015
N/A
1,304,342
 
1,200,000
  
PepsiCo, Inc.
A-
3.100%
01/15/2015
N/A
1,240,627
 
1,160,000
  
PepsiCo, Inc.
A-
0.750%
03/05/2015
N/A
1,161,238
 
1,850,000
  
PepsiCo, Inc.
A-
0.700%
08/13/2015
N/A
1,851,835
               
13,862,181
                 
     
Biotechnology - 0.8%
          
 
660,000
  
Celgene Corp.
BBB+
2.450%
10/15/2015
N/A
678,561
 
1,305,000
  
Genentech, Inc.
AA
4.750%
07/15/2015
N/A
1,399,057
 
600,000
  
Genzyme Corp.
AA
3.625%
06/15/2015
N/A
631,184
 
220,000
  
Life Technologies Corp.
BBB
4.400%
03/01/2015
N/A
229,530
               
2,938,332
                 
     
Building Materials - 0.1%
          
 
200,000
  
Masco Corp.
BBB-
4.800%
06/15/2015
N/A
209,000
                 
     
Chemicals - 0.6%
          
 
250,000
  
Ecolab, Inc.
BBB+
1.000%
08/09/2015
N/A
250,007
 
1,080,000
  
EI du Pont de Nemours & Co.
A
3.250%
01/15/2015
N/A
1,119,506
 
380,000
  
Potash Corp. of Saskatchewan, Inc. (Canada)
A-
3.750%
09/30/2015
N/A
400,719
 
540,000
  
Praxair, Inc.
A
4.625%
03/30/2015
N/A
574,264
               
2,344,496
                 
     
Computers - 2.0%
          
 
950,000
  
Dell, Inc.
BBB
2.300%
09/10/2015
N/A
940,972
 
1,100,000
  
Hewlett-Packard Co.
BBB+
2.350%
03/15/2015
N/A
1,116,602
 
1,320,000
  
Hewlett-Packard Co.
BBB+
2.125%
09/13/2015
N/A
1,339,850
 
550,000
  
Hewlett-Packard Co.
BBB+
2.200%
12/01/2015
N/A
559,680
 
2,100,000
  
International Business Machines Corp.
AA-
0.550%
02/06/2015
N/A
2,102,123
 
1,300,000
  
International Business Machines Corp.
AA-
0.750%
05/11/2015
N/A
1,305,256
               
7,364,483
                 
     
Cosmetics & Personal Care - 1.1%
          
 
900,000
  
Procter & Gamble Co.
AA-
3.500%
02/15/2015
N/A
937,633
 
500,000
  
Procter & Gamble Co.
AA-
3.150%
09/01/2015
N/A
525,186
 
1,200,000
  
Procter & Gamble Co.
AA-
1.800%
11/15/2015
N/A
1,230,058
 
1,300,000
  
Procter & Gamble Co.
AA-
4.850%
12/15/2015
N/A
1,420,186
               
4,113,063
                 
     
Diversified Financial Services - 16.3%
          
 
2,750,000
  
American Express Credit Corp., Series MTN
A-
1.750%
06/12/2015
N/A
2,795,875
 
2,450,000
  
American Express Credit Corp., Series MTN
A-
2.750%
09/15/2015
N/A
2,540,447
 
1,000,000
  
American Honda Finance Corp., Series REGS
A+
1.000%
08/11/2015
N/A
1,001,941
 
600,000
  
Ameriprise Financial, Inc.
A
5.650%
11/15/2015
N/A
659,731
 
1,100,000
  
Bear Stearns Cos., LLC
A
5.300%
10/30/2015
N/A
1,193,620
 
1,000,000
  
BlackRock, Inc.
A+
1.375%
06/01/2015
N/A
1,013,586
 
950,000
  
Caterpillar Financial Services Corp., Series MTN
A
1.100%
05/29/2015
N/A
957,052
 
1,000,000
  
Caterpillar Financial Services Corp.
A
0.700%
11/06/2015
N/A
998,529
 
2,858,000
  
Credit Suisse USA, Inc.
A
4.875%
01/15/2015
N/A
3,021,406
 
1,608,000
  
Credit Suisse USA, Inc.
A
5.125%
08/15/2015
N/A
1,738,703
 
1,050,000
  
Ford Motor Credit Co., LLC
BB+
3.875%
01/15/2015
N/A
1,081,754
 
2,000,000
  
Ford Motor Credit Co., LLC
BB+
7.000%
04/15/2015
N/A
2,168,468
 
1,700,000
  
Ford Motor Credit Co., LLC
BB+
2.750%
05/15/2015
N/A
1,729,140
 
1,600,000
  
Ford Motor Credit Co., LLC
BB+
12.000%
05/15/2015
N/A
1,878,232
 
2,000,000
  
Ford Motor Credit Co., LLC
BB+
5.625%
09/15/2015
N/A
2,150,284
 
3,100,000
  
General Electric Capital Corp.
AA+
2.150%
01/09/2015
N/A
3,162,620
 
1,180,000
  
General Electric Capital Corp., Series MTN
AA+
4.875%
03/04/2015
N/A
1,250,540
 
1,700,000
  
General Electric Capital Corp., Series MTN
AA+
3.500%
06/29/2015
N/A
1,779,458
 
800,000
  
General Electric Capital Corp., Series MTN
AA+
2.375%
06/30/2015
N/A
820,826
 
2,613,000
  
General Electric Capital Corp.
AA+
1.625%
07/02/2015
N/A
2,647,280
 
490,000
  
General Electric Capital Corp., Series GMTN
AA+
4.375%
09/21/2015
N/A
522,677
 
2,600,000
  
General Electric Capital Corp.
AA+
2.250%
11/09/2015
N/A
2,663,674
 
1,000,000
  
General Electric Capital Corp.
AA+
1.000%
12/11/2015
N/A
999,809
 
1,000,000
  
HSBC Finance Corp.
A
5.250%
04/15/2015
N/A
1,063,781
 
1,450,000
  
HSBC Finance Corp.
A
5.000%
06/30/2015
N/A
1,541,844
 
600,000
  
International Lease Finance Corp.
BBB-
4.875%
04/01/2015
N/A
618,750
 
1,450,000
  
International Lease Finance Corp.
BBB-
8.625%
09/15/2015
N/A
1,596,813
 
800,000
  
Jefferies Group, LLC
BBB
3.875%
11/09/2015
N/A
833,430
 
760,000
  
John Deere Capital Corp., Series MTN
A
2.950%
03/09/2015
N/A
787,195
 
350,000
  
John Deere Capital Corp.
A
0.875%
04/17/2015
N/A
351,780
 
1,000,000
  
John Deere Capital Corp.
A
0.950%
06/29/2015
N/A
1,006,342
 
500,000
  
John Deere Capital Corp.
A
0.700%
09/04/2015
N/A
500,214
 
2,713,000
  
Merrill Lynch & Co., Inc., Series MTNC
A-
5.000%
01/15/2015
N/A
2,852,926
 
1,100,000
  
Merrill Lynch & Co., Inc., Series MTNB
A-
5.300%
09/30/2015
N/A
1,186,292
 
1,356,000
  
Nomura Holdings, Inc. (Japan)
BBB+
5.000%
03/04/2015
N/A
1,425,625
 
500,000
  
ORIX Corp. (Japan)
A-
4.710%
04/27/2015
N/A
524,808
 
800,000
  
SLM Corp., Series MTNA
BBB-
5.000%
04/15/2015
N/A
826,000
 
1,500,000
  
SLM Corp., Series MTN
BBB-
3.875%
09/10/2015
N/A
1,533,750
 
1,700,000
  
Toyota Motor Credit Corp., Series MTN
AA-
1.000%
02/17/2015
N/A
1,713,042
 
1,300,000
  
Toyota Motor Credit Corp., Series MTN
AA-
3.200%
06/17/2015
N/A
1,359,185
 
1,500,000
  
Toyota Motor Credit Corp.
AA-
0.875%
07/17/2015
N/A
1,507,688
               
60,005,117
                 
     
Electric - 2.2%
          
 
610,000
  
Constellation Energy Group, Inc.
BBB-
4.550%
06/15/2015
N/A
646,068
 
680,000
  
Dominion Resources, Inc., Series C
A-
5.150%
07/15/2015
N/A
733,232
 
870,000
  
Duke Energy Carolinas, LLC
A
5.300%
10/01/2015
N/A
952,404
 
330,000
  
Entergy Corp.
BBB-
3.625%
09/15/2015
N/A
341,481
 
1,160,000
  
Exelon Corp.
BBB-
4.900%
06/15/2015
N/A
1,235,284
 
600,000
  
NextEra Energy Capital Holdings, Inc.
BBB+
1.200%
06/01/2015
N/A
602,595
 
306,000
  
NextEra Energy Capital Holdings, Inc.
BBB+
7.875%
12/15/2015
N/A
351,388
 
800,000
  
Oncor Electric Delivery Co., LLC
A
6.375%
01/15/2015
N/A
857,426
 
700,000
  
Scottish Power Ltd. (United Kingdom)
BBB
5.375%
03/15/2015
N/A
739,193
 
945,000
  
Southern Power Co., Series D
BBB+
4.875%
07/15/2015
N/A
1,012,372
 
565,000
  
TransAlta Corp. (Canada)
BBB-
4.750%
01/15/2015
N/A
591,375
               
8,062,818
                 
     
Electronics - 0.1%
          
 
270,000
  
Agilent Technologies, Inc.
BBB+
5.500%
09/14/2015
N/A
292,599
                 
     
Food - 0.5%
          
 
1,200,000
  
General Mills, Inc.
BBB+
5.200%
03/17/2015
N/A
1,282,241
 
500,000
  
Kroger Co.
BBB
3.900%
10/01/2015
N/A
528,090
               
1,810,331
                 
     
Forest Products & Paper - 0.0%***
          
 
180,000
  
Plum Creek Timberlands, LP
BBB
5.875%
11/15/2015
N/A
197,268
                 
     
Health Care Products - 1.4%
          
 
700,000
  
Baxter International, Inc.
A
4.625%
03/15/2015
N/A
742,579
 
1,300,000
  
Boston Scientific Corp.
BBB-
4.500%
01/15/2015
N/A
1,366,822
 
900,000
  
Covidien International Finance SA (Luxembourg)
A
1.350%
05/29/2015
N/A
909,616
 
1,400,000
  
Medtronic, Inc.
A+
3.000%
03/15/2015
N/A
1,448,880
 
500,000
  
Medtronic, Inc., Series B
A+
4.750%
09/15/2015
N/A
539,136
 
200,000
  
Stryker Corp.
A+
3.000%
01/15/2015
N/A
206,252
               
5,213,285
                 
     
Health Care Services - 0.6%
          
 
500,000
  
Quest Diagnostics, Inc.
BBB+
5.450%
11/01/2015
N/A
542,858
 
900,000
  
UnitedHealth Group, Inc.
A
0.850%
10/15/2015
N/A
900,968
 
900,000
  
WellPoint, Inc.
A-
1.250%
09/10/2015
N/A
905,042
               
2,348,868
                 
     
Household Products & Housewares - 0.2%
          
 
760,000
  
Clorox Co.
BBB+
5.000%
01/15/2015
N/A
802,601
                 
     
Insurance - 3.8%
          
 
400,000
  
ACE INA Holdings, Inc.
A
2.600%
11/23/2015
N/A
414,992
 
400,000
  
Aegon NV (Netherlands)
A-
4.625%
12/01/2015
N/A
427,427
 
900,000
  
American International Group, Inc.
A-
3.000%
03/20/2015
N/A
926,229
 
1,600,000
  
American International Group, Inc.
A-
5.050%
10/01/2015
N/A
1,729,571
 
700,000
  
AON Corp.
BBB+
3.500%
09/30/2015
N/A
734,006
 
1,779,000
  
Berkshire Hathaway Finance Corp.
AA
4.850%
01/15/2015
N/A
1,883,120
 
400,000
  
Berkshire Hathaway Finance Corp.
AA
2.450%
12/15/2015
N/A
415,064
 
1,983,000
  
Berkshire Hathaway, Inc.
AA
3.200%
02/11/2015
N/A
2,058,544
 
1,000,000
  
Manulife Financial Corp. (Canada)
A
3.400%
09/17/2015
N/A
1,047,598
 
38,000
  
Marsh & McLennan Cos., Inc.
BBB
5.750%
09/15/2015
N/A
41,447
 
1,400,000
  
MetLife, Inc.(b)
A-
5.000%
06/15/2015
N/A
1,502,319
 
300,000
  
Metropolitan Life Global Funding I, Series REGS
AA-
2.500%
09/29/2015
N/A
310,128
 
1,106,000
  
Prudential Financial, Inc., Series MTN
A
3.875%
01/14/2015
N/A
1,152,024
 
900,000
  
Prudential Financial, Inc., Series MTN
A
4.750%
09/17/2015
N/A
968,738
 
450,000
  
Transatlantic Holdings, Inc.
BBB
5.750%
12/14/2015
N/A
489,977
               
14,101,184
                 
     
Internet - 0.4%
          
 
1,000,000
  
Amazon.com, Inc.
AA-
0.650%
11/27/2015
N/A
996,508
 
600,000
  
eBay, Inc.
A
1.625%
10/15/2015
N/A
610,994
               
1,607,502
                 
     
Iron & Steel - 0.4%
          
 
350,000
  
ArcelorMittal (Luxembourg)
BB+
9.500%
02/15/2015
N/A
385,438
 
400,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
02/25/2015
N/A
411,500
 
500,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
08/05/2015
N/A
516,875
               
1,313,813
                 
     
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 - 0.3%
          
 
1,050,000
  
Caterpillar, Inc.
A
0.950%
06/26/2015
N/A
1,054,737
                 
     
Media - 2.9%
          
 
1,305,000
  
Comcast Corp.
A-
6.500%
01/15/2015
N/A
1,407,369
 
800,000
  
Comcast Corp.
A-
5.850%
11/15/2015
N/A
885,318
 
500,000
  
COX Communications, Inc.
BBB
5.500%
10/01/2015
N/A
540,561
 
1,248,000
  
DIRECTV Holdings, LLC / DIRECTV Financing Co., Inc.
BBB
3.550%
03/15/2015
N/A
1,291,908
 
1,120,000
  
Discovery Communications, LLC
BBB
3.700%
06/01/2015
N/A
1,173,411
 
1,400,000
  
NBCUniversal Media, LLC
A-
3.650%
04/30/2015
N/A
1,467,302
 
700,000
  
TCI Communications, Inc.
A-
8.750%
08/01/2015
N/A
802,733
 
650,000
  
Time Warner Cable, Inc.
BBB
3.500%
02/01/2015
N/A
665,887
 
1,150,000
  
Time Warner, Inc.
BBB
3.150%
07/15/2015
N/A
1,197,676
 
600,000
  
Viacom, Inc.
BBB
1.250%
02/27/2015
N/A
601,856
 
500,000
  
Walt Disney Co., Series MTN
A
0.450%
12/01/2015
N/A
497,798
               
10,531,819
                 
     
Metal Fabricate & Hardware - 0.2%
          
 
800,000
  
Precision Castparts Corp.
A-
0.700%
12/20/2015
N/A
797,490
                 
     
Mining - 0.5%
          
 
500,000
  
Freeport-McMoRan Copper & Gold, Inc.
BBB
1.400%
02/13/2015
N/A
500,578
 
460,000
  
Rio Tinto Alcan, Inc. (Canada)
A-
5.000%
06/01/2015
N/A
489,585
 
524,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
1.875%
11/02/2015
N/A
531,641
 
250,000
  
Rio Tinto Finance USA PLC (United Kingdom)
A-
1.125%
03/20/2015
N/A
250,483
               
1,772,287
                 
     
Miscellaneous Manufacturing - 0.7%
          
 
2,350,000
  
General Electric Co.
AA+
0.850%
10/09/2015
N/A
2,351,048
 
124,000
  
Tyco International Finance SA (Luxembourg)
BBB+
3.375%
10/15/2015
N/A
129,212
               
2,480,260
                 
     
Office & Business Equipment - 0.3%
          
 
1,029,000
  
Xerox Corp.
BBB-
4.250%
02/15/2015
N/A
1,073,827
                 
     
Oil & Gas - 6.5%
          
 
2,448,000
  
BP Capital Markets PLC (United Kingdom)
A
3.875%
03/10/2015
N/A
2,566,799
 
2,700,000
  
BP Capital Markets PLC (United Kingdom)
A
3.125%
10/01/2015
N/A
2,827,696
 
1,000,000
  
BP Capital Markets PLC (United Kingdom)
A
0.700%
11/06/2015
N/A
996,601
 
1,834,000
  
ConocoPhillips
A
4.600%
01/15/2015
N/A
1,930,751
 
400,000
  
EOG Resources, Inc.
A-
2.950%
06/01/2015
N/A
415,608
 
1,500,000
  
Marathon Oil Corp.
BBB
0.900%
11/01/2015
N/A
1,496,856
 
800,000
  
Petrohawk Energy Corp.
BBB+
6.250%
06/01/2019
06/01/15 @ 103
881,000
 
1,065,000
  
Phillips 66
BBB
1.950%
03/05/2015
N/A
1,081,489
 
2,100,000
  
Plains Exploration & Production Co.
BBB
6.500%
11/15/2020
11/15/15 @ 105
2,237,991
 
2,410,000
  
Shell International Finance BV (Netherlands)
AA
3.100%
06/28/2015
N/A
2,520,826
 
1,350,000
  
Shell International Finance BV (Netherlands)
AA
3.250%
09/22/2015
N/A
1,422,159
 
800,000
  
Shell International Finance BV (Netherlands)
AA
0.625%
12/04/2015
N/A
799,048
 
1,590,000
  
Total Capital SA (France)
AA-
3.000%
06/24/2015
N/A
1,657,481
 
1,600,000
  
Total Capital SA (France)
AA-
3.125%
10/02/2015
N/A
1,675,096
 
1,350,000
  
Transocean, Inc. (Cayman Islands)
BBB-
4.950%
11/15/2015
N/A
1,450,192
               
23,959,593
                 
     
Pharmaceuticals - 4.0%
          
 
1,700,000
  
Express Scripts Holding Co.
BBB+
2.100%
02/12/2015
N/A
1,728,099
 
1,300,000
  
GlaxoSmithKline Capital PLC (United Kingdom)
A+
0.750%
05/08/2015
N/A
1,302,845
 
1,000,000
  
McKesson Corp.
A-
0.950%
12/04/2015
N/A
1,000,476
 
600,000
  
Medco Health Solutions, Inc.
BBB+
2.750%
09/15/2015
N/A
618,594
 
905,000
  
Merck Sharp & Dohme Corp.
AA
4.750%
03/01/2015
N/A
961,306
 
1,400,000
  
Merck Sharp & Dohme Corp.
AA
4.000%
06/30/2015
N/A
1,484,724
 
2,608,000
  
Novartis Capital Corp.
AA-
2.900%
04/24/2015
N/A
2,709,052
 
4,473,000
  
Pfizer, Inc.
AA
5.350%
03/15/2015
N/A
4,786,499
               
14,591,595
                 
     
Pipelines - 1.1%
          
 
880,000
  
Energy Transfer Partners, LP
BBB-
5.950%
02/01/2015
N/A
938,223
 
800,000
  
Enterprise Products Operating, LLC
BBB+
1.250%
08/13/2015
N/A
804,162
 
660,000
  
TransCanada PipeLines Ltd. (Canada)
A-
0.875%
03/02/2015
N/A
661,433
 
680,000
  
TransCanada PipeLines Ltd. (Canada)
A-
3.400%
06/01/2015
N/A
710,725
 
940,000
  
Williams Partners, LP
BBB
3.800%
02/15/2015
N/A
977,392
               
4,091,935
                 
     
Real Estate Investment Trusts - 1.1%
          
 
800,000
  
American Tower Corp.
BBB-
4.625%
04/01/2015
N/A
836,162
 
500,000
  
Host Hotels & Resorts, LP
BBB-
5.875%
06/15/2019
06/15/15 @ 103
543,469
 
500,000
  
Host Hotels & Resorts, LP
BBB-
6.000%
11/01/2020
11/01/15 @ 103
544,104
 
400,000
  
Simon Property Group, LP
A
5.100%
06/15/2015
N/A
430,160
 
1,054,000
  
Simon Property Group, LP
A
5.750%
12/01/2015
09/02/15 @ 100
1,155,816
 
500,000
  
Vornado Realty, LP
BBB
4.250%
04/01/2015
01/01/15 @ 100
519,625
               
4,029,336
                 
     
Retail - 3.1%
          
 
1,100,000
  
AutoZone, Inc.
BBB
5.750%
01/15/2015
N/A
1,172,643
 
1,500,000
  
Costco Wholesale Corp.
A+
0.650%
12/07/2015
N/A
1,499,046
 
1,100,000
  
CVS Caremark Corp.
BBB+
3.250%
05/18/2015
N/A
1,143,986
 
700,000
  
Lowe's Cos., Inc.
A-
5.000%
10/15/2015
N/A
761,442
 
320,000
  
Macy's Retail Holdings, Inc.
BBB
7.875%
07/15/2015
N/A
359,262
 
500,000
  
McDonald's Corp., Series MTN
A
0.750%
05/29/2015
N/A
501,736
 
1,100,000
  
Walgreen Co.
BBB
1.000%
03/13/2015
N/A
1,103,848
 
1,200,000
  
Wal-Mart Stores, Inc.
AA
2.875%
04/01/2015
N/A
1,243,644
 
908,000
  
Wal-Mart Stores, Inc.
AA
4.500%
07/01/2015
N/A
972,618
 
910,000
  
Wal-Mart Stores, Inc.
AA
2.250%
07/08/2015
N/A
937,314
 
1,750,000
  
Wal-Mart Stores, Inc.
AA
1.500%
10/25/2015
N/A
1,782,350
               
11,477,889
                 
     
Savings & Loans - 0.3%
          
 
1,000,000
  
Santander Holdings USA, Inc.
BBB
3.000%
09/24/2015
08/24/15 @ 100
1,028,598
                 
     
Semiconductors - 0.3%
          
 
1,050,000
  
Texas Instruments, Inc.
A+
0.450%
08/03/2015
N/A
1,048,038
                 
     
Software - 0.7%
          
 
755,000
  
Adobe Systems, Inc.
BBB+
3.250%
02/01/2015
N/A
779,846
 
1,960,000
  
Microsoft Corp.
AAA
1.625%
09/25/2015
N/A
2,005,100
               
2,784,946
                 
     
Telecommunications - 4.7%
          
 
1,100,000
  
AT&T, Inc.
A-
0.875%
02/13/2015
N/A
1,102,304
 
3,000,000
  
AT&T, Inc.
A-
2.500%
08/15/2015
N/A
3,092,400
 
1,000,000
  
AT&T, Inc.
A-
0.800%
12/01/2015
N/A
997,821
 
1,300,000
  
British Telecommunications PLC (United Kingdom)
BBB
2.000%
06/22/2015
N/A
1,322,580
 
950,000
  
Orange SA (France)
BBB+
2.125%
09/16/2015
N/A
966,644
 
800,000
  
Rogers Communications, Inc. (Canada)
BBB+
7.500%
03/15/2015
N/A
879,437
 
1,666,000
  
Telecom Italia Capital SA (Luxembourg)
BBB-
5.250%
10/01/2015
N/A
1,742,011
 
1,600,000
  
Telefonica Emisiones SAU (Spain)
BBB
4.949%
01/15/2015
N/A
1,667,590
 
1,100,000
  
Telefonica Emisiones SAU (Spain)
BBB
3.729%
04/27/2015
N/A
1,132,923
 
630,000
  
Verizon Communications, Inc.
BBB+
4.900%
09/15/2015
N/A
679,880
 
1,400,000
  
Verizon Communications, Inc.
BBB+
0.700%
11/02/2015
N/A
1,395,265
 
870,000
  
Vodafone Group PLC (United Kingdom)
A-
5.375%
01/30/2015
N/A
923,530
 
620,000
  
Vodafone Group PLC (United Kingdom)
A-
5.000%
09/15/2015
N/A
668,376
 
770,000
  
Vodafone Group PLC (United Kingdom)
A-
3.375%
11/24/2015
N/A
807,456
               
17,378,217
                 
     
Transportation - 0.2%
          
 
710,000
  
CSX Corp.
BBB
6.250%
04/01/2015
N/A
768,947
                 
     
Total Corporate Bonds - 98.9%
          
     
(Cost $361,557,596)
        
364,251,098
                 
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 0.0%***
          
 
109,550
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(c) (d)
        
                   109,550
     
(Cost $109,550)
          
                 
     
Total Investments - 98.9%
          
     
(Cost $361,667,146)
        
364,360,648
     
Other Assets in excess of Liabilities - 1.1%
        
4,092,959
     
Net Assets  - 100.0%
        
$          368,453,607
                 
 
 
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 August 31, 2013.
    
(b)
Security, or portion thereof, was on loan at August 31, 2013.
        
(c)
At August 31, 2013, the total market value of the Fund's securities on loan was $106,797 and the total market value of the collateral held by the Fund was $109,550.
(d)
Interest rate shown reflects yield as of August 31, 2013.
          
                 
 
See previously submitted notes to financial statements for the period ended May 31, 2013.
  
 
 
 
 
 
 
 
 
Country Breakdown
  
% of Corporate Bonds
 United States
  
77.1%
 Canada
    
6.4%
 United Kingdom
  
5.9%
 Netherlands
  
2.4%
 France
    
2.1%
 Spain
    
1.6%
 Switzerland
  
1.5%
 Luxembourg
  
1.1%
 Japan
    
0.8%
 Germany
    
0.6%
 Cayman Islands
  
0.4%
 Australia
    
0.1%
 Subject to change daily.
      
 
             
                 
                 
At August 31, 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
$ 361,667,146   $ 2,874,713   $ (181,211)   $ 2,693,502
 
                 
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 investment management, 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, unchanged 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 Board of Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The 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 as described above. The Fund did not have any Level 3 securities at August 31, 2013.
                 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013:
                 
                 
 
Description
  
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                        
Assets:
                        
Corporate Bonds
   $ -     $ 364,251     $ -     $ 364,251  
Investments of Collateral for Securities Loaned
     110       -       -       110  
Total
   $ 110     $ 364,251     $ -     $ 364,361  
                                 
During the three months ended August 31, 2013, there were no transfers between levels.
  
 
 
 
 
 
 
 
 
BSCG Guggenheim BulletShares 2016 Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 98.7%
          
     
Corporate Bonds - 98.7%
          
     
Advertising - 0.3%
          
 
$880,000
  
Omnicom Group, Inc.
BBB+
5.900%
04/15/2016
N/A
$981,856
                 
     
Aerospace & Defense - 0.7%
          
 
300,000
  
Boeing Co.
A
3.750%
11/20/2016
N/A
324,185
 
800,000
  
General Dynamics Corp.
A
2.250%
07/15/2016
N/A
825,116
 
800,000
  
L-3 Communications Corp.
BBB-
3.950%
11/15/2016
N/A
848,495
 
500,000
  
Lockheed Martin Corp.
A-
2.125%
09/15/2016
N/A
510,237
               
2,508,033
                 
     
Agriculture - 0.9%
          
 
800,000
  
Lorillard Tobacco Co.
BBB-
3.500%
08/04/2016
N/A
835,378
 
1,400,000
  
Philip Morris International, Inc.
A
2.500%
05/16/2016
N/A
1,453,018
 
700,000
  
Reynolds American, Inc.
BBB-
7.625%
06/01/2016
N/A
810,474
               
3,098,870
                 
     
Auto Parts & Equipment - 0.4%
          
 
400,000
  
Delphi Corp.
BB+
6.125%
05/15/2021
05/15/16 @ 103
439,000
 
750,000
  
Johnson Controls, Inc.
BBB+
5.500%
01/15/2016
N/A
820,579
               
1,259,579
                 
     
Banks - 32.4%
          
 
800,000
  
Abbey National Treasury Services PLC (United Kingdom)
A
4.000%
04/27/2016
N/A
848,833
 
1,500,000
  
Bank of America Corp., Series MTN
A-
1.250%
01/11/2016
N/A
1,492,689
 
1,400,000
  
Bank of America Corp., Series MTN
A-
3.625%
03/17/2016
N/A
1,467,554
 
2,300,000
  
Bank of America Corp., Series 1
A-
3.750%
07/12/2016
N/A
2,427,983
 
3,970,000
  
Bank of America Corp.
A-
6.500%
08/01/2016
N/A
4,479,978
 
1,000,000
  
Bank of America Corp.
BBB+
5.750%
08/15/2016
N/A
1,095,222
 
1,900,000
  
Bank of America Corp.
A-
5.625%
10/14/2016
N/A
2,105,219
 
1,350,000
  
Bank of Montreal, Series MTN (Canada)
A+
1.300%
07/15/2016
N/A
1,350,315
 
380,000
  
Bank of New York Mellon Corp., Series MTN
A+
2.500%
01/15/2016
N/A
392,350
 
1,269,000
  
Bank of New York Mellon Corp., Series MTN
A+
2.300%
07/28/2016
N/A
1,308,567
 
1,000,000
  
Bank of New York Mellon Corp., Series MTN
A+
2.400%
01/17/2017
12/18/16 @ 100
1,022,518
 
1,000,000
  
Bank of Nova Scotia (Canada)
A+
0.950%
03/15/2016
N/A
994,498
 
1,050,000
  
Bank of Nova Scotia (Canada)
A+
2.900%
03/29/2016
N/A
1,095,799
 
500,000
  
Bank of Nova Scotia (Canada)
A+
1.375%
07/15/2016
N/A
502,149
 
2,708,000
  
Barclays Bank PLC, Series 1 (United Kingdom)
A
5.000%
09/22/2016
N/A
2,979,769
 
1,500,000
  
BB&T Corp., Series MTN
A-
3.200%
03/15/2016
02/16/16 @ 100
1,568,379
 
524,000
  
BB&T Corp., Series MTN
A-
3.950%
04/29/2016
N/A
560,028
 
2,000,000
  
BNP Paribas SA, Series MTN (France)(a)
A+
3.600%
02/23/2016
N/A
2,102,246
 
1,000,000
  
Canadian Imperial Bank of Commerce (Canada)
A+
1.350%
07/18/2016
N/A
1,001,136
 
850,000
  
Capital One Financial Corp.
BBB
3.150%
07/15/2016
N/A
885,683
 
727,000
  
Capital One Financial Corp.
BBB-
6.150%
09/01/2016
N/A
808,255
 
872,000
  
Citigroup, Inc.
A-
5.300%
01/07/2016
N/A
942,585
 
2,500,000
  
Citigroup, Inc.
A-
1.250%
01/15/2016
N/A
2,480,280
 
1,000,000
  
Citigroup, Inc.
A-
1.300%
04/01/2016
N/A
991,180
 
2,800,000
  
Citigroup, Inc.
A-
3.953%
06/15/2016
N/A
2,971,010
 
800,000
  
Citigroup, Inc.
A-
5.850%
08/02/2016
N/A
890,871
 
162,000
  
Comerica Bank, Series BKNT
A-
5.750%
11/21/2016
N/A
182,894
 
2,600,000
  
Deutsche Bank AG (Germany)
A
3.250%
01/11/2016
N/A
2,718,698
 
1,300,000
  
Fifth Third Bancorp
BBB
3.625%
01/25/2016
N/A
1,367,661
 
3,408,000
  
Goldman Sachs Group, Inc.
A-
5.350%
01/15/2016
N/A
3,703,596
 
4,400,000
  
Goldman Sachs Group, Inc.
A-
3.625%
02/07/2016
N/A
4,611,732
 
1,700,000
  
Goldman Sachs Group, Inc.
A-
5.750%
10/01/2016
N/A
1,892,159
 
2,442,000
  
JPMorgan Chase & Co.
A
2.600%
01/15/2016
N/A
2,513,744
 
500,000
  
JPMorgan Chase & Co.
A
1.125%
02/26/2016
N/A
499,108
 
3,575,000
  
JPMorgan Chase & Co.
A
3.450%
03/01/2016
N/A
3,758,902
 
4,750,000
  
JPMorgan Chase & Co.
A
3.150%
07/05/2016
N/A
4,966,348
 
1,100,000
  
JPMorgan Chase Bank NA, Series BKNT
A
5.875%
06/13/2016
N/A
1,224,399
 
1,000,000
  
KeyBank NA, Series MTN
BBB+
5.450%
03/03/2016
N/A
1,095,801
 
1,222,000
  
Lloyds TSB Bank PLC (United Kingdom)
A
4.875%
01/21/2016
N/A
1,316,472
 
1,500,000
  
Morgan Stanley
A-
1.750%
02/25/2016
N/A
1,500,664
 
2,600,000
  
Morgan Stanley
A-
3.800%
04/29/2016
N/A
2,720,736
 
2,050,000
  
Morgan Stanley, Series MTN
A-
5.750%
10/18/2016
N/A
2,275,949
 
500,000
  
PNC Bank NA, Series BKNT
A
0.800%
01/28/2016
12/28/15 @ 100
497,147
 
1,000,000
  
PNC Funding Corp.
A-
2.700%
09/19/2016
08/19/16 @ 100
1,036,584
 
1,500,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
0.850%
03/08/2016
N/A
1,491,429
 
1,400,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
2.875%
04/19/2016
N/A
1,464,733
 
1,950,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
2.300%
07/20/2016
N/A
2,013,703
 
1,000,000
  
Royal Bank of Canada (Canada)
AAA
1.125%
07/22/2016
N/A
994,536
 
1,500,000
  
Royal Bank of Scotland PLC (United Kingdom)
A
4.375%
03/16/2016
N/A
1,592,277
 
800,000
  
State Street Corp.
A+
2.875%
03/07/2016
N/A
835,574
 
900,000
  
Sumitomo Mitsui Banking Corp. (Japan)(a)
A+
0.900%
01/18/2016
N/A
891,592
 
500,000
  
Sumitomo Mitsui Banking Corp. (Japan)
A+
1.450%
07/19/2016
N/A
501,381
 
1,350,000
  
SunTrust Banks, Inc.
BBB
3.600%
04/15/2016
03/15/16 @ 100
1,424,751
 
700,000
  
SunTrust Banks, Inc.
BBB
3.500%
01/20/2017
12/20/16 @ 100
734,101
 
1,900,000
  
Svenska Handelsbanken AB (Sweden)
AA-
3.125%
07/12/2016
N/A
1,984,957
 
1,300,000
  
Toronto-Dominion Bank, Series GMTN (Canada)
AA-
2.500%
07/14/2016
N/A
1,348,026
 
3,200,000
  
Toronto-Dominion Bank (Canada)
AA-
2.375%
10/19/2016
N/A
3,298,784
 
877,000
  
UBS AG, Series MTN (Switzerland)
BBB
5.875%
07/15/2016
N/A
970,206
 
250,000
  
Union Bank NA, Series BKNT
A
5.950%
05/11/2016
N/A
277,528
 
600,000
  
Union Bank NA, Series BKNT
A+
3.000%
06/06/2016
N/A
626,465
 
250,000
  
US Bancorp
BBB+
3.442%
02/01/2016
N/A
260,753
 
2,000,000
  
US Bancorp, Series MTN
A+
2.200%
11/15/2016
10/14/16 @ 100
2,057,648
 
500,000
  
Wachovia Bank NA, Series MTN
A+
5.600%
03/15/2016
N/A
552,349
 
1,761,000
  
Wachovia Corp.
A
5.625%
10/15/2016
N/A
1,968,328
 
500,000
  
Wachovia Corp., Series MTN
A+
5.750%
02/01/2018
N/A
573,393
 
3,100,000
  
Wells Fargo & Co.
A+
3.676%
06/15/2016
N/A
3,295,839
 
700,000
  
Wells Fargo & Co.
A
5.125%
09/15/2016
N/A
770,644
 
2,250,000
  
Wells Fargo & Co.
A+
2.625%
12/15/2016
N/A
2,336,396
 
500,000
  
Wells Fargo Bank NA
A+
5.750%
05/16/2016
N/A
556,918
               
109,470,001
                 
     
Beverages - 2.7%
          
 
1,000,000
  
Anheuser-Busch InBev Finance, Inc.(a)
A
0.800%
01/15/2016
N/A
996,236
 
500,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
2.875%
02/15/2016
N/A
521,573
 
45,000
  
Beam, Inc.
BBB-
5.375%
01/15/2016
N/A
49,050
 
1,100,000
  
Bottling Group, LLC
A
5.500%
04/01/2016
N/A
1,218,511
 
1,900,000
  
Coca-Cola Co.
AA-
1.800%
09/01/2016
N/A
1,941,735
 
1,000,000
  
Diageo Capital PLC (United Kingdom)
A-
0.625%
04/29/2016
N/A
985,779
 
500,000
  
Diageo Capital PLC (United Kingdom)
A-
5.500%
09/30/2016
N/A
561,672
 
580,000
  
Dr. Pepper Snapple Group, Inc.
BBB
2.900%
01/15/2016
N/A
601,071
 
1,000,000
  
PepsiCo, Inc.
A-
0.700%
02/26/2016
N/A
993,133
 
1,200,000
  
PepsiCo, Inc.
A-
2.500%
05/10/2016
N/A
1,242,906
               
9,111,666
                 
     
Biotechnology - 1.0%
          
 
1,000,000
  
Amgen, Inc.
A
2.300%
06/15/2016
N/A
1,028,528
 
1,500,000
  
Amgen, Inc.
A
2.500%
11/15/2016
N/A
1,554,622
 
600,000
  
Gilead Sciences, Inc.
A-
3.050%
12/01/2016
N/A
632,181
               
3,215,331
                 
     
Building Materials - 0.7%
          
 
1,006,000
  
CRH America, Inc.
BBB+
6.000%
09/30/2016
N/A
1,131,559
 
150,000
  
Lafarge SA (France)
BB+
6.500%
07/15/2016
N/A
164,625
 
893,000
  
Masco Corp.
BBB-
6.125%
10/03/2016
N/A
991,230
 
200,000
  
Owens Corning
BBB-
6.500%
12/01/2016
N/A
223,398
               
2,510,812
                 
     
Chemicals - 1.1%
          
 
950,000
  
Dow Chemical Co.
BBB
2.500%
02/15/2016
N/A
982,303
 
1,600,000
  
Ecolab, Inc.
BBB+
3.000%
12/08/2016
N/A
1,674,378
 
400,000
  
EI du Pont de Nemours & Co.
A
2.750%
04/01/2016
N/A
416,883
 
392,000
  
EI du Pont de Nemours & Co.
A
5.250%
12/15/2016
N/A
441,097
 
300,000
  
El du Pont de Nemours & Co.
A
1.950%
01/15/2016
N/A
306,268
               
3,820,929
                 
     
Commercial Services - 0.3%
          
 
900,000
  
Western Union Co.
BBB+
5.930%
10/01/2016
N/A
1,001,693
                 
     
Computers - 3.0%
          
 
2,000,000
  
Apple, Inc.
AA+
0.450%
05/03/2016
N/A
1,981,002
 
940,000
  
Hewlett-Packard Co.
BBB+
2.650%
06/01/2016
N/A
961,207
 
1,300,000
  
Hewlett-Packard Co.
BBB+
3.000%
09/15/2016
N/A
1,339,880
 
1,300,000
  
Hewlett-Packard Co.
BBB+
3.300%
12/09/2016
N/A
1,355,101
 
900,000
  
International Business Machines Corp.
AA-
2.000%
01/05/2016
N/A
923,193
 
1,100,000
  
International Business Machines Corp.
AA-
0.450%
05/06/2016
N/A
1,087,503
 
2,400,000
  
International Business Machines Corp.
AA-
1.950%
07/22/2016
N/A
2,467,229
               
10,115,115
                 
     
Cosmetics & Personal Care - 0.5%
          
 
1,600,000
  
Procter & Gamble Co.
AA-
1.450%
08/15/2016
N/A
1,624,037
                 
     
Diversified Financial Services - 13.8%
          
 
900,000
  
American Express Co.
BBB+
5.500%
09/12/2016
N/A
1,003,862
 
2,900,000
  
American Express Credit Corp., Series MTN
A-
2.800%
09/19/2016
N/A
3,028,177
 
600,000
  
Boeing Capital Corp.
A
2.125%
08/15/2016
07/15/16 @ 100
618,450
 
1,300,000
  
Caterpillar Financial Services Corp., Series G
A
2.050%
08/01/2016
N/A
1,334,029
 
1,050,000
  
Countrywide Financial Corp.
BBB+
6.250%
05/15/2016
N/A
1,140,548
 
1,000,000
  
Credit Suisse USA, Inc.
A
5.375%
03/02/2016
N/A
1,097,479
 
1,000,000
  
Ford Motor Credit Co., LLC
BBB-
2.500%
01/15/2016
N/A
1,010,042
 
1,500,000
  
Ford Motor Credit Co., LLC
BBB-
4.207%
04/15/2016
N/A
1,572,000
 
1,250,000
  
Ford Motor Credit Co., LLC
BBB-
1.700%
05/09/2016
N/A
1,235,055
 
1,700,000
  
Ford Motor Credit Co., LLC
BBB-
3.984%
06/15/2016
N/A
1,776,024
 
1,600,000
  
Ford Motor Credit Co., LLC
BBB-
8.000%
12/15/2016
N/A
1,864,018
 
1,800,000
  
General Electric Capital Corp., Series MTN
AA+
1.000%
01/08/2016
N/A
1,792,471
 
1,162,000
  
General Electric Capital Corp., Series MTN
AA+
5.000%
01/08/2016
N/A
1,261,625
 
1,850,000
  
General Electric Capital Corp.
AA+
2.950%
05/09/2016
N/A
1,924,512
 
2,000,000
  
General Electric Capital Corp., Series GMTN
AA+
1.500%
07/12/2016
N/A
2,008,832
 
1,500,000
  
General Electric Capital Corp., Series MTN
AA+
3.350%
10/17/2016
N/A
1,581,751
 
1,350,000
  
General Electric Capital Corp., Series MTN
AA+
5.375%
10/20/2016
N/A
1,505,083
 
2,303,000
  
HSBC Finance Corp.
A
5.500%
01/19/2016
N/A
2,519,597
 
1,250,000
  
International Lease Finance Corp.
BBB-
5.750%
05/15/2016
N/A
1,323,862
 
500,000
  
John Deere Capital Corp.
A
0.750%
01/22/2016
N/A
497,516
 
665,000
  
John Deere Capital Corp., Series MTN
A
2.250%
06/07/2016
N/A
686,953
 
800,000
  
John Deere Capital Corp., Series MTN
A
1.850%
09/15/2016
N/A
816,099
 
2,708,000
  
Merrill Lynch & Co., Inc.
BBB+
6.050%
05/16/2016
N/A
2,963,692
 
1,300,000
  
Nomura Holdings, Inc., Series MTN (Japan)
BBB+
4.125%
01/19/2016
N/A
1,361,152
 
1,950,000
  
Nomura Holdings, Inc., Series MTN (Japan)
BBB+
2.000%
09/13/2016
N/A
1,938,002
 
600,000
  
ORIX Corp. (Japan)
A-
5.000%
01/12/2016
N/A
639,274
 
2,900,000
  
SLM Corp., Series MTN
BBB-
6.250%
01/25/2016
N/A
3,103,000
 
1,256,000
  
Toyota Motor Credit Corp., Series MTN
AA-
2.800%
01/11/2016
N/A
1,309,222
 
950,000
  
Toyota Motor Credit Corp.(a)
AA-
0.800%
05/17/2016
N/A
945,918
 
2,200,000
  
Toyota Motor Credit Corp., Series MTN
AA-
2.000%
09/15/2016
N/A
2,252,074
 
500,000
  
Vesey Street Investment Trust I
A-
4.404%
09/01/2016
N/A
532,732
               
46,643,051
                 
     
Electric - 0.6%
          
 
950,000
  
Duke Energy Corp.
BBB
2.150%
11/15/2016
N/A
975,133
 
400,000
  
Entergy Corp.
BBB-
4.700%
01/15/2017
12/15/16 @ 100
427,089
 
608,000
  
Southern Co.
A-
1.950%
09/01/2016
N/A
618,265
               
2,020,487
                 
     
Electronics - 0.6%
          
 
980,000
  
Thermo Fisher Scientific, Inc.
BBB
3.200%
03/01/2016
N/A
1,017,340
 
1,060,000
  
Thermo Fisher Scientific, Inc.
BBB
2.250%
08/15/2016
N/A
1,075,705
               
2,093,045
                 
     
Environmental Control - 0.3%
          
 
984,000
  
Waste Management, Inc.
BBB
2.600%
09/01/2016
N/A
1,014,018
                 
     
Food - 1.8%
          
 
1,000,000
  
ConAgra Foods, Inc.
BBB-
1.300%
01/25/2016
N/A
1,007,099
 
800,000
  
Kellogg Co.
BBB+
4.450%
05/30/2016
N/A
864,552
 
500,000
  
Kellogg Co.
BBB+
1.875%
11/17/2016
N/A
506,907
 
2,531,000
  
Mondelez International, Inc.
BBB-
4.125%
02/09/2016
N/A
2,694,948
 
350,000
  
Tyson Foods, Inc.
BBB
6.600%
04/01/2016
N/A
392,305
 
500,000
  
Unilever Capital Corp.
A+
2.750%
02/10/2016
N/A
520,816
               
5,986,627
                 
     
Gas - 0.7%
          
 
1,061,000
  
National Grid PLC (United Kingdom)
BBB+
6.300%
08/01/2016
N/A
1,201,308
 
900,000
  
Sempra Energy
BBB+
6.500%
06/01/2016
N/A
1,023,370
               
2,224,678
                 
     
Health Care Products - 1.3%
          
 
1,000,000
  
Baxter International, Inc.
A
0.950%
06/01/2016
N/A
996,458
 
700,000
  
Baxter International, Inc.
A
5.900%
09/01/2016
N/A
797,604
 
500,000
  
Becton Dickinson and Co.
A
1.750%
11/08/2016
N/A
505,701
 
300,000
  
Boston Scientific Corp.
BBB-
6.400%
06/15/2016
N/A
336,075
 
560,000
  
Medtronic, Inc.
A+
2.625%
03/15/2016
N/A
581,637
 
500,000
  
St. Jude Medical, Inc.
A
2.500%
01/15/2016
N/A
511,769
 
800,000
  
Stryker Corp.
A+
2.000%
09/30/2016
N/A
819,678
               
4,548,922
                 
     
Health Care Services - 1.5%
          
 
1,100,000
  
Aetna, Inc.
A-
6.000%
06/15/2016
N/A
1,238,594
 
1,000,000
  
Cigna Corp.
A-
2.750%
11/15/2016
N/A
1,036,247
 
800,000
  
Humana, Inc.
BBB+
6.450%
06/01/2016
N/A
899,376
 
400,000
  
UnitedHealth Group, Inc.
A
5.375%
03/15/2016
N/A
441,546
 
1,323,000
  
WellPoint, Inc.
A-
5.250%
01/15/2016
N/A
1,443,730
               
5,059,493
                 
     
Insurance - 2.2%
          
 
449,000
  
Allied World Assurance Co. Ltd. (Bermuda)
BBB+
7.500%
08/01/2016
N/A
518,751
 
1,000,000
  
American International Group, Inc.
A-
4.875%
09/15/2016
N/A
1,091,712
 
1,550,000
  
American International Group, Inc., Series MTN
A-
5.600%
10/18/2016
N/A
1,724,093
 
250,000
  
Aon Corp.
BBB+
3.125%
05/27/2016
N/A
261,009
 
1,300,000
  
Berkshire Hathaway, Inc.
AA
2.200%
08/15/2016
N/A
1,343,939
 
1,463,000
  
MetLife, Inc.
A-
6.750%
06/01/2016
N/A
1,676,326
 
700,000
  
Prudential Financial, Inc., Series MTN
A
3.000%
05/12/2016
N/A
728,257
               
7,344,087
                 
     
Internet - 0.3%
          
 
1,100,000
  
Google, Inc.
AA
2.125%
05/19/2016
N/A
1,137,982
                 
     
Iron & Steel - 0.2%
          
 
600,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
03/01/2016
N/A
613,500
                 
     
Leisure Time - 0.3%
          
 
900,000
  
Carnival Corp. (Panama)
BBB+
1.200%
02/05/2016
N/A
899,391
                 
     
Lodging - 0.0%***
          
 
5,000
  
Wyndham Worldwide Corp.
BBB-
6.000%
12/01/2016
N/A
5,544
                 
     
Machinery-Construction & Mining - 0.3%
          
 
1,000,000
  
Caterpillar, Inc.
A
5.700%
08/15/2016
N/A
1,127,267
                 
     
Machinery-Diversified - 0.1%
          
 
275,000
  
Xylem, Inc.
BBB
3.550%
09/20/2016
N/A
287,670
                 
     
Media - 3.6%
          
 
1,500,000
  
Comcast Corp.
A-
5.900%
03/15/2016
N/A
1,679,740
 
500,000
  
Comcast Corp.
A-
4.950%
06/15/2016
N/A
551,043
 
580,000
  
DIRECTV Holdings, LLC / DIRECTV Financing Co., Inc.
BBB
3.125%
02/15/2016
N/A
597,569
 
2,410,000
  
DIRECTV Holdings, LLC / DIRECTV Financing Co., Inc.
BBB
3.500%
03/01/2016
N/A
2,505,002
 
1,500,000
  
NBCUniversal Media, LLC
A-
2.875%
04/01/2016
N/A
1,568,057
 
500,000
  
Scripps Networks Interactive, Inc.
A-
2.700%
12/15/2016
N/A
517,789
 
300,000
  
Thomson Reuters Corp. (Canada)
A-
0.875%
05/23/2016
N/A
298,106
 
1,200,000
  
Time Warner, Inc.
BBB
5.875%
11/15/2016
N/A
1,358,642
 
993,000
  
Viacom, Inc.
BBB
6.250%
04/30/2016
N/A
1,110,740
 
800,000
  
Walt Disney Co.
A
1.350%
08/16/2016
N/A
807,376
 
950,000
  
Walt Disney Co., Series MTNC
A
5.625%
09/15/2016
N/A
1,078,227
               
12,072,291
                 
     
Mining - 1.2%
          
 
1,465,000
  
Barrick Gold Corp. (Canada)
BBB
2.900%
05/30/2016
N/A
1,474,125
 
1,100,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
2.500%
05/20/2016
N/A
1,127,849
 
500,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
2.250%
09/20/2016
N/A
508,392
 
1,000,000
  
Rio Tinto Finance USA PLC (United Kingdom)
A-
1.375%
06/17/2016
N/A
996,016
               
4,106,382
                 
     
Miscellaneous Manufacturing - 0.5%
          
 
1,300,000
  
3M Co.
AA-
1.375%
09/29/2016
N/A
1,315,808
 
400,000
  
Danaher Corp.
A+
2.300%
06/23/2016
N/A
411,166
               
1,726,974
                 
     
Office & Business Equipment - 0.4%
          
 
300,000
  
Pitney Bowes, Inc., Series MTN
BBB
4.750%
01/15/2016
N/A
317,631
 
850,000
  
Xerox Corp.
BBB-
6.400%
03/15/2016
N/A
944,596
               
1,262,227
                 
     
Oil & Gas - 5.6%
          
 
2,162,000
  
Anadarko Petroleum Corp.
BBB-
5.950%
09/15/2016
N/A
2,426,482
 
1,500,000
  
BP Capital Markets PLC (United Kingdom)
A
3.200%
03/11/2016
N/A
1,575,621
 
1,400,000
  
BP Capital Markets PLC (United Kingdom)
A
2.248%
11/01/2016
N/A
1,432,078
 
900,000
  
Chevron Corp.
AA
0.889%
06/24/2016
N/A
899,687
 
1,362,000
  
ConocoPhillips Canada Funding Co. I (Canada)
A
5.625%
10/15/2016
N/A
1,544,970
 
870,000
  
Devon Energy Corp.
BBB+
2.400%
07/15/2016
06/15/16 @ 100
891,665
 
800,000
  
Ensco PLC (United Kingdom)
BBB+
3.250%
03/15/2016
N/A
833,552
 
550,000
  
Marathon Petroleum Corp.
BBB
3.500%
03/01/2016
N/A
577,442
 
750,000
  
Occidental Petroleum Corp.
A
2.500%
02/01/2016
N/A
775,191
 
680,000
  
Occidental Petroleum Corp.
A
4.125%
06/01/2016
N/A
733,776
 
1,000,000
  
Petrobras Global Finance BV (Netherlands)
BBB
2.000%
05/20/2016
N/A
985,437
 
1,200,000
  
Plains Exploration & Production Co.
BBB
6.125%
06/15/2019
06/15/16 @ 103
1,267,743
 
1,000,000
  
Plains Exploration & Production Co.
BBB
6.625%
05/01/2021
05/01/16 @ 103
1,061,798
 
500,000
  
Statoil ASA (Norway)
AA-
1.800%
11/23/2016
N/A
510,845
 
600,000
  
Total Capital International SA (France)
AA-
0.750%
01/25/2016
N/A
596,932
 
1,150,000
  
Total Capital SA (France)
AA-
2.300%
03/15/2016
N/A
1,185,137
 
1,300,000
  
Transocean, Inc. (Cayman Islands)
BBB-
5.050%
12/15/2016
N/A
1,422,918
               
18,721,274
                 
     
Oil & Gas Services - 0.3%
          
 
900,000
  
SESI, LLC
BBB-
7.125%
12/15/2021
12/15/16 @ 104
978,750
                 
     
Pharmaceuticals - 3.7%
          
 
1,000,000
  
Allergan, Inc.
A+
5.750%
04/01/2016
N/A
1,116,209
 
1,650,000
  
Express Scripts Holding Co.
BBB+
3.125%
05/15/2016
N/A
1,718,675
 
1,285,000
  
Express Scripts Holding Co.
BBB+
3.500%
11/15/2016
N/A
1,358,182
 
1,000,000
  
GlaxoSmithKline Capital, Inc.
A+
0.700%
03/18/2016
N/A
995,457
 
1,200,000
  
Johnson & Johnson
AAA
2.150%
05/15/2016
N/A
1,243,368
 
900,000
  
McKesson Corp.
A-
3.250%
03/01/2016
N/A
946,207
 
800,000
  
Merck & Co., Inc.
AA
2.250%
01/15/2016
N/A
825,522
 
1,000,000
  
Merck & Co., Inc.
AA
0.700%
05/18/2016
N/A
993,833
 
2,200,000
  
Sanofi (France)
AA
2.625%
03/29/2016
N/A
2,291,412
 
963,000
  
Wyeth, LLC
AA
5.500%
02/15/2016
N/A
1,070,317
               
12,559,182
                 
     
Pipelines - 0.9%
          
 
600,000
  
Enterprise Products Operating, LLC
BBB+
3.200%
02/01/2016
N/A
629,220
 
500,000
  
Kinder Morgan Energy Partners, LP
BBB
3.500%
03/01/2016
N/A
527,717
 
1,100,000
  
ONEOK Partners, LP
BBB
3.250%
02/01/2016
01/01/16 @ 100
1,144,468
 
900,000
  
TransCanada PipeLines Ltd. (Canada)
A-
0.750%
01/15/2016
N/A
892,436
               
3,193,841
                 
     
Real Estate Investment Trusts - 0.9%
          
 
400,000
  
ERP Operating, LP
BBB+
5.125%
03/15/2016
N/A
437,279
 
250,000
  
HCP, Inc.
BBB+
3.750%
02/01/2016
N/A
262,441
 
1,057,000
  
Simon Property Group, LP
A
5.250%
12/01/2016
09/02/16 @ 100
1,178,079
 
500,000
  
Simon Property Group, LP
A
2.800%
01/30/2017
10/30/16 @ 100
513,672
 
500,000
  
Simon Property Group, LP
A
5.875%
03/01/2017
12/01/16 @ 100
563,127
               
2,954,598
                 
     
Retail - 2.8%
          
 
3,446,000
  
Home Depot, Inc.
A-
5.400%
03/01/2016
N/A
3,817,658
 
600,000
  
Lowe's Cos., Inc.
A-
5.400%
10/15/2016
N/A
676,101
 
849,000
  
Macy's Retail Holdings, Inc.
BBB
5.900%
12/01/2016
N/A
958,831
 
1,100,000
  
Target Corp.
A+
5.875%
07/15/2016
N/A
1,244,806
 
1,600,000
  
Wal-Mart Stores, Inc.
AA
0.600%
04/11/2016
N/A
1,592,538
 
1,000,000
  
Wal-Mart Stores, Inc.
AA
2.800%
04/15/2016
N/A
1,050,736
               
9,340,670
                 
     
Savings & Loans - 0.2%
          
 
500,000
  
Santander Holdings USA, Inc.
BBB
4.625%
04/19/2016
N/A
525,775
                 
     
Semiconductors - 1.0%
          
 
2,100,000
  
Intel Corp.
A+
1.950%
10/01/2016
N/A
2,154,957
 
1,200,000
  
Texas Instruments, Inc.
A+
2.375%
05/16/2016
N/A
1,244,395
               
3,399,352
                 
     
Software - 1.2%
          
 
280,000
  
Fiserv, Inc.
BBB-
3.125%
06/15/2016
N/A
291,696
 
1,080,000
  
Microsoft Corp.
AAA
2.500%
02/08/2016
N/A
1,124,760
 
2,335,000
  
Oracle Corp.
A+
5.250%
01/15/2016
N/A
2,570,496
               
3,986,952
                 
     
Telecommunications - 7.9%
          
 
1,400,000
  
AT&T, Inc.
A-
0.900%
02/12/2016
N/A
1,391,541
 
2,300,000
  
AT&T, Inc.
A-
2.950%
05/15/2016
N/A
2,400,043
 
1,899,000
  
AT&T, Inc.
A-
5.625%
06/15/2016
N/A
2,117,816
 
1,400,000
  
AT&T, Inc.
A-
2.400%
08/15/2016
N/A
1,440,588
 
400,000
  
British Telecommunications PLC (United Kingdom)
BBB
1.625%
06/28/2016
N/A
402,455
 
3,585,000
  
Cisco Systems, Inc.
A+
5.500%
02/22/2016
N/A
3,983,939
 
1,079,000
  
Deutsche Telekom International Finance BV (Netherlands)
BBB+
5.750%
03/23/2016
N/A
1,191,825
 
1,650,000
  
Embarq Corp.
BB
7.082%
06/01/2016
N/A
1,856,722
 
1,150,000
  
Orange SA (France)
BBB+
2.750%
09/14/2016
N/A
1,182,654
 
1,600,000
  
Telefonica Emisiones SAU (Spain)
BBB
3.992%
02/16/2016
N/A
1,656,206
 
1,300,000
  
Telefonica Emisiones SAU (Spain)
BBB
6.421%
06/20/2016
N/A
1,426,671
 
1,299,000
  
Verizon Communications, Inc.
BBB+
5.550%
02/15/2016
N/A
1,432,339
 
1,900,000
  
Verizon Communications, Inc.
BBB+
3.000%
04/01/2016
N/A
1,979,889
 
1,300,000
  
Verizon Communications, Inc.
BBB+
2.000%
11/01/2016
N/A
1,318,681
 
1,000,000
  
Vodafone Group PLC (United Kingdom)
A-
0.900%
02/19/2016
N/A
996,893
 
800,000
  
Vodafone Group PLC (United Kingdom)
A-
5.750%
03/15/2016
N/A
886,518
 
1,000,000
  
Vodafone Group PLC (United Kingdom)
A-
2.875%
03/16/2016
N/A
1,033,219
               
26,697,999
                 
     
Textiles - 0.3%
          
 
860,000
  
Mohawk Industries, Inc.
BBB
6.375%
01/15/2016
N/A
944,190
                 
     
Transportation - 0.2%
          
 
700,000
  
Norfolk Southern Corp.
BBB+
5.750%
01/15/2016
N/A
774,236
                 
     
Total Corporate Bonds - 98.7%
          
     
(Cost $330,277,368)
        
332,968,377
                 
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 0.6%
        
 
1,980,660
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(b) (c)
      
$1,980,660
     
(Cost $1,980,660)
          
                 
     
Total Investments - 99.3%
          
     
(Cost $332,258,028)
        
334,949,037
     
Other Assets in excess of Liabilities - 0.7%
        
2,460,123
     
Net Assets  - 100.0%
        
$              337,409,160
 
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 August 31, 2013.
      
(b)
At August 31, 2013, the total market value of the Fund's securities on loan was $1,929,751 and the total market value of the collateral held by the Fund was $1,980,660.
(c)
Interest rate shown reflects yield as of August 31, 2013.
        
                 
See previously submitted notes to financial statements May 31, 2013.
      
 
 
 
 
 
 
 
Country Breakdown
% of Corporate Bonds
United States
80.0%
Canada
5.9%
United Kingdom
5.3%
France
2.3%
Japan
1.6%
Spain
0.9%
Germany
0.8%
Netherlands
0.7%
Sweden
0.6%
Australia
0.5%
Cayman Islands
0.4%
Switzerland
0.3%
Panama
0.3%
Luxembourg
0.2%
Bermuda
0.1%
Norway
0.1%
Subject to change daily.
  
 
At August 31, 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
  
$ 332,258,028   $ 3,226,702   $ (535,693 ) $ 2,691,009  
 
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 investment management, fund administration, legal and compliance
  
is responsible for the oversight of the valuation process of the Fund 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, unchanged 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 as described above. The fair value value estimates for Level 3 securities are determined in accordance with the Fund's valuation procedures. The
Fund did not have any Level 3 securities at August 31, 2013.
                       
                       
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
    
                       
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
        
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 332,968     $ -     $ 332,968  
Investments of Collateral for Securities Loaned
   1,981       -       -       1,981  
Total
 $ 1,981     $ 332,968     $ -     $ 334,949  
 
During the three months ended August 31, 2013, there were no transfers between levels.
      
 
 
 
 
 

 
BSCH Guggenheim BulletShares 2017 Corporate Bond ETF
          
Portfolio of Investments
            
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 98.6%
          
     
Corporate Bonds - 98.6%
          
     
Aerospace & Defense - 1.2%
          
 
 $                    1,100,000
  
General Dynamics Corp.
A
1.000%
11/15/2017
N/A
 $                   1,062,317
 
                      1,400,000
  
United Technologies Corp.
A
1.800%
06/01/2017
N/A
                     1,408,967
 
                        1,121,000
  
United Technologies Corp.
A
5.375%
12/15/2017
N/A
                      1,281,652
 
 
            
                     3,752,936
 
 
            
 
 
 
  
Agriculture - 1.4%
        
 
 
                         700,000
  
Bunge Ltd. Finance Corp.
BBB-
3.200%
06/15/2017
N/A
                         716,969
 
                          750,000
  
Lorillard Tobacco Co.(a)
BBB-
2.300%
08/21/2017
N/A
                         738,727
 
                         900,000
  
Philip Morris International, Inc.
A
1.625%
03/20/2017
N/A
                         899,150
 
                          750,000
  
Philip Morris International, Inc.(a)
A
1.125%
08/21/2017
N/A
                        729,252
 
                         970,000
  
Reynolds American, Inc.
BBB-
6.750%
06/15/2017
N/A
                       1,118,344
 
 
            
                    4,202,442
 
 
            
 
 
 
  
Banks - 29.9%
        
 
 
                          750,000
  
American Express Bank FSB, Series BKNT
A-
6.000%
09/13/2017
N/A
                          862,171
 
                      1,000,000
  
American Express Centurion Bank, Series BKN1
A-
6.000%
09/13/2017
N/A
                       1,149,561
 
                      1,000,000
  
Bank of America Corp.
BBB+
5.420%
03/15/2017
N/A
                     1,080,690
 
                      1,300,000
  
Bank of America Corp.
A-
3.875%
03/22/2017
N/A
                        1,371,510
 
                       2,170,000
  
Bank of America Corp.
A-
6.000%
09/01/2017
N/A
                    2,439,729
 
                      4,445,000
  
Bank of America Corp.
A-
5.750%
12/01/2017
N/A
                     4,978,213
 
                      1,800,000
  
Bank of America NA, Series BKNT
A-
5.300%
03/15/2017
N/A
                       1,965,181
 
                         500,000
  
Bank of America NA, Series BKNT
A-
6.100%
06/15/2017
N/A
                        559,639
 
                       1,520,000
  
Bank of Montreal, Series MTN (Canada)
A+
2.500%
01/11/2017
N/A
                      1,558,792
 
                      1,000,000
  
Bank of Montreal, Series MTN (Canada)
A+
1.400%
09/11/2017
N/A
                         977,995
 
                         500,000
  
Bank of New York Mellon Corp., Series MTN
A+
2.400%
01/17/2017
12/18/16 @ 100
                          511,259
 
                         400,000
  
Bank of New York Mellon Corp.
A+
1.969%
06/20/2017
N/A
                         401,548
 
                      1,300,000
  
Bank of Nova Scotia (Canada)
A+
2.550%
01/12/2017
N/A
                     1,333,600
 
                      1,000,000
  
Bank of Nova Scotia (Canada)
A+
1.375%
12/18/2017
11/18/17 @ 100
                        972,329
 
                         500,000
  
BB&T Corp., Series MTN
A-
2.150%
03/22/2017
02/22/17 @ 100
                        502,624
 
                         950,000
  
BB&T Corp., Series MTN
A-
1.600%
08/15/2017
07/14/17 @ 100
                        935,208
 
                       1,750,000
  
BNP Paribas SA, Series MTN (France)
A+
2.375%
09/14/2017
N/A
                      1,756,856
 
                       1,427,000
  
Capital One Financial Corp.
BBB
6.750%
09/15/2017
N/A
                      1,665,594
 
                      2,700,000
  
Citigroup, Inc.
A-
4.450%
01/10/2017
N/A
                    2,909,209
 
                      1,448,000
  
Citigroup, Inc.
BBB+
5.500%
02/15/2017
N/A
                       1,572,891
 
                        1,519,000
  
Citigroup, Inc.
A-
6.000%
08/15/2017
N/A
                      1,721,006
 
                     4,088,000
  
Citigroup, Inc.
A-
6.125%
11/21/2017
N/A
                     4,690,310
 
                         500,000
  
Comerica Bank
A-
5.200%
08/22/2017
N/A
                           551,187
 
                      3,100,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)
AA-
3.375%
01/19/2017
N/A
                     3,267,087
 
                      4,016,000
  
Deutsche Bank AG (Germany)
A
6.000%
09/01/2017
N/A
                      4,592,011
 
                         300,000
  
Fifth Third Bancorp
BBB-
5.450%
01/15/2017
N/A
                       329,342
 
                       2,150,000
  
Goldman Sachs Group, Inc.
BBB+
5.625%
01/15/2017
N/A
                    2,343,279
 
                     3,496,000
  
Goldman Sachs Group, Inc.
A-
6.250%
09/01/2017
N/A
                      3,953,501
 
                         500,000
  
HSBC Bank USA NA, Series BKNT
A
6.000%
08/09/2017
N/A
                        564,022
 
                          750,000
  
JPMorgan Chase Bank NA, Series BKNT
A
6.000%
07/05/2017
N/A
                        848,216
 
                      2,750,000
  
JPMorgan Chase Bank NA, Series BKNT
A
6.000%
10/01/2017
N/A
                     3,125,826
 
                         900,000
  
JPMorgan Chase & Co.
A-
6.125%
06/27/2017
N/A
                       1,016,719
 
                     2,200,000
  
JPMorgan Chase & Co.
A
2.000%
08/15/2017
N/A
                      2,189,015
 
                         600,000
  
Lloyds TSB Bank PLC (United Kingdom)
A
4.200%
03/28/2017
N/A
                        637,446
 
                       1,997,000
  
Morgan Stanley, Series GMTN
A-
5.450%
01/09/2017
N/A
                      2,175,260
 
                      2,100,000
  
Morgan Stanley
A-
4.750%
03/22/2017
N/A
                      2,254,791
 
                       1,700,000
  
Morgan Stanley, Series MTN
A-
5.550%
04/27/2017
N/A
                     1,873,086
 
                     2,300,000
  
Morgan Stanley, Series MTN
A-
6.250%
08/28/2017
N/A
                    2,599,846
 
                     2,000,000
  
Morgan Stanley, Series MTN
A-
5.950%
12/28/2017
N/A
                     2,241,058
 
                         500,000
  
National Bank of Canada, Series MTN (Canada)
A
1.450%
11/07/2017
10/07/17 @ 100
                       488,009
 
                         300,000
  
PNC Bank NA, Series BKNT
A-
5.250%
01/15/2017
N/A
                        332,124
 
                         800,000
  
PNC Bank NA, Series BKNT
A-
4.875%
09/21/2017
N/A
                       882,290
 
                         400,000
  
PNC Funding Corp.
BBB+
5.625%
02/01/2017
N/A
                       443,836
 
                      2,500,000
  
Royal Bank of Canada (Canada)
AAA
1.200%
09/19/2017
N/A
                    2,445,403
 
                         950,000
  
Sumitomo Mitsui Banking Corp. (Japan)
A+
1.800%
07/18/2017
N/A
                        943,213
 
                         500,000
  
SunTrust Banks, Inc.
BBB
3.500%
01/20/2017
12/20/16 @ 100
                        524,358
 
                         300,000
  
SunTrust Banks, Inc.
BBB
6.000%
09/11/2017
N/A
                         341,705
 
                      1,600,000
  
Svenska Handelsbanken AB (Sweden)
AA-
2.875%
04/04/2017
N/A
                      1,650,186
 
                      1,833,000
  
UBS AG, Series BKNT (Switzerland)
A
5.875%
12/20/2017
N/A
                      2,110,406
 
                         500,000
  
Union Bank NA, Series BKNT
A+
2.125%
06/16/2017
N/A
                        498,055
 
                         800,000
  
US Bancorp, Series MTN
A+
1.650%
05/15/2017
04/15/17 @ 100
                        796,503
 
                         900,000
  
Wachovia Bank NA, Series BKNT
A+
6.000%
11/15/2017
N/A
                     1,030,739
 
                       1,859,000
  
Wachovia Corp.
A+
5.750%
06/15/2017
N/A
                      2,119,202
 
                       1,700,000
  
Wells Fargo & Co., Series MTN
A+
2.100%
05/08/2017
N/A
                      1,722,132
 
                      3,816,000
  
Wells Fargo & Co.
A+
5.625%
12/11/2017
N/A
                    4,356,639
 
 
            
                    91,162,407
 
 
            
 
 
 
  
Beverages - 2.5%
        
 
 
                     2,200,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
1.375%
07/15/2017
N/A
                       2,177,241
 
                       1,270,000
  
Coca-Cola Co.
AA-
5.350%
11/15/2017
N/A
                       1,451,184
 
                        1,197,000
  
Diageo Capital PLC (United Kingdom)
A-
1.500%
05/11/2017
N/A
                       1,187,102
 
                       1,207,000
  
Diageo Capital PLC (United Kingdom)
A-
5.750%
10/23/2017
N/A
                      1,377,297
 
                      1,400,000
  
PepsiCo, Inc.
A-
1.250%
08/13/2017
N/A
                     1,369,665
 
 
            
                     7,562,489
 
 
            
 
 
 
  
Biotechnology - 1.2%
        
 
 
                      1,300,000
  
Amgen, Inc.
A
2.125%
05/15/2017
N/A
                      1,313,974
 
                       1,136,000
  
Amgen, Inc.
A
5.850%
06/01/2017
N/A
                     1,290,456
 
                      1,000,000
  
Celgene Corp.
BBB+
1.900%
08/15/2017
N/A
                        995,373
 
 
            
                    3,599,803
 
 
            
 
 
 
  
Chemicals - 1.2%
        
 
 
                      1,200,000
  
Eastman Chemical Co.
BBB
2.400%
06/01/2017
N/A
                        1,207,151
 
                         500,000
  
Ecolab, Inc.
BBB+
1.450%
12/08/2017
N/A
                        486,773
 
                         400,000
  
Potash Corp. of Saskatchewan, Inc. (Canada)
A-
3.250%
12/01/2017
N/A
                         411,944
 
                          775,000
  
Rohm & Haas Co.
BBB
6.000%
09/15/2017
N/A
                        886,225
 
                          675,000
  
Sherwin-Williams Co.
A
1.350%
12/15/2017
N/A
                        655,669
 
 
            
                     3,647,762
 
 
            
 
 
 
  
Commercial Services - 0.5%
        
 
 
                       1,100,000
  
ADT Corp.
BB-
2.250%
07/15/2017
N/A
                     1,035,404
 
                         500,000
  
Western Union Co.
BBB+
2.875%
12/10/2017
N/A
                        502,436
 
 
            
                      1,537,840
 
 
            
 
 
 
  
Computers - 2.5%
        
 
 
                         250,000
  
Hewlett-Packard Co.
BBB+
5.400%
03/01/2017
N/A
                        274,056
 
                      1,900,000
  
Hewlett-Packard Co.
BBB+
2.600%
09/15/2017
N/A
                      1,907,047
 
                      1,000,000
  
International Business Machines Corp.
AA-
1.250%
02/06/2017
N/A
                       989,663
 
                     3,046,000
  
International Business Machines Corp.
AA-
5.700%
09/14/2017
N/A
                     3,504,907
 
                         900,000
  
NetApp, Inc.
BBB+
2.000%
12/15/2017
N/A
                         878,168
 
 
            
                      7,553,841
 
 
            
 
 
 
  
Diversified Financial Services - 14.6%
        
 
 
                      1,398,000
  
American Express Co.
BBB+
6.150%
08/28/2017
N/A
                       1,616,158
 
                      1,800,000
  
American Express Credit Corp., Series MTN
A-
2.375%
03/24/2017
N/A
                     1,847,826
 
                       1,100,000
  
Bear Stearns Cos., LLC
A-
5.550%
01/22/2017
N/A
                      1,210,679
 
                       2,451,000
  
Bear Stearns Cos., LLC
A
6.400%
10/02/2017
N/A
                      2,831,184
 
                       1,100,000
  
BlackRock, Inc.
A+
6.250%
09/15/2017
N/A
                      1,283,641
 
                         300,000
  
Caterpillar Financial Services Corp., Series MTN
A
1.625%
06/01/2017
N/A
                       298,403
 
                      1,000,000
  
Caterpillar Financial Services Corp., Series MTNG
A
1.250%
11/06/2017
N/A
                         975,925
 
                          100,000
  
Eaton Vance Corp.
A-
6.500%
10/02/2017
N/A
                          114,891
 
                       1,250,000
  
Ford Motor Credit Co., LLC
BBB-
4.250%
02/03/2017
N/A
                       1,312,187
 
                       1,250,000
  
Ford Motor Credit Co., LLC
BBB-
3.000%
06/12/2017
N/A
                     1,260,526
 
                     2,000,000
  
Ford Motor Credit Co., LLC
BBB-
6.625%
08/15/2017
N/A
                     2,260,410
 
                      1,300,000
  
General Electric Capital Corp.
AA+
2.900%
01/09/2017
N/A
                     1,346,946
 
                       1,576,000
  
General Electric Capital Corp., Series MTN
AA+
5.400%
02/15/2017
N/A
                      1,760,589
 
                       1,850,000
  
General Electric Capital Corp., Series MTN
AA+
2.300%
04/27/2017
N/A
                      1,877,060
 
                     3,892,000
  
General Electric Capital Corp., Series MTN
AA+
5.625%
09/15/2017
N/A
                     4,407,507
 
                       1,500,000
  
General Electric Capital Corp., Series GMTN
AA+
1.600%
11/20/2017
N/A
                       1,472,157
 
                       1,750,000
  
International Lease Finance Corp.
BBB-
8.750%
03/15/2017
N/A
                      1,992,813
 
                      1,000,000
  
International Lease Finance Corp.
BBB-
8.875%
09/01/2017
N/A
                       1,143,750
 
                         500,000
  
John Deere Capital Corp., Series MTN
A
2.000%
01/13/2017
N/A
                        505,830
 
                         450,000
  
John Deere Capital Corp., Series MTN
A
1.400%
03/15/2017
N/A
                        446,580
 
                         300,000
  
John Deere Capital Corp., Series MTN
A
2.800%
09/18/2017
N/A
                         310,885
 
                         600,000
  
John Deere Capital Corp.
A
1.200%
10/10/2017
N/A
                         586,014
 
                       1,100,000
  
Merrill Lynch & Co., Inc.
BBB+
5.700%
05/02/2017
N/A
                       1,197,647
 
                     2,938,000
  
Merrill Lynch & Co., Inc., Series GMTN
A-
6.400%
08/28/2017
N/A
                     3,353,037
 
                       1,650,000
  
Murray Street Investment Trust I
A-
4.647%
03/09/2017
N/A
                      1,752,226
 
                         400,000
  
National Rural Utilities Cooperative Finance Corp.
A+
5.450%
04/10/2017
N/A
                        450,888
 
                         600,000
  
NYSE Euronext
A
2.000%
10/05/2017
N/A
                        596,902
 
                          100,000
  
ORIX Corp. (Japan)(a)
A-
3.750%
03/09/2017
N/A
                        102,809
 
                         400,000
  
PACCAR Financial Corp., Series MTN
A+
1.600%
03/15/2017
N/A
                        396,160
 
                      1,000,000
  
SLM Corp., Series MTN
BBB-
6.000%
01/25/2017
N/A
                     1,065,000
 
                         500,000
  
SLM Corp., Series MTN
BBB-
4.625%
09/25/2017
N/A
                        505,000
 
                      1,660,000
  
Toyota Motor Credit Corp., Series MTN
AA-
2.050%
01/12/2017
N/A
                     1,683,052
 
                         860,000
  
Toyota Motor Credit Corp., Series MTN
AA-
1.750%
05/22/2017
N/A
                         861,456
 
                      1,600,000
  
Toyota Motor Credit Corp., Series MTN
AA-
1.250%
10/05/2017
N/A
                      1,564,723
 
 
            
                  44,390,861
 
 
            
 
 
 
  
Electric - 1.4%
        
 
 
                         600,000
  
American Electric Power Co., Inc.
BBB-
1.650%
12/15/2017
11/15/17 @ 100
                          584,131
 
                         900,000
  
Duke Energy Corp.
BBB
1.625%
08/15/2017
N/A
                        890,549
 
                         652,000
  
Exelon Generation Co., LLC
BBB
6.200%
10/01/2017
N/A
                        744,769
 
                        1,170,000
  
Pacific Gas & Electric Co.
BBB
5.625%
11/30/2017
N/A
                      1,339,737
 
                          570,000
  
Virginia Electric & Power Co.
A-
5.950%
09/15/2017
N/A
                        661,444
 
 
            
                    4,220,630
 
 
            
 
 
 
  
Electronics - 0.3%
        
 
 
                          810,000
  
Agilent Technologies, Inc.
BBB+
6.500%
11/01/2017
N/A
                        929,074
 
 
            
 
 
 
  
Engineering & Construction - 0.2%
        
 
 
                         560,000
  
ABB Finance USA, Inc.
A
1.625%
05/08/2017
N/A
                         556,476
 
 
            
 
 
 
  
Food - 2.2%
        
 
 
                          100,000
  
ConAgra Foods, Inc.
BBB-
5.819%
06/15/2017
N/A
                          112,072
 
                        1,150,000
  
General Mills Inc.
BBB+
5.700%
02/15/2017
N/A
                      1,294,918
 
                      1,000,000
  
Kraft Foods Group, Inc.
BBB
2.250%
06/05/2017
N/A
                      1,014,323
 
                          570,000
  
Kroger Co.
BBB
6.400%
08/15/2017
N/A
                         655,252
 
                      1,699,000
  
Mondelez International, Inc.
BBB-
6.500%
08/11/2017
N/A
                     1,969,844
 
                         700,000
  
Safeway, Inc.
BBB
6.350%
08/15/2017
N/A
                        797,440
 
                          750,000
  
Unilever Capital Corp.
A+
0.850%
08/02/2017
N/A
                         723,707
 
 
            
                      6,567,556
 
 
            
 
 
 
  
Gas - 0.0%***
        
 
 
                          150,000
  
Sempra Energy
BBB+
2.300%
04/01/2017
N/A
                          151,945
 
 
            
 
 
 
  
Health Care Products - 0.9%
        
 
 
                         500,000
  
Baxter International, Inc.
A
1.850%
01/15/2017
N/A
                        502,395
 
                       1,213,000
  
Covidien International Finance SA (Luxembourg)
A
6.000%
10/15/2017
N/A
                       1,397,715
 
                         800,000
  
Hospira, Inc.
BBB-
6.050%
03/30/2017
N/A
                       862,229
 
 
            
                    2,762,339
 
 
            
 
 
 
  
Health Care Services - 0.7%
        
 
 
                         500,000
  
Aetna, Inc.
A-
1.500%
11/15/2017
10/15/17 @ 100
                        485,996
 
                         330,000
  
Laboratory Corp. of America Holdings
BBB
2.200%
08/23/2017
N/A
                        326,867
 
                         800,000
  
UnitedHealth Group, Inc.
A
1.400%
10/15/2017
N/A
                         781,064
 
                          570,000
  
WellPoint, Inc.
A-
5.875%
06/15/2017
N/A
                         645,681
 
 
            
                    2,239,608
 
 
            
 
 
 
  
Household Products & Housewares - 0.3%
        
 
 
                          759,000
  
Kimberly-Clark Corp.
A
6.125%
08/01/2017
N/A
                         882,175
 
 
            
 
 
 
  
Insurance - 2.5%
        
 
 
                         300,000
  
ACE INA Holdings, Inc.
A
5.700%
02/15/2017
N/A
                         337,377
 
                         450,000
  
Aflac, Inc.
A-
2.650%
02/15/2017
N/A
                        460,921
 
                      1,200,000
  
American International Group, Inc.
A-
3.800%
03/22/2017
N/A
                      1,270,956
 
                      1,000,000
  
American International Group, Inc., Series MTN
A-
5.450%
05/18/2017
N/A
                       1,112,006
 
                         300,000
  
American International Group, Inc.
A-
8.250%
08/15/2018
N/A
                         371,905
 
                       1,500,000
  
Berkshire Hathaway Finance Corp.
AA
1.600%
05/15/2017
N/A
                      1,505,226
 
                         800,000
  
Berkshire Hathaway, Inc.
AA
1.900%
01/31/2017
N/A
                         810,506
 
                         300,000
  
Hartford Financial Services Group, Inc.
BBB
5.375%
03/15/2017
N/A
                         329,561
 
                         500,000
  
MetLife, Inc.
A-
1.756%
12/15/2017
N/A
                        493,132
 
                         920,000
  
Prudential Financial, Inc., Series MTN
A
6.000%
12/01/2017
N/A
                      1,060,213
 
 
            
                      7,751,803
 
 
            
 
 
 
  
Internet - 0.8%
        
 
 
                         800,000
  
Amazon.com, Inc.
AA-
1.200%
11/29/2017
N/A
                         775,330
 
                      1,000,000
  
eBay, Inc.
A
1.350%
07/15/2017
N/A
                        986,875
 
                          550,000
  
Symantec Corp.
BBB
2.750%
06/15/2017
05/15/17 @ 100
                        554,963
 
 
            
                      2,317,168
 
 
            
 
 
 
  
Iron & Steel - 0.3%
        
 
 
                           40,000
  
ArcelorMittal (Luxembourg)
BB+
5.000%
02/25/2017
N/A
                            41,100
 
                         730,000
  
Nucor Corp.
A
5.750%
12/01/2017
N/A
                        829,474
 
 
            
                         870,574
 
 
            
 
 
 
  
Leisure Time - 0.2%
        
 
 
                         700,000
  
Carnival Corp. (Panama)
BBB+
1.875%
12/15/2017
N/A
                       680,886
 
 
            
 
 
 
  
Lodging - 0.3%
        
 
 
                         850,000
  
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp.
BBB-
5.375%
03/15/2022
03/15/17 @ 103
                        843,625
 
 
            
 
 
 
  
Machinery-Construction & Mining - 0.2%
        
 
 
                          550,000
  
Caterpillar, Inc.
A
1.500%
06/26/2017
N/A
                        543,698
 
 
            
 
 
 
  
Media - 3.8%
        
 
 
                          712,000
  
Comcast Cable Communications, LLC
A-
8.875%
05/01/2017
N/A
                        886,478
 
                      1,400,000
  
Comcast Corp.
A-
6.500%
01/15/2017
N/A
                      1,621,456
 
                      1,269,000
  
Comcast Corp.
A-
6.300%
11/15/2017
N/A
                     1,492,905
 
                       1,500,000
  
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc.
BBB
2.400%
03/15/2017
N/A
                       1,491,321
 
                      2,458,000
  
Time Warner Cable, Inc.
BBB
5.850%
05/01/2017
N/A
                    2,678,030
 
                         500,000
  
Time Warner Cos., Inc.
BBB
7.250%
10/15/2017
N/A
                         599,750
 
                         300,000
  
Viacom, Inc.
BBB
3.500%
04/01/2017
N/A
                         312,353
 
                         600,000
  
Viacom, Inc.
BBB
6.125%
10/05/2017
N/A
                        684,355
 
                         500,000
  
Walt Disney Co., Series MTN
A
1.125%
02/15/2017
N/A
                        490,378
 
                      1,400,000
  
Walt Disney Co., Series MTN
A
1.100%
12/01/2017
N/A
                     1,366,200
 
 
            
                   11,623,226
 
 
            
 
 
 
  
Mining - 1.1%
        
 
 
                         946,000
  
Alcoa, Inc.
BBB-
5.550%
02/01/2017
N/A
                     1,006,076
 
                         600,000
  
Freeport-McMoRan Copper & Gold, Inc.
BBB
2.150%
03/01/2017
N/A
                         588,051
 
                         480,000
  
Rio Tinto Finance USA PLC (United Kingdom)
A-
2.000%
03/22/2017
02/22/17 @ 100
                        478,650
 
                      1,280,000
  
Rio Tinto Finance USA PLC (United Kingdom)
A-
1.625%
08/21/2017
07/21/17 @ 100
                       1,251,149
 
 
            
                    3,323,926
 
 
            
 
 
 
  
Miscellaneous Manufacturing - 2.0%
        
 
 
                         600,000
  
3M Co., Series MTN
AA-
1.000%
06/26/2017
N/A
                         584,518
 
                     4,409,000
  
General Electric Co.
AA+
5.250%
12/06/2017
N/A
                       4,991,711
 
                         434,000
  
Tyco Electronics Group SA (Luxembourg)
BBB+
6.550%
10/01/2017
N/A
                        497,069
 
 
            
                    6,073,298
 
 
            
 
 
 
  
Office & Business Equipment - 0.7%
        
 
 
                         470,000
  
Pitney Bowes, Inc., Series MTN(a)
BBB
5.750%
09/15/2017
N/A
                        509,539
 
                         800,000
  
Xerox Corp.
BBB-
6.750%
02/01/2017
N/A
                        912,209
 
                         600,000
  
Xerox Corp.
BBB-
2.950%
03/15/2017
N/A
                        613,088
 
 
            
                    2,034,836
 
 
            
 
 
 
  
Oil & Gas - 8.4%
        
 
 
                     2,342,000
  
Anadarko Petroleum Corp.
BBB-
6.375%
09/15/2017
N/A
                      2,712,729
 
                         300,000
  
Apache Corp.
A-
5.625%
01/15/2017
N/A
                        337,962
 
                       1,500,000
  
BP Capital Markets PLC (United Kingdom)
A
1.846%
05/05/2017
N/A
                        1,501,761
 
                         800,000
  
BP Capital Markets PLC (United Kingdom)
A
1.375%
11/06/2017
N/A
                        780,009
 
                      1,280,000
  
Canadian Natural Resources Ltd. (Canada)
BBB+
5.700%
05/15/2017
N/A
                       1,441,357
 
                     2,000,000
  
Chevron Corp.
AA
1.104%
12/05/2017
11/05/17 @ 100
                     1,947,090
 
                      1,300,000
  
ConocoPhillips Co.
A
1.050%
12/15/2017
11/15/17 @ 100
                       1,255,710
 
                         780,000
  
Devon Energy Corp.
BBB+
1.875%
05/15/2017
04/15/17 @ 100
                          770,154
 
                         580,000
  
Encana Corp. (Canada)
BBB
5.900%
12/01/2017
N/A
                        659,259
 
                          813,000
  
EOG Resources, Inc.
A-
5.875%
09/15/2017
N/A
                       934,240
 
                          787,000
  
Marathon Oil Corp.
BBB
6.000%
10/01/2017
N/A
                         902,119
 
                         500,000
  
Murphy Oil Corp.
BBB
2.500%
12/01/2017
N/A
                       493,984
 
                       1,700,000
  
Occidental Petroleum Corp.
A
1.750%
02/15/2017
N/A
                       1,701,550
 
                      1,300,000
  
Phillips 66
BBB
2.950%
05/01/2017
N/A
                     1,340,867
 
                      1,000,000
  
Plains Exploration & Production Co.
BBB
6.750%
02/01/2022
02/01/17 @ 103
                     1,064,929
 
                         800,000
  
Shell International Finance BV (Netherlands)
AA
5.200%
03/22/2017
N/A
                         899,145
 
                        1,150,000
  
Shell International Finance BV (Netherlands)
AA
1.125%
08/21/2017
N/A
                      1,132,054
 
                        1,170,000
  
Statoil ASA (Norway)
AA-
3.125%
08/17/2017
N/A
                       1,233,771
 
                       1,050,000
  
Total Capital International SA (France)
AA-
1.500%
02/17/2017
N/A
                     1,048,358
 
                      1,400,000
  
Total Capital International SA (France)
AA-
1.550%
06/28/2017
N/A
                     1,390,599
 
                      1,000,000
  
Transocean, Inc. (Cayman Islands)
BBB-
2.500%
10/15/2017
N/A
                          991,771
 
                         832,000
  
Valero Energy Corp.
BBB
6.125%
06/15/2017
N/A
                        947,050
 
 
            
                  25,486,468
 
 
            
 
 
 
  
Oil & Gas Services - 0.2%
        
 
 
                         300,000
  
National Oilwell Varco, Inc.
A-
1.350%
12/01/2017
N/A
                         291,841
 
                         320,000
  
Weatherford International, Inc.
BBB-
6.350%
06/15/2017
N/A
                         359,186
 
 
            
                         651,027
 
 
            
 
 
 
  
Pharmaceuticals - 4.0%
        
 
 
                        1,125,000
  
Actavis, Inc.
BBB
1.875%
10/01/2017
N/A
                       1,108,556
 
                      1,982,000
  
AstraZeneca PLC (United Kingdom)
AA-
5.900%
09/15/2017
N/A
                    2,292,684
 
                         800,000
  
Bristol-Myers Squibb Co.
A+
0.875%
08/01/2017
N/A
                         775,086
 
                         870,000
  
ELI Lilly & Co.
AA-
5.200%
03/15/2017
N/A
                        975,339
 
                       1,500,000
  
Express Scripts Holding Co.
BBB+
2.650%
02/15/2017
N/A
                       1,537,201
 
                      2,100,000
  
GlaxoSmithKline Capital PLC (United Kingdom)
A+
1.500%
05/08/2017
N/A
                    2,084,897
 
                         746,000
  
Johnson & Johnson
AAA
5.550%
08/15/2017
N/A
                          854,119
 
                          570,000
  
McKesson Corp.
A-
5.700%
03/01/2017
N/A
                         641,704
 
                         800,000
  
Merck & Co., Inc.
AA
6.000%
09/15/2017
N/A
                        928,201
 
                         500,000
  
Pfizer, Inc.
AA
0.900%
01/15/2017
N/A
                        495,698
 
                         500,000
  
Wyeth, LLC
AA
5.450%
04/01/2017
N/A
                         567,457
 
 
            
                  12,260,942
 
 
            
 
 
 
  
Pipelines - 0.7%
        
 
 
                         500,000
  
DCP Midstream Operating, LP
BBB-
2.500%
12/01/2017
11/01/17 @ 100
                        492,213
 
                         720,000
  
Enterprise Products Operating, LLC, Series L
BBB+
6.300%
09/15/2017
N/A
                        831,003
 
                         350,000
  
Kinder Morgan Energy Partners, LP
BBB
6.000%
02/01/2017
N/A
                        396,077
 
                         500,000
  
Williams Partners, LP/Williams Partners Finance Corp.
BBB
7.250%
02/01/2017
N/A
                        580,744
 
 
            
                    2,300,037
 
 
            
 
 
 
  
Real Estate Investment Trusts - 1.0%
        
 
 
                         300,000
  
American Tower Corp.
BBB-
7.000%
10/15/2017
N/A
                        341,683
 
                         600,000
  
ERP Operating, LP
BBB+
5.750%
06/15/2017
N/A
                        673,268
 
                          570,000
  
HCP, Inc.
BBB+
6.000%
01/30/2017
N/A
                         638,187
 
                         400,000
  
Simon Property Group, LP
A
2.800%
01/30/2017
10/30/16 @ 100
                         410,937
 
                         350,000
  
Simon Property Group, LP
A
5.875%
03/01/2017
12/01/16 @ 100
                        394,189
 
                         500,000
  
Simon Property Group, LP(a)
A
2.150%
09/15/2017
06/15/17 @ 100
                        503,039
 
 
            
                     2,961,303
 
 
            
 
 
 
  
Retail - 3.7%
        
 
 
                          877,000
  
Costco Wholesale Corp.
A+
5.500%
03/15/2017
N/A
                        995,394
 
                      1,400,000
  
Costco Wholesale Corp.
A+
1.125%
12/15/2017
N/A
                     1,359,980
 
                      1,686,000
  
CVS Caremark Corp.
BBB+
5.750%
06/01/2017
N/A
                     1,924,230
 
                         290,000
  
Darden Restaurants, Inc.
BBB
6.200%
10/15/2017
N/A
                       323,224
 
                         400,000
  
Dollar General Corp.
BBB-
4.125%
07/15/2017
N/A
                        420,418
 
                         500,000
  
Kohl's Corp.
BBB+
6.250%
12/15/2017
N/A
                           571,176
 
                         500,000
  
Lowe's Cos., Inc.
A-
1.625%
04/15/2017
03/15/17 @ 100
                         499,517
 
                         680,000
  
McDonald's Corp., Series GMTN
A
5.800%
10/15/2017
N/A
                         785,770
 
                         650,000
  
Starbucks Corp.
A-
6.250%
08/15/2017
N/A
                        748,862
 
                         969,000
  
Target Corp.
A+
5.375%
05/01/2017
N/A
                     1,098,268
 
                       1,050,000
  
Walgreen Co.
BBB
1.800%
09/15/2017
N/A
                      1,043,017
 
                      1,208,000
  
Wal-Mart Stores, Inc.(a)
AA
5.375%
04/05/2017
N/A
                     1,368,322
 
 
            
                      11,138,178
 
 
            
 
 
 
  
Semiconductors - 1.1%
        
 
 
                         350,000
  
Altera Corp.
A-
1.750%
05/15/2017
N/A
                         346,125
 
                     3,200,000
  
Intel Corp.
A+
1.350%
12/15/2017
N/A
                     3,136,726
 
 
            
                     3,482,851
 
 
            
 
 
 
  
Software - 1.7%
        
 
 
                         800,000
  
Fidelity National Information Services, Inc.
BBB-
5.000%
03/15/2022
03/15/17 @ 103
                       823,438
 
                         670,000
  
Fiserv, Inc.
BBB-
6.800%
11/20/2017
N/A
                         778,476
 
                         300,000
  
Intuit, Inc.
BBB
5.750%
03/15/2017
N/A
                       333,234
 
                         500,000
  
Microsoft Corp.
AAA
0.875%
11/15/2017
N/A
                        485,895
 
                     2,900,000
  
Oracle Corp.
A+
1.200%
10/15/2017
N/A
                    2,826,540
 
 
            
                     5,247,583
 
 
            
 
 
 
  
Telecommunications - 4.1%
        
 
 
                       1,070,000
  
AT&T, Inc.
A-
1.600%
02/15/2017
N/A
                      1,063,851
 
                      1,200,000
  
AT&T, Inc.
A-
1.700%
06/01/2017
N/A
                      1,193,407
 
                     2,000,000
  
AT&T, Inc.
A-
1.400%
12/01/2017
N/A
                      1,945,670
 
                         400,000
  
CC Holdings GS V, LLC / Crown Castle GS III Corp.
BB+
2.381%
12/15/2017
N/A
                        392,447
 
                         300,000
  
CenturyLink, Inc., Series N
BB
6.000%
04/01/2017
N/A
                        322,500
 
                         500,000
  
Cisco Systems, Inc.
A+
3.150%
03/14/2017
N/A
                         526,767
 
                         400,000
  
Nippon Telegraph & Telephone Corp. (Japan)
AA
1.400%
07/18/2017
N/A
                       393,269
 
                         500,000
  
Qwest Corp.
BBB-
6.500%
06/01/2017
N/A
                        562,325
 
                      1,000,000
  
Telefonica Emisiones SAU (Spain)
BBB
6.221%
07/03/2017
N/A
                     1,096,222
 
                          759,000
  
Verizon Communications, Inc.
BBB+
5.500%
04/01/2017
N/A
                         852,576
 
                         500,000
  
Verizon Communications, Inc.
BBB+
1.100%
11/01/2017
N/A
                       482,284
 
                       1,681,000
  
Vodafone Group PLC (United Kingdom)
A-
5.625%
02/27/2017
N/A
                       1,878,571
 
                         900,000
  
Vodafone Group PLC (United Kingdom)
A-
1.625%
03/20/2017
N/A
                        888,437
 
                      1,000,000
  
Vodafone Group PLC (United Kingdom)
A-
1.250%
09/26/2017
N/A
                        961,323
 
 
            
                   12,559,649
 
 
            
 
 
 
  
Transportation - 0.5%
        
 
 
                         830,000
  
Burlington Northern Santa Fe, LLC
BBB+
5.650%
05/01/2017
N/A
                         937,745
 
                         500,000
  
Norfolk Southern Corp.
BBB+
7.700%
05/15/2017
N/A
                        601,929
 
 
            
                      1,539,674
 
 
            
 
 
 
  
Water - 0.3%
        
 
 
                          795,000
  
American Water Capital Corp.
A-
6.085%
10/15/2017
N/A
                         915,660
 
 
            
 
 
 
  
Total Corporate Bonds - 98.6%
        
 
 
 
  
(Cost $299,778,174)
        
               300,326,596
                 
  Number of              
  Shares   Description         Value
     
Investments of Collateral for Securities Loaned - 0.6%
          
 
1,734,330
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(b) (c)
        
 $       1,734,330
     
(Cost $1,734,330)
          
                 
     
Total Investments - 99.2%
          
     
(Cost $301,512,504)
        
               302,060,926
     
Other Assets in excess of Liabilities - 0.8%
        
2,460,036
     
Net Assets  - 100.0%
        
 $   304,520,962
 
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 August 31, 2013.
  
(b)
At August 31, 2013, the total market value of the Fund's securities on loan was $1,690,674 and the total market value of the collateral held by the Fund was $1,734,330.
(c)
Interest rate shown reflects yield as of August 31, 2013.
  
     
See previously submitted notes to financial statements for the period ended May 31, 2013.
  
 
 
 
 
 
 
 
 
Country Breakdown
% of Corporate Bonds
United States
83.1%
United Kingdom
5.1%
Canada
3.4%
Netherlands
1.8%
Germany
1.5%
France
1.4%
Switzerland
0.7%
Luxembourg
0.6%
Sweden
0.6%
Japan
0.5%
Norway
0.4%
Spain
0.4%
Cayman Islands
0.3%
Panama
0.2%
Subject to change daily.
  
 
At August 31, 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
  
$ 301,512,504   $ 3,008,736   $ (2,460,314 ) $ 548,422  
 
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 investment management, fund administration, legal and compliance
is responsible for the oversight of the valuation process of the Fund 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, unchanged 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 as described above. The fair value value estimates for Level 3 securities are determined in accordance with the Fund's valuation procedures. The Fund
did not have any Level 3 securities at August 31, 2013.
                    
                         
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                         
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 300,327     $ -     $ 300,327  
Investments of Collateral for Securities Loaned
   1,734       -       -       1,734  
Total
 $ 1,734     $ 300,327     $ -     $ 302,061  
 
During the three months ended August 31, 2013, there were no transfers between levels.
    
 
 
 
 
 
 
 
BSCI Guggenheim BulletShares 2018 Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 98.6%
          
     
Aerospace & Defense - 0.4%
          
 
$550,000
  
Northrop Grumman Corp.
BBB
1.750%
06/01/2018
N/A
$535,215
                 
     
Agriculture - 2.5%
          
 
818,000
  
Altria Group, Inc.
BBB
9.700%
11/10/2018
N/A
1,072,995
 
420,000
  
Archer Daniels Midland Co.
A
5.450%
03/15/2018
N/A
480,221
 
1,355,000
  
Philip Morris International, Inc.
A
5.650%
05/16/2018
N/A
1,562,978
               
3,116,194
                 
     
Banks - 26.7%
          
 
1,900,000
  
Bank of America Corp.
A-
2.000%
01/11/2018
N/A
1,846,302
 
1,750,000
  
Bank of America Corp., Series MTNL
A-
5.650%
05/01/2018
N/A
1,951,437
 
500,000
  
Bank of Montreal, Series MTN (Canada)
A+
1.450%
04/09/2018
03/09/18 @ 100
485,137
 
250,000
  
Bank of New York Mellon Corp.
A+
1.300%
01/25/2018
12/25/17 @ 100
242,449
 
500,000
  
Bank of Nova Scotia (Canada)
A+
1.450%
04/25/2018
N/A
484,783
 
200,000
  
BB&T Corp., Series MTN
A-
1.450%
01/12/2018
12/12/17 @ 100
193,784
 
500,000
  
BB&T Corp., Series MTN
A-
2.050%
06/19/2018
05/15/18 @ 100
494,299
 
700,000
  
Canadian Imperial Bank of Commerce (Canada)
A+
1.550%
01/23/2018
12/23/17 @ 100
681,582
 
500,000
  
Capital One NA, Series BKNT
BBB+
1.500%
03/22/2018
02/22/18 @ 100
480,669
 
1,000,000
  
Citigroup, Inc.
A-
1.750%
05/01/2018
N/A
962,836
 
1,105,000
  
Citigroup, Inc.
A-
6.125%
05/15/2018
N/A
1,269,058
 
1,000,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)(a)
AA-
1.700%
03/19/2018
N/A
976,057
 
450,000
  
Credit Suisse (Switzerland)
BBB
6.000%
02/15/2018
N/A
504,727
 
300,000
  
Discover Bank
BBB
2.000%
02/21/2018
N/A
290,705
 
360,000
  
Fifth Third Bancorp
BBB-
4.500%
06/01/2018
N/A
385,771
 
250,000
  
Fifth Third Bank, Series BKNT
BBB+
1.450%
02/28/2018
01/28/18 @ 100
240,654
 
1,400,000
  
Goldman Sachs Group, Inc.
A-
5.950%
01/18/2018
N/A
1,567,742
 
1,200,000
  
Goldman Sachs Group, Inc., Series GLOB
A-
2.375%
01/22/2018
N/A
1,179,458
 
1,725,000
  
Goldman Sachs Group, Inc.
A-
6.150%
04/01/2018
N/A
1,952,150
 
500,000
  
Goldman Sachs Group, Inc.
A-
2.900%
07/19/2018
N/A
499,934
 
700,000
  
HBOS PLC, Series REGS (United Kingdom)
BB+
6.750%
05/21/2018
N/A
768,778
 
500,000
  
HSBC USA, Inc.
A+
1.625%
01/16/2018
N/A
485,399
 
1,000,000
  
Intesa Sanpaolo SpA (Italy)
BBB
3.875%
01/16/2018
N/A
976,119
 
1,975,000
  
JPMorgan Chase & Co.
A
6.000%
01/15/2018
N/A
2,262,155
 
500,000
  
JPMorgan Chase & Co.
A
1.800%
01/25/2018
N/A
487,722
 
1,100,000
  
JPMorgan Chase & Co.
A
1.625%
05/15/2018
N/A
1,054,646
 
300,000
  
Key Bank NA, Series BKNT
A-
1.650%
02/01/2018
N/A
292,211
 
2,300,000
  
Morgan Stanley, Series GMTN
A-
6.625%
04/01/2018
N/A
2,638,588
 
1,000,000
  
Morgan Stanley
A-
2.125%
04/25/2018
N/A
966,466
 
156,000
  
Regions Bank, Series BKNT
BBB-
7.500%
05/15/2018
N/A
182,587
 
500,000
  
Regions Financial Corp.
BBB-
2.000%
05/15/2018
04/15/18 @ 100
478,829
 
500,000
  
Royal Bank of Canada, Series MTN (Canada)
AA-
1.500%
01/16/2018
N/A
489,137
 
1,000,000
  
Royal Bank of Canada, Series GMTN (Canada)
AA-
2.200%
07/27/2018
N/A
998,952
 
200,000
  
Royal Bank of Scotland NV (Netherlands)
BBB-
4.650%
06/04/2018
N/A
201,448
 
250,000
  
Sumitomo Mitsui Banking Corp. (Japan)
A+
1.500%
01/18/2018
N/A
241,906
 
500,000
  
Svenska Handelsbanken AB (Sweden)
AA-
1.625%
03/21/2018
N/A
485,477
 
500,000
  
Toronto-Dominion Bank, Series MTN (Canada)
AA-
1.400%
04/30/2018
N/A
485,589
 
1,244,000
  
UBS AG, Series BKNT (Switzerland)
A
5.750%
04/25/2018
N/A
1,429,855
 
1,075,000
  
Wachovia Corp., Series MTN
A+
5.750%
02/01/2018
N/A
1,232,794
 
900,000
  
Wells Fargo & Co.
A+
1.500%
01/16/2018
N/A
877,496
               
33,725,688
                 
     
Beverages - 2.7%
          
 
200,000
  
Anheuser-Busch Cos., LLC
A
5.500%
01/15/2018
N/A
229,067
 
450,000
  
Anheuser-Busch InBev Finance, Inc.
A
1.250%
01/17/2018
N/A
437,750
 
260,000
  
Coca-Cola Co.
AA-
1.650%
03/14/2018
N/A
258,284
 
400,000
  
Coca-Cola Co.
AA-
1.150%
04/01/2018
N/A
388,592
 
300,000
  
Dr Pepper Snapple Group, Inc.
BBB
6.820%
05/01/2018
N/A
358,031
 
900,000
  
PepsiCo, Inc.
A-
5.000%
06/01/2018
N/A
1,012,679
 
525,000
  
PepsiCo, Inc.
A-
7.900%
11/01/2018
N/A
665,601
               
3,350,004
                 
     
Biotechnology - 0.4%
          
 
100,000
  
Amgen, Inc.
A
6.150%
06/01/2018
N/A
116,200
 
300,000
  
Biogen IDEC, Inc.
A-
6.875%
03/01/2018
N/A
352,580
               
468,780
                 
     
Chemicals - 1.2%
          
 
280,000
  
CF Industries, Inc.
BBB-
6.875%
05/01/2018
N/A
326,769
 
250,000
  
Dow Chemical Co.
BBB
5.700%
05/15/2018
N/A
286,980
 
510,000
  
EI du Pont de Nemours & Co.
A
6.000%
07/15/2018
N/A
600,863
 
250,000
  
PPG Industries, Inc.
BBB+
6.650%
03/15/2018
N/A
292,953
               
1,507,565
                 
     
Commercial Services - 0.2%
          
 
300,000
  
Total System Services, Inc.
BBB+
2.375%
06/01/2018
N/A
290,571
                 
     
Computers - 4.0%
          
 
1,700,000
  
Apple, Inc.
AA+
1.000%
05/03/2018
N/A
1,625,977
 
505,000
  
Computer Sciences Corp.
BBB
6.500%
03/15/2018
N/A
570,573
 
1,100,000
  
EMC Corp.
A
1.875%
06/01/2018
N/A
1,087,775
 
300,000
  
Hewlett-Packard Co.
BBB+
5.500%
03/01/2018
N/A
334,178
 
500,000
  
IBM Corp.
AA-
1.250%
02/08/2018
N/A
487,256
 
750,000
  
IBM Corp.
AA-
7.625%
10/15/2018
N/A
945,961
               
5,051,720
                 
     
Diversified Financial Services - 12.6%
          
 
675,000
  
American Express Co.
BBB+
7.000%
03/19/2018
N/A
808,970
 
500,000
  
American Express Co.
BBB+
1.550%
05/22/2018
N/A
484,587
 
411,000
  
Associates Corp. of North America
A-
6.950%
11/01/2018
N/A
482,999
 
890,000
  
Bear Stearns Cos., LLC
A
7.250%
02/01/2018
N/A
1,059,044
 
400,000
  
Bear Stearns Cos., LLC
A2
4.650%
07/02/2018
N/A
433,120
 
300,000
  
Caterpillar Financial Services Corp., Series MTN
A
5.450%
04/15/2018
N/A
342,771
 
400,000
  
Caterpillar Financial Services Corp., Series MTN
A
7.050%
10/01/2018
N/A
489,552
 
500,000
  
Ford Motor Credit Co., LLC
BB+
2.375%
01/16/2018
N/A
487,047
 
700,000
  
Ford Motor Credit Co., LLC
BB+
5.000%
05/15/2018
N/A
754,417
 
500,000
  
General Electric Capital Corp.(a)
AA+
1.625%
04/02/2018
N/A
488,350
 
1,825,000
  
General Electric Capital Corp., Series GMTN
AA+
5.625%
05/01/2018
N/A
2,084,243
 
500,000
  
International Lease Finance Corp.
BBB-
3.875%
04/15/2018
N/A
478,437
 
420,000
  
Jefferies Group, LLC
BBB
5.125%
04/13/2018
N/A
448,365
 
100,000
  
John Deere Capital Corp., Series MTN
A
5.350%
04/03/2018
N/A
113,633
 
300,000
  
John Deere Capital Corp., Series MTN
A
5.750%
09/10/2018
N/A
348,402
 
2,725,000
  
Merrill Lynch & Co., Inc., Series MTN
A-
6.875%
04/25/2018
N/A
3,172,235
 
500,000
  
Merrill Lynch & Co., Inc.
A-
6.500%
07/15/2018
N/A
573,409
 
300,000
  
Merrill Lynch & Co., Inc.
A-
6.875%
11/15/2018
N/A
352,633
 
250,000
  
National Rural Utilities Cooperative Finance Corp.
A+
5.450%
02/01/2018
N/A
285,032
 
624,000
  
National Rural Utilities Cooperative Finance Corp.
A+
10.375%
11/01/2018
N/A
858,359
 
875,000
  
SLM Corp., Series MTN
BBB-
8.450%
06/15/2018
N/A
1,001,875
 
400,000
  
Toyota Motor Credit Corp., Series MTN
AA-
1.375%
01/10/2018
N/A
391,562
               
15,939,042
                 
     
Electric - 4.0%
          
 
120,000
  
Commonwealth Edison Co.
A-
5.800%
03/15/2018
N/A
139,179
 
420,000
  
Consolidated Edison Co. of New York, Inc., Series 08-A
A-
5.850%
04/01/2018
N/A
489,261
 
400,000
  
Consolidated Edison Co. of New York, Inc.
A-
7.125%
12/01/2018
N/A
494,891
 
300,000
  
Dominion Resources, Inc.
A-
6.400%
06/15/2018
N/A
354,556
 
200,000
  
Duke Energy Carolinas, LLC, Series C
A
7.000%
11/15/2018
N/A
245,189
 
100,000
  
Duke Energy Florida, Inc.
A
5.650%
06/15/2018
N/A
115,304
 
200,000
  
MidAmerican Energy Holdings Co.
BBB+
5.750%
04/01/2018
N/A
230,696
 
200,000
  
Nevada Power Co.
BBB+
6.500%
08/01/2018
N/A
238,726
 
243,000
  
NiSource Finance Corp.
BBB-
6.400%
03/15/2018
N/A
280,823
 
550,000
  
Northern States Power Co.
A
5.250%
03/01/2018
N/A
627,582
 
150,000
  
Oncor Electric Delivery Co., LLC
A
6.800%
09/01/2018
N/A
179,279
 
365,000
  
Pacific Gas & Electric Co.
BBB
8.250%
10/15/2018
N/A
465,248
 
350,000
  
PacifiCorp
A
5.650%
07/15/2018
N/A
407,608
 
400,000
  
PECO Energy Co.
A-
5.350%
03/01/2018
N/A
458,691
 
100,000
  
TransAlta Corp. (Canada)
BBB-
6.650%
05/15/2018
N/A
112,725
 
220,000
  
Virginia Electric & Power Co.
A-
5.400%
04/30/2018
N/A
252,937
               
5,092,695
                 
     
Electronics - 1.0%
          
 
360,000
  
Honeywell International, Inc.
A
5.300%
03/01/2018
N/A
410,221
 
570,000
  
Koninklijke Philips NV (Netherlands)
A-
5.750%
03/11/2018
N/A
653,822
 
150,000
  
Thermo Fisher Scientific, Inc.
BBB
1.850%
01/15/2018
N/A
145,615
               
1,209,658
                 
     
Environmental Control - 0.6%
          
 
250,000
  
Republic Services, Inc.
BBB
3.800%
05/15/2018
N/A
264,503
 
450,000
  
Waste Management, Inc.
BBB
6.100%
03/15/2018
N/A
518,680
               
783,183
                 
     
Food - 2.1%
          
 
650,000
  
ConAgra Foods, Inc.
BBB-
1.900%
01/25/2018
N/A
639,131
 
450,000
  
Kraft Foods Group, Inc.
BBB
6.125%
08/23/2018
N/A
526,142
 
525,000
  
Mondelez International, Inc.
BBB-
6.125%
02/01/2018
N/A
604,561
 
680,000
  
Mondelez International, Inc.
BBB-
6.125%
08/23/2018
N/A
787,824
 
100,000
  
SYSCO Corp.
A
5.250%
02/12/2018
N/A
113,037
               
2,670,695
                 
     
Forest Products & Paper - 1.0%
          
 
1,010,000
  
International Paper Co.
BBB
7.950%
06/15/2018
N/A
1,248,552
                 
     
Gas - 0.1%
          
 
100,000
  
Sempra Energy
BBB+
6.150%
06/15/2018
N/A
115,836
                 
     
Health Care Products - 1.5%
          
 
150,000
  
Baxter International, Inc.
A
5.375%
06/01/2018
N/A
170,212
 
500,000
  
Baxter International, Inc.
A
1.850%
06/15/2018
N/A
495,859
 
500,000
  
Boston Scientific Corp.
BBB-
2.650%
10/01/2018
N/A
496,164
 
100,000
  
CR Bard, Inc.
A
1.375%
01/15/2018
N/A
96,779
 
400,000
  
Medtronic, Inc.
A+
1.375%
04/01/2018
N/A
388,912
 
300,000
  
Stryker Corp.
A+
1.300%
04/01/2018
N/A
289,683
               
1,937,609
                 
     
Health Care Services - 1.4%
          
 
200,000
  
Aetna, Inc.
A-
6.500%
09/15/2018
N/A
236,511
 
100,000
  
Humana, Inc.
BBB+
7.200%
06/15/2018
N/A
118,792
 
800,000
  
UnitedHealth Group, Inc.
A
6.000%
02/15/2018
N/A
931,629
 
450,000
  
WellPoint, Inc.
A-
1.875%
01/15/2018
N/A
441,138
               
1,728,070
                 
     
Household Products & Housewares - 0.4%
          
 
400,000
  
Kimberly-Clark Corp.
A
7.500%
11/01/2018
N/A
498,299
                 
     
Insurance - 4.9%
          
 
1,800,000
  
American International Group, Inc., Series MTN
A-
5.850%
01/16/2018
N/A
2,034,443
 
1,500,000
  
American International Group, Inc.
A-
8.250%
08/15/2018
N/A
1,859,528
 
475,000
  
Berkshire Hathaway Finance Corp.
AA
5.400%
05/15/2018
N/A
544,654
 
400,000
  
Berkshire Hathaway, Inc.
AA
1.550%
02/09/2018
N/A
392,365
 
360,000
  
Chubb Corp.
A+
5.750%
05/15/2018
N/A
416,126
 
200,000
  
Genworth Financial, Inc., Series MTN
BBB-
6.515%
05/22/2018
N/A
223,654
 
100,000
  
Hartford Financial Services Group Inc.
BBB
6.300%
03/15/2018
N/A
114,408
 
400,000
  
MetLife, Inc., Series A
A-
6.817%
08/15/2018
N/A
482,889
 
60,000
  
Travelers Cos., Inc.
A
5.800%
05/15/2018
N/A
69,574
               
6,137,641
                 
     
Internet - 0.1%
          
 
100,000
  
Expedia, Inc.
BBB-
7.456%
08/15/2018
N/A
115,593
                 
     
Iron & Steel - 0.8%
          
 
150,000
  
Arcelormittal (Luxembourg)
BB+
6.125%
06/01/2018
N/A
155,062
 
200,000
  
Cliffs Natural Resources, Inc.(a)
BBB-
3.950%
01/15/2018
N/A
195,892
 
540,000
  
Nucor Corp.
A
5.850%
06/01/2018
N/A
619,761
               
970,715
                 
     
Lodging - 0.2%
          
 
300,000
  
Marriott International, Inc.
BBB
3.000%
03/01/2019
12/01/18 @ 100
301,418
                 
     
Machinery-Construction & Mining - 0.4%
          
 
400,000
  
Caterpillar, Inc.
A
7.900%
12/15/2018
N/A
508,369
                 
     
Machinery-Diversified - 0.4%
          
 
500,000
  
Roper Industries, Inc.
BBB
2.050%
10/01/2018
N/A
488,584
                 
     
Media - 2.4%
          
 
300,000
  
Comcast Corp.
A-
5.875%
02/15/2018
N/A
347,778
 
600,000
  
Comcast Corp.
A-
5.700%
05/15/2018
N/A
696,863
 
200,000
  
DIRECTV Holdings, LLC
BBB
1.750%
01/15/2018
N/A
190,698
 
350,000
  
Historic TW, Inc.
BBB
6.875%
06/15/2018
N/A
418,495
 
400,000
  
Thomson Reuters Corp. (Canada)
A-
6.500%
07/15/2018
N/A
468,943
 
825,000
  
Time Warner Cable, Inc.
BBB
6.750%
07/01/2018
N/A
920,386
               
3,043,163
                 
     
Metal Fabricate & Hardware - 0.4%
          
 
500,000
  
Precision Castparts Corp.
A-
1.250%
01/15/2018
N/A
484,359
                 
     
Mining - 1.6%
          
 
240,000
  
Alcoa, Inc.
BBB-
6.750%
07/15/2018
N/A
259,492
 
150,000
  
Barrick North America Finance LLC
BBB
6.800%
09/15/2018
N/A
167,491
 
600,000
  
Freeport-McMoRan Copper & Gold, Inc.(b)
BBB
2.375%
03/15/2018
N/A
561,289
 
350,000
  
Goldcorp, Inc. (Canada)
BBB+
2.125%
03/15/2018
N/A
337,519
 
550,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
6.500%
07/15/2018
N/A
639,621
 
100,000
  
Teck Resources Ltd. (Canada)
BBB
2.500%
02/01/2018
N/A
96,414
               
2,061,826
                 
     
Miscellaneous Manufacturing - 0.3%
          
 
375,000
  
Ingersoll-Rand Global Holding Co. Ltd. (Bermuda)
BBB
6.875%
08/15/2018
N/A
440,504
                 
     
Office & Business Equipment - 0.3%
          
 
310,000
  
Xerox Corp.
BBB-
6.350%
05/15/2018
N/A
353,648
                 
     
Oil & Gas - 3.7%
          
 
800,000
  
BP Capital Markets PLC (United Kingdom)
A
1.375%
05/10/2018
N/A
771,398
 
800,000
  
Chevron Corp.
AA
1.718%
06/24/2018
05/24/18 @ 100
789,257
 
100,000
  
ConocoPhillips
A
5.200%
05/15/2018
N/A
113,296
 
270,000
  
Marathon Oil Corp.
BBB
5.900%
03/15/2018
N/A
307,670
 
300,000
  
Occidental Petroleum Corp.
A
1.500%
02/15/2018
01/15/18 @ 100
291,993
 
200,000
  
Petro-Canada (Canada)
BBB+
6.050%
05/15/2018
N/A
232,098
 
500,000
  
Shell International Finance BV (Netherlands)
AA
1.900%
08/10/2018
N/A
497,602
 
129,000
  
Southwestern Energy Co.
BBB-
7.500%
02/01/2018
N/A
153,063
 
475,000
  
Suncor Energy, Inc. (Canada)
BBB+
6.100%
06/01/2018
N/A
550,892
 
450,000
  
Total Capital Canada Ltd. (Canada)
AA-
1.450%
01/15/2018
N/A
440,562
 
510,000
  
Transocean, Inc. (Cayman Islands)
BBB-
6.000%
03/15/2018
N/A
568,546
               
4,716,377
                 
     
Oil & Gas Services - 0.4%
          
 
350,000
  
Baker Hughes, Inc.
A
7.500%
11/15/2018
N/A
437,396
 
100,000
  
Weatherford International Ltd. (Bermuda)
BBB-
6.000%
03/15/2018
N/A
111,480
               
548,876
                 
     
Pharmaceuticals - 3.6%
          
 
250,000
  
Bristol-Myers Squibb Co.
A+
5.450%
05/01/2018
N/A
288,965
 
1,000,000
  
GlaxoSmithKline Capital, Inc.
A+
5.650%
05/15/2018
N/A
1,153,886
 
450,000
  
Johnson & Johnson
AAA
5.150%
07/15/2018
N/A
517,536
 
250,000
  
McKesson Corp.
A-
1.400%
03/15/2018
N/A
241,609
 
260,000
  
Medco Health Solutions, Inc.
BBB+
7.125%
03/15/2018
N/A
312,377
 
400,000
  
Merck & Co., Inc.
AA
1.100%
01/31/2018
N/A
385,679
 
300,000
  
Merck & Co., Inc.
AA
1.300%
05/18/2018
N/A
290,979
 
500,000
  
Pfizer, Inc.
AA
1.500%
06/15/2018
N/A
492,196
 
350,000
  
Pharmacia Corp.
AA
6.500%
12/01/2018
N/A
420,184
 
450,000
  
Sanofi (France)
AA
1.250%
04/10/2018
N/A
435,003
               
4,538,414
                 
     
Pipelines - 1.8%
          
 
450,000
  
Energy Transfer Partners, LP
BBB-
6.700%
07/01/2018
N/A
525,035
 
270,000
  
Kinder Morgan Energy Partners, LP
BBB
5.950%
02/15/2018
N/A
309,407
 
370,000
  
Plains All American Pipeline, LP
BBB
6.500%
05/01/2018
N/A
435,315
 
300,000
  
Spectra Energy Capital, LLC
BBB
6.200%
04/15/2018
N/A
340,870
 
560,000
  
TransCanada PipeLines Ltd. (Canada)
A-
6.500%
08/15/2018
N/A
666,940
               
2,277,567
                 
     
Real Estate Investment Trusts - 1.5%
          
 
400,000
  
American Tower Corp.
BBB-
4.500%
01/15/2018
N/A
423,461
 
300,000
  
Boston Properties, LP
A-
3.700%
11/15/2018
08/15/18 @ 100
313,480
 
380,000
  
HCP, Inc., Series MTN
BBB+
6.700%
01/30/2018
N/A
441,444
 
100,000
  
ProLogis, LP
BBB
6.625%
05/15/2018
N/A
116,221
 
400,000
  
Simon Property Group, LP
A
6.125%
05/30/2018
N/A
467,239
 
200,000
  
Ventas Realty, LP
BBB
2.000%
02/15/2018
01/15/18 @ 100
194,152
               
1,955,997
                 
     
Retail - 2.6%
          
 
370,000
  
McDonald's Corp., Series MTN
A
5.350%
03/01/2018
N/A
422,065
 
70,000
  
Nordstrom, Inc.
A-
6.250%
01/15/2018
N/A
80,772
 
300,000
  
Staples, Inc.
BBB
2.750%
01/12/2018
12/13/17 @ 100
302,381
 
450,000
  
Target Corp.
A+
6.000%
01/15/2018
N/A
524,547
 
970,000
  
Wal-Mart Stores, Inc.
AA
5.800%
02/15/2018
N/A
1,132,629
 
550,000
  
Wal-Mart Stores, Inc.
AA
1.125%
04/11/2018
N/A
533,144
 
200,000
  
Yum! Brands, Inc.
BBB
6.250%
03/15/2018
N/A
230,874
               
3,226,412
                 
     
Semiconductors - 0.5%
          
 
200,000
  
Broadcom Corp.
A-
2.700%
11/01/2018
N/A
202,865
 
60,000
  
KLA-Tencor Corp.
BBB
6.900%
05/01/2018
N/A
69,662
 
400,000
  
Texas Instruments, Inc.
A+
1.000%
05/01/2018
N/A
382,603
               
655,130
                 
     
Software - 1.1%
          
 
1,160,000
  
Oracle Corp.
A+
5.750%
04/15/2018
N/A
1,344,986
                 
     
Telecommunications - 7.4%
          
 
1,225,000
  
AT&T, Inc.
A-
5.500%
02/01/2018
N/A
1,392,031
 
300,000
  
AT&T, Inc.
A-
5.600%
05/15/2018
N/A
344,344
 
400,000
  
British Telecommunications PLC (United Kingdom)
BBB
5.950%
01/15/2018
N/A
456,764
 
1,150,000
  
Cellco Partnership / Verizon Wireless Capital, LLC
BBB+
8.500%
11/15/2018
N/A
1,456,329
 
400,000
  
Deutsche Telekom International Finance BV (Netherlands)
BBB+
6.750%
08/20/2018
N/A
477,726
 
200,000
  
GTE Corp.
BBB+
6.840%
04/15/2018
N/A
235,357
 
550,000
  
Rogers Communications, Inc. (Canada)
BBB+
6.800%
08/15/2018
N/A
652,240
 
375,000
  
Telecom Italia Capital SA (Luxembourg)
BBB-
6.999%
06/04/2018
N/A
407,715
 
500,000
  
Telefonica Emisiones SAU (Spain)
BBB
3.192%
04/27/2018
N/A
488,350
 
1,000,000
  
Verizon Communications, Inc.
BBB+
5.500%
02/15/2018
N/A
1,129,817
 
760,000
  
Verizon Communications, Inc.
BBB+
6.100%
04/15/2018
N/A
878,348
 
470,000
  
Verizon Communications, Inc.
BBB+
8.750%
11/01/2018
N/A
601,210
 
100,000
  
Virgin Media Secured Finance PLC (United Kingdom)
BB-
6.500%
01/15/2018
01/15/14 @ 103
104,750
 
550,000
  
Vodafone Group PLC (United Kingdom)
A-
1.500%
02/19/2018
N/A
529,595
 
200,000
  
Vodafone Group PLC (United Kingdom)
A-
4.625%
07/15/2018
N/A
219,310
               
9,373,886
                 
     
Transportation - 1.2%
          
 
300,000
  
Burlington Northern Santa Fe, LLC
BBB+
5.750%
03/15/2018
N/A
344,227
 
320,000
  
CSX Corp.
BBB
6.250%
03/15/2018
N/A
372,221
 
200,000
  
Norfolk Southern Corp.
BBB+
5.750%
04/01/2018
N/A
229,850
 
550,000
  
United Parcel Service, Inc.
A+
5.500%
01/15/2018
N/A
627,957
               
1,574,255
                 
     
Water - 0.2%
          
 
250,000
  
Veolia Environnement SA (France)
BBB+
6.000%
06/01/2018
N/A
284,041
                 
     
Total Corporate Bonds - 98.6%
          
     
(Cost $127,176,380)
        
124,671,137
                 
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 0.7%
          
 
858,500
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(c) (d)
        
                  858,500
     
(Cost $858,500)
          
                 
     
Total Investments - 99.3%
          
     
(Cost $128,034,880)
        
125,529,637
     
Other Assets in excess of Liabilities - 0.7%
        
909,523
     
Net Assets  - 100.0%
        
$ 126,439,160
 
 
AB - Stock Company
          
 
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
          
 
SpA - Limited Share 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.  All optional call provisions are unaudited.
(a)
Security, or portion thereof, was on loan at August 31, 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 August 31, 2013 these securities amounted to $561,289, which represents 0.4% of net assets.
(c)
At August 31, 2013, the total market value of the Fund's securities on loan was $834,706 and the total market value of the collateral held by the Fund was $858,500.
(d)
Interest rate shown reflects yield as of August 31, 2013.
          
See previously submitted notes to financial statements for the period ended May 31, 2013.          
 
 
 
 
 
 
 
Country Breakdown
% of Corporate Bonds
 United States
83.9%
 Canada
5.8%
 United Kingdom
2.3%
 Netherlands
2.2%
 Switzerland
1.5%
 Italy
0.8%
 France
0.6%
 Australia
0.5%
 Caymand Islands
0.5%
 Luxembourg
0.5%
 Bermuda
0.4%
 Spain
0.4%
 Sweden
0.4%
 Japan
0.2%
 
 Subject to change daily.
        
               
At August 31, 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
  
$ 128,039,490   $ 70,858   $ (2,580,711 ) $ (2,509,853 )
 
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 investment management, 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, unchanged 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 Board of Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Trust’s valuation procedures. The Fund did not have any Level 3 securities at August 31, 2013.
                 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013:
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 124,671     $ -     $ 124,671  
Investments of Collateral for Securities Loaned
   859       -       -       859  
Total
 $ 859     $ 124,671     $ -     $ 125,530  
 
During the three months ended August 31, 2013, there were no transfers between levels.
 
 
 
 
 
 
 
BSCJ Guggenheim BulletShares 2019 Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 98.0%
          
     
Advertising - 0.3%
          
 
$200,000
  
Omnicom Group, Inc.
BBB+
6.250%
07/15/2019
N/A
$231,170
                 
     
Aerospace & Defense - 2.5%
          
 
300,000
  
Boeing Co.
A
6.000%
03/15/2019
N/A
353,850
 
400,000
  
L-3 Communications Corp.
BBB-
5.200%
10/15/2019
N/A
429,084
 
300,000
  
Lockheed Martin Corp.
A-
4.250%
11/15/2019
N/A
323,640
 
200,000
  
Northrop Grumman Corp.
BBB
5.050%
08/01/2019
N/A
223,150
 
350,000
  
United Technologies Corp.
A
6.125%
02/01/2019
N/A
414,693
               
1,744,417
                 
     
Agriculture - 2.3%
          
 
851,000
  
Altria Group, Inc.
BBB
9.250%
08/06/2019
N/A
1,118,397
 
400,000
  
Lorillard Tobacco Co.
BBB-
8.125%
06/23/2019
N/A
482,265
               
1,600,662
                 
     
Banks - 15.3%
          
 
100,000
  
Bank of America Corp.
BBB+
5.490%
03/15/2019
N/A
108,185
 
1,300,000
  
Bank of America Corp.
A-
7.625%
06/01/2019
N/A
1,566,582
 
200,000
  
Bank of New York Mellon Corp.
A+
5.450%
05/15/2019
N/A
228,927
 
900,000
  
Barclays Bank PLC (United Kingdom)
A
6.750%
05/22/2019
N/A
1,066,998
 
100,000
  
BB&T Corp.
BBB+
5.250%
11/01/2019
N/A
110,353
 
1,427,000
  
Citigroup, Inc.
A-
8.500%
05/22/2019
N/A
1,811,067
 
400,000
  
Credit Suisse (Switzerland)
A
5.300%
08/13/2019
N/A
448,024
 
1,000,000
  
Goldman Sachs Group, Inc., Series GMTN
A-
7.500%
02/15/2019
N/A
1,194,370
 
950,000
  
JPMorgan Chase & Co.
A
6.300%
04/23/2019
N/A
1,105,318
 
850,000
  
Morgan Stanley, Series GMTN
A-
7.300%
05/13/2019
N/A
1,007,418
 
1,000,000
  
Morgan Stanley, Series MTN
A-
5.625%
09/23/2019
N/A
1,102,191
 
250,000
  
National City Corp.
BBB+
6.875%
05/15/2019
N/A
295,717
 
200,000
  
PNC Funding Corp.
A-
6.700%
06/10/2019
N/A
238,860
 
400,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
A-
6.400%
10/21/2019
N/A
449,325
               
10,733,335
                 
     
Beverages - 3.2%
          
 
900,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
7.750%
01/15/2019
N/A
1,127,306
 
300,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
6.875%
11/15/2019
N/A
369,016
 
200,000
  
Bottling Group, LLC
A
5.125%
01/15/2019
N/A
226,370
 
450,000
  
Coca-Cola Co.
AA-
4.875%
03/15/2019
N/A
507,270
               
2,229,962
                 
     
Biotechnology - 0.8%
          
 
485,000
  
Amgen, Inc.
A
5.700%
02/01/2019
N/A
554,759
                 
     
Chemicals - 4.4%
          
 
200,000
  
Agrium, Inc. (Canada)
BBB
6.750%
01/15/2019
N/A
234,686
 
750,000
  
Dow Chemical Co.
BBB
8.550%
05/15/2019
N/A
955,404
 
100,000
  
El du Pont de Nemours & Co.
A
5.750%
03/15/2019
N/A
115,550
 
230,000
  
Lubrizol Corp.
AA
8.875%
02/01/2019
N/A
300,944
 
1,100,000
  
LyondellBasell Industries NV (Netherlands)
BBB-
5.000%
04/15/2019
01/15/19 @ 100
1,204,324
 
100,000
  
Potash Corp. of Saskatchewan, Inc. (Canada)
A-
6.500%
05/15/2019
N/A
117,035
 
125,000
  
Praxair, Inc.
A
4.500%
08/15/2019
N/A
137,477
               
3,065,420
                 
     
Commercial Services - 0.3%
          
 
200,000
  
Princeton University
AAA
4.950%
03/01/2019
N/A
227,559
                 
     
Computers - 1.1%
          
 
100,000
  
Dell, Inc.
BBB
5.875%
06/15/2019
N/A
101,319
 
400,000
  
International Business Machines Corp.
AA-
1.875%
05/15/2019
N/A
390,917
 
200,000
  
International Business Machines Corp.
AA-
8.375%
11/01/2019
N/A
265,666
               
757,902
                 
     
Cosmetics & Personal Care - 0.8%
          
 
480,000
  
Procter & Gamble Co.
AA-
4.700%
02/15/2019
N/A
540,659
                 
     
Diversified Financial Services - 5.8%
          
 
150,000
  
American Express Co.
BBB+
8.125%
05/20/2019
N/A
193,485
 
450,000
  
BlackRock, Inc., Series 2
A+
5.000%
12/10/2019
N/A
507,256
 
350,000
  
Boeing Capital Corp.
A
4.700%
10/27/2019
N/A
391,638
 
315,000
  
Capital One Bank USA NA
BBB
8.800%
07/15/2019
N/A
401,553
 
350,000
  
Caterpillar Financial Services Corp., Series MTN
A
7.150%
02/15/2019
N/A
429,704
 
650,000
  
General Electric Capital Corp., Series GMTN
AA+
6.000%
08/07/2019
N/A
750,017
 
400,000
  
International Lease Finance Corp.
BBB-
5.875%
04/01/2019
N/A
407,248
 
350,000
  
International Lease Finance Corp.
BBB-
6.250%
05/15/2019
N/A
362,250
 
350,000
  
Jefferies Group, LLC
BBB
8.500%
07/15/2019
N/A
425,822
 
100,000
  
John Deere Capital Corp.
A
2.250%
04/17/2019
N/A
99,607
 
100,000
  
TD Ameritrade Holding Corp.
A
5.600%
12/01/2019
N/A
115,349
               
4,083,929
                 
     
Electric - 4.0%
          
 
200,000
  
Arizona Public Service Co.
BBB+
8.750%
03/01/2019
N/A
256,369
 
100,000
  
Consumers Energy Co.
A-
6.700%
09/15/2019
N/A
123,350
 
100,000
  
Dominion Resources, Inc.
A-
8.875%
01/15/2019
N/A
129,161
 
100,000
  
Dominion Resources, Inc.
A-
5.200%
08/15/2019
N/A
113,101
 
100,000
  
Duke Energy Corp.
BBB
5.050%
09/15/2019
N/A
111,037
 
400,000
  
Duke Energy Progress, Inc.
A
5.300%
01/15/2019
N/A
458,178
 
100,000
  
Entergy Texas, Inc.
A-
7.125%
02/01/2019
N/A
117,964
 
100,000
  
Exelon Generation Co., LLC
BBB
5.200%
10/01/2019
N/A
109,554
 
300,000
  
Georgia Power Co.
A
4.250%
12/01/2019
N/A
326,479
 
250,000
  
Nevada Power Co.
BBB+
7.125%
03/15/2019
N/A
308,584
 
400,000
  
NextEra Energy Capital Holdings, Inc.
BBB+
6.000%
03/01/2019
N/A
460,476
 
150,000
  
NiSource Finance Corp.
BBB-
6.800%
01/15/2019
N/A
175,978
 
130,000
  
Xcel Energy, Inc.
BBB+
4.700%
05/15/2020
11/15/19 @ 100
142,943
               
2,833,174
                 
     
Electrical Components & Equipment - 0.5%
          
 
300,000
  
Emerson Electric Co.
A
4.875%
10/15/2019
N/A
338,281
                 
     
Electronics - 0.5%
          
 
300,000
  
Honeywell International, Inc.
A
5.000%
02/15/2019
N/A
339,542
                 
     
Environmental Control - 0.4%
          
 
250,000
  
Republic Services, Inc.
BBB
5.500%
09/15/2019
N/A
281,548
                 
     
Food - 1.6%
          
 
200,000
  
ConAgra Foods, Inc.
BBB-
7.000%
04/15/2019
N/A
237,022
 
400,000
  
General Mills, Inc.
BBB+
5.650%
02/15/2019
N/A
461,501
 
75,000
  
Kellogg Co.
BBB+
4.150%
11/15/2019
N/A
81,063
 
100,000
  
Safeway, Inc.
BBB
5.000%
08/15/2019
N/A
105,770
 
200,000
  
Unilever Capital Corp.
A+
4.800%
02/15/2019
N/A
224,391
               
1,109,747
                 
     
Forest Products & Paper - 0.6%
          
 
300,000
  
International Paper Co.
BBB
9.375%
05/15/2019
N/A
395,667
                 
     
Gas - 0.4%
          
 
200,000
  
Sempra Energy
BBB+
9.800%
02/15/2019
N/A
267,214
                 
     
Health Care Products - 0.8%
          
 
100,000
  
Baxter International, Inc.
A
4.500%
08/15/2019
N/A
110,677
 
200,000
  
Becton Dickinson and Co.
A
5.000%
05/15/2019
N/A
224,880
 
200,000
  
CareFusion Corp.
BBB
6.375%
08/01/2019
N/A
227,543
               
563,100
                 
     
Health Care Services - 0.5%
          
 
200,000
  
UnitedHealth Group, Inc.
A
1.625%
03/15/2019
N/A
191,593
 
100,000
  
WellPoint, Inc.
A-
7.000%
02/15/2019
N/A
121,225
               
312,818
                 
     
Insurance - 3.3%
          
 
200,000
  
ACE INA Holdings, Inc.
A
5.900%
06/15/2019
N/A
235,744
 
300,000
  
Aflac, Inc.
A-
8.500%
05/15/2019
N/A
384,808
 
200,000
  
Allstate Corp.
A-
7.450%
05/16/2019
N/A
251,619
 
200,000
  
Hartford Financial Services Group Inc., Series MTN
BBB
6.000%
01/15/2019
N/A
227,563
 
200,000
  
Lincoln National Corp.
A-
8.750%
07/01/2019
N/A
257,386
 
300,000
  
MetLife, Inc.
A-
7.717%
02/15/2019
N/A
375,164
 
300,000
  
Prudential Financial, Inc., Series MTND
A
7.375%
06/15/2019
N/A
368,193
 
200,000
  
Travelers Cos., Inc.
A
5.900%
06/02/2019
N/A
236,122
               
2,336,599
                 
     
Machinery-Diversified - 0.4%
          
 
250,000
  
Deere & Co.
A
4.375%
10/16/2019
N/A
277,128
                 
     
Media - 5.5%
          
 
600,000
  
CBS Corp.
BBB
8.875%
05/15/2019
N/A
763,277
 
350,000
  
Comcast Corp.
A-
5.700%
07/01/2019
N/A
407,178
 
300,000
  
DIRECTV Holdings, LLC / DIRECTV Financing Co., Inc.
BBB
5.875%
10/01/2019
N/A
333,077
 
200,000
  
Discovery Communications, LLC
BBB
5.625%
08/15/2019
N/A
228,825
 
200,000
  
News America, Inc.
BBB+
6.900%
03/01/2019
N/A
239,063
 
500,000
  
Time Warner Cable, Inc.
BBB
8.750%
02/14/2019
N/A
593,512
 
730,000
  
Time Warner Cable, Inc.
BBB
8.250%
04/01/2019
N/A
854,056
 
200,000
  
Viacom, Inc.
BBB
5.625%
09/15/2019
N/A
225,431
 
150,000
  
Walt Disney Co., Series MTN
A
5.500%
03/15/2019
N/A
172,408
               
3,816,827
                 
     
Mining - 2.5%
          
 
300,000
  
Alcoa, Inc.
BBB-
5.720%
02/23/2019
N/A
308,446
 
350,000
  
Barrick Gold Corp. (Canada)
BBB
6.950%
04/01/2019
N/A
387,610
 
200,000
  
Newmont Mining Corp.
BBB+
5.125%
10/01/2019
N/A
209,791
 
600,000
  
Rio Tinto Finance USA Ltd (Australia)
A-
9.000%
05/01/2019
N/A
769,990
 
100,000
  
Teck Resources Ltd. (Canada)
BBB
3.000%
03/01/2019
N/A
96,539
               
1,772,376
                 
     
Miscellaneous Manufacturing - 1.3%
          
 
300,000
  
Danaher Corp.
A+
5.400%
03/01/2019
N/A
342,997
 
500,000
  
Illinois Tool Works, Inc.
A+
6.250%
04/01/2019
N/A
596,021
               
939,018
                 
     
Oil & Gas - 11.9%
          
 
100,000
  
Anadarko Petroleum Corp.
BBB-
8.700%
03/15/2019
N/A
128,232
 
300,000
  
BP Capital Markets PLC (United Kingdom)
A
4.750%
03/10/2019
N/A
330,139
 
400,000
  
Cenovus Energy, Inc. (Canada)
BBB+
5.700%
10/15/2019
N/A
454,795
 
550,000
  
Chevron Corp.
AA
4.950%
03/03/2019
N/A
625,357
 
880,000
  
ConocoPhillips
A
5.750%
02/01/2019
N/A
1,021,211
 
250,000
  
Devon Energy Corp.
BBB+
6.300%
01/15/2019
N/A
288,522
 
200,000
  
Diamond Offshore Drilling, Inc.
A-
5.875%
05/01/2019
N/A
233,633
 
200,000
  
Encana Corp. (Canada)
BBB
6.500%
05/15/2019
N/A
234,916
 
450,000
  
EOG Resources, Inc.
A-
5.625%
06/01/2019
N/A
520,753
 
300,000
  
EQT Corp.
BBB
8.125%
06/01/2019
N/A
361,120
 
300,000
  
Hess Corp.
BBB
8.125%
02/15/2019
N/A
374,086
 
190,000
  
Husky Energy, Inc. (Canada)
BBB+
7.250%
12/15/2019
N/A
231,836
 
400,000
  
Noble Energy, Inc.
BBB
8.250%
03/01/2019
N/A
497,469
 
500,000
  
Petrobras Global Finance BV (Netherlands)
BBB
3.000%
01/15/2019
N/A
461,155
 
100,000
  
Pride International, Inc.
BBB+
8.500%
06/15/2019
N/A
126,585
 
200,000
  
Rowan Cos., Inc.
BBB-
7.875%
08/01/2019
N/A
240,366
 
700,000
  
Shell International Finance BV (Netherlands)
AA
4.300%
09/22/2019
N/A
764,034
 
300,000
  
Statoil ASA (Norway)
AA-
5.250%
04/15/2019
N/A
342,217
 
600,000
  
Talisman Energy, Inc. (Canada)
BBB
7.750%
06/01/2019
N/A
725,162
 
300,000
  
Valero Energy Corp.
BBB
9.375%
03/15/2019
N/A
388,012
               
8,349,600
                 
     
Oil & Gas Services - 1.4%
          
 
400,000
  
Halliburton Co.
A
6.150%
09/15/2019
N/A
477,455
 
395,000
  
Weatherford International Ltd. (Bermuda)
BBB-
9.625%
03/01/2019
N/A
497,473
               
974,928
                 
     
Pharmaceuticals - 7.0%
          
 
400,000
  
Abbott Laboratories
A+
5.125%
04/01/2019
N/A
455,352
 
300,000
  
AstraZeneca PLC (United Kingdom)
AA-
1.950%
09/18/2019
N/A
290,602
 
100,000
  
Express Scripts Holding Co.
BBB+
7.250%
06/15/2019
N/A
121,659
 
550,000
  
Mead Johnson Nutrition Co.
BBB-
4.900%
11/01/2019
N/A
604,019
 
450,000
  
Merck Sharp & Dohme Corp.
AA
5.000%
06/30/2019
N/A
509,455
 
1,450,000
  
Novartis Securities Investment Ltd. (Bermuda)
AA-
5.125%
02/10/2019
N/A
1,655,385
 
1,050,000
  
Pfizer, Inc.
AA
6.200%
03/15/2019
N/A
1,257,647
               
4,894,119
                 
     
Pipelines - 1.8%
          
 
135,000
  
Enbridge Energy Partners, LP
BBB
9.875%
03/01/2019
N/A
176,204
 
250,000
  
Enterprise Products Operating, LLC, Series N
BBB+
6.500%
01/31/2019
N/A
294,939
 
100,000
  
Kinder Morgan Energy Partners, LP
BBB
9.000%
02/01/2019
N/A
127,193
 
100,000
  
Magellan Midstream Partners, LP
BBB+
6.550%
07/15/2019
N/A
118,636
 
100,000
  
ONEOK Partners, LP
BBB
8.625%
03/01/2019
N/A
125,662
 
100,000
  
Spectra Energy Capital, LLC
BBB
8.000%
10/01/2019
N/A
120,638
 
260,000
  
TransCanada PipeLines Ltd. (Canada)
A-
7.125%
01/15/2019
N/A
313,700
               
1,276,972
                 
     
Real Estate Investment Trusts - 2.2%
          
 
250,000
  
Boston Properties, LP
A-
5.875%
10/15/2019
N/A
286,060
 
100,000
  
Health Care REIT, Inc.
BBB
4.125%
04/01/2019
01/01/19 @ 100
104,170
 
100,000
  
Realty Income Corp.
BBB+
6.750%
08/15/2019
N/A
116,880
 
250,000
  
Simon Property Group, LP
A
10.350%
04/01/2019
01/01/19 @ 100
341,744
 
400,000
  
Simon Property Group, LP
A
5.650%
02/01/2020
11/01/19 @ 100
447,867
 
100,000
  
Ventas Realty, LP / Ventas Capital Corp.
BBB
4.000%
04/30/2019
01/30/19 @ 100
103,827
 
100,000
  
Weyerhaeuser Co.
BBB-
7.375%
10/01/2019
N/A
120,407
               
1,520,955
                 
     
Retail - 1.9%
          
 
200,000
  
Costco Wholesale Corp.
A+
1.700%
12/15/2019
N/A
192,082
 
200,000
  
CVS Caremark Corp.
BBB+
6.600%
03/15/2019
N/A
237,851
 
200,000
  
Lowe's Cos., Inc.
A-
4.625%
04/15/2020
10/15/19 @ 100
218,423
 
500,000
  
Walgreen Co.
BBB
5.250%
01/15/2019
N/A
562,360
 
100,000
  
Wal-Mart Stores, Inc.
AA
4.125%
02/01/2019
N/A
109,212
               
1,319,928
                 
     
Semiconductors - 0.4%
          
 
300,000
  
Texas Instruments, Inc.
A+
1.650%
08/03/2019
N/A
287,627
                 
     
Software - 3.1%
          
 
100,000
  
CA, Inc.
BBB+
5.375%
12/01/2019
N/A
110,112
 
500,000
  
Microsoft Corp.
AAA
4.200%
06/01/2019
N/A
551,282
 
500,000
  
Oracle Corp.
A+
2.375%
01/15/2019
N/A
498,556
 
900,000
  
Oracle Corp.
A+
5.000%
07/08/2019
N/A
1,021,424
               
2,181,374
                 
     
Telecommunications - 6.5%
          
 
750,000
  
AT&T, Inc.
A-
5.800%
02/15/2019
N/A
861,139
 
850,000
  
Cisco Systems, Inc.
A+
4.950%
02/15/2019
N/A
960,805
 
100,000
  
Deutsche Telekom International Finance BV (Netherlands)
BBB+
6.000%
07/08/2019
N/A
116,822
 
600,000
  
Orange SA (France)
BBB+
5.375%
07/08/2019
N/A
657,199
 
350,000
  
Telecom Italia Capital SA (Luxembourg)
BBB-
7.175%
06/18/2019
N/A
382,639
 
500,000
  
Telefonica Emisiones SAU (Spain)
BBB
5.877%
07/15/2019
N/A
534,290
 
600,000
  
Verizon Communications, Inc.
BBB+
6.350%
04/01/2019
N/A
700,659
 
300,000
  
Vodafone Group PLC (United Kingdom)
A-
5.450%
06/10/2019
N/A
336,893
               
4,550,446
                 
     
Transportation - 2.7%
          
 
300,000
  
Burlington Northern Santa Fe, LLC
BBB+
4.700%
10/01/2019
N/A
333,169
 
100,000
  
Canadian National Railway Co. (Canada)
A-
5.550%
03/01/2019
N/A
115,261
 
700,000
  
FedEx Corp.
BBB
8.000%
01/15/2019
N/A
872,786
 
200,000
  
Norfolk Southern Corp.
BBB+
5.900%
06/15/2019
N/A
233,056
 
300,000
  
United Parcel Service, Inc.
A+
5.125%
04/01/2019
N/A
341,682
               
1,895,954
                 
     
Total Corporate Bonds - 98.0%
          
     
(Cost $70,575,979)
        
68,604,716
                 
     
Total Investments - 98.0%
          
     
(Cost $70,575,979)
        
68,604,716
     
Other Assets in excess of Liabilities - 2.0%
        
1,412,562
     
Net Assets  - 100.0%
        
$70,017,278
 
 
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.
 
 
 
 
 
 
 
   
Country Breakdown
% of Corporate Bonds
 United States
80.7%
 Canada
4.2%
 Netherlands
3.7%
 United Kingdom
3.6%
 Bermuda
3.1%
 Australia
1.1%
 France
1.0%
 Spain
0.8%
 Switzerland
0.7%
 Luxembourg
0.6%
 Norway
0.5%
 
 Subject to change daily.
 
At August 31, 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
  
$ 70,575,979   $ 44,912   $ (2,016,175 ) $ (1,971,263 )
 
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 investment management, 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, unchanged 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 Board of Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Trust’s valuation procedures. The Fund did not have any Level 3 securities at August 31, 2013.
                 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013:
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 68,605     $ -     $ 68,605  
Total
 $ -     $ 68,605     $ -     $ 68,605  
 
During the three months ended August 31, 2013, there were no transfers between levels.
    
 
 
 
 
 
 
 
BSCK Guggenheim BulletShares 2020 Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
              Optional  
 
Principal
          
Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 98.3%
          
     
Corporate Bonds - 98.3%
          
     
Advertising - 0.4%
          
 
 200,000
  
Omnicom Group, Inc.
BBB+
4.450%
08/15/2020
N/A
                                        $    208,932
 
 
            
 
 
 
  
Aerospace & Defense - 2.2%
        
 
 
 100,000
  
Boeing Co.
A
4.875%
02/15/2020
N/A
                                            112,885
 
 200,000
  
L-3 Communications Corp.
BBB-
4.750%
07/15/2020
N/A
                                          208,254
 
 300,000
  
L-3 Communications Corp.
BBB-
4.950%
02/15/2021
11/15/20 @ 100
                                           315,736
 
200,000
  
Raytheon Co.
A-
4.400%
02/15/2020
N/A
                                           214,546
 
100,000
  
Raytheon Co.
A-
3.125%
10/15/2020
N/A
                                           100,448
 
250,000
  
United Technologies Corp.
A
4.500%
04/15/2020
N/A
                                          275,575
 
 
            
                                     1,227,444
 
 
            
 
 
 
  
Agriculture - 1.1%
        
 
 
300,000
  
Lorillard Tobacco Co.
BBB-
6.875%
05/01/2020
N/A
                                            340,119
 
 250,000
  
Philip Morris International, Inc.
A
4.500%
03/26/2020
N/A
                                          272,573
 
 
            
                                           612,692
 
 
            
 
 
 
  
Banks - 22.1%
        
 
 
850,000
  
Bank of America Corp.
A-
5.625%
07/01/2020
N/A
                                           936,817
 
350,000
  
Barclays Bank PLC (United Kingdom)
A
5.125%
01/08/2020
N/A
                                          385,547
 
400,000
  
Barclays Bank PLC (United Kingdom)
BBB
5.140%
10/14/2020
N/A
                                           415,800
 
 1,050,000
  
Citigroup, Inc.
A-
5.375%
08/09/2020
N/A
                                      1,165,786
 
340,000
  
Credit Suisse (Switzerland)
BBB
5.400%
01/14/2020
N/A
                                          369,572
 
750,000
  
Credit Suisse, Series MTN (Switzerland)
A
4.375%
08/05/2020
N/A
                                           800,716
 
 250,000
  
Discover Bank
BBB-
7.000%
04/15/2020
N/A
                                          293,747
 
 800,000
  
Goldman Sachs Group, Inc., Series GMTN
A-
5.375%
03/15/2020
N/A
                                           871,548
 
 500,000
  
Goldman Sachs Group, Inc., Series D
A-
6.000%
06/15/2020
N/A
                                           561,845
 
500,000
  
HSBC Bank USA NA
A
4.875%
08/24/2020
N/A
                                          534,082
 
300,000
  
HSBC USA, Inc.
A-
5.000%
09/27/2020
N/A
                                           317,454
 
400,000
  
JPMorgan Chase & Co.
A
4.950%
03/25/2020
N/A
                                          436,050
 
950,000
  
JPMorgan Chase & Co.
A
4.400%
07/22/2020
N/A
                                          998,635
 
540,000
  
JPMorgan Chase & Co.
A
4.250%
10/15/2020
N/A
                                          563,758
 
400,000
  
Morgan Stanley, Series GMTN
A-
5.500%
01/26/2020
N/A
                                          438,390
 
950,000
  
Morgan Stanley, Series GMTN
A-
5.500%
07/24/2020
N/A
                                      1,040,129
 
 200,000
  
Northern Trust Corp.
A+
3.450%
11/04/2020
N/A
                                           203,891
 
350,000
  
PNC Funding Corp.
A-
5.125%
02/08/2020
N/A
                                          388,323
 
 200,000
  
PNC Funding Corp.
A-
4.375%
08/11/2020
N/A
                                           213,938
 
300,000
  
Royal Bank of Scotland PLC (United Kingdom)
A
5.625%
08/24/2020
N/A
                                          325,475
 
750,000
  
UBS AG, Series BKNT (Switzerland)
A
4.875%
08/04/2020
N/A
                                            825,191
 
 
            
                                 12,086,694
 
 
            
 
 
 
  
Beverages - 5.6%
        
 
 
 550,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
5.375%
01/15/2020
N/A
                                          629,424
 
330,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
5.000%
04/15/2020
N/A
                                          370,478
 
500,000
  
Coca-Cola Co.
AA-
3.150%
11/15/2020
N/A
                                          509,547
 
200,000
  
Coca-Cola Enterprises
BBB
3.500%
09/15/2020
N/A
                                           199,700
 
400,000
  
Diageo Capital PLC (United Kingdom)
A-
4.828%
07/15/2020
N/A
                                          444,392
 
 630,000
  
PepsiCo, Inc.
A-
4.500%
01/15/2020
N/A
                                           687,610
 
200,000
  
PepsiCo, Inc.
A-
3.125%
11/01/2020
N/A
                                            201,156
 
 
            
                                    3,042,307
 
 
            
 
 
 
  
Biotechnology - 1.0%
        
 
 
300,000
  
Amgen, Inc.
A
3.450%
10/01/2020
N/A
                                           299,918
 
 210,000
  
Life Technologies Corp.
BBB
6.000%
03/01/2020
N/A
                                          235,397
 
 
            
                                           535,315
 
 
            
 
 
 
  
Chemicals - 2.6%
        
 
 
150,000
  
CF Industries, Inc.
BBB-
7.125%
05/01/2020
N/A
                                           176,433
 
650,000
  
Dow Chemical Co.
BBB
4.250%
11/15/2020
08/15/20 @ 100
                                          678,674
 
200,000
  
El du Pont de Nemours & Co.
A
4.625%
01/15/2020
N/A
                                           219,365
 
150,000
  
Potash Corp of Saskatchewan, Inc. (Canada)
A-
4.875%
03/30/2020
N/A
                                            161,787
 
200,000
  
PPG Industries, Inc.
BBB+
3.600%
11/15/2020
N/A
                                          202,602
 
 
            
                                      1,438,861
 
 
            
 
 
 
  
Commercial Services - 0.2%
        
 
 
100,000
  
Moody's Corp.
BBB+
5.500%
09/01/2020
N/A
                                            107,152
 
 
            
 
 
 
  
Computers - 2.5%
        
 
 
500,000
  
EMC Corp.
A
2.650%
06/01/2020
N/A
                                           490,158
 
400,000
  
Hewlett-Packard Co.
BBB+
3.750%
12/01/2020
N/A
                                           386,319
 
500,000
  
International Business Machines Corp.
AA-
1.625%
05/15/2020
N/A
                                           464,818
 
 
            
                                      1,341,295
 
 
            
 
 
 
  
Cosmetics & Personal Care - 0.2%
        
 
 
100,000
  
Avon Products, Inc.
BBB-
4.600%
03/15/2020
N/A
                                           102,752
 
 
            
 
 
 
  
Diversified Financial Services - 9.1%
        
 
 
200,000
  
Ameriprise Financial, Inc.
A
5.300%
03/15/2020
N/A
                                           227,413
 
150,000
  
Charles Schwab Corp.
A
4.450%
07/22/2020
N/A
                                            162,127
 
 500,000
  
Ford Motor Credit Co. LLC
BBB-
8.125%
01/15/2020
N/A
                                          609,798
 
600,000
  
General Electric Capital Corp., Series GMTN
AA+
5.500%
01/08/2020
N/A
                                          674,797
 
300,000
  
General Electric Capital Corp., Series MTN
AA+
5.550%
05/04/2020
N/A
                                          337,983
 
900,000
  
General Electric Capital Corp., Series MTN
AA+
4.375%
09/16/2020
N/A
                                           951,909
 
350,000
  
International Lease Finance Corp.
BBB-
8.250%
12/15/2020
N/A
                                          390,250
 
200,000
  
John Deere Capital Corp.
A
1.700%
01/15/2020
N/A
                                           187,325
 
 250,000
  
NASDAQ OMX Group, Inc.
BBB
5.550%
01/15/2020
N/A
                                           263,319
 
400,000
  
Nomura Holdings, Inc. (Japan)
BBB+
6.700%
03/04/2020
N/A
                                            451,001
 
500,000
  
SLM Corp., Series MTN
BBB-
8.000%
03/25/2020
N/A
                                          545,625
 
150,000
  
Toyota Motor Credit Corp., Series MTN
AA-
4.500%
06/17/2020
N/A
                                           163,000
 
 
            
                                    4,964,547
 
 
            
 
 
 
  
Electric - 2.0%
        
 
 
 150,000
  
Constellation Energy Group, Inc.
BBB-
5.150%
12/01/2020
09/01/20 @ 100
                                           162,464
 
200,000
  
Exelon Generation Co. LLC
BBB
4.000%
10/01/2020
07/01/20 @ 100
                                            199,213
 
200,000
  
Nisource Finance
BBB-
5.450%
09/15/2020
N/A
                                           220,519
 
450,000
  
Pacific Gas & Electric Co.
BBB
3.500%
10/01/2020
07/01/20 @ 100
                                          454,944
 
70,000
  
Progress Energy, Inc.
BBB
4.400%
01/15/2021
10/15/20 @ 100
                                              73,989
 
 
            
                                         1,111,129
 
 
            
 
 
 
  
Electronics - 0.3%
        
 
 
150,000
  
Agilent Technologies, Inc.
BBB+
5.000%
07/15/2020
N/A
                                           160,736
 
 
            
 
 
 
  
Environmental Control - 1.8%
        
 
 
600,000
  
Republic Services, Inc.
BBB
5.000%
03/01/2020
N/A
                                           649,155
 
 300,000
  
Waste Management, Inc.
BBB
4.750%
06/30/2020
N/A
                                          322,295
 
 
            
                                           971,450
 
 
            
 
 
 
  
Food - 3.6%
        
 
 
400,000
  
Kellogg Co.
BBB+
4.000%
12/15/2020
N/A
                                           419,444
 
200,000
  
Kraft Foods Group, Inc.
BBB
5.375%
02/10/2020
N/A
                                          224,799
 
300,000
  
Kroger Co.
BBB
6.150%
01/15/2020
N/A
                                           344,710
 
 800,000
  
Mondelez International, Inc.
BBB-
5.375%
02/10/2020
N/A
                                          895,253
 
100,000
  
Safeway, Inc.
BBB
3.950%
08/15/2020
N/A
                                              99,373
 
 
            
                                     1,983,579
 
 
            
 
 
 
  
Forest Products & Paper - 0.2%
        
 
 
100,000
  
Plum Creek Timberlands LP
BBB
4.700%
03/15/2021
12/15/20 @ 100
                                           103,040
 
 
            
 
 
 
  
Health Care Products - 2.8%
        
 
 
100,000
  
Becton Dickinson and Co.
A
3.250%
11/12/2020
N/A
                                             101,317
 
100,000
  
Boston Scientific Corp.
BBB-
6.000%
01/15/2020
N/A
                                            114,300
 
300,000
  
Covidien International Financial SA (Luxembourg)
A
4.200%
06/15/2020
N/A
                                           319,944
 
100,000
  
CR Bard, Inc.
A
4.400%
01/15/2021
10/15/20 @ 100
                                           105,433
 
700,000
  
Medtronic, Inc.
A+
4.450%
03/15/2020
N/A
                                           761,749
 
100,000
  
Stryker Corp.
A+
4.375%
01/15/2020
N/A
                                           108,544
 
 
            
                                       1,511,287
 
 
            
 
 
 
  
Health Care Services - 1.3%
        
 
 
200,000
  
Aetna, Inc.
A-
3.950%
09/01/2020
N/A
                                            207,117
 
100,000
  
Laboratory Corp. of America Holdings
BBB
4.625%
11/15/2020
08/15/20 @ 100
                                           104,224
 
100,000
  
Quest Diagnostics, Inc.
BBB+
4.750%
01/30/2020
N/A
                                           106,379
 
300,000
  
WellPoint, Inc.
A-
4.350%
08/15/2020
N/A
                                           317,033
 
 
            
                                          734,753
 
 
            
 
 
 
  
Housewares - 0.2%
        
 
 
100,000
  
Newell Rubbermaid, Inc.
BBB-
4.700%
08/15/2020
N/A
                                            105,921
 
 
            
 
 
 
  
Insurance - 2.9%
        
 
 
550,000
  
American International Group, Inc.
A-
6.400%
12/15/2020
N/A
                                          643,029
 
100,000
  
Aon Corp.
BBB+
5.000%
09/30/2020
N/A
                                            109,162
 
100,000
  
Hartford Financial Services Group, Inc.
BBB
5.500%
03/30/2020
N/A
                                             111,868
 
 200,000
  
Manulife Financial Corp. (Canada)
A
4.900%
09/17/2020
N/A
                                           214,432
 
300,000
  
Prudential Financial, Inc., Series MTN
A
5.375%
06/21/2020
N/A
                                           337,129
 
100,000
  
Prudential Financial, Inc., Series MTN
A
4.500%
11/15/2020
N/A
                                           107,002
 
50,000
  
Travelers Cos., Inc.
A
3.900%
11/01/2020
N/A
                                              53,029
 
 
            
                                      1,575,651
 
 
            
 
 
 
  
Internet - 1.5%
        
 
 
500,000
  
eBay, Inc.
A
3.250%
10/15/2020
07/15/20 @ 100
                                          506,023
 
100,000
  
Expedia, Inc.
BBB-
5.950%
08/15/2020
N/A
                                            104,179
 
200,000
  
Symantec Corp.
BBB
4.200%
09/15/2020
N/A
                                          205,462
 
 
            
                                           815,664
 
 
            
 
 
 
  
Iron & Steel - 0.5%
        
 
 
100,000
  
Allegheny Technologies, Inc.
BBB-
5.950%
01/15/2021
10/15/20 @ 100
                                            103,149
 
 200,000
  
Cliffs Natural Resources, Inc.(a)
BBB-
4.800%
10/01/2020
N/A
                                           186,606
 
 
            
                                          289,755
 
 
            
 
 
 
  
Media - 6.5%
        
 
 
 200,000
  
CBS Corp.
BBB
5.750%
04/15/2020
N/A
                                          222,304
 
600,000
  
Comcast Corp.
A-
5.150%
03/01/2020
N/A
                                           678,414
 
400,000
  
DIRECTV Holdings LLC/DIRECTV Finance Co., Inc.
BBB
5.200%
03/15/2020
N/A
                                          423,232
 
300,000
  
Discovery Communications LLC
BBB
5.050%
06/01/2020
N/A
                                          326,854
 
 850,000
  
NBCUniversal Media LLC
A-
5.150%
04/30/2020
N/A
                                          959,762
 
250,000
  
Time Warner Cable, Inc.
BBB
5.000%
02/01/2020
N/A
                                          252,387
 
280,000
  
Time Warner Cable, Inc.
BBB
4.125%
02/15/2021
11/15/20 @ 100
                                          266,524
 
 400,000
  
Time Warner, Inc.
BBB
4.875%
03/15/2020
N/A
                                          432,472
 
 
            
                                     3,561,949
 
 
            
 
 
 
  
Mining - 1.6%
        
 
 
220,000
  
Alcoa, Inc.
BBB-
6.150%
08/15/2020
N/A
                                          229,776
 
 650,000
  
Rio Tinto Finance USA Ltd. (Australia)
A-
3.500%
11/02/2020
N/A
                                           638,091
 
 
            
                                          867,867
 
 
            
 
 
 
  
Oil & Gas - 7.1%
        
 
 
650,000
  
BP Capital Markets PLC (United Kingdom)
A
4.500%
10/01/2020
N/A
                                          694,423
 
500,000
  
Chevron Corp.
AA
2.427%
06/24/2020
05/24/20 @ 100
                                          488,690
 
350,000
  
ConocoPhillips
A
6.000%
01/15/2020
N/A
                                           414,292
 
150,000
  
EOG Resources, Inc.
A-
4.400%
06/01/2020
N/A
                                            161,732
 
400,000
  
Occidental Petroleum Corp., Series 1
A
4.100%
02/01/2021
11/01/20 @ 100
                                           413,570
 
100,000
  
Pride International, Inc.
BBB+
6.875%
08/15/2020
N/A
                                             118,316
 
 400,000
  
Shell International Finance BV (Netherlands)
AA
4.375%
03/25/2020
N/A
                                          437,486
 
100,000
  
Talisman Energy, Inc. (Canada)
BBB
3.750%
02/01/2021
11/01/20 @ 100
                                               97,818
 
 300,000
  
Total Capital SA (France)
AA-
4.450%
06/24/2020
N/A
                                          325,469
 
500,000
  
Transocean, Inc. (Cayman Islands)
BBB-
6.500%
11/15/2020
N/A
                                          553,584
 
150,000
  
Valero Energy Corp.
BBB
6.125%
02/01/2020
N/A
                                           172,005
 
 
            
                                    3,877,385
 
 
            
 
 
 
  
Oil & Gas Services - 0.5%
        
 
 
250,000
  
Weatherford International Ltd. (Bermuda)
BBB-
5.125%
09/15/2020
N/A
                                           259,716
 
 
            
 
 
 
  
Pharmaceuticals - 2.6%
        
 
 
200,000
  
Abbott Laboratories
A+
4.125%
05/27/2020
N/A
                                           216,598
 
150,000
  
Allergan, Inc.
A+
3.375%
09/15/2020
N/A
                                           150,942
 
250,000
  
Cardinal Health, Inc.
A-
4.625%
12/15/2020
N/A
                                          267,852
 
200,000
  
Johnson & Johnson
AAA
2.950%
09/01/2020
N/A
                                          205,426
 
300,000
  
Medco Health Solutions, Inc.
BBB+
4.125%
09/15/2020
N/A
                                          309,246
 
250,000
  
Novartis Capital Corp.
AA-
4.400%
04/24/2020
N/A
                                          273,048
 
 
            
                                       1,423,112
 
 
            
 
 
 
  
Pipelines - 4.9%
        
 
 
 200,000
  
Buckeye Partners, LP
BBB-
4.875%
02/01/2021
11/01/20 @ 100
                                          204,999
 
450,000
  
CenterPoint Energy Resources Corp.
A-
4.500%
01/15/2021
10/15/20 @ 100
                                          487,340
 
200,000
  
El Paso Pipeline Part Operating Co. LLC
BBB-
6.500%
04/01/2020
N/A
                                          230,272
 
100,000
  
Enbridge Energy Partners, LP
BBB
5.200%
03/15/2020
N/A
                                           107,582
 
200,000
  
Enterprise Products Operating LLC
BBB+
5.250%
01/31/2020
N/A
                                          222,653
 
100,000
  
Enterprise Products Operating LLC
BBB+
5.200%
09/01/2020
N/A
                                              111,481
 
250,000
  
Kinder Morgan Energy Partners, LP
BBB
6.850%
02/15/2020
N/A
                                          295,029
 
100,000
  
Kinder Morgan Energy Partners, LP
BBB
5.300%
09/15/2020
N/A
                                            109,341
 
200,000
  
Plains All American Pipeline/PAA Finance Corp.
BBB
5.000%
02/01/2021
11/01/20 @ 100
                                            217,591
 
150,000
  
TransCanada PipeLines Ltd. (Canada)
A-
3.800%
10/01/2020
N/A
                                           155,903
 
300,000
  
Williams Partners, LP
BBB
5.250%
03/15/2020
N/A
                                           321,280
 
200,000
  
Williams Partners, LP
BBB
4.125%
11/15/2020
08/15/20 @ 100
                                           201,364
 
 
            
                                    2,664,835
 
 
            
 
 
 
  
Real Estate Investment Trusts - 3.7%
        
 
 
200,000
  
American Towers Corp.
BBB-
5.050%
09/01/2020
N/A
                                          207,576
 
150,000
  
Boston Properties, LP
A-
5.625%
11/15/2020
08/15/20 @ 100
                                           168,244
 
350,000
  
Digital Realty Trust, LP
BBB
5.875%
02/01/2020
N/A
                                          379,055
 
300,000
  
ERP Operating, LP
BBB+
4.750%
07/15/2020
04/15/20 @ 100
                                           321,665
 
350,000
  
HCP, Inc.
BBB+
2.625%
02/01/2020
11/01/19 @ 100
                                          328,246
 
250,000
  
ProLogis, LP
BBB
6.875%
03/15/2020
12/16/19 @ 100
                                          293,206
 
120,000
  
Simon Property Group, LP
A
5.650%
02/01/2020
11/01/19 @ 100
                                           134,360
 
200,000
  
Ventas Realty, LP/Ventas Capital Corp.
BBB
2.700%
04/01/2020
01/01/20 @ 100
                                           188,258
 
 
            
                                     2,020,610
 
 
            
 
 
 
  
Retail - 3.7%
        
 
 
100,000
  
Autozone, Inc.
BBB
4.000%
11/15/2020
08/15/20 @ 100
                                            101,723
 
200,000
  
Home Depot, Inc.
A-
3.950%
09/15/2020
06/15/20 @ 100
                                           214,789
 
100,000
  
Lowe's Cos., Inc.
A-
4.625%
04/15/2020
10/15/19 @ 100
                                             109,211
 
200,000
  
Nordstrom, Inc.
A-
4.750%
05/01/2020
N/A
                                           219,397
 
300,000
  
Target Corp.
A+
3.875%
07/15/2020
N/A
                                            320,110
 
350,000
  
Wal-Mart Stores, Inc.
AA
3.625%
07/08/2020
N/A
                                          367,096
 
700,000
  
Wal-Mart Stores, Inc.
AA
3.250%
10/25/2020
N/A
                                           715,493
 
 
            
                                     2,047,819
 
 
            
 
 
 
  
Software - 1.0%
        
 
 
300,000
  
Adobe Systems, Inc.
BBB+
4.750%
02/01/2020
N/A
                                          322,339
 
200,000
  
Microsoft Corp.
AAA
3.000%
10/01/2020
N/A
                                          203,396
 
 
            
                                          525,735
 
 
            
 
 
 
  
Telecommunications - 2.0%
        
 
 
600,000
  
Cisco Systems, Inc.
A+
4.450%
01/15/2020
N/A
                                           657,517
 
440,000
  
Telefonica Emisiones SAU (Spain)
BBB
5.134%
04/27/2020
N/A
                                          445,630
 
 
            
                                       1,103,147
 
 
            
 
 
 
  
Transportation - 0.6%
        
 
 
300,000
  
CSX Corp.
BBB
3.700%
10/30/2020
07/30/20 @ 100
                                           310,404
 
 
            
 
 
 
  
Total Corporate Bonds - 98.3%
        
 
 
 
  
(Cost $55,627,586)
        
                                53,693,535
 
 
            
 
  Number of              
  Shares   Description         Value
 
 
  
Investments of Collateral for Securities Loaned - 0.2%
        
 
 
97,000
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(b) (c)
        
                                              97,000
     
(Cost $97,000)
        
 
               
 
     
Total Investments - 98.5%
        
 
     
(Cost $55,724,586)
        
                                53,790,535
     
Other Assets in excess of Liabilities - 1.5%
        
                                          795,990
     
Net Assets  - 100.0%
        
         $    54,586,525
 
AG - Stock Corporation
  
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 August 31, 2013.
  
(b)
At August 31, 2013, the total market value of the Fund's securities on loan was $95,132 and the total market value of the collateral held by the Fund was $97,000.
  
(c)
Interest rate shown reflects yield as of August 31, 2013.
  
     
See previously submitted notes to financial statements for the period ended May 31, 2013.
  
 
 
 
 
 
 
 
   
Country Breakdown
% of Corporate Bonds
United States
84.5%
United Kindom
4.2%
Switzerland
3.7%
Australia
1.2%
Canada
1.2%
Cayman Islands
1.0%
Japan
0.9%
Spain
0.8%
Netherlands
0.8%
France
0.6%
Luxembourg
0.6%
Bermuda
0.5%
Subject to change daily.
  
 
At August 31, 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
  
$ 55,724,586   $ 19,781   $ (1,953,832 )   $ (1,934,051 )
 
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 investment management, fund administration, legal and compliance is
responsible for the oversight of the valuation process of the Fund 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, unchanged 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 as described above. The fair value estimates for Level 3 securities are determined in accordance with the Fund's valuation procedures. The Fund did
not have any Level 3 securities at August 31, 2013.
          
                         
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 53,694     $ -     $ 53,694  
Investments of Collateral for Securities Loaned
   97       -       -     $ 97  
Total
 $ 97     $ 53,694     $ -     $ 53,791  
 
During the three months ended August 31, 2013, there were no transfers between levels.
            
 
 
 
 
 
 
 
BSCL Guggenheim BulletShares 2021 Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 98.4%
          
     
Corporate Bonds - 98.4%
          
     
Aerospace & Defense - 3.4%
          
 
$200,000
  
Lockheed Martin Corp.
A-
3.350%
09/15/2021
N/A
$198,273
 
200,000
  
Northrop Grumman Corp.
BBB
3.500%
03/15/2021
N/A
201,262
               
399,535
                 
     
Agriculture - 1.8%
          
 
200,000
  
Altria Group, Inc.
BBB
4.750%
05/05/2021
N/A
212,195
                 
     
Banks - 23.9%
          
 
200,000
  
Bank of America Corp., Series MTN
A-
5.000%
05/13/2021
N/A
212,107
 
200,000
  
Bank of New York Mellon Corp.
A+
3.550%
09/23/2021
08/23/21 @ 100
202,720
 
200,000
  
BNP Paribas SA, Series BKNT (France)
A+
5.000%
01/15/2021
N/A
213,369
 
200,000
  
Capital One Financial Corp.
BBB
4.750%
07/15/2021
N/A
210,794
 
100,000
  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)
AA-
4.500%
01/11/2021
N/A
105,142
 
200,000
  
Goldman Sachs Group, Inc.
A-
5.250%
07/27/2021
N/A
214,059
 
200,000
  
HSBC Holdings PLC (United Kingdom)
A+
5.100%
04/05/2021
N/A
218,996
 
200,000
  
JPMorgan Chase & Co.
A
4.625%
05/10/2021
N/A
211,930
 
200,000
  
KeyCorp, Series MTN
BBB+
5.100%
03/24/2021
N/A
219,624
 
50,000
  
Lloyds TSB Bank PLC (United Kingdom)
A
6.375%
01/21/2021
N/A
57,804
 
200,000
  
Morgan Stanley
A-
5.750%
01/25/2021
N/A
221,191
 
100,000
  
Royal Bank of Scotland PLC (United Kingdom)
A
6.125%
01/11/2021
N/A
111,429
 
200,000
  
State Street Corp.
A+
4.375%
03/07/2021
N/A
213,585
 
200,000
  
US Bancorp, Series MTN
A+
4.125%
05/24/2021
04/23/21 @ 100
210,540
 
200,000
  
Wells Fargo & Co., Series MTN
A+
4.600%
04/01/2021
N/A
215,842
               
2,839,132
                 
     
Biotechnology - 3.5%
          
 
200,000
  
Amgen, Inc.
A
3.875%
11/15/2021
08/15/21 @ 100
201,099
 
200,000
  
Gilead Sciences, Inc.
A-
4.400%
12/01/2021
09/01/21 @ 100
212,819
               
413,918
                 
     
Chemicals - 5.2%
          
 
200,000
  
Dow Chemical Co.
BBB
4.125%
11/15/2021
08/15/21 @ 100
203,675
 
150,000
  
Ecolab, Inc.
BBB+
4.350%
12/08/2021
N/A
157,049
 
200,000
  
EI du Pont de Nemours & Co.
A
3.625%
01/15/2021
N/A
204,026
 
50,000
  
Praxair, Inc.
A
4.050%
03/15/2021
N/A
52,570
               
617,320
                 
     
Computers - 1.6%
          
 
200,000
  
Hewlett-Packard Co.
BBB+
4.650%
12/09/2021
N/A
196,301
                 
     
Diversified Financial Services - 7.9%
          
 
200,000
  
Ford Motor Credit Co., LLC
BBB-
5.875%
08/02/2021
N/A
217,785
 
125,000
  
General Electric Capital Corp.
AA
5.300%
02/11/2021
N/A
135,239
 
150,000
  
General Electric Capital Corp., Series MTN
AA+
4.650%
10/17/2021
N/A
158,354
 
200,000
  
Jefferies Group, Inc.
BBB
6.875%
04/15/2021
N/A
223,323
 
200,000
  
Toyota Motor Credit Corp., Series MTN
AA-
3.400%
09/15/2021
N/A
200,640
               
935,341
                 
     
Electric - 0.8%
          
 
100,000
  
PPL Energy Supply, LLC
BBB
4.600%
12/15/2021
09/15/21 @ 100
100,513
                 
     
Food - 3.5%
          
 
200,000
  
General Mills, Inc.
BBB+
3.150%
12/15/2021
09/15/21 @ 100
195,929
 
200,000
  
Unilever Capital Corp.
A+
4.250%
02/10/2021
N/A
214,825
               
410,754
                 
     
Health Care Products - 1.6%
          
 
200,000
  
Becton Dickinson and Co.
A
3.125%
11/08/2021
N/A
196,741
                 
     
Health Care Services - 0.4%
          
 
50,000
  
UnitedHealth Group, Inc.
A
3.375%
11/15/2021
08/15/21 @ 100
49,471
                 
     
Insurance - 4.1%
          
 
200,000
  
Berkshire Hathaway Finance Corp.
AA
4.250%
01/15/2021
N/A
213,613
 
50,000
  
Marsh & McLennan Cos., Inc.
BBB
4.800%
07/15/2021
04/15/21 @ 100
53,708
 
200,000
  
Willis Group Holdings PLC (Ireland)
BBB-
5.750%
03/15/2021
N/A
215,096
               
482,417
                 
     
Internet - 0.9%
          
 
100,000
  
Google, Inc.
AA
3.625%
05/19/2021
N/A
103,820
                 
     
Machinery-Construction & Mining - 2.2%
          
 
200,000
  
Caterpillar, Inc.
A
3.900%
05/27/2021
N/A
207,785
 
50,000
  
Joy Global, Inc.
BBB
5.125%
10/15/2021
N/A
52,538
               
260,323
                 
     
Media - 4.4%
          
 
100,000
  
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc.
BBB
5.000%
03/01/2021
N/A
102,356
 
200,000
  
NBCUniversal Media, LLC
A-
4.375%
04/01/2021
N/A
214,240
 
200,000
  
Time Warner, Inc.
BBB
4.700%
01/15/2021
N/A
212,722
               
529,318
                 
     
Mining - 1.0%
          
 
125,000
  
Barrick North America Finance, LLC
BBB
4.400%
05/30/2021
N/A
116,990
                 
     
Office & Business Equipment - 0.9%
          
 
100,000
  
Xerox Corp.
BBB-
4.500%
05/15/2021
N/A
103,586
                 
     
Oil & Gas - 10.0%
          
 
200,000
  
BP Capital Markets PLC (United Kingdom)
A
3.561%
11/01/2021
N/A
197,578
 
200,000
  
Ensco PLC (United Kingdom)
BBB+
4.700%
03/15/2021
N/A
211,899
 
150,000
  
Marathon Petroleum Corp.
BBB
5.125%
03/01/2021
N/A
161,087
 
200,000
  
Noble Energy, Inc.
BBB
4.150%
12/15/2021
09/15/21 @ 100
204,863
 
200,000
  
Occidental Petroleum Corp.
A
3.125%
02/15/2022
11/15/21 @ 100
190,684
 
200,000
  
Transocean, Inc. (Cayman Islands)
BBB-
6.375%
12/15/2021
N/A
220,945
               
1,187,056
                 
     
Pharmaceuticals - 2.9%
          
 
125,000
  
Express Scripts Holding Co.
BBB+
4.750%
11/15/2021
N/A
132,889
 
200,000
  
Merck & Co., Inc.
AA
3.875%
01/15/2021
10/15/20 @ 100
209,131
               
342,020
                 
     
Real Estate Investment Trusts - 2.2%
          
 
50,000
  
Simon Property Group, LP
A
4.125%
12/01/2021
09/01/21 @ 100
51,899
 
200,000
  
Ventas Realty, LP/Ventas Capital Corp.
BBB
4.750%
06/01/2021
03/01/21 @ 100
208,909
               
260,808
                 
     
Retail - 5.5%
          
 
200,000
  
CVS Caremark Corp.
BBB+
4.125%
05/15/2021
02/15/21 @ 100
210,788
 
200,000
  
Gap, Inc.
BBB-
5.950%
04/12/2021
01/12/21 @ 100
222,238
 
200,000
  
Home Depot, Inc.
A-
4.400%
04/01/2021
01/01/21 @ 100
218,920
               
651,946
                 
     
Semiconductors - 2.1%
          
 
50,000
  
Applied Materials, Inc.
A-
4.300%
06/15/2021
N/A
52,132
 
200,000
  
Intel Corp.
A+
3.300%
10/01/2021
N/A
198,538
               
250,670
                 
     
Telecommunications - 6.9%
          
 
200,000
  
AT&T, Inc.
A-
3.875%
08/15/2021
N/A
202,743
 
200,000
  
Qwest Corp.
BBB-
6.750%
12/01/2021
N/A
214,663
 
200,000
  
Telefonica Emisiones SAU (Spain)
BBB
5.462%
02/16/2021
N/A
204,944
 
200,000
  
Verizon Communications, Inc.
BBB+
3.500%
11/01/2021
N/A
196,175
               
818,525
                 
     
Transportation - 1.7%
          
 
200,000
  
United Parcel Service, Inc.
A+
3.125%
01/15/2021
N/A
200,661
                 
     
Total Corporate Bonds - 98.4%
          
     
(Cost $11,857,400)
        
11,679,361
                 
     
Total Investments - 98.4%
          
     
(Cost $11,857,400)
        
11,679,361
     
Other Assets in excess of Liabilities - 1.6%
        
188,288
     
Net Assets  - 100.0%
        
$       11,867,649
 
LLC - Limited Liability Company
          
LP - Limited Partnership
          
N/A- Not Applicable
          
PLC - Public Limited Company
          
SA - Corporation
          
SAU - Limited 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.
  
 
 
 
 
 
 
 
         
Country Breakdown
    
% of Corporate Bonds
United States
      
85.0%
United Kingdom
    
6.8%
Cayman Islands
    
1.9%
Ireland
      
1.8%
France
      
1.8%
Spain
      
1.8%
Netherlands
      
0.9%
Subject to change daily.
      
 
At August 31, 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
  
$ 11,857,400   $ 7,559   $ (185,598 )   $ (178,039 )
 
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 investment management, fund administration, legal and compliance
is responsible for the oversight of the valuation process of the Fund 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, unchanged 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 as described above. The fair value value estimates for Level 3 securities are determined in accordance with the Fund's valuation procedures. The Fund
did not have any Level 3 securities at August 31, 2013.
          
                       
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                       
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 11,679     $ -     $ 11,679  
Total
 $ -     $ 11,679     $ -     $ 11,679  
 
During the three months ended August 31, 2013, there were no transfers between levels.
          
 
 
 
 
 
 
 
BSCM Guggenheim BulletShares 2022 Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 97.9%
          
     
Aerospace & Defense - 7.9%
          
 
$150,000
  
General Dynamics Corp.
A
2.250%
11/15/2022
08/15/22 @ 100
$134,548
 
150,000
  
Raytheon Co.
A-
2.500%
12/15/2022
09/15/22 @ 100
136,255
 
200,000
  
United Technologies Corp.
A
3.100%
06/01/2022
N/A
195,281
               
466,084
                 
     
Agriculture - 3.1%
          
 
200,000
  
Altria Group, Inc.
BBB
2.850%
08/09/2022
N/A
180,845
                 
     
Banks - 9.8%
          
 
200,000
  
Barclays Bank PLC (United Kingdom)
BB+
7.625%
11/21/2022
N/A
195,750
 
200,000
  
Goldman Sachs Group, Inc.
A-
5.750%
01/24/2022
N/A
220,018
 
100,000
  
JPMorgan Chase & Co.
A
4.500%
01/24/2022
N/A
103,932
 
60,000
  
Wells Fargo & Co.
A+
3.500%
03/08/2022
N/A
59,720
               
579,420
                 
     
Beverages - 3.1%
          
 
200,000
  
Anheuser-Busch InBev Worldwide, Inc.
A
2.500%
07/15/2022
N/A
184,234
                 
     
Chemicals - 3.1%
          
 
200,000
  
Dow Chemical Co.
BBB
3.000%
11/15/2022
08/15/22 @ 100
184,527
                 
     
Computers - 3.0%
          
 
200,000
  
IBM Corp.
AA-
1.875%
08/01/2022
N/A
177,243
                 
     
Diversified Financial Services - 6.5%
          
 
200,000
  
Ford Motor Credit Co. LLC
BBB-
4.250%
09/20/2022
N/A
195,240
 
200,000
  
General Electric Capital Corp.
AA+
3.150%
09/07/2022
N/A
186,183
               
381,423
                 
     
Food - 3.3%
          
 
200,000
  
Kraft Foods Group, Inc.
BBB
3.500%
06/06/2022
N/A
195,937
                 
     
Gas - 3.1%
          
 
200,000
  
Sempra Energy
BBB+
2.875%
10/01/2022
07/01/22 @ 100
185,124
                 
     
Media - 3.2%
          
 
200,000
  
DIRECTV Holdings LLC
BBB
3.800%
03/15/2022
N/A
186,880
                 
     
Mining - 3.0%
          
 
200,000
  
Freeport-McMoRan Copper & Gold, Inc.
BBB
3.550%
03/01/2022
12/01/21 @ 100
178,802
                 
     
Miscellaneous Manufacturing - 3.2%
          
 
200,000
  
General Electric Co.
AA+
2.700%
10/09/2022
N/A
186,969
                 
     
Oil & Gas - 12.7%
          
 
200,000
  
BP Capital Markets PLC  (United Kingdom)
A
2.500%
11/06/2022
N/A
179,386
 
200,000
  
Chevron Corp.
AA
2.355%
12/05/2022
09/05/22 @ 100
182,417
 
200,000
  
ConocoPhillips Co.
A
2.400%
12/15/2022
09/15/22 @ 100
182,633
 
200,000
  
Phillips 66
BBB
4.300%
04/01/2022
N/A
202,513
               
746,949
                 
     
Pharmaceuticals - 6.4%
          
 
200,000
  
GlaxoSmithKline Capital PLC (United Kingdom)
A+
2.850%
05/08/2022
N/A
191,149
 
200,000
  
Novartis Capital Corp.
AA-
2.400%
09/21/2022
N/A
184,625
               
375,774
                 
     
Real Estate Investment Trusts - 13.8%
          
 
200,000
  
Alexandria Real Estate, Inc.
BBB-
4.600%
04/01/2022
01/01/22 @ 100
200,357
 
200,000
  
American Tower Corp.
BBB-
4.700%
03/15/2022
N/A
198,278
 
200,000
  
Health Care REIT, Inc.
BBB
5.250%
01/15/2022
10/15/21 @ 100
212,867
 
200,000
  
Hospitality Properties Trust
BBB-
5.000%
08/15/2022
02/15/22 @ 100
198,655
               
810,157
                 
     
Retail - 3.3%
          
 
200,000
  
Target Corp.
A+
2.900%
01/15/2022
N/A
194,561
                 
     
Savings & Loans - 1.6%
          
 
100,000
  
People's United Finance, Inc.
BBB+
3.650%
12/06/2022
09/06/22 @ 100
94,169
                 
     
Software - 1.6%
          
 
100,000
  
Oracle Corp.
A+
2.500%
10/15/2022
N/A
91,781
                 
     
Telecommunications - 6.2%
          
 
200,000
  
AT&T, Inc.
A-
3.000%
02/15/2022
N/A
188,198
 
200,000
  
Verizon Communications, Inc.
A-
2.450%
11/01/2022
08/01/22 @ 100
176,365
               
364,563
                 
     
Total Corporate Bonds - 97.9%
          
     
(Cost $5,898,826)
        
5,765,442
     
Other Assets in excess of Liabilities - 2.1%
        
125,208
     
Net Assets  - 100.0%
        
$              5,890,650
 
LLC - Limited Liability Company
          
N/A- Not Applicable
          
PLC - Public Limited Company
          
REIT - Real Estate Investment Trust
          
             
             
*
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.
  
 
 
 
 
 
 
 
BSCM | Guggenheim BulletShares 2022 Corporate Bond ETF
            
 
Country Breakdown
% of Corporate Bonds
United States
90.2%
United Kingdom
9.8%
Subject to change daily.
  
 
At August 31, 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
  
$ 5,898,826   $ 508   $ (133,892 )   $ (133,384 )
 
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 investment management, 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, unchanged 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 Board of Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Fund’s valuation procedures.  The Fund did not have any Level 3 securities at August 31, 2013.
                 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
    
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 5,765     $ -     $ 5,765  
Total
 $ -     $ 5,765     $ -     $ 5,765  
 
During the three months ended August 31, 2013, there were no transfers between levels.
        
 
 
 
 
 
 
 
BSJD Guggenheim BulletShares 2013 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 48.2%
          
     
Aerospace & Defense - 1.6%
          
 
$2,185,000
  
DAE Aviation Holdings, Inc.(a)
CCC
11.250%
08/01/2015
10/07/13 @ 100
$2,201,388
 
1,093,000
  
Spirit Aerosystems, Inc.
BB-
7.500%
10/01/2017
10/01/14 @ 102
1,143,551
               
3,344,939
                 
     
Apparel - 1.0%
          
 
2,082,000
  
Hanesbrands, Inc.
BB
8.000%
12/15/2016
12/15/13 @ 104
2,206,920
                 
     
Auto Parts & Equipment - 0.2%
          
 
440,000
  
TRW Automotive, Inc.(a)
BB
8.875%
12/01/2017
12/01/13 @ 104
467,500
                 
     
Banks - 3.1%
          
 
6,613,000
  
Ally Financial, Inc.
B+
7.500%
12/31/2013
N/A
6,745,260
                 
     
Beverages - 1.0%
          
 
2,141,000
  
Cott Beverages, Inc.
B+
8.375%
11/15/2017
11/15/14 @ 102
2,258,755
                 
     
Coal - 1.8%
          
 
1,093,000
  
Arch Coal, Inc.(b)
B-
8.750%
08/01/2016
08/01/14 @ 102
1,062,942
 
2,622,000
  
Cloud Peak Energy Resources, LLC / Cloud Peak Energy Finance Corp.
BB-
8.250%
12/15/2017
12/15/13 @ 104
2,772,765
               
3,835,707
                 
     
Computers - 0.5%
          
 
1,093,000
  
Stream Global Services, Inc.
B+
11.250%
10/01/2014
10/01/13 @ 100
1,099,831
                 
     
Diversified Financial Services - 3.0%
          
 
721,000
  
International Lease Finance Corp., Series MTN
BBB-
5.625%
09/20/2013
N/A
722,802
 
5,429,000
  
National Money Mart Co. (Canada)
B+
10.375%
12/15/2016
12/15/13 @ 105
5,686,878
               
6,409,680
                 
     
Electric - 1.7%
          
 
3,564,000
  
Calpine Corp.(a)
BB-
7.250%
10/15/2017
10/15/14 @ 102
3,733,290
                 
     
Entertainment - 1.4%
          
 
1,943,000
  
NAI Entertainment Holdings, LLC(a)
BB
8.250%
12/15/2017
N/A
2,109,515
 
768,000
  
Yonkers Racing Corp.(a)
B+
11.375%
07/15/2016
07/15/14 @ 103
813,600
               
2,923,115
                 
     
Food - 0.3%
          
 
604,000
  
Stater Bros Holdings, Inc.
B+
7.375%
11/15/2018
11/15/14 @ 104
641,750
                 
     
Forest Products & Paper - 1.5%
          
 
3,002,000
  
Boise Paper Holdings, LLC / Boise Finance Co.
BB
9.000%
11/01/2017
11/01/14 @ 102
3,174,615
                 
     
Health Care Services - 3.0%
          
 
6,039,000
  
DaVita HealthCare Partners, Inc.
B
6.375%
11/01/2018
11/01/14 @ 103
6,356,048
                 
     
Leisure Time - 0.1%
          
 
169,000
  
Easton-Bell Sports, Inc.
B-
9.750%
12/01/2016
12/01/13 @ 105
179,774
                 
     
Lodging - 1.6%
          
 
3,312,000
  
Caesars Entertainment Operating Co., Inc.
B-
11.250%
06/01/2017
06/01/14 @ 103
3,419,640
                 
     
Machinery-Diversified - 3.6%
          
 
7,738,000
  
Case New Holland, Inc.
NR
7.750%
09/01/2013
N/A
7,738,000
                 
     
Media - 9.8%
          
 
8,271,000
  
CCO Holdings, LLC / CCO Holdings Capital Corp.
BB-
7.250%
10/30/2017
10/30/14 @ 104
8,787,937
 
4,767,000
  
DISH DBS Corp.(b)
BB-
7.000%
10/01/2013
N/A
4,792,027
 
2,161,000
  
Gannett Co., Inc.
BB
9.375%
11/15/2017
11/15/14 @ 102
2,304,166
 
3,815,000
  
Sinclair Television Group, Inc.(a)
BB+
9.250%
11/01/2017
11/01/14 @ 102
4,043,900
 
1,090,000
  
Videotron Ltd. (Canada)
BB
9.125%
04/15/2018
04/15/14 @ 103
1,145,863
               
21,073,893
                 
     
Mining - 4.6%
          
 
9,180,000
  
Novelis, Inc. (Canada)
B
8.375%
12/15/2017
12/15/13 @ 106
9,891,450
                 
     
Miscellaneous Manufacturing - 0.3%
          
 
512,000
  
Polypore International, Inc.
B+
7.500%
11/15/2017
11/15/14 @ 104
545,280
                 
     
Oil & Gas - 1.9%
          
 
3,897,000
  
Antero Resources Finance Corp.
B+
9.375%
12/01/2017
12/01/13 @ 105
4,150,305
                 
     
Oil & Gas Services - 0.1%
          
 
150,000
  
CIE Generale de Geophysique - Veritas (France)
BB-
9.500%
05/15/2016
05/15/14 @ 102
158,250
                 
     
Real Estate Investment Trusts - 3.5%
          
 
5,583,000
  
DuPont Fabros Technology, LP
BB
8.500%
12/15/2017
12/15/13 @ 104
5,917,980
 
1,613,000
  
Geo Group, Inc.
B+
7.750%
10/15/2017
10/15/14 @ 102
1,679,536
               
7,597,516
                 
     
Semiconductors - 0.3%
          
 
654,000
  
Advanced Micro Devices, Inc.
B
8.125%
12/15/2017
12/15/13 @ 104
681,795
                 
     
Telecommunications - 2.3%
          
 
4,806,000
  
Inmarsat Finance PLC (United Kingdom)(a)
BB+
7.375%
12/01/2017
12/01/13 @ 104
5,022,270
                 
     
Total Corporate Bonds - 48.2%
          
     
(Cost $103,502,259)
        
103,655,583
                 
 
Principal
              
 
Amount
  
Description
Coupon
Yield
Maturity
  
Value
     
US Treasury Bills - 54.0%
          
 
 $                        116,000,000
  
U.S. Treasury Bill
NR
0.019%
11/29/2013
N/A
 $                        115,993,736
     
(Cost $115,994,268)
          
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 1.4%
          
 
3,073,010
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(c) (d)
        
 $                            3,073,010
     
(Cost $3,073,010)
          
                 
     
Total Investments - 103.6%
          
     
(Cost $222,569,537)
        
222,722,329
     
Liabilities in excess of Other Assets - (3.6%)
        
(7,699,068)
     
Net Assets  - 100.0%
        
$            215,023,261
 
 
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 August 31, 2013 these securities amounted to $18,391,463, which represents 8.6% of net assets.
(b)
Security, or portion thereof, was on loan at August 31, 2013.
          
(c)
At August 31, 2013, the total market value of the Fund's securities on loan was $2,993,791 and the total market value of the collateral held by the Fund was $3,073,010.
(d)
Interest rate shown reflects yield as of August 31, 2013.
          
 
 
 
 
 
 
 
 
BSJD | Guggenheim BulletShares 2013 High Yield Corporate Bond ETF
            
 
   
Country Breakdown
% of Corporate Bonds
United States
78.9%
Canada
16.1%
United Kingdom
4.8%
France
0.2%
Subject to change daily.
  
   
See previously submitted notes to financial statements for the period ended May 31, 2013.
  
 
At August 31, 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
  
$ 222,569,537   $ 333,340   $ (180,548 ) $ 152,792  
 
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 investment management, 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, unchanged 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 Board of Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Fund’s valuation procedures.  The Fund did not have any Level 3 securities at August 31, 2013.
                 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
    
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -       103,655     $ -     $ 103,655  
U.S. Treasury Security
   -       115,994       -       115,994  
Investments of Collateral for Securities Loaned
   3,073       -       -       3,073  
Total
 $ 3,073     $ 219,649     $ -     $ 222,722  
 
During the three months ended August 31, 2013, there were no transfers between levels.
        
 
 
 
 
 
 
 
BSJE Guggenheim BulletShares 2014 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 96.5%
          
     
Corporate Bonds - 95.6%
          
     
Advertising - 0.9%
          
 
$800,000
  
Lamar Media Corp.
BB+
9.750%
04/01/2014
N/A
$836,000
 
2,457,000
  
Lamar Media Corp.
BB-
7.875%
04/15/2018
04/15/14 @ 104
2,638,204
               
3,474,204
                 
     
Aerospace & Defense - 3.2%
          
 
3,750,000
  
Kratos Defense & Security Solutions, Inc.
B
10.000%
06/01/2017
06/01/14 @ 105
4,068,750
 
7,765,000
  
TransDigm, Inc.
CCC+
7.750%
12/15/2018
12/15/14 @ 104
8,347,375
 
400,000
  
Triumph Group, Inc.
BB-
8.625%
07/15/2018
07/15/14 @ 104
438,000
               
12,854,125
                 
     
Auto Manufacturers - 0.7%
          
 
2,500,000
  
Jaguar Land Rover Automotive PLC (United Kingdom)(a)
BB
7.750%
05/15/2018
05/15/14 @ 106
2,718,750
                 
     
Auto Parts & Equipment - 0.9%
          
 
2,028,000
  
Lear Corp.
BB
7.875%
03/15/2018
03/15/14 @ 104
2,169,960
 
437,000
  
Meritor, Inc.
B-
10.625%
03/15/2018
03/15/14 @ 105
476,330
 
703,000
  
Tomkins, LLC / Tomkins, Inc.
BB-
9.000%
10/01/2018
10/01/14 @ 105
768,027
 
100,000
  
TRW Automotive, Inc.(a)
BB
7.000%
03/15/2014
N/A
103,000
               
3,517,317
                 
     
Banks - 5.0%
          
 
6,050,000
  
Ally Financial, Inc.
B+
4.500%
02/11/2014
N/A
6,118,063
 
3,250,000
  
Ally Financial, Inc.
B+
6.750%
12/01/2014
N/A
3,420,625
 
4,350,000
  
Ally Financial, Inc., Series 8
B+
6.750%
12/01/2014
N/A
4,589,250
 
5,625,000
  
CIT Group, Inc.(a)
BB-
5.250%
04/01/2014
N/A
5,744,531
               
19,872,469
                 
     
Beverages - 1.4%
          
 
3,020,000
  
Constellation Brands, Inc.
BB+
8.375%
12/15/2014
N/A
3,291,800
 
2,100,000
  
Cott Beverages, Inc.
B+
8.125%
09/01/2018
09/01/14 @ 104
2,265,375
               
5,557,175
                 
     
Building Materials - 1.5%
          
 
2,500,000
  
Building Materials Corp. of America(a)
BB+
6.875%
08/15/2018
08/15/14 @ 103
2,668,750
 
1,000,000
  
Interline Brands, Inc.(e)
CCC+
10.000%
11/15/2018
11/15/14 @ 105
1,082,500
 
2,000,000
  
USG Corp.(a)
BB-
8.375%
10/15/2018
10/15/14 @ 104
2,200,000
               
5,951,250
                 
     
Chemicals - 1.4%
          
 
3,500,000
  
Celanese US Holdings, LLC
BB+
6.625%
10/15/2018
10/15/14 @ 103
3,753,750
 
1,758,000
  
NOVA Chemicals Corp. (Canada)
BB+
8.625%
11/01/2019
11/01/14 @ 104
1,955,775
               
5,709,525
                 
     
Coal - 1.2%
          
 
1,600,000
  
Cloud Peak Energy Resources, LLC / Cloud Peak Energy Finance Corp.
BB-
8.500%
12/15/2019
12/15/14 @ 104
1,740,000
 
3,000,000
  
CONSOL Energy, Inc.
BB
8.000%
04/01/2017
04/01/14 @ 104
3,180,000
               
4,920,000
                 
     
Commercial Services - 9.4%
          
 
4,595,000
  
Avis Budget Car Rental, LLC / Avis Budget Finance, Inc.
B
8.250%
01/15/2019
10/15/14 @ 104
5,020,037
 
1,300,000
  
Cardtronics, Inc.
BB+
8.250%
09/01/2018
09/01/14 @ 104
1,400,750
 
500,000
  
Deluxe Corp., Series B
B
5.125%
10/01/2014
N/A
515,000
 
5,600,000
  
Envision Healthcare Corp.
B-
8.125%
06/01/2019
06/01/14 @ 106
6,083,000
 
3,900,000
  
Hertz Corp.
B
7.500%
10/15/2018
10/15/14 @ 104
4,231,500
 
3,566,000
  
Interactive Data Corp.
B-
10.250%
08/01/2018
08/01/14 @ 105
3,976,090
 
1,672,000
  
Iron Mountain, Inc.
B
8.375%
08/15/2021
08/15/14 @ 104
1,826,660
 
3,500,000
  
Jaguar Holding Co. II / Jaguar Merger Sub, Inc.(a)
B-
9.500%
12/01/2019
12/01/14 @ 107
3,972,500
 
1,200,000
  
RR Donnelley & Sons Co.
BB
4.950%
04/01/2014
N/A
1,227,000
 
1,740,000
  
Service Corp. International
BB-
7.000%
05/15/2019
11/15/14 @ 104
1,870,500
 
1,000,000
  
Stewart Enterprises, Inc.
BB
6.500%
04/15/2019
04/15/14 @ 105
1,070,000
 
1,300,000
  
TransUnion, LLC / TransUnion Financing Corp.
B-
11.375%
06/15/2018
06/15/14 @ 106
1,452,750
 
1,150,000
  
United Rentals North America, Inc.
B+
10.250%
11/15/2019
11/15/14 @ 105
1,306,687
 
3,050,000
  
United Rentals North America, Inc.
B+
9.250%
12/15/2019
12/15/14 @ 105
3,435,063
               
37,387,537
                 
     
Computers - 1.8%
          
 
4,500,000
  
iGATE Corp.
B+
9.000%
05/01/2016
05/01/14 @ 105
4,871,250
 
1,400,000
  
Stream Global Services, Inc.
B+
11.250%
10/01/2014
10/15/13 @ 100
1,408,750
 
1,025,000
  
SunGard Data Systems, Inc.
BB
4.875%
01/15/2014
N/A
1,035,250
               
7,315,250
                 
     
Diversified Financial Services - 1.2%
          
 
1,900,000
  
Aircastle Ltd. (Bermuda)
BB+
9.750%
08/01/2018
08/01/14 @ 105
2,109,000
 
2,500,000
  
Credit Acceptance Corp.
BB
9.125%
02/01/2017
02/01/14 @ 105
2,681,250
               
4,790,250
                 
     
Electric - 1.9%
          
 
900,000
  
CMS Energy Corp.
BBB-
2.750%
05/15/2014
N/A
913,865
 
3,900,000
  
NRG Energy, Inc.
BB-
7.625%
05/15/2019
05/15/14 @ 104
4,143,750
 
2,207,000
  
NRG Energy, Inc.
BB-
8.500%
06/15/2019
06/15/14 @ 104
2,389,078
               
7,446,693
                 
     
Electrical Components & Equipment - 0.2%
          
 
600,000
  
Coleman Cable, Inc.
B
9.000%
02/15/2018
02/15/14 @ 105
640,500
                 
     
Entertainment - 5.7%
          
 
3,500,000
  
AMC Entertainment, Inc.
B-
8.750%
06/01/2019
06/01/14 @ 104
3,780,000
 
1,450,000
  
Penn National Gaming, Inc.
BB-
8.750%
08/15/2019
08/15/14 @ 104
1,595,000
 
2,500,000
  
Regal Cinemas Corp.
B-
8.625%
07/15/2019
07/15/14 @ 104
2,715,625
 
2,829,000
  
Regal Entertainment Group(b)
B-
9.125%
08/15/2018
08/15/14 @ 105
3,104,827
 
1,500,000
  
Scientific Games Corp.
B+
8.125%
09/15/2018
09/15/14 @ 104
1,621,875
 
1,900,000
  
Scientific Games International, Inc.
B+
9.250%
06/15/2019
06/15/14 @ 105
2,063,875
 
2,190,000
  
Vail Resorts, Inc.
BB
6.500%
05/01/2019
05/01/14 @ 105
2,332,350
 
4,675,000
  
WMG Acquisition Corp.
B
11.500%
10/01/2018
10/01/14 @ 109
5,411,313
               
22,624,865
                 
     
Environmental Control - 0.4%
          
 
1,500,000
  
Darling International, Inc.
BB+
8.500%
12/15/2018
12/15/14 @ 104
1,657,500
                 
     
Food - 2.3%
          
 
3,500,000
  
Bumble Bee Holdings, Inc.(a)
B
9.000%
12/15/2017
12/15/14 @ 105
3,823,750
 
1,000,000
  
Dean Foods Co.
B
9.750%
12/15/2018
12/15/14 @ 105
1,137,500
 
800,000
  
JBS USA, LLC / JBS USA Finance, Inc.
BB
11.625%
05/01/2014
N/A
842,000
 
2,500,000
  
Michael Foods Group, Inc.
CCC+
9.750%
07/15/2018
07/15/14 @ 105
2,756,250
 
750,000
  
TreeHouse Foods, Inc.
BB-
7.750%
03/01/2018
03/01/14 @ 104
796,875
               
9,356,375
                 
     
Forest Products & Paper - 0.6%
          
 
2,067,000
  
Clearwater Paper Corp.
BB
7.125%
11/01/2018
11/01/14 @ 104
2,232,360
                 
     
Health Care Services - 4.3%
          
 
1,002,000
  
Apria Healthcare Group, Inc.(b)
B-
12.375%
11/01/2014
11/01/13 @ 100
1,017,030
 
4,400,000
  
DaVita HealthCare Partners, Inc.
B
6.625%
11/01/2020
11/01/14 @ 105
4,686,000
 
2,950,000
  
HCA, Inc.
B-
5.750%
03/15/2014
N/A
3,009,000
 
7,650,000
  
HCA, Inc.
BB
8.500%
04/15/2019
04/15/14 @ 104
8,281,125
               
16,993,155
                 
     
Home Builders - 0.4%
          
 
1,422,000
  
Lennar Corp., Series B
BB-
5.500%
09/01/2014
N/A
1,475,325
                 
     
Household Products & Housewares - 3.2%
          
 
7,750,000
  
Reynolds Group Issuer, Inc. / Reynolds Group Issuer, LLC / Reynolds Group Issuer Lu
B+
7.125%
04/15/2019
10/15/14 @ 104
8,282,813
 
3,890,000
  
Spectrum Brands, Inc.
BB
9.500%
06/15/2018
06/15/14 @ 105
4,288,725
               
12,571,538
                 
     
Iron & Steel - 0.8%
          
 
3,000,000
  
ArcelorMittal USA, LLC
BB+
6.500%
04/15/2014
N/A
3,078,942
                 
     
Lodging - 2.8%
          
 
4,750,000
  
CityCenter Holdings, LLC / CityCenter Finance Corp.
B
7.625%
01/15/2016
01/15/14 @ 104
5,040,938
 
3,058,000
  
Felcor Lodging, LP, REIT
B+
10.000%
10/01/2014
N/A
3,310,285
 
2,700,000
  
MGM Resorts International(b)
B+
5.875%
02/27/2014
N/A
2,767,500
               
11,118,723
                 
     
Machinery-Diversified - 0.5%
          
 
1,750,000
  
Manitowoc Co., Inc.(b)
B+
9.500%
02/15/2018
02/15/14 @ 105
1,894,375
                 
     
Media - 7.4%
          
 
7,986,000
  
CCO Holdings, LLC / CCO Holdings Capital Corp.
BB-
7.000%
01/15/2019
01/15/14 @ 105
8,485,125
 
5,450,000
  
DISH DBS Corp.
BB-
6.625%
10/01/2014
N/A
5,702,062
 
1,650,000
  
Gannett Co., Inc.
BB
7.125%
09/01/2018
09/01/14 @ 104
1,769,625
 
1,352,000
  
Mediacom, LLC / Mediacom Capital Corp.
B-
9.125%
08/15/2019
08/15/14 @ 105
1,490,580
 
700,000
  
Nielsen Finance, LLC / Nielsen Finance Co.
BB
11.625%
02/01/2014
N/A
730,660
 
6,000,000
  
Nielsen Finance, LLC / Nielsen Finance Co.
BB
7.750%
10/15/2018
10/15/14 @ 104
6,555,000
 
500,000
  
Sinclair Television Group, Inc.(b)
B
8.375%
10/15/2018
10/15/14 @ 104
548,750
 
3,881,000
  
XM Satellite Radio, Inc.(a)
BB
7.625%
11/01/2018
11/01/14 @ 104
4,239,993
               
29,521,795
                 
     
Metal Fabricate & Hardware - 0.2%
          
 
600,000
  
Severstal Columbus, LLC
B
10.250%
02/15/2018
02/15/14 @ 105
639,000
                 
     
Mining - 0.2%
          
 
1,000,000
  
Vedanta Resources PLC (United Kingdom)(a) (b)
BB
8.750%
01/15/2014
N/A
1,012,500
                 
     
Miscellaneous Manufacturing - 0.6%
          
 
2,420,000
  
SPX Corp.
BB+
7.625%
12/15/2014
N/A
2,589,400
                 
     
Office & Business Equipment - 0.6%
          
 
2,020,000
  
CDW, LLC / CDW Finance Corp.
B+
8.000%
12/15/2018
12/15/14 @ 104
2,227,050
                 
     
Oil & Gas - 6.0%
          
 
2,250,000
  
Antero Resources Finance Corp.
B+
7.250%
08/01/2019
08/01/14 @ 105
2,373,750
 
600,000
  
Berry Petroleum Co.
BB-
10.250%
06/01/2014
N/A
633,000
 
3,500,000
  
Carrizo Oil & Gas, Inc.
B-
8.625%
10/15/2018
10/15/14 @ 104
3,823,750
 
350,000
  
Citgo Petroleum Corp.(a)
BB+
11.500%
07/01/2017
07/01/14 @ 106
390,250
 
2,100,000
  
Continental Resources, Inc.
BBB-
8.250%
10/01/2019
10/01/14 @ 104
2,320,500
 
2,550,000
  
Energy XXI Gulf Coast, Inc.
B+
9.250%
12/15/2017
12/15/14 @ 105
2,849,625
 
750,000
  
McMoRan Exploration Co.
BBB
11.875%
11/15/2014
11/15/13 @ 100
765,853
 
350,000
  
Petrohawk Energy Corp.
BBB+
10.500%
08/01/2014
02/01/14 @ 100
365,330
 
1,760,000
  
Plains Exploration & Production Co.
BBB
8.625%
10/15/2019
10/15/14 @ 104
1,954,260
 
1,865,000
  
Range Resources Corp.
BB
8.000%
05/15/2019
05/15/14 @ 104
2,014,200
 
2,340,000
  
Tesoro Corp.
BB+
9.750%
06/01/2019
06/01/14 @ 105
2,576,925
 
1,425,000
  
Whiting Petroleum Corp.
BB-
7.000%
02/01/2014
N/A
1,460,625
 
2,250,000
  
Whiting Petroleum Corp.
BB-
6.500%
10/01/2018
10/01/14 @ 103
2,379,375
               
23,907,443
                 
     
Packaging & Containers - 3.0%
          
 
1,325,000
  
Ardagh Packaging Finance PLC (Ireland)(a)
B+
7.375%
10/15/2017
10/15/14 @ 104
1,422,719
 
2,000,000
  
Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc.,(Ireland)(a)
B+
7.375%
10/15/2017
10/15/14 @ 104
2,145,000
 
1,700,000
  
Ball Corp.
BB+
7.375%
09/01/2019
09/01/14 @ 104
1,848,750
 
2,895,000
  
Berry Plastics Corp.
CCC+
9.500%
05/15/2018
05/15/14 @ 105
3,159,169
 
1,500,000
  
BWAY Holding Co.
CCC+
10.000%
06/15/2018
06/15/14 @ 105
1,650,000
 
1,585,000
  
Graphic Packaging International
BB+
7.875%
10/01/2018
10/01/14 @ 104
1,731,612
               
11,957,250
                 
     
Pharmaceuticals - 5.9%
          
 
6,200,000
  
Grifols, Inc.
B+
8.250%
02/01/2018
02/01/14 @ 106
6,742,500
 
3,000,000
  
Valeant Pharmaceuticals International(a)
B
6.750%
10/01/2017
10/01/14 @ 103
3,206,250
 
6,000,000
  
Valeant Pharmaceuticals International(a)
B
6.875%
12/01/2018
12/01/14 @ 103
6,390,000
 
6,500,000
  
Warner Chilcott Co., LLC / Warner Chilcott Finance, LLC (Puerto Rico)
BB
7.750%
09/15/2018
09/15/14 @ 104
7,133,750
               
23,472,500
                 
     
Pipelines - 3.1%
          
 
3,750,000
  
Crosstex Energy, LP / Crosstex Energy Finance Corp.
B+
8.875%
02/15/2018
02/15/14 @ 104
4,003,125
 
1,000,000
  
El Paso, LLC(b)
BB
6.875%
06/15/2014
N/A
1,045,323
 
2,000,000
  
Penn Virginia Resource Partners LP / Penn Virginia Resource Finance Corp.
B-
8.250%
04/15/2018
04/15/14 @ 104
2,080,000
 
3,350,000
  
Regency Energy Partners, LP / Regency Energy Finance Corp.
BB
6.875%
12/01/2018
12/01/14 @ 103
3,609,625
 
1,600,000
  
Targa Resources Partners, LP / Targa Resources Partners
Finance Corp.
BB
7.875%
10/15/2018
10/15/14 @ 104
1,740,000
               
12,478,073
                 
     
Real Estate - 1.4%
          
 
3,350,000
  
Atlantic Finance Ltd. (Channel Islands)(a) (f)
B+
10.750%
05/27/2014
N/A
3,540,484
 
2,015,000
  
CBRE Services, Inc.
B+
6.625%
10/15/2020
10/15/14 @ 105
2,151,013
               
5,691,497
                 
     
Real Estate Investment Trusts - 0.3%
          
 
1,250,000
  
iStar Financial, Inc., Series B
B+
5.700%
03/01/2014
N/A
1,270,313
                 
     
Retail - 5.1%
          
 
2,500,000
  
Academy Ltd. / Academy Finance Corp.(a)
CCC+
9.250%
08/01/2019
08/01/14 @ 107
2,793,750
 
4,400,000
  
Burger King Corp.(b)
B
9.875%
10/15/2018
10/15/14 @ 105
4,972,000
 
2,750,000
  
DineEquity, Inc.
B-
9.500%
10/30/2018
10/30/14 @ 105
3,073,125
 
40,000
  
Express, LLC / Express Finance Corp.
BB
8.750%
03/01/2018
03/01/14 @ 104
42,950
 
1,080,000
  
Fifth & Pacific Cos., Inc., Series *
B
10.500%
04/15/2019
04/15/14 @ 105
1,183,950
 
500,000
  
L Brands, Inc.
BB-
5.250%
11/01/2014
N/A
520,000
 
5,470,000
  
Michaels Stores, Inc.
B
7.750%
11/01/2018
11/01/14 @ 104
5,914,437
 
1,500,000
  
Rite Aid Corp.
B-
10.250%
10/15/2019
10/15/14 @ 105
1,696,875
               
20,197,087
                 
     
Semiconductors - 2.0%
          
 
6,900,000
  
Freescale Semiconductor, Inc.(a)
B
9.250%
04/15/2018
04/15/14 @ 105
7,486,500
 
475,000
  
NXP BV / NXP Funding, LLC (Netherlands)(a)
BB-
9.750%
08/01/2018
08/01/14 @ 105
527,250
               
8,013,750
                 
     
Software - 0.9%
          
 
1,000,000
  
Audatex North America, Inc.
BB-
6.750%
06/15/2018
06/15/14 @ 103
1,067,500
 
1,400,000
  
Fidelity National Information Services, Inc.
BBB-
7.875%
07/15/2020
07/15/14 @ 106
1,552,144
 
770,000
  
IMS Health, Inc.(a)
B
12.500%
03/01/2018
03/01/15 @ 106
912,450
               
3,532,094
                 
     
Telecommunications - 6.8%
          
 
3,000,000
  
Crown Castle International Corp.
B
7.125%
11/01/2019
11/01/14 @ 104
3,240,000
 
927,000
  
Frontier Communications Corp.
BB-
8.250%
05/01/2014
N/A
961,762
 
4,251,000
  
Level 3 Financing, Inc.
CCC+
10.000%
02/01/2018
02/01/14 @ 105
4,585,766
 
5,733,000
  
MetroPCS Wireless, Inc.
BB
7.875%
09/01/2018
09/01/14 @ 104
6,234,638
 
1,000,000
  
PAETEC Holding Corp.
BB+
9.875%
12/01/2018
12/01/14 @ 105
1,117,500
 
3,700,000
  
Telesat Canada / Telesat, LLC (Canada)(a)
B-
6.000%
05/15/2017
05/15/14 @ 103
3,852,625
 
500,000
  
UPC Holding BV (Netherlands)(a)
B
9.875%
04/15/2018
04/15/14 @ 105
545,000
 
3,204,000
  
Virgin Media Finance PLC (United Kingdom)
B
8.375%
10/15/2019
10/15/14 @ 104
3,492,360
 
2,900,000
  
Windstream Corp.
B
8.125%
09/01/2018
09/01/14 @ 104
3,124,750
               
27,154,401
                 
     
Transportation - 0.4%
          
 
1,394,000
  
Quality Distribution, LLC / QD Capital Corp.
B-
9.875%
11/01/2018
11/01/14 @ 105
1,526,430
                 
     
Total Corporate Bonds - 95.6%
          
     
(Cost $377,643,543)
        
380,348,786
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Exchange Traded Fund - 0.9%
          
 
91,400
  
SPDR Barclays High Yield Bond ETF(b)
        
3,625,838
     
(Cost $3,639,990)
          
                 
     
Total Long-Term Investments - 96.5%
          
     
(Cost $381,283,533)
        
383,974,624
                 
                 
     
Investments of Collateral for Securities Loaned - 1.2%
          
 
5,053,880
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(c) (d)
        
5,053,880
     
(Cost $5,053,880)
          
                 
     
Total Investments - 97.7%
          
     
(Cost $386,337,413)
        
389,028,504
     
Other Assets in excess of Liabilities - 2.3%
        
8,990,722
     
Net Assets  - 100.0%
        
$    398,019,226
 
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 August 31, 2013 these securities amounted to $59,696,052, which represents 15.0% of net assets.
(b)
Security, or portion thereof, was on loan at August 31, 2013.
          
(c)
At August 31, 2013, the total market value of the Fund's securities on loan was $4,916,587 and the total market value of the collateral held by the Fund was $5,053,880.
(d)
Interest rate shown reflects yield as of August 31, 2013.
          
(e)
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.
  
(f)
Security is a “step-up” bond where the coupon increases or steps up at a predetermined rate. The rate shown reflects the rate in effect as of August 31, 2013.
  
                 
See previously submitted notes to financial statements May 31, 2013.
          
 
 
 
 
 
 
 
Country Breakdown
% of Corporate Bonds
United States
92.1%
United Kingdom
1.9%
Puerto Rico
1.9%
Canada
1.5%
Ireland
0.9%
Channel Islands
0.9%
Bermuda
0.5%
Netherlands
0.3%
Subject to change daily.
  
 
At August 31, 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
  
$ 386,337,562   $ 3,047,489   $ (356,547 ) $ 2,690,942  
 
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 investment management, fund administration, legal and
     
compliance is responsible for the oversight of the valuation process of the Fund 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, unchanged 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 as described above. The fair value value estimates for Level 3 securities are determined in accordance with the Fund's valuation procedures. The Fund
     
did not have any Level 3 securities at August 31, 2013.
              
                       
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
        
                       
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
            
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 380,349     $ -     $ 380,349  
Exchange Traded Fund
   3,626       -       -       3,626  
Investments of Collateral for Securities Loaned
   5,054       -       -       5,054  
Total
 $ 8,680     $ 380,349     $ -     $ 389,029  
 
During the three months ended August 31, 2013, there were no transfers between levels.
                  
 
 
 
 
 
 
 
BSJF Guggenheim BulletShares 2015 High Yield Corporate Bond ETF
          
Portfolio of Investments
        
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 97.3%
          
     
Corporate Bonds - 96.4%
          
     
Advertising - 0.1%
          
 
$500,000
  
Affinion Group, Inc.(a)
CCC-
11.500%
10/15/2015
10/15/13 @ 100
$    433,750
                 
     
Aerospace & Defense - 1.5%
          
 
5,080,000
  
B/E Aerospace, Inc.
BB
6.875%
10/01/2020
10/01/15 @ 103
5,511,800
 
2,000,000
  
Esterline Technologies Corp.
BB
7.000%
08/01/2020
08/01/15 @ 104
2,155,000
               
7,666,800
                 
     
Airlines - 1.3%
          
 
4,200,000
  
Air Canada (Canada)(b)
B+
9.250%
08/01/2015
08/01/14 @ 100
4,386,375
 
2,200,000
  
United Airlines, Inc.(b)
BB-
6.750%
09/15/2015
09/15/14 @ 100
2,285,250
               
6,671,625
                 
     
Apparel - 2.4%
          
 
7,560,000
  
Hanesbrands, Inc.
BB
6.375%
12/15/2020
12/15/15 @ 103
8,202,600
 
3,834,000
  
Levi Strauss & Co.(a)
B+
7.625%
05/15/2020
05/15/15 @ 104
4,131,135
               
12,333,735
                 
     
Auto Manufacturers - 2.3%
          
 
11,000,000
  
Chrysler Group, LLC / CG Co.-Issuer, Inc.
B
8.000%
06/15/2019
06/15/15 @ 104
12,003,750
                 
     
Auto Parts & Equipment - 1.5%
          
 
3,000,000
  
Goodyear Tire & Rubber Co.
B+
8.250%
08/15/2020
08/15/15 @ 104
3,322,500
 
2,232,000
  
Lear Corp.
BB
8.125%
03/15/2020
03/15/15 @ 104
2,449,620
 
1,200,000
  
Meritor, Inc.
B-
8.125%
09/15/2015
N/A
1,324,500
 
500,000
  
Tenneco, Inc.
BB-
6.875%
12/15/2020
12/15/15 @ 103
538,750
               
7,635,370
                 
     
Banks - 7.0%
          
 
11,200,000
  
Ally Financial, Inc.
B+
8.300%
02/12/2015
N/A
12,124,000
 
10,435,000
  
Ally Financial, Inc.
B+
4.625%
06/26/2015
N/A
10,807,748
 
10,765,000
  
CIT Group, Inc.(b)
BB-
4.750%
02/15/2015
N/A
11,141,775
 
100,000
  
Royal Bank of Scotland Group PLC (United Kingdom)
BB+
5.050%
01/08/2015
N/A
102,210
 
2,000,000
  
Zions Bancorporation
BB+
6.000%
09/15/2015
N/A
2,123,868
               
36,299,601
                 
     
Building Materials - 1.3%
          
 
1,500,000
  
Building Materials Corp. of America(b)
BB+
7.000%
02/15/2020
02/15/15 @ 104
1,601,250
 
2,425,000
  
Building Materials Corp. of America(b)
BB+
7.500%
03/15/2020
03/15/15 @ 104
2,582,625
 
2,241,000
  
Lafarge SA (France)(b)
BB+
6.200%
07/09/2015
N/A
2,397,870
               
6,581,745
                 
     
Chemicals - 1.1%
          
 
2,500,000
  
Huntsman International, LLC
B+
8.625%
03/15/2020
03/15/15 @ 104
2,775,000
 
2,700,000
  
PolyOne Corp.
BB-
7.375%
09/15/2020
09/15/15 @ 104
2,986,875
               
5,761,875
                 
     
Commercial Services - 6.5%
          
 
1,550,000
  
Avis Budget Car Rental, LLC / Avis Budget Finance, Inc.
B
9.750%
03/15/2020
09/15/15 @ 105
1,786,375
 
5,000,000
  
Ceridian Corp.
CCC
11.250%
11/15/2015
11/15/13 @ 100
5,087,500
 
9,284,000
  
Hertz Corp.
B
6.750%
04/15/2019
04/15/15 @ 103
9,945,485
 
3,725,000
  
Iron Mountain, Inc.
B
7.750%
10/01/2019
10/01/15 @ 104
4,134,750
 
2,000,000
  
Knowledge Universe Education, LLC(b)
CCC
7.750%
02/01/2015
N/A
1,960,000
 
581,000
  
RR Donnelley & Sons Co.
BB
5.500%
05/15/2015
N/A
618,765
 
4,500,000
  
United Rentals North America, Inc.
BB
5.750%
07/15/2018
07/15/15 @ 103
4,826,250
 
5,000,000
  
United Rentals North America, Inc.(a)
B-
8.375%
09/15/2020
09/15/15 @ 104
5,500,000
               
33,859,125
                 
     
Computers - 1.1%
          
 
5,289,000
  
SunGard Data Systems, Inc.
B
7.625%
11/15/2020
11/15/15 @ 104
5,685,675
                 
     
Distribution & Wholesale - 2.1%
          
 
9,741,000
  
HD Supply, Inc.
B+
8.125%
04/15/2019
04/15/15 @ 106
10,885,568
                 
     
Diversified Financial Services - 2.0%
          
 
400,000
  
International Lease Finance Corp.
BBB-
8.625%
09/15/2015
N/A
440,500
 
2,950,000
  
Nationstar Mortgage, LLC / Nationstar Capital Corp.
B+
10.875%
04/01/2015
04/01/14 @ 100
3,097,500
 
4,000,000
  
Nationstar Mortgage, LLC / Nationstar Capital Corp.
B+
9.625%
05/01/2019
05/01/15 @ 107
4,500,000
 
2,400,000
  
Nuveen Investments, Inc.(a)
CCC
5.500%
09/15/2015
N/A
2,388,000
 
100,000
  
Springleaf Finance Corp., Series MTNI
CCC+
5.400%
12/01/2015
N/A
102,250
               
10,528,250
                 
     
Electric - 6.4%
          
 
3,079,000
  
AES Corp.
BB-
7.750%
10/15/2015
N/A
3,440,782
 
7,375,000
  
Calpine Corp.(b)
BB-
7.875%
07/31/2020
07/31/15 @ 104
8,001,875
 
14,000,000
  
Calpine Corp.(b)
BB-
7.500%
02/15/2021
11/01/15 @ 104
14,910,000
 
6,270,000
  
NRG Energy, Inc.
BB-
8.250%
09/01/2020
09/01/15 @ 104
6,912,675
               
33,265,332
                 
     
Electrical Components & Equipment - 0.1%
          
 
500,000
  
Anixter, Inc.
BB
5.950%
03/01/2015
N/A
523,750
                 
     
Entertainment - 0.6%
          
 
2,500,000
  
AMC Entertainment, Inc.
CCC+
9.750%
12/01/2020
12/01/15 @ 105
2,868,750
 
425,000
  
Snoqualmie Entertainment Authority(b)
B
9.125%
02/01/2015
N/A
424,203
               
3,292,953
                 
     
Health Care Products - 1.0%
          
 
471,000
  
Bausch & Lomb, Inc.
Caa1
9.875%
11/01/2015
11/01/13 @ 100
479,713
 
4,150,000
  
Fresenius US Finance II, Inc.(b)
BB+
9.000%
07/15/2015
N/A
4,642,813
               
5,122,526
                 
     
Health Care Services - 7.3%
          
 
14,469,000
  
CHS/Community Health Systems, Inc.
B
8.000%
11/15/2019
11/15/15 @ 104
15,264,795
 
11,711,000
  
HCA Holdings, Inc.
B-
7.750%
05/15/2021
11/15/15 @ 104
12,501,493
 
5,600,000
  
HCA, Inc.
B-
6.375%
01/15/2015
N/A
5,908,000
 
4,000,000
  
Tenet Healthcare Corp.(a)
CCC+
9.250%
02/01/2015
N/A
4,390,000
               
38,064,288
                 
     
Holding Companies-Diversified - 0.8%
          
 
3,850,000
  
Leucadia National Corp.
BBB
8.125%
09/15/2015
N/A
4,312,000
                 
     
Home Builders - 1.1%
          
 
1,665,000
  
KB Home
B
6.250%
06/15/2015
N/A
1,764,900
 
4,000,000
  
Lennar Corp., Series B
BB-
5.600%
05/31/2015
N/A
4,220,000
               
5,984,900
                 
     
Household Products & Housewares - 2.0%
          
 
500,000
  
Jarden Corp.
B
7.500%
01/15/2020
01/15/15 @ 104
537,500
 
1,000,000
  
Reynolds Group Issuer, Inc.
B+
7.125%
04/15/2019
10/15/14 @ 104
1,068,750
 
8,000,000
  
Reynolds Group Issuer, Inc.
B+
7.875%
08/15/2019
08/15/15 @ 104
8,840,000
               
10,446,250
                 
     
Internet - 2.3%
          
 
5,200,000
  
GXS Worldwide, Inc.
B
9.750%
06/15/2015
06/15/14 @ 100
5,356,000
 
5,925,000
  
Zayo Group, LLC / Zayo Capital, Inc.
B
8.125%
01/01/2020
07/01/15 @ 104
6,458,250
               
11,814,250
                 
     
Iron & Steel - 4.0%
          
 
5,250,000
  
ArcelorMittal (Luxembourg)
BB+
9.500%
02/15/2015
N/A
5,781,562
 
3,250,000
  
ArcelorMittal (Luxembourg)(a)
BB+
4.250%
02/25/2015
N/A
3,343,438
 
7,500,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
08/05/2015
N/A
7,753,125
 
1,500,000
  
Essar Steel Algoma, Inc. (Canada)(b)
B
9.375%
03/15/2015
03/15/14 @ 100
1,413,750
 
2,390,000
  
Steel Dynamics, Inc.
BB+
7.625%
03/15/2020
03/15/15 @ 104
2,593,150
               
20,885,025
                 
     
Lodging - 1.7%
          
 
1,530,000
  
Marina District Finance Co., Inc.
B+
9.500%
10/15/2015
10/15/14 @ 102
1,619,888
 
6,750,000
  
MGM Resorts International
B+
6.625%
07/15/2015
N/A
7,222,500
               
8,842,388
                 
     
Machinery-Diversified - 2.0%
          
 
5,750,000
  
CNH Capital, LLC
BB
3.875%
11/01/2015
N/A
5,893,750
 
4,350,000
  
Manitowoc Co., Inc.
B+
8.500%
11/01/2020
11/01/15 @ 104
4,850,250
               
10,744,000
                 
     
Media - 5.4%
          
 
5,150,000
  
CCO Holdings, LLC / CCO Holdings Capital Corp.
BB-
8.125%
04/30/2020
04/30/15 @ 104
5,613,500
 
5,135,000
  
CCO Holdings, LLC / CCO Holdings Capital Corp.
BB-
7.375%
06/01/2020
12/01/15 @ 104
5,520,125
 
5,500,000
  
DISH DBS Corp.
BB-
7.750%
05/31/2015
N/A
5,995,000
 
1,500,000
  
Gannett Co., Inc.
BB
6.375%
09/01/2015
N/A
1,627,500
 
4,500,000
  
Sirius XM Radio, Inc.(b)
BB
8.750%
04/01/2015
N/A
5,060,250
 
3,800,000
  
Unitymedia Hessen GmbH & Co. KG (Germany)(b)
B+
7.500%
03/15/2019
03/15/15 @ 104
4,123,000
               
27,939,375
                 
     
Metal Fabricate & Hardware - 0.3%
          
 
1,320,000
  
Mueller Water Products, Inc.
B2
8.750%
09/01/2020
09/01/15 @ 104
1,445,400
                 
     
Mining - 2.1%
          
 
10,255,000
  
Novelis, Inc. (Canada)
B
8.750%
12/15/2020
12/15/15 @ 104
11,203,588
                 
     
Oil & Gas - 9.9%
          
 
2,000,000
  
Berry Petroleum Co.
BB-
6.750%
11/01/2020
11/01/15 @ 103
2,040,000
 
2,000,000
  
Chaparral Energy, Inc.
B-
9.875%
10/01/2020
10/01/15 @ 105
2,250,000
 
4,900,000
  
Chesapeake Energy Corp.
BB-
9.500%
02/15/2015
N/A
5,432,875
 
1,751,000
  
Continental Resources, Inc.
BBB-
7.375%
10/01/2020
10/01/15 @ 104
1,930,477
 
7,063,000
  
Denbury Resources, Inc.
BB
8.250%
02/15/2020
02/15/15 @ 104
7,804,615
 
1,000,000
  
Energy XXI Gulf Coast, Inc.
B+
7.750%
06/15/2019
06/15/15 @ 104
1,045,000
 
5,900,000
  
EP Energy, LLC / Everest Acquisition Finance, Inc.
B+
6.875%
05/01/2019
05/01/15 @ 103
6,298,250
 
9,600,000
  
Linn Energy, LLC / Linn Energy Finance Corp.
B
8.625%
04/15/2020
04/15/15 @ 104
9,696,000
 
350,000
  
Petrohawk Energy Corp.
BBB+
7.875%
06/01/2015
06/01/14 @ 100
357,037
 
2,500,000
  
Plains Exploration & Production Co.
BBB
7.625%
04/01/2020
04/01/15 @ 104
2,723,228
 
8,000,000
  
Plains Exploration & Production Co.
BBB
6.500%
11/15/2020
11/15/15 @ 105
8,525,680
 
3,500,000
  
Range Resources Corp.
BB
6.750%
08/01/2020
08/01/15 @ 103
3,788,750
               
51,891,912
                 
     
Packaging & Containers - 2.3%
          
 
4,500,000
  
Ball Corp.(a)
BB+
6.750%
09/15/2020
03/15/15 @ 103
4,882,500
 
6,170,000
  
Sealed Air Corp.(b)
BB-
8.125%
09/15/2019
09/15/15 @ 104
6,879,550
               
11,762,050
                 
     
Pharmaceuticals - 1.9%
          
 
3,900,000
  
Omnicare, Inc.
BB
7.750%
06/01/2020
06/01/15 @ 104
4,309,500
 
5,289,000
  
Valeant Pharmaceuticals International(b)
B
7.000%
10/01/2020
10/01/15 @ 104
5,579,895
               
9,889,395
                 
     
Pipelines - 1.2%
          
 
900,000
  
Kinder Morgan Kansas, Inc.(a)
BB
5.150%
03/01/2015
N/A
946,242
 
3,930,000
  
MarkWest Energy Partners, LP / MarkWest Energy Finance Corp.
BB
6.750%
11/01/2020
11/01/15 @ 103
4,214,925
 
1,200,000
  
NGPL PipeCo, LLC(a) (b)
B
9.625%
06/01/2019
06/01/15 @ 107
1,242,000
               
6,403,167
                 
     
Retail - 4.3%
          
 
3,500,000
  
AmeriGas Partners, LP / AmeriGas Finance Corp.
Ba3
6.250%
08/20/2019
08/20/15 @ 103
3,657,500
 
2,000,000
  
Asbury Automotive Group, Inc.
B+
8.375%
11/15/2020
11/15/15 @ 104
2,220,000
 
4,600,000
  
PVH Corp.
BB
7.375%
05/15/2020
05/15/15 @ 104
4,991,000
 
5,000,000
  
Rite Aid Corp.
B+
8.000%
08/15/2020
08/15/15 @ 104
5,568,750
 
5,475,000
  
Sally Holdings, LLC / Sally Capital, Inc.
BB+
6.875%
11/15/2019
11/15/15 @ 103
5,995,125
               
22,432,375
                 
     
Shipbuilding - 0.9%
          
 
4,540,000
  
Huntington Ingalls Industries, Inc.
B+
6.875%
03/15/2018
03/15/15 @ 103
4,914,550
                 
     
Software - 0.7%
          
 
3,600,000
  
First Data Corp.(b)
B+
8.875%
08/15/2020
08/15/15 @ 104
3,906,000
                 
     
Storage & Warehousing - 0.2%
          
 
1,000,000
  
Mobile Mini, Inc.
B+
7.875%
12/01/2020
12/01/15 @ 104
1,095,000
                 
     
Telecommunications - 7.6%
          
 
3,600,000
  
Avaya, Inc.
CCC+
9.750%
11/01/2015
11/01/13 @ 100
3,582,000
 
8,175,000
  
CommScope, Inc. (b)
B
8.250%
01/15/2019
01/15/15 @ 104
8,951,625
 
2,000,000
  
Intelsat Jackson Holdings SA (Luxembourg)
B
7.250%
04/01/2019
04/01/15 @ 104
2,155,000
 
4,500,000
  
Level 3 Communications, Inc.
CCC+
11.875%
02/01/2019
02/01/15 @ 106
5,186,250
 
4,593,000
  
Level 3 Financing, Inc.
CCC+
9.375%
04/01/2019
04/01/15 @ 105
5,063,782
 
8,750,000
  
Level 3 Financing, Inc.
CCC+
8.125%
07/01/2019
07/01/15 @ 104
9,318,750
 
2,340,000
  
SBA Telecommunications, Inc.
BB-
8.250%
08/15/2019
08/15/14 @ 104
2,550,600
 
2,700,000
  
Windstream Corp.
B
7.750%
10/15/2020
10/15/15 @ 104
2,774,250
               
39,582,257
                 
     
Trucking & Leasing - 0.1%
          
 
400,000
  
Maxim Crane Works, LP / Maxim Finance Corp.(b)
B
12.250%
04/15/2015
04/15/14 @ 100
419,000
                 
     
Total Corporate Bonds - 96.4%
          
     
(Cost $501,444,010)
        
502,528,600
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Exchange Traded Fund - 0.9%
          
 
117,000
  
SPDR Barclays High Yield Bond ETF(a)
        
$        4,641,390
     
(Cost $4,652,053)
          
                 
     
Total Long-Term Investments - 97.3%
          
     
(Cost $506,096,063)
        
507,169,990
                 
     
Investments of Collateral for Securities Loaned - 2.2%
          
 
11,250,860
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(c) (d)
        
11,250,860
     
(Cost $11,250,860)
          
                 
     
Total Investments - 99.5%
          
     
(Cost $517,346,923)
        
518,420,850
     
Other Assets in excess of Liabilities - 0.5%
        
2,715,775
     
Net Assets  - 100.0%
        
$     521,136,625
 
 
GmbH - Limited Liability
          
 
LLC - Limited Liability Company
          
 
LP - Limited Partnership
          
 
N/A- Not Applicable
          
 
PLC - Public Limited Company
          
 
SA - Corporaion
          
               
               
 
*
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 August 31, 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 August 31, 2013 these securities amounted to $91,909,106, which represents 17.6% of net assets.
 
(c)
At August 31, 2013, the total market value of the Fund's securities on loan was $10,983,232 and the total market value of the collateral held by the Fund was $11,250,860.
 
(d)
Interest rate shown reflects yield as of August 31, 2013.
          
 
 
 
 
 
 
BSJF | Guggenheim BulletShares 2015 High Yield Corporate Bond ETF
            
 
   
Country Breakdown
% of Corporate Bonds
United States
91.5%
Luxemburg
3.8%
Canada
3.4%
Germany
0.8%
France
0.5%
United Kingdom
0.0%*
Subject to change daily.
  
   
See previously submitted notes to financial statements for the period ended May 31, 2013.
  
 
* Amount is less than 0.1%
                
                 
At August 31, 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
  
$ 517,349,621   $ 4,774,102   $ (3,702,873 ) $ 1,071,229  
 
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 investment management, 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, unchanged 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 Board of Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Fund’s valuation procedures.  The Fund did not have any Level 3 securities at August 31, 2013.
                 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
    
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
        
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -       502,529     $ -     $ 502,529  
Exchange Traded Fund
   4,641       -       -       4,641  
Investments of Collateral for Securities Loaned
   11,251       -       -       11,251  
Total
 $ 15,892     $ 502,529     $ -     $ 518,421  
 
During the three months ended August 31, 2013, there were no transfers between levels.
    
 
 
 
 
 
 
BSJG Guggenheim BulletShares 2016 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 97.7%
          
     
Airlines - 0.3%
          
 
 $           500,000
  
Air Canada (Canada)(a)
B-
12.000%
02/01/2016
02/01/14 @ 106
 $                          542,500
                 
     
Auto Manufacturers - 4.2%
          
 
6,150,000
  
Chrysler Group, LLC / CG Co.-Issuer, Inc.
B
8.250%
06/15/2021
06/15/16 @ 104
6,780,375
 
1,500,000
  
Jaguar Land Rover Automotive PLC (United Kingdom)(a)
BB
8.125%
05/15/2021
05/15/16 @ 104
1,674,375
               
8,454,750
                 
     
Banks - 1.0%
          
 
2,000,000
  
Ally Financial, Inc.
B+
3.125%
01/15/2016
N/A
2,001,716
                 
     
Beverages - 1.2%
          
 
2,200,000
  
Constellation Brands, Inc.
BB+
7.250%
09/01/2016
N/A
2,499,750
                 
     
Building Materials - 5.9%
          
 
3,300,000
  
Building Materials Corp.(a)
BB+
6.750%
05/01/2021
05/01/16 @ 103
3,506,250
 
2,300,000
  
Hanson Ltd. (United Kingdom)
Ba2
6.125%
08/15/2016
N/A
2,507,000
 
400,000
  
Lafarge SA (France)
BB+
6.500%
07/15/2016
N/A
439,000
 
500,000
  
Nortek, Inc.
B
8.500%
04/15/2021
04/05/16 @ 104
543,750
 
1,730,000
  
USG Corp.
B-
6.300%
11/15/2016
N/A
1,820,825
 
950,000
  
USG Corp.(a)
BB-
7.875%
03/30/2020
03/30/16 @ 104
1,042,625
 
1,786,000
  
Vulcan Materials Co.
BB
6.500%
12/01/2016
N/A
1,973,530
               
11,832,980
                 
     
Chemicals - 0.5%
          
 
1,000,000
  
Ashland, Inc. (a)
BB
3.000%
03/15/2016
N/A
1,017,500
                 
     
Coal - 0.6%
          
 
1,100,000
  
Peabody Energy Corp.
BB
7.375%
11/01/2016
N/A
1,234,750
                 
     
Commercial Services - 2.9%
          
 
1,973,000
  
Hertz Corp.
B
7.375%
01/15/2021
01/15/16 @ 104
2,140,705
 
245,000
  
PHH Corp.
BB-
9.250%
03/01/2016
N/A
287,875
 
500,000
  
R.R. Donnelley & Sons
BB
8.600%
08/15/2016
N/A
580,000
 
2,500,000
  
United Rentals North America, Inc.
B+
8.250%
02/01/2021
02/01/16 @ 104
2,775,000
               
5,783,580
                 
     
Computers - 0.5%
          
 
900,000
  
iGATE Corp.
B+
9.000%
05/01/2016
05/01/14 @ 105
974,250
                 
     
Cosmetics & Personal Care - 0.3%
          
 
500,000
  
Elizabeth Arden, Inc.
BB-
7.375%
03/15/2021
03/15/16 @ 104
536,250
                 
     
Distribution/Wholesale - 3.4%
          
 
2,400,000
  
Hd Supply, Inc.
CCC+
11.000%
04/15/2020
04/15/16 @ 106
2,880,000
 
3,300,000
  
Hd Supply, Inc.
CCC+
11.500%
07/15/2020
10/15/16 @ 106
3,918,750
               
6,798,750
                 
     
Diversified Financial Services - 2.7%
          
 
1,900,000
  
E*TRADE Financial Corp.
B-
6.750%
06/01/2016
N/A
2,018,750
 
3,300,000
  
General Motors Financial Co., Inc. (a)
BB-
2.750%
05/15/2016
N/A
3,297,937
               
5,316,687
                 
     
Electric - 3.2%
          
 
1,000,000
  
AES Corp.
BB-
9.750%
04/15/2016
N/A
1,170,000
 
1,100,000
  
DPL, Inc.
BB
6.500%
10/15/2016
09/15/16 @ 100
1,166,000
 
3,800,000
  
NRG Energy, Inc.
BB-
7.875%
05/15/2021
05/15/16 @ 104
4,104,000
               
6,440,000
                 
     
Entertainment - 0.3%
          
 
600,000
  
Yonkers Racing Corp.(a)
B+
11.375%
07/15/2016
07/15/14 @ 103
635,625
                 
     
Food - 0.7%
          
 
1,350,000
  
Dean Foods Co.
B
7.000%
06/01/2016
N/A
1,485,000
                 
     
Forest Products & Paper - 0.3%
          
 
500,000
  
Stora Enso OYJ (Finland) (a)
BB
6.404%
04/15/2016
N/A
535,000
                 
     
Gas - 2.5%
          
 
4,450,000
  
Sabine Pass LNG, LP
BB+
7.500%
11/30/2016
N/A
4,922,813
                 
     
Health Care Services - 5.1%
          
 
3,350,000
  
HCA, Inc.
B-
6.500%
02/15/2016
N/A
3,643,125
 
1,500,000
  
Health Management Associates, Inc.
BB-
6.125%
04/15/2016
N/A
1,646,250
 
2,300,000
  
Health Management Associates, Inc.
B-
7.375%
01/15/2020
01/15/16 @ 104
2,581,750
 
1,100,000
  
Symbion, Inc.
B
8.000%
06/15/2016
06/15/14 @ 104
1,160,500
 
1,015,000
  
Universal Health Services, Inc.
BB+
7.125%
06/30/2016
N/A
1,134,263
               
10,165,888
                 
     
Home Builders - 1.2%
          
 
1,300,000
  
D.R. Horton, Inc.
BB
6.500%
04/15/2016
N/A
1,413,750
 
750,000
  
Lennar Corp.
BB-
6.500%
04/15/2016
N/A
808,125
 
200,000
  
Standard Pacific Corp.
B+
10.750%
09/15/2016
N/A
238,500
               
2,460,375
                 
     
Household Products & Housewares - 1.3%
          
 
1,400,000
  
American Achievement Corp. (a)
B-
10.875%
04/15/2016
10/15/14 @ 103
1,431,500
 
1,000,000
  
Prestige Brands, Inc.
B-
8.125%
02/01/2020
02/01/16 @ 104
1,105,000
               
2,536,500
                 
     
Internet - 2.7%
          
 
2,970,000
  
Equinix, Inc.
BB
7.000%
07/15/2021
07/15/16 @ 104
3,196,462
 
1,900,000
  
Zayo Group LLC / Zayo Capital, Inc.
CCC+
10.125%
07/01/2020
07/01/16 @ 105
2,166,000
               
5,362,462
                 
     
Iron & Steel - 1.4%
          
 
700,000
  
APERAM (Luxembourg)(a)
B+
7.375%
04/01/2016
10/01/14 @ 102
689,500
 
2,000,000
  
ArcelorMittal (Luxembourg)
BB+
4.250%
03/01/2016
N/A
2,045,000
               
2,734,500
                 
     
Leisure Time - 1.2%
          
 
500,000
  
Good Sam Enterprises LLC
B-
11.500%
12/01/2016
12/01/13 @ 109
537,500
 
250,000
  
Icon Health & Fitness, Inc.(a)
CCC+
11.875%
10/15/2016
10/15/14 @ 106
203,750
 
1,500,000
  
Sabre Holdings Corp.
CCC+
8.350%
03/15/2016
N/A
1,638,750
               
2,380,000
                 
     
Lodging - 3.6%
          
 
500,000
  
Boyd Gaming Corp.(b)
CCC+
7.125%
02/01/2016
N/A
505,781
 
575,000
  
CityCenter Holdings, LLC / CityCenter Finance Corp.
B
7.625%
01/15/2016
01/15/14 @ 104
610,219
 
850,000
  
MGM Resorts International(b)
B+
6.875%
04/01/2016
N/A
920,125
 
2,645,000
  
MGM Resorts International
B+
7.500%
06/01/2016
N/A
2,922,725
 
1,850,000
  
MGM Resorts International
B+
10.000%
11/01/2016
N/A
2,183,000
               
7,141,850
                 
     
Machinery-Diversified - 1.6%
          
 
1,100,000
  
CNH America, LLC
BB+
7.250%
01/15/2016
N/A
1,204,500
 
1,905,000
  
CNH Capital LLC
BB
6.250%
11/01/2016
N/A
2,085,975
               
3,290,475
                 
     
Media - 4.0%
          
 
2,557,000
  
AMC Networks, Inc.
BB-
7.750%
07/15/2021
07/15/16 @ 104
2,838,270
 
4,090,000
  
DISH DBS Corp.
BB-
7.125%
02/01/2016
N/A
4,478,550
 
600,000
  
New York Times Co.
BB-
6.625%
12/15/2016
N/A
664,500
               
7,981,320
                 
     
Mining - 2.6%
          
 
4,500,000
  
FQM Akubra, Inc. (Canada)(a)
B+
8.750%
06/01/2020
06/01/16 @ 104
4,725,000
 
400,000
  
Kaiser Aluminum Corp.
BB-
8.250%
06/01/2020
06/01/16 @ 104
448,000
               
5,173,000
                 
     
Miscellaneous Manufacturing - 1.4%
          
 
2,650,000
  
Bombardier, Inc. (Canada) (a)
BB
4.250%
01/15/2016
N/A
2,752,687
                 
     
Oil & Gas - 10.5%
          
 
1,000,000
  
Chaparral Energy, Inc.
B-
8.250%
09/01/2021
09/01/16 @ 104
1,047,500
 
1,800,000
  
Chesapeake Energy Corp.
BB-
3.250%
03/15/2016
03/15/14 @ 101
1,813,500
 
2,250,000
  
Concho Resources, Inc.
BB+
7.000%
01/15/2021
01/15/16 @ 104
2,480,625
 
1,500,000
  
Continental Resources, Inc.
BBB-
7.125%
04/01/2021
04/01/16 @ 104
1,650,000
 
1,500,000
  
Denbury Resources, Inc.
BB
6.375%
08/15/2021
08/15/16 @ 103
1,578,750
 
6,950,000
  
EP Energy, LLC / EP Energy Finance, Inc.
B
9.375%
05/01/2020
05/01/16 @ 105
7,679,750
 
600,000
  
Pbf Holding Co. LLC
BB+
8.250%
02/15/2020
02/15/16 @ 104
616,500
 
2,705,000
  
Plains Exploration & Production Co.
BBB
6.125%
06/15/2019
06/15/16 @ 103
2,857,705
 
1,000,000
  
Plains Exploration & Production Co.
BBB
6.625%
05/01/2021
05/01/16 @ 103
1,061,798
 
350,000
  
Quicksilver Resources, Inc.(b)
CCC-
7.125%
04/01/2016
04/01/14 @ 100
319,375
               
21,105,503
                 
     
Oil & Gas Services - 0.5%
          
 
1,000,000
  
Cie Generale de Geophysique - Veritas (France)
BB-
6.500%
06/01/2021
06/01/16 @ 103
1,017,500
                 
     
Packaging & Containers - 4.6%
          
 
2,000,000
  
Berry Plastics Corp.
CCC+
9.750%
01/15/2021
01/15/16 @ 105
2,325,000
 
2,500,000
  
Crown Americas /Crown Americas Capital Corp. III
BB
6.250%
02/01/2021
02/01/16 @ 103
2,637,500
 
850,000
  
Owens-Brockway Glass Container, Inc.
BB
7.375%
05/15/2016
N/A
958,375
 
500,000
  
Packaging Dynamics Corp.(a)
B
8.750%
02/01/2016
02/01/14 @ 102
520,000
 
2,465,000
  
Sealed Air Corp.(a)
BB-
8.375%
09/15/2021
09/15/16 @ 104
2,800,856
               
9,241,731
                 
     
Pharmaceuticals - 3.1%
          
 
650,000
  
Valeant Pharmaceuticals International(a)
B
6.500%
07/15/2016
07/15/14 @ 102
676,000
 
5,500,000
  
Valeant Pharmaceuticals International(a)
B
6.375%
10/15/2020
10/15/16 @ 103
5,616,875
               
6,292,875
                 
     
Pipelines - 4.3%
          
 
3,000,000
  
Kinder Morgan Finance Co. ULC
BB
5.700%
01/05/2016
N/A
3,244,866
 
1,250,000
  
MarkWest Energy Partners LP / MarkWest Energy Finance Corp.
BB
6.500%
08/15/2021
02/15/16 @ 103
1,334,375
 
1,750,000
  
Regency Energy Partners LP / Regency Energy Finance Corp.
BB
6.500%
07/15/2021
07/15/16 @ 103
1,863,750
 
2,000,000
  
Targa Resources Partners LP / Targas Resources Finance Corp.
BB
6.875%
02/01/2021
02/01/16 @ 103
2,130,000
               
8,572,991
                 
     
Real Estate - 1.7%
          
 
1,000,000
  
Realogy Corp.(a)
B-
3.375%
05/01/2016
N/A
997,500
 
1,550,000
  
Realogy Corp.(a)
BB-
7.625%
01/15/2020
01/15/16 @ 104
1,743,750
 
500,000
  
Realogy Corp.(a)
B-
9.000%
01/15/2020
01/15/16 @ 105
580,000
               
3,321,250
                 
     
Real Estate Investment Trusts - 1.5%
          
 
1,500,000
  
Geo Group, Inc.
B+
6.625%
02/15/2021
02/15/16 @ 103
1,575,000
 
1,000,000
  
iStar Financial, Inc.
B+
3.875%
07/01/2016
04/01/16 @ 100
1,000,000
 
350,000
  
iStar Financial, Inc., Series 1
B+
5.875%
03/15/2016
N/A
368,375
               
2,943,375
                 
     
Retail - 1.3%
          
 
1,800,000
  
AmeriGas Finance LLC / AmeriGas Finance Corp.
Ba2
6.750%
05/20/2020
05/20/16 @ 103
1,917,000
 
750,000
  
Toys "R" US, Inc.(a) (b)
B+
7.375%
09/01/2016
09/01/14 @ 102
761,250
               
2,678,250
                 
     
Shipbuilding - 1.3%
          
 
2,400,000
  
Huntington Ingalls Industries, Inc.
B+
7.125%
03/15/2021
03/15/16 @ 104
2,604,000
                 
     
Software - 2.5%
          
 
5,074,000
  
First Data Corp.(b)
CCC+
11.250%
03/31/2016
N/A
5,086,685
                 
     
Telecommunications - 9.3%
          
 
350,000
  
Clearwire Communications, LLC / Clearwire Finance, Inc.(a)
BB+
14.750%
12/01/2016
N/A
479,500
 
3,300,000
  
Intelsat Jackson Holdings SA (Luxembourg)
B
7.500%
04/01/2021
04/01/16 @ 104
3,580,500
 
2,650,000
  
Level 3 Financing, Inc.
CCC+
8.625%
07/15/2020
01/15/16 @ 104
2,848,750
 
800,000
  
NII Capital Corp.(b)
CCC
10.000%
08/15/2016
08/15/14 @ 103
786,000
 
6,600,000
  
Sprint Nextel Corp.
BB-
6.000%
12/01/2016
N/A
7,012,500
 
2,750,000
  
UPCB Finance V Ltd. (Cayman Islands)(a)
BB
7.250%
11/15/2021
11/15/16 @ 104
2,983,750
 
1,000,000
  
Windstream Corp.
B
7.750%
10/01/2021
10/01/16 @ 104
1,027,500
               
18,718,500
                 
     
Textiles - 0.0%***
          
 
100,000
  
Mohawk Industries, Inc.
BBB
6.375%
01/15/2016
N/A
109,790
                 
     
Transportation - 0.5%
          
 
1,000,000
  
CEVA Group PLC (United Kingdom)(a)
CCC-
11.625%
10/01/2016
10/01/14 @ 103
1,030,000
                 
     
Total Corporate Bonds - 97.7%
          
     
(Cost $196,311,514)
        
195,713,408
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Investments of Collateral for Securities Loaned - 0.9%
          
 
2,365,800
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(c) (d)
        
$1,750,800
     
(Cost $1,750,800)
          
                 
     
Total Investments - 98.6%
          
     
(Cost $198,062,314)
        
197,464,208
     
Other Assets in excess of Liabilities - 1.4%
        
2,777,416
     
Net Assets  - 100.0%
        
$  200,241,624
 
 
LLC - Limited Liability Company
          
 
LP - Limited Partnership
          
 
OYJ - Public Traded Company
          
 
N/A- Not Applicable
          
 
PLC - Public Limited Company
          
 
SA - Corporation
          
 
ULC - Unlimited Liability 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.
    
***
Less than 0.1%.
          
             
(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 August 31, 2013 these securities amounted to $40,243,731, which represents 20.1% of net assets.
(b)
Security, or portion thereof, was on loan at August 31, 2013.
          
(c)
At August 31, 2013, the total market value of the Fund's securities on loan was $1,709,333 and the total market value of the collateral held by the Fund was $1,750,800.
  
(d)
Interest rate shown reflects yield as of August 31, 2013.
          
 
 
 
 
 
 
 
Country Breakdown
% of Corporate Bonds
United States
87.5%
Canada
4.1%
Luxemburg
3.2%
United Kingdom
2.7%
Cayman Islands
1.5%
France
0.7%
Finland
0.3%
Subject to change daily.
  
   
See previously submitted notes to financial statements for the period ended May 31, 2013.
  
 
At August 31, 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
  
$ 198,062,314   $ 1,257,906   $ (1,856,012 )   $ (598,106 )
 
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 investment management, 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, unchanged 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 Board of Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Fund’s valuation procedures.  The Fund did not have any Level 3 securities at August 31, 2013.
                 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
    
                 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
        
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -       195,713     $ -     $ 195,713  
Exchange Traded Fund
   -       -       -       -  
Investments of Collateral for Securities Loaned
   1,751       -       -       1,751  
Total
 $ 1,751     $ 195,713     $ -     $ 197,464  
 
During the three months ended August 31, 2013, there were no transfers between levels.
 
 
 
 
 
 
BSJH Guggenheim BulletShares 2017 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
        
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 97.8%
          
     
Corporate Bonds - 97.8%
          
     
Advertising - 1.2%
          
 
$750,000
  
Lamar Media Corp.
BB-
5.875%
02/01/2022
02/01/17 @ 103
$    759,375
 
300,000
  
Sitel, LLC / Sitel Finance Corp.(a)
B
11.000%
08/01/2017
08/01/14 @ 106
319,500
               
1,078,875
                 
     
Aerospace & Defense - 1.0%
          
 
350,000
  
Kratos Defense & Security Solutions, Inc.
B
10.000%
06/01/2017
06/01/14 @ 105
379,750
 
500,000
  
Sequa Corp.(a)
CCC+
7.000%
12/15/2017
12/15/14 @ 104
502,500
               
882,250
                 
     
Auto Manufacturers - 0.1%
          
 
75,000
  
Oshkosh Corp.
BB
8.250%
03/01/2017
03/01/14 @ 104
80,438
                 
     
Auto Parts & Equipment - 1.3%
          
 
800,000
  
Schaeffler Finance BV (Netherlands)(a)
B+
7.750%
02/15/2017
N/A
896,000
 
250,000
  
Titan International, Inc.
B+
7.875%
10/01/2017
10/01/14 @ 104
266,250
               
1,162,250
                 
     
Banks - 9.9%
          
 
2,250,000
  
Ally Financial, Inc.
B+
5.500%
02/15/2017
N/A
2,381,078
 
1,400,000
  
Ally Financial, Inc.
B+
6.250%
12/01/2017
N/A
1,506,446
 
1,750,000
  
CIT Group, Inc.
BB-
5.000%
05/15/2017
N/A
1,824,375
 
2,000,000
  
CIT Group, Inc.
BB-
4.250%
08/15/2017
N/A
2,032,500
 
850,000
  
Synovus Financial Corp.
B+
5.125%
06/15/2017
N/A
867,000
               
8,611,399
                 
     
Beverages - 1.8%
          
 
1,350,000
  
Constellation Brands, Inc.
BB+
7.250%
05/15/2017
N/A
1,549,125
                 
     
Building Materials - 2.3%
          
 
226,000
  
Ainsworth Lumber Co. Ltd. (Canada)(a)
B+
7.500%
12/15/2017
12/15/14 @ 104
239,560
 
750,000
  
Associated Materials, LLC/AMH New Finance, Inc.
B-
9.125%
11/01/2017
11/01/13 @ 107
808,125
 
250,000
  
Norbord Delaware GP I(a)
BB-
7.700%
02/15/2017
N/A
280,000
 
600,000
  
Vulcan Materials Co.
BB
6.400%
11/30/2017
N/A
657,000
               
1,984,685
                 
     
Coal - 0.4%
          
 
350,000
  
CONSOL Energy, Inc.
BB
8.000%
04/01/2017
04/01/14 @ 104
371,000
                 
     
Commercial Services - 2.5%
          
 
250,000
  
Ashtead Capital, Inc.(a)
BB-
6.500%
07/15/2022
07/15/17 @ 103
265,625
 
500,000
  
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
B
4.875%
11/15/2017
05/15/15 @ 102
510,000
 
750,000
  
DynCorp International, Inc.
B-
10.375%
07/01/2017
07/01/14 @ 105
772,500
 
26,000
  
RR Donnelley & Sons Co.
BB
6.125%
01/15/2017
N/A
28,860
 
550,000
  
Service Corp. International
BB-
7.000%
06/15/2017
N/A
606,375
               
2,183,360
                 
     
Computers - 0.3%
          
 
250,000
  
Unisys Corp.
BB-
6.250%
08/15/2017
N/A
265,000
                 
     
Diversified Financial Services - 5.8%
          
 
500,000
  
AerCap Aviation Solutions BV (Netherlands)
BB+
6.375%
05/30/2017
N/A
532,500
 
750,000
  
Aircastle Ltd. (Bermuda)
BB+
6.750%
04/15/2017
N/A
798,750
 
400,000
  
Credit Acceptance Corp.
BB
9.125%
02/01/2017
02/01/14 @ 105
429,000
 
750,000
  
E*TRADE Financial Corp.
B-
6.000%
11/15/2017
11/15/14 @ 103
780,000
 
100,000
  
Ford Motor Credit Co., LLC
BBB-
6.625%
08/15/2017
N/A
113,020
 
1,500,000
  
General Motors Financial Co., Inc.(a)
BB-
4.750%
08/15/2017
N/A
1,554,375
 
830,000
  
Nuveen Investments, Inc.(a)
CCC
9.125%
10/15/2017
10/15/14 @ 107
821,700
               
5,029,345
                 
     
Electric - 2.7%
          
 
1,739,000
  
AES Corp.
BB-
8.000%
10/15/2017
N/A
2,008,545
 
82,000
  
Calpine Corp.(a)
BB-
7.250%
10/15/2017
10/15/14 @ 102
85,895
 
250,000
  
CMS Energy Corp.
BBB-
6.550%
07/17/2017
N/A
287,660
               
2,382,100
                 
     
Electrical Components & Equipment - 1.1%
          
 
250,000
  
International Wire Group Holdings, Inc.(a)
B
8.500%
10/15/2017
10/15/15 @ 104
261,875
 
650,000
  
WireCo WorldGroup, Inc.
B-
9.500%
05/15/2017
05/15/14 @ 102
676,000
               
937,875
                 
     
Food - 2.9%
          
 
850,000
  
Smithfield Foods, Inc.(b)
BB
7.750%
07/01/2017
N/A
960,500
 
1,500,000
  
Smithfield Foods, Inc.
BB
6.625%
08/15/2022
08/15/17 @ 013
1,541,250
               
2,501,750
                 
     
Forest Products & Paper - 0.6%
          
 
250,000
  
Cascades, Inc. (Canada)
B
7.750%
12/15/2017
12/15/13 @ 104
262,812
 
250,000
  
Sappi Papier Holding GmbH (Austria)(a)
BB
7.750%
07/15/2017
04/15/17 @ 100
261,875
               
524,687
                 
     
Hand & Machine Tools - 1.1%
          
 
925,000
  
Victor Technologies Group, Inc.
B-
9.000%
12/15/2017
12/15/13 @ 107
1,001,313
                 
     
Health Care Products - 0.3%
          
 
250,000
  
Accellent, Inc.
B+
8.375%
02/01/2017
02/01/14 @ 105
258,125
                 
     
Health Care Services - 3.2%
          
 
250,000
  
Capella Healthcare, Inc.
B
9.250%
07/01/2017
07/01/14 @ 105
267,187
 
750,000
  
Centene Corp.
BB
5.750%
06/01/2017
N/A
795,000
 
850,000
  
Fresenius Medical Care US Finance, Inc.
BB+
6.875%
07/15/2017
N/A
947,750
 
750,000
  
Health Net, Inc.
BB
6.375%
06/01/2017
N/A
791,250
               
2,801,187
                 
     
Home Builders - 4.1%
          
 
700,000
  
D.R. Horton, Inc.
BB
4.750%
05/15/2017
N/A
721,000
 
575,000
  
KB Home
B
9.100%
09/15/2017
N/A
654,063
 
750,000
  
Lennar Corp., Series B
BB-
12.250%
06/01/2017
N/A
967,500
 
750,000
  
Lennar Corp.
BB-
4.750%
12/15/2017
09/15/17 @ 100
765,000
 
250,000
  
Lennar Corp.(a)
BB-
4.750%
11/15/2022
08/15/22 @ 100
230,625
 
250,000
  
Ryland Group
BB-
8.400%
05/15/2017
N/A
284,375
               
3,622,563
                 
     
Iron & Steel - 6.0%
          
 
2,000,000
  
ArcelorMittal (Luxembourg)
BB+
5.000%
02/25/2017
N/A
2,055,000
 
1,050,000
  
Commercial Metals Co.
BB+
6.500%
07/15/2017
N/A
1,134,000
 
850,000
  
Ryerson, Inc./Joseph T. Ryerson & Son, Inc.(a)
CCC+
9.000%
10/15/2017
N/A
886,125
 
1,100,000
  
United States Steel Corp.(b)
BB-
6.050%
06/01/2017
N/A
1,152,250
               
5,227,375
                 
     
Lodging - 3.7%
          
 
1,750,000
  
Caesars Entertainment Operating Co., Inc.
B-
11.250%
06/01/2017
06/01/14 @ 103
1,806,875
 
1,250,000
  
MGM Resorts International
B+
7.625%
01/15/2017
N/A
1,384,375
               
3,191,250
                 
     
Machinery-Diversified - 2.7%
          
 
2,050,000
  
Case New Holland, Inc.
BB+
7.875%
12/01/2017
N/A
2,367,750
                 
     
Media - 3.9%
          
 
1,705,000
  
Cablevision Systems Corp.
B+
8.625%
09/15/2017
N/A
1,947,962
 
1,350,000
  
DISH DBS Corp.
BB-
4.625%
07/15/2017
N/A
1,373,625
 
75,000
  
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc.
B-
8.875%
04/15/2017
04/15/14 @ 104
81,188
               
3,402,775
                 
     
Metal Fabricate & Hardware - 0.4%
          
 
350,000
  
Mueller Water Products, Inc.
B
7.375%
06/01/2017
06/01/14 @ 101
360,063
                 
     
Miscellaneous Manufacturing - 1.8%
          
 
250,000
  
Polypore International, Inc.
B+
7.500%
11/15/2017
11/15/13 @ 106
266,250
 
1,200,000
  
SPX Corp.
BB+
6.875%
09/01/2017
N/A
1,335,000
               
1,601,250
                 
     
Oil & Gas - 7.9%
          
 
1,250,000
  
Chesapeake Energy Corp.(b)
BB-
6.500%
08/15/2017
N/A
1,381,250
 
1,000,000
  
Cimarex Energy Co.
BB+
5.875%
05/01/2022
05/01/17 @ 103
1,020,000
 
350,000
  
Comstock Resources, Inc.
B-
8.375%
10/15/2017
10/15/14 @ 102
367,500
 
350,000
  
Hercules Offshore, Inc.(a)
BB-
7.125%
04/01/2017
04/01/14 @ 105
372,750
 
1,500,000
  
SandRidge Energy, Inc.
B-
8.125%
10/15/2022
04/15/17 @ 104
1,515,000
 
100,000
  
Stone Energy Corp.
B-
8.625%
02/01/2017
02/01/14 @ 104
106,500
 
300,000
  
Sunoco, Inc.
BBB-
5.750%
01/15/2017
N/A
321,879
 
100,000
  
Swift Energy Co.
B+
7.125%
06/01/2017
06/01/14 @ 101
102,500
 
750,000
  
Tesoro Corp.
BB+
4.250%
10/01/2017
09/01/17 @ 100
763,125
 
850,000
  
WPX Energy, Inc.
BB+
5.250%
01/15/2017
N/A
905,250
               
6,855,754
                 
     
Packaging & Containers - 0.6%
          
 
500,000
  
Pactiv LLC
CCC+
8.125%
06/15/2017
N/A
510,000
                 
     
Pharmaceuticals - 0.4%
          
 
350,000
  
Valeant Pharmaceuticals International(a)
B
6.750%
10/01/2017
10/01/14 @ 103
374,063
                 
     
Pipelines - 4.3%
          
 
1,325,000
  
Access Midstream Partners, LP/ACMP Finance Corp.
BB
6.125%
07/15/2022
01/15/17 @ 103
1,368,063
 
1,250,000
  
El Paso LLC
BB
7.000%
06/15/2017
N/A
1,399,061
 
1,000,000
  
NGPL Pipeco LLC(a)
B
7.119%
12/15/2017
N/A
970,000
               
3,737,124
                 
     
Real Estate - 0.6%
          
 
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 - 0.8%
          
 
610,000
  
iStar Financial, Inc.
B3
9.000%
06/01/2017
N/A
693,875
                 
     
Retail - 6.2%
          
 
102,000
  
Bon-Ton Department Stores, Inc.
B-
10.625%
07/15/2017
10/15/13 @ 100
102,510
 
600,000
  
Ferrellgas, LP/Ferrellgas Finance Corp.
B
9.125%
10/01/2017
10/01/14 @ 102
631,500
 
862,000
  
L Brands, Inc.
BB-
6.900%
07/15/2017
N/A
969,750
 
750,000
  
Logan's Roadhouse, Inc.(b)
B-
10.750%
10/15/2017
10/15/14 @ 105
694,687
 
1,250,000
  
Sally Holdings, LLC/Sally Capital, Inc.
BB+
5.750%
06/01/2022
06/01/17 @ 103
1,257,812
 
500,000
  
Sonic Automotive, Inc.
BB-
7.000%
07/15/2022
07/15/17 @ 104
543,125
 
850,000
  
Tops Holding Corp./Tops Markets LLC(a)
B
8.875%
12/15/2017
06/15/15 @ 104
943,500
 
250,000
  
Toys "R" US, Inc.
CCC+
10.375%
08/15/2017
02/15/15 @ 105
246,563
               
5,389,447
                 
     
Semiconductors - 0.9%
          
 
750,000
  
Advanced Micro Devices, Inc.(b)
B
8.125%
12/15/2017
12/15/13 @ 104
781,875
                 
     
Software - 0.3%
          
 
250,000
  
Aspect Software, Inc.
CCC+
10.625%
05/15/2017
05/15/14 @ 105
251,875
                 
     
Telecommunications - 11.9%
          
 
170,000
  
CenturyLink, Inc., Series N
BB
6.000%
04/01/2017
N/A
182,750
 
70,000
  
Cincinnati Bell, Inc.
B
8.250%
10/15/2017
10/15/14 @ 102
73,447
 
1,000,000
  
Frontier Communications Corp.
BB-
8.250%
04/15/2017
N/A
1,135,000
 
250,000
  
Inmarsat Finance PLC (United Kingdom)(a)
BB+
7.375%
12/01/2017
12/01/13 @ 104
261,250
 
1,750,000
  
Sprint Communications, Inc.
BB-
9.125%
03/01/2017
N/A
2,016,875
 
1,750,000
  
Sprint Communications, Inc.
BB-
8.375%
08/15/2017
N/A
1,973,125
 
300,000
  
Telesat Canada/Telesat, LLC (Canada)(a)
B-
6.000%
05/15/2017
05/15/14 @ 103
312,375
 
2,500,000
  
Wind Acquisition Finance SA (Luxembourg)(a)
B
11.750%
07/15/2017
07/15/14 @ 103
2,625,000
 
1,600,000
  
Windstream Corp.
B
7.875%
11/01/2017
N/A
1,784,000
               
10,363,822
                 
     
Transportation - 2.8%
          
 
650,000
  
CEVA Group PLC (United Kingdom)(a)
CCC+
8.375%
12/01/2017
12/01/13 @ 106
651,625
 
750,000
  
Florida East Coast Railway Corp.
B-
8.125%
02/01/2017
02/01/14 @ 104
795,000
 
500,000
  
Hapag-Lloyd AG (Germany)(a)(b)
B-
9.750%
10/15/2017
10/15/14 @ 105
528,750
 
400,000
  
Marquette Transportation Co./Marquette Transportation Finance Corp.
B-
10.875%
01/15/2017
01/15/14 @ 105
428,000
               
2,403,375
                 
     
Total Corporate Bonds - 97.8%
          
     
(Cost $85,907,376)
        
85,267,750
                 
                 
  Number of              
  Shares   Description         Value
     
Investments of Collateral for Securities Loaned - 1.8%
          
 
1,596,490
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(c) (d)
        
1,596,490
     
(Cost $1,596,490)
          
                 
     
Total Investments - 99.6%
          
     
(Cost $87,503,866)
        
86,864,240
     
Other Assets in excess of Liabilities - 0.4%
        
349,902
     
Net Assets  - 100.0%
        
$       87,214,142
 
AG - Stock Corporation
      
BV - Limited Liability Company
  
LLC - Limited Liability Company
  
LP - Limited Partnership
      
N/A- Not Applicable
      
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 August 31, 2013 these securities amounted to $13,644,968, which represents 15.7% of net assets.
(b)
Security, or portion thereof, was on loan at August 31, 2013.
  
(c)
At August 31, 2013, the total market value of the Fund's securities on loan was $1,562,017 and the total market value of the collateral held by the Fund was $1,596,490.
(d)
Interest rate shown reflects yield as of August 31, 2013.
  
         
See previously submitted notes to financial statements for the period ended May 31, 2013.
  
 
 
 
 
 
 
 
   
Country Breakdown
% of Corporate Bonds
United States
88.9%
Luxembourg
5.5%
Netherlands
1.7%
United Kingdom
1.1%
Canada
1.0%
Bermuda
0.9%
Germany
0.6%
Austria
0.3%
Subject to change daily.
  
 
At August 31, 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
  
$ 87,503,958   $ 376,911   $ (1,016,629 )   $ (639,718 )
 
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 investment management, fund administration, legal and compliance
is responsible for the oversight of the valuation process of the Fund 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, unchanged 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 as described above. The fair value value estimates for Level 3 securities are determined in accordance with the Fund's valuation procedures. The
Fund did not have any Level 3 securities at August 31, 2013.
            
                           
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
  
                           
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
        
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 85,268     $ -     $ 85,268  
Investments of Collateral for Securities Loaned
   1,596       -       -       1,596  
Total
 $ 1,596     $ 85,268     $ -     $ 86,864  
 
During the three months ended August 31, 2013, there were no transfers between levels.
                
 
 
 
 
 
 
 
BSJI Guggenheim BulletShares 2018 High Yield Corporate Bond ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 97.3%
          
     
Corporate Bonds - 97.1%
          
     
Advertising - 1.0%
          
 
$1,000,000
  
inVentiv Health, Inc.(a)
B
9.000%
01/15/2018
01/15/16 @ 105
$1,025,000
                 
     
Airlines - 0.6%
          
 
600,000
  
United Continental Holdings, Inc.
B
6.375%
06/01/2018
N/A
607,500
                 
     
Apparel - 0.5%
          
 
500,000
  
Quiksilver, Inc. / QS Wholesale, Inc.(a)
CCC+
7.875%
08/01/2018
02/01/16 @ 104
518,125
                 
     
Auto Parts & Equipment - 1.1%
          
 
500,000
  
Accuride Corp.
B-
9.500%
08/01/2018
08/01/14 @ 105
517,500
 
550,000
  
Meritor, Inc.
B-
10.625%
03/15/2018
03/15/14 @ 105
599,500
 
36,000
  
Tomkins, LLC / Tomkins, Inc.
BB-
9.000%
10/01/2018
10/01/14 @ 105
39,330
               
1,156,330
                 
     
Banks - 3.6%
          
 
859,000
  
Ally Financial, Inc.
B-
8.000%
12/31/2018
N/A
981,408
 
1,900,000
  
CIT Group, Inc.
BB-
5.250%
03/15/2018
N/A
1,971,250
 
750,000
  
CIT Group, Inc.(a)
BB-
6.625%
04/01/2018
N/A
813,750
               
3,766,408
                 
     
Building Materials - 3.6%
          
 
750,000
  
Griffon Corp.
BB-
7.125%
04/01/2018
04/01/14 @ 105
799,688
 
500,000
  
Interline Brands, Inc.
B
7.500%
11/15/2018
11/15/13 @ 106
527,500
 
1,104,000
  
Ply Gem Industries, Inc.
B
8.250%
02/15/2018
02/15/14 @ 106
1,186,800
 
600,000
  
USG Corp.
B-
9.750%
01/15/2018
N/A
694,500
 
525,000
  
Vulcan Materials Co.
BB
7.000%
06/15/2018
N/A
590,625
               
3,799,113
                 
     
Chemicals - 3.4%
          
 
1,000,000
  
Ashland, Inc.(a)
BB
3.875%
04/15/2018
03/15/18 @ 100
990,000
 
400,000
  
Ferro Corp.
B
7.875%
08/15/2018
08/15/14 @ 104
425,000
 
1,100,000
  
Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC
CCC+
8.875%
02/01/2018
02/01/14 @ 104
1,130,250
 
1,000,000
  
INEOS Group Holdings SA (Luxembourg)(a)
B-
6.125%
08/15/2018
05/15/15 @ 103
970,000
               
3,515,250
                 
     
Coal - 1.9%
          
 
2,000,000
  
Peabody Energy Corp.
BB
6.000%
11/15/2018
N/A
2,000,000
                 
     
Commercial Services - 2.0%
          
 
300,000
  
Hertz Corp.(a)
B
4.250%
04/01/2018
N/A
295,500
 
421,000
  
RR Donnelley & Sons Co.
BB
7.250%
05/15/2018
N/A
468,363
 
380,000
  
Service Corp. International
BB-
7.625%
10/01/2018
N/A
433,675
 
750,000
  
Speedy Cash Intermediate Holdings Corp.(a)
B
10.750%
05/15/2018
05/15/15 @ 105
795,000
 
100,000
  
United Rentals North America, Inc.
BB
5.750%
07/15/2018
07/15/15 @ 103
107,250
               
2,099,788
                 
     
Computers - 1.0%
          
 
1,000,000
  
SunGard Data Systems, Inc.
B
7.375%
11/15/2018
11/15/13 @ 106
1,067,500
                 
     
Diversified Financial Services - 2.4%
          
 
1,000,000
  
General Motors Financial Co., Inc.(a)
BB-
3.250%
05/15/2018
N/A
962,500
 
500,000
  
General Motors Financial Co., Inc.
BB-
6.750%
06/01/2018
N/A
559,375
 
500,000
  
Nationstar Mortgage, LLC / Nationstar Capital Corp.
B+
6.500%
08/01/2018
08/01/15 @ 103
507,500
 
500,000
  
Oxford Finance, LLC / Oxford Finance Co.-Issuer, Inc.(a)
B
7.250%
01/15/2018
01/15/15 @ 104
513,750
               
2,543,125
                 
     
Electric - 3.1%
          
 
250,000
  
CMS Energy Corp.
BBB-
5.050%
02/15/2018
N/A
275,520
 
800,000
  
Ipalco Enterprises, Inc.
BB+
5.000%
05/01/2018
04/01/18 @ 100
826,000
 
1,950,000
  
NRG Energy, Inc.
BB-
7.625%
01/15/2018
N/A
2,169,375
               
3,270,895
                 
     
Entertainment - 1.2%
          
 
500,000
  
Diamond Resorts Corp.
B-
12.000%
08/15/2018
08/15/14 @ 106
557,500
 
500,000
  
Peninsula Gaming, LLC / Peninsula Gaming Corp.(a)
CCC+
8.375%
02/15/2018
08/15/14 @ 106
540,000
 
120,000
  
WMG Acquisition Corp.
B
11.500%
10/01/2018
10/01/14 @ 109
138,900
               
1,236,400
                 
     
Environmental Control - 1.0%
          
 
250,000
  
Darling International, Inc.
BB+
8.500%
12/15/2018
12/15/14 @ 104
276,250
 
500,000
  
EnergySolutions, Inc. / EnergySolutions, LLC
B
10.750%
08/15/2018
08/15/14 @ 105
542,500
 
250,000
  
Nuverra Environmental Solutions, Inc.
B
9.875%
04/15/2018
04/15/15 @ 105
248,750
               
1,067,500
                 
     
Food - 1.3%
          
 
500,000
  
Michael Foods Holding, Inc.(a)
CCC+
8.500%
07/15/2018
07/15/14 @ 103
517,500
 
750,000
  
Pilgrim's Pride Corp.
BB-
7.875%
12/15/2018
12/15/14 @ 104
813,750
               
1,331,250
                 
     
Health Care Products - 4.0%
          
 
555,000
  
Alere, Inc.
B-
7.250%
07/01/2018
12/15/15 @ 104
602,175
 
500,000
  
Alere, Inc.
CCC+
8.625%
10/01/2018
10/01/14 @ 104
540,625
 
220,000
  
Hanger, Inc.
B
7.125%
11/15/2018
11/15/14 @ 104
235,675
 
2,500,000
  
Kinetics Concept, Inc. / KCI USA, Inc.
B-
10.500%
11/01/2018
11/01/15 @ 105
2,768,750
               
4,147,225
                 
     
Health Care Services - 6.8%
          
 
2,300,000
  
CHS / Community Health System, Inc.
BB
5.125%
08/15/2018
08/15/15 @ 103
2,357,500
 
300,000
  
DaVita HealthCare Partners, Inc.
B
6.375%
11/01/2018
11/01/14 @ 103
315,750
 
600,000
  
Fresenius Medical Care US Finance, Inc.(a)
BB+
6.500%
09/15/2018
N/A
657,000
 
850,000
  
HCA, Inc.
B-
8.000%
10/01/2018
N/A
960,500
 
1,350,000
  
Tenet Healthcare Corp.
B+
6.250%
11/01/2018
N/A
1,431,000
 
1,350,000
  
Vanguard Health Holding Co. II, LLC / Vanguard Holding Co. II, Inc.
B-
8.000%
02/01/2018
02/01/14 @ 104
1,432,687
               
7,154,437
                 
     
Home Builders - 3.8%
          
 
500,000
  
Beazer Homes USA, Inc.
B
6.625%
04/15/2018
07/15/15 @ 103
529,375
 
500,000
  
Beazer Homes USA, Inc.
CCC
9.125%
06/15/2018
06/15/14 @ 105
530,000
 
550,000
  
D.R. Horton, Inc.
BB
3.625%
02/15/2018
11/15/17 @ 100
535,562
 
468,000
  
KB Home
B
7.250%
06/15/2018
N/A
498,420
 
300,000
  
Lennar Corp.
BB-
6.950%
06/01/2018
N/A
327,000
 
500,000
  
Lennar Corp.(a)
BB-
4.125%
12/01/2018
10/01/18 @ 100
477,500
 
1,000,000
  
Standard Pacific Corp.
B+
8.375%
05/15/2018
N/A
1,135,000
               
4,032,857
                 
     
Household Products & Housewares - 3.0%
          
 
470,000
  
Armored Autogroup, Inc.
CCC
9.250%
11/01/2018
11/01/14 @ 105
413,600
 
1,100,000
  
Central Garden and Pet Co.
CCC+
8.250%
03/01/2018
03/01/14 @ 104
1,072,500
 
1,595,000
  
Reynolds Group Issuer, Inc.
CCC+
8.500%
05/15/2018
05/15/14 @ 104
1,658,800
               
3,144,900
                 
     
Insurance - 0.9%
          
 
850,000
  
HUB International Ltd. (Canada)(a)
CCC+
8.125%
10/15/2018
10/15/14 @ 104
939,250
                 
     
Iron & Steel - 5.1%
          
 
500,000
  
AK Steel Corp.
BB-
8.750%
12/01/2018
12/01/15 @ 104
530,000
 
750,000
  
APERAM (Luxembourg)(a)
B+
7.750%
04/01/2018
04/01/15 @ 104
725,625
 
2,250,000
  
ArcelorMittal (Luxembourg)
BB+
6.125%
06/01/2018
N/A
2,325,937
 
800,000
  
Commercial Metals Co.
BB+
7.350%
08/15/2018
N/A
876,000
 
850,000
  
United States Steel Corp.(b)
BB-
7.000%
02/01/2018
N/A
901,000
               
5,358,562
                 
     
Lodging - 2.0%
          
 
850,000
  
Boyd Gaming Corp.(b)
CCC+
9.125%
12/01/2018
12/01/14 @ 105
930,750
 
400,000
  
Marina District Finance Co., Inc.(b)
B+
9.875%
08/15/2018
08/15/14 @ 105
433,000
 
600,000
  
MGM Resorts International
B+
11.375%
03/01/2018
N/A
753,000
               
2,116,750
                 
     
Machinery-Diversified - 0.9%
          
 
1,000,000
  
CNH Capital, LLC
BB
3.625%
04/15/2018
N/A
985,000
                 
     
Media - 5.3%
          
 
850,000
  
Cablevision Systems Corp.
B+
7.750%
04/15/2018
N/A
937,125
 
500,000
  
CSC Holdings, LLC
BB+
7.875%
02/15/2018
N/A
570,000
 
600,000
  
CSC Holdings, LLC
BB+
7.625%
07/15/2018
N/A
685,500
 
400,000
  
Gannett Co., Inc.
BB
7.125%
09/01/2018
09/01/14 @ 104
429,000
 
550,000
  
Nara Cable Funding Ltd. (Ireland)(a)
B+
8.875%
12/01/2018
12/01/13 @ 109
565,125
 
1,900,000
  
Nara Cable Funding Ltd. (Ireland)(a)
B+
8.875%
12/01/2018
12/01/13 @ 109
1,980,750
 
300,000
  
Sinclair Television Group, Inc.
B
8.375%
10/15/2018
10/15/14 @ 104
329,250
 
100,000
  
XM Satellite Radio, Inc.(a)
BB
7.625%
11/01/2018
11/01/14 @ 104
109,250
               
5,606,000
                 
     
Metal Fabricate & Hardware - 2.9%
          
 
1,050,000
  
Atkore International, Inc.
B
9.875%
01/01/2018
01/01/14 @ 107
1,141,875
 
900,000
  
JMC Steel Group, Inc.(a)
B-
8.250%
03/15/2018
03/15/14 @ 106
882,000
 
1,000,000
  
Severstal Columbus, LLC
B
10.250%
02/15/2018
02/15/14 @ 105
1,065,000
               
3,088,875
                 
     
Mining - 0.9%
          
 
893,000
  
Aleris International, Inc.
B
7.625%
02/15/2018
02/15/14 @ 106
936,534
                 
     
Miscellaneous Manufacturing - 1.7%
          
 
650,000
  
Amsted Industries, Inc.(a)
BB-
8.125%
03/15/2018
03/15/14 @ 104
689,000
 
1,000,000
  
Bombardier, Inc. (Canada)(a)
BB
7.500%
03/15/2018
N/A
1,110,000
               
1,799,000
                 
     
Oil & Gas - 4.8%
          
 
350,000
  
Carrizo Oil & Gas, Inc.
B-
8.625%
10/15/2018
10/15/14 @ 104
382,375
 
1,182,000
  
Chesapeake Energy Corp.
BB-
7.250%
12/15/2018
N/A
1,344,525
 
1,000,000
  
EPL Oil & Gas, Inc.
B-
8.250%
02/15/2018
02/15/15 @ 104
1,057,500
 
1,000,000
  
EXCO Resources, Inc.
CCC+
7.500%
09/15/2018
09/15/14 @ 104
985,000
 
600,000
  
Newfield Exploration Co.
BB+
7.125%
05/15/2018
05/15/14 @ 102
624,750
 
500,000
  
Parker Drilling Co.
B+
9.125%
04/01/2018
04/01/14 @ 105
535,000
 
100,000
  
Whiting Petroleum Corp.
BB+
6.500%
10/01/2018
10/01/14 @ 103
105,750
               
5,034,900
                 
     
Oil & Gas Services - 0.8%
          
 
400,000
  
Exterran Holdings, Inc.
BB
7.250%
12/01/2018
12/01/13 @ 105
426,000
 
350,000
  
FTS International Services, LLC / FTS International Bonds, Inc.(a)
B+
8.125%
11/15/2018
11/15/14 @ 104
375,375
               
801,375
                 
     
Packaging & Containers - 0.6%
          
 
75,000
  
Berry Plastics Corp.
CCC+
9.500%
05/15/2018
05/15/14 @ 105
81,844
 
500,000
  
Owens-Illinois, Inc.
BB-
7.800%
05/15/2018
N/A
572,500
               
654,344
                 
     
Pharmaceuticals - 3.1%
          
 
100,000
  
Grifols, Inc.
B+
8.250%
02/01/2018
02/01/14 @ 106
108,750
 
100,000
  
Valeant Pharmaceuticals International(a)
B
6.875%
12/01/2018
12/01/14 @ 103
106,500
 
2,500,000
  
VPII Escrow Corp. (Canada)(a)
B
6.750%
08/15/2018
08/15/15 @ 105
2,659,375
 
300,000
  
Warner Chilcott Co., LLC / Warner Chilcott Finance, LLC (Puerto Rico)
BB
7.750%
09/15/2018
09/15/14 @ 104
329,250
               
3,203,875
                 
     
Pipelines - 4.0%
          
 
700,000
  
El Paso, LLC
BB
7.250%
06/01/2018
N/A
793,435
 
1,100,000
  
Kinder Morgan Finance Co., LLC(a)
BB
6.000%
01/15/2018
N/A
1,198,290
 
1,000,000
  
Niska Gas Storage US, LLC / Niska Gas Storage Canada ULC
B+
8.875%
03/15/2018
03/15/14 @ 104
1,047,500
 
500,000
  
NuStar Logistics, LP
BB+
8.150%
04/15/2018
N/A
559,690
 
300,000
  
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp.
B-
8.250%
04/15/2018
04/15/14 @ 104
312,000
 
250,000
  
Targa Resources Partners, LP / Targa Resources Partners Finance Corp.
BB
7.875%
10/15/2018
10/15/14 @ 104
271,875
               
4,182,790
                 
     
Real Estate Investment Trusts - 1.1%
          
 
250,000
  
iStar Financial, Inc.
B+
7.125%
02/15/2018
N/A
270,000
 
500,000
  
iStar Financial, Inc.
B+
4.875%
07/01/2018
07/01/16 @ 102
486,250
 
324,000
  
Sabra Health Care, LP / Sabra Capital Corp.
BB-
8.125%
11/01/2018
11/01/14 @ 104
350,730
               
1,106,980
                 
     
Retail - 4.0%
          
 
550,000
  
AutoNation, Inc.
BB+
6.750%
04/15/2018
N/A
621,500
 
100,000
  
DineEquity, Inc.
B-
9.500%
10/30/2018
10/30/14 @ 105
111,750
 
100,000
  
JC Penney Corp., Inc.
CCC-
5.750%
02/15/2018
N/A
78,750
 
500,000
  
Landry's Holdings II, Inc.(a)
CCC+
10.250%
01/01/2018
01/01/15 @ 104
531,250
 
75,000
  
Michaels Stores, Inc.
B
7.750%
11/01/2018
11/01/14 @ 104
81,094
 
1,000,000
  
New Academy Finance Co., LLC / New Academy Finance Corp.(a)
CCC+
8.000%
06/15/2018
12/15/13 @ 102
1,032,500
 
875,000
  
Suburban Propane Partners, LP / Suburban Energy Finance Corp.
BB-
7.500%
10/01/2018
10/01/14 @ 104
942,812
 
900,000
  
Toys "R" Us, Inc.
CCC+
7.375%
10/15/2018
N/A
798,750
               
4,198,406
                 
     
Semiconductors - 1.5%
          
 
500,000
  
Amkor Technologies, Inc.(b)
BB
7.375%
05/01/2018
05/01/14 @ 104
528,750
 
34,000
  
Freescale Semiconductor, Inc.(a)
B
10.125%
03/15/2018
03/15/14 @ 105
36,890
 
1,000,000
  
NXP BV / NXP Funding, LLC (Netherlands)(a)
B+
3.750%
06/01/2018
N/A
971,250
               
1,536,890
                 
     
Software - 3.6%
          
 
1,100,000
  
Audatex North America, Inc.
BB-
6.750%
06/15/2018
06/15/14 @ 103
1,174,250
 
1,300,000
  
IMS Health, Inc.(a)
B
12.500%
03/01/2018
03/01/15 @ 106
1,540,500
 
900,000
  
Infor US, Inc.
B-
11.500%
07/15/2018
07/15/15 @ 106
1,048,500
               
3,763,250
                 
     
Telecommunications - 8.5%
          
 
850,000
  
Cincinnati Bell, Inc.
CCC+
8.750%
03/15/2018
03/15/14 @ 104
886,125
 
825,000
  
Frontier Communications Corp.
BB-
8.125%
10/01/2018
N/A
911,625
 
100,000
  
Level 3 Financing, Inc.
CCC+
10.000%
02/01/2018
02/01/14 @ 105
107,875
 
100,000
  
PAETEC Holding Corp.
BB+
9.875%
12/01/2018
12/01/14 @ 105
111,750
 
3,350,000
  
Sprint Communications, Inc.(a)
BB+
9.000%
11/15/2018
N/A
3,919,500
 
500,000
  
West Corp.
B+
8.625%
10/01/2018
10/01/14 @ 104
543,750
 
750,000
  
Wind Acquisition Finance SA (Luxembourg)(a)
BB-
7.250%
02/15/2018
11/15/13 @ 105
765,000
 
1,650,000
  
Wind Acquisition Finance SA (Luxembourg)(a)
BB-
7.250%
02/15/2018
11/15/14 @ 104
1,691,250
               
8,936,875
                 
     
Transportation - 0.1%
          
 
96,000
  
Quality Distribution, LLC / QD Capital Corp.
B-
9.875%
11/01/2018
11/01/14 @ 105
105,120
                 
     
Total Corporate Bonds - 97.1%
          
     
(Cost $101,853,682)
        
101,838,379
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Common Stock - 0.1%
          
 
90
  
CEVA Group(c) (d) (e)
        
                                             65,040
     
(Cost $120,716)
          
                 
     
Preferred Stock - 0.1%
          
 
194
  
CEVA Group(c) (d) (e)
NR
      
140,795
     
(Cost $261,320)
          
                 
     
Total Long-Term Investments - 97.3%
          
     
(Cost $102,235,718)
        
                             102,044,214
                 
     
Investments of Collateral for Securities Loaned - 1.4%
          
 
1,444,475
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(f) (g)
        
1,444,475
     
(Cost $1,444,475)
          
                 
     
Total Investments - 98.7%
          
     
(Cost $103,680,193)
        
103,488,689
     
Other Assets in excess of Liabilities - 1.3%
        
1,394,950
     
Net Assets  - 100.0%
        
$    104,883,639
                 
 
 
BV - Limited Liability Company
          
 
LLC - Limited Liability Company
          
 
LP - Limited Partnership
          
 
N/A- Not Applicable
          
 
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 August 31, 2013 these securities amounted to $30,904,305, which represents 29.5% of net assets.
(b)
Security, or portion thereof, was on loan at August 31, 2013.
          
(c)
Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $205,835 which represents 0.2% of net assets.
(d)
Non-income producing security.
          
(e)
Illiquid Security.
          
(f)
At August 31, 2013, the total market value of the Fund's securities on loan was $1,407,851 and the total market value of the collateral held by the Fund was $1,444,475.
  
(g)
Interest rate shown reflects yield as of August 31, 2013.
          
             
See previously submitted notes to financial statements for the period ended May 31, 2013.
          
 
 
 
 
 
 
 
   
Country Breakdown
% of Long-Term Investments
United States
87.9%
Luxembourg
6.3%
Ireland
2.5%
Canada
2.0%
Netherlands
1.0%
Puerto Rico
0.3%
Subject to change daily.
  
 
At August 31, 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
  
$ 103,689,187   $ 982,773   $ (1,183,271 ) $ (200,498 )
 
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 investment management, 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, unchanged 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 Board of Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Trust’s valuation procedures. The Fund did not have any Level 3 securities at August 31, 2013.
                 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                 
The following table represents the Fund's investments carried by caption and by level within the fair value
    
hierarchy as of August 31, 2013.
                
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 101,838     $ -     $ 101,838  
Common Stocks
   -       65       -       65  
Preferred Stocks
   -       141       -       141  
Investments of Collateral for Securities Loaned
   1,445       -       -       1,445  
Total
 $ 1,445     $ 102,044     $ -     $ 103,489  
                               
 
During the three months ended August 31, 2013, there were no transfers between levels.
      
 
 
 
 
 
 
 
GIY Guggenheim Enhanced Core Bond ETF
        
Portfolio of Investments
        
August 31, 2013 (unaudited)
        
               
 
Principal
            
 
Amount
  
Description
Rating*
Coupon
Maturity
Value
     
Long-Term Investments - 98.6%
        
     
Corporate Bonds - 19.9%
        
     
Banks - 6.6%
        
 
$40,000
  
Bank of America Corp.
A-
7.625%
06/01/2019
$    48,203
 
50,000
  
Citigroup, Inc.
A-
8.125%
07/15/2039
69,042
 
50,000
  
City National Corp.
BBB+
5.250%
09/15/2020
53,482
 
50,000
  
Goldman Sachs Group, Inc., Series GMTN
A-
5.375%
03/15/2020
54,472
 
40,000
  
JPMorgan Chase & Co.
A
4.750%
03/01/2015
42,231
 
50,000
  
Morgan Stanley, Series GMTN
A-
7.300%
05/13/2019
59,260
             
326,690
               
     
Biotechnology - 1.0%
        
 
40,000
  
Biogen IDEC, Inc.
A-
6.875%
03/01/2018
47,011
               
     
Building Materials - 0.2%
        
 
9,000
  
Owens Corning
BBB-
6.500%
12/01/2016
10,053
               
     
Diversified Financial Services - 0.8%
        
 
40,000
  
American Express Co.
BBB+
7.250%
05/20/2014
41,900
               
     
Electric - 1.1%
        
 
50,000
  
Constellation Energy Group, Inc.
BBB-
4.550%
06/15/2015
52,956
               
     
Insurance - 5.5%
        
 
50,000
  
ACE INA Holdings, Inc.
A
2.600%
11/23/2015
51,874
 
40,000
  
American Financial Group, Inc.
BBB+
9.875%
06/15/2019
51,647
 
50,000
  
Axis Specialty Finance, LLC
A-
5.875%
06/01/2020
55,101
 
50,000
  
Chubb Corp.
A+
5.750%
05/15/2018
57,795
 
50,000
  
PartnerRe Finance, LLC
A-
6.875%
06/01/2018
58,011
             
274,428
               
     
Media - 2.1%
        
 
40,000
  
CBS Corp.
BBB
8.875%
05/15/2019
50,885
 
50,000
  
Time Warner, Inc.
BBB
4.750%
03/29/2021
53,354
             
104,239
               
     
Oil & Gas - 1.0%
        
 
40,000
  
EQT Corp.
BBB
8.125%
06/01/2019
48,149
               
     
Pipelines - 1.2%
        
 
50,000
  
Oneok, Inc.
BBB
5.200%
06/15/2015
53,143
 
6,000
  
Williams Cos., Inc.
BBB-
8.750%
03/15/2032
7,472
             
60,615
               
     
Retail - 0.4%
        
 
19,000
  
Macy's Retail Holdings, Inc.
BBB
7.875%
07/15/2015
21,331
               
     
Total Corporate Bonds - 19.9%
        
     
(Cost $941,037)
      
987,372
               
     
Mortgage Backed Securities - 44.6%
        
 
      346,155
  
Freddie Mac
NR
5.500%
01/01/2039
              372,778
 
952,706
  
Freddie Mac
NR
4.500%
11/01/2039
1,002,839
 
872,004
  
Freddie Mac
NR
3.000%
11/01/2042
835,453
     
(Cost $2,249,894)
      
2,211,070
               
     
US Government Agency Securities - 9.1%
        
 
5,000
  
Federal Home Loan Banks
AA+
3.125%
12/13/2013
5,043
 
400,000
  
Freddie Mac
AA+
5.250%
04/18/2016
447,347
     
(Cost $441,335)
      
452,390
               
     
US Treasury Securities - 25.0%
        
 
200,000
  
U.S. Treasury Bill(a)
NR
0.000%
09/19/2013
199,999
 
500,000
  
U.S. Treasury Bill(a)
NR
0.000%
09/26/2013
499,995
 
600,000
  
U.S. Treasury Note/Bond
NR
3.125%
11/15/2041
542,531
     
(Cost $1,333,481)
      
1,242,525
               
     
Total Long-Term Investments - 98.6%
        
     
(Cost $4,965,747)
      
4,893,357
               
               
 
Number
            
 
of Shares
  
Description
      
Value
     
Money Market - 0.7%
        
 
32,527
  
Dreyfus Treas Prime Cash Management Institutional Shares
    
12/31/2049
                32,527
     
(Cost $32,527)
        
               
     
Total Investments - 99.3%
        
     
(Cost $4,998,274)
      
4,925,884
     
Other Assets in excess of Liabilities - 0.7%
      
34,359
     
Net Assets  - 100.0%
      
$ 4,960,243
               
 
 
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.
(a)
Zero coupon bond.
        
           
 
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 May 31, 2013.
        
 
 
 
 
 
 
 
Country Breakdown
% of Long-Term Investments
United States
100.0%
 Subject to change daily.
  
 
At August 31, 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
  
$ 4,998,274   $ 81,238   $ (153,628 )   $ (72,390 )
 
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 investment management, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Fund 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, unchanged 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 Board of Trustees.
                 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                 
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                 
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Trust’s valuation procedures. The Fund did not have any Level 3 securities at August 31, 2013.
                 
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                 
The following table represents the Fund's investments carried by caption and by level withing the fair value hierarchy as of August 31, 2013.
      
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 987     $ -     $ 987  
Mortgage Backed Securities
   -       2,211       -       2,211  
U.S. Government Agency Securities
   -       452       -       452  
U.S. Treasury Securities
   -       1,243       -       1,243  
Money Market Fund
   33       -       -       33  
Total
 $ 33     $ 4,893     $ -     $ 4,926  
 
During the three months ended August 31, 2013, there were no transfers between levels.
            
 
 
 
 
 
 
GSY Guggenheim Enhanced Short Duration ETF
          
Portfolio of Investments
          
August 31, 2013 (unaudited)
          
             
Optional
  
 
Principal
          
Call
  
 
Amount
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Corporate Bonds - 17.3%
          
     
Auto Manufacturers - 1.0%
          
 
$4,225,000
  
Daimler Finance North America, LLC(a)
A-
1.300%
07/31/2015
N/A
$4,243,370
                 
     
Banking - 2.4%
          
 
1,500,000
  
Barclays Bank PLC (United Kingdom)(b)
A
1.308%
01/13/2014
N/A
1,505,517
 
4,000,000
  
Citigroup, Inc.(b)
A-
1.226%
07/25/2016
N/A
4,021,044
 
1,664,000
  
Garanti Diversified Payment Rights Finance Co., Series 2007-A, Class A1 (Cayman Islands) (b)
BBB+
0.460%
07/09/2017
N/A
1,571,398
 
2,250,000
  
UBS AG, Series FRN (Switzerland)(b)
A
1.264%
01/28/2014
N/A
2,258,397
 
1,500,000
  
Wells Fargo & Co., Series FRN(b)
A+
1.197%
06/26/2015
N/A
1,516,266
               
10,872,622
                 
     
Commercial Receivables - 1.5%
          
 
500,000
  
Ford Motor Credit Co., LLC
BBB-
7.000%
04/15/2015
N/A
542,117
 
900,000
  
Ford Motor Credit Co., LLC
BBB-
8.000%
06/01/2014
N/A
943,843
 
2,000,000
  
Ford Motor Credit Co., LLC
BBB-
8.700%
10/01/2014
N/A
2,156,904
 
3,000,000
  
General Electric Capital Corp.(b)
AA+
1.303%
07/02/2015
N/A
3,040,734
               
6,683,598
                 
     
Construction Materials - 0.3%
          
 
1,500,000
  
CRH America, Inc.
BBB+
5.300%
10/15/2013
N/A
1,507,519
                 
     
Consumer Financial - 0.1%
          
 
400,000
  
American Express Credit Corp.(b)
A-
1.123%
06/24/2014
N/A
402,490
                 
     
Diversified Financial Services - 0.5%
          
 
2,200,000
  
International Lease Finance Corp.(b)
BBB-
2.224%
06/15/2016
N/A
2,178,000
                 
     
Exploration & Production - 1.3%
          
 
1,000,000
  
Petroleos Mexicanos (Mexico)(b)
BBB-
2.286%
07/18/2018
N/A
1,031,000
 
4,333,665
  
RAS Laffan Liquefied Natural Gas Co. Ltd. III (Qatar)(a)
A
5.832%
09/30/2016
N/A
4,604,519
               
5,635,519
                 
     
Financial Services- 2.0%
          
 
2,500,000
  
Goldman Sachs Group, Inc., Series FRN(b)
A-
1.465%
04/30/2018
N/A
2,497,247
 
3,500,000
  
JPMorgan Chase & Co., Series GMTN(b)
A
0.882%
02/26/2016
N/A
3,499,801
 
3,000,000
  
Morgan Stanley(b)
A-
1.512%
02/25/2016
N/A
3,016,611
               
9,013,659
                 
     
Food & Beverage - 0.1%
          
 
500,000
  
Anheuser - Busch InBev Worldwide, Inc.(b)
A
0.628%
07/14/2014
N/A
501,520
                 
     
Hardware - 0.6%
          
 
2,500,000
  
Xerox Corp., Series FRN(b)
BBB-
1.672%
09/13/2013
N/A
2,500,898
                 
     
Healthcare Facilities- 0.7%
          
 
3,000,000
  
Express Scripts Holding Co.
BBB+
2.100%
02/12/2015
N/A
3,049,587
                 
     
Media - 0.6%
          
 
2,613,000
  
WPP Finance (United Kingdom)
BBB
8.000%
09/15/2014
N/A
2,796,268
                 
     
Metals & Mining - 2.1%
          
 
1,450,000
  
Anglo American Capital PLC (United Kingdom)(a)
BBB
9.375%
04/08/2014
N/A
1,518,577
 
4,600,000
  
Glencore Funding, LLC(a) (b)
BBB
1.422%
05/27/2016
N/A
4,442,648
 
3,550,000
  
Rio Tinto Finance USA PLC, Series FRN (United Kingdom)(b)
A-
1.113%
06/17/2016
N/A
3,560,242
               
9,521,467
                 
     
Property & Casualty Insurance - 1.3%
          
 
3,100,000
  
Aspen Insurance Holdings Ltd. (Bermuda)
BBB+
6.000%
08/15/2014
N/A
3,238,443
 
500,000
  
Berkshire Hathaway, Inc., Series FRN(b)
AA
0.964%
08/15/2014
N/A
503,205
 
2,000,000
  
XL Group PLC (Ireland)
BBB+
5.250%
09/15/2014
N/A
2,089,466
               
5,831,114
                 
     
Real Estate - 0.2%
          
 
950,000
  
WEA Finance, LLC / WT Finance Pty Ltd. (Australia) (a)
A-
5.750%
09/02/2015
N/A
1,036,820
                 
     
Real Estate Investment Trusts - 0.9%
          
 
1,300,000
  
Health Care REIT, Inc.
BBB
5.875%
05/15/2015
N/A
1,400,504
 
1,350,000
  
Mack-Cali Realty, LP
BBB
5.125%
02/15/2014
N/A
1,372,301
 
1,300,000
  
Realty Income Corp.
BBB+
5.500%
11/15/2015
N/A
1,413,331
               
4,186,136
                 
     
Retail Staples- 0.5%
          
 
2,000,000
  
Walgreen Co.(b)
BBB
0.772%
03/13/2014
N/A
2,003,056
                 
     
Software & Services - 0.5%
          
 
2,000,000
  
CA, Inc.
BBB+
6.125%
12/01/2014
N/A
2,118,206
 
250,000
  
Symantec Corp.
BBB
2.750%
09/15/2015
N/A
257,595
               
2,375,801
                 
     
Trucking & Leasing - 0.7%
          
 
3,000,000
  
Penske Truck Leasing Co., LP / PTL Finance Corp.(a)
BBB-
2.500%
07/11/2014
N/A
3,036,795
                 
     
Total Corporate Bonds - 17.3%
          
     
(Cost $77,456,164)
        
77,376,239
                 
     
Asset Backed Securities - 7.6%
          
     
Airlines - 0.3%
          
 
1,237,163
  
ACS Pass-Through Trust, Series 2007-1X, Class G1
A+
0.495%
06/14/2037
N/A
1,117,901
                 
     
Collateralized Debt Obligation - 1.1%
          
 
421,142
  
Legg Mason Real Estate CDO I Ltd. Series 2006-A1 Class A1T (Cayman Islands)(a) (b)
Aaa
0.464%
03/25/2038
N/A
402,249
 
4,609,476
  
Newcastle 2007, CDO Ltd., Series 9A, Class A1 (a)(b)
A1
0.444%
05/25/2052
N/A
4,484,652
 
18,732
  
Putnam Structured Product CDO, Series 2001-1A, Class A1SS (Cayman Islands)(a) (b)
AA
0.762%
02/25/2032
N/A
18,247
 
39,883
  
South Coast Funding, Series 5X, Class A1 (Cayman Islands)(b)
A
0.627%
08/06/2039
N/A
39,086
               
4,944,234
                 
     
Collateralized Loan Obligation - 4.0%
          
 
2,500,000
  
Battalion CLO II Ltd., Series 2012-2X, Class C (Cayman Islands) (b)
A+
4.268%
11/15/2019
N/A
2,479,150
 
2,256,067
  
Brentwood CLO Corp. (Cayman Islands) (a) (b)
AAA
0.535%
02/01/2022
N/A
2,186,708
 
1,275,000
  
FM Leveraged Capital Fund, Series 2006-2A, Class D (Cayman Islands) (a) (b)
A+
1.864%
11/15/2020
N/A
1,259,548
 
1,500,000
  
Goldentree Credit Opportunities Financing Ltd., Series 2012-1X, Class B2 (Cayman Islands)
Aa2
4.280%
09/15/2024
N/A
1,503,876
 
500,000
  
Golub Capital Partners Fundings Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (b)
A
1.023%
03/15/2022
N/A
469,948
 
2,000,000
  
Great Lakes CLO Ltd., Series 2012-1A, Class C (Cayman Islands)(a) (b)
A
4.368%
01/15/2023
N/A
1,986,600
 
250,000
  
ICE EM CLO, Series 2007-1X, Class A1D (Ireland)(b)
AAA
0.745%
08/15/2022
N/A
242,655
 
500,000
  
ICE EM CLO, Series 2007-1X, Class A2 (Ireland)(a) (b)
AA
0.996%
08/15/2022
N/A
465,880
 
750,000
  
KKR Financial CLO 2007-1 Corp., Series 2007-1A, Class D (Cayman Islands)(a) (b)
A
2.514%
05/15/2021
N/A
705,545
 
1,000,000
  
KKR Financial CLO Ltd., Series 2007-AA, Class C (Cayman Islands) (a) (b)
A+
2.918%
10/15/2017
N/A
989,780
 
500,000
  
Knightbridge CLO Ltd., Series 2007-1X, Class A2 (Cayman Islands)(b)
AA+
1.119%
01/11/2022
N/A
499,977
 
2,000,000
  
Newstar Trust, Series 2012-2A, Class B(a) (b)
Aa2
3.516%
01/20/2023
N/A
2,014,644
 
361,075
  
NewStar Trust, Series 2005-1A (a) (b)
AA+
0.766%
07/25/2018
N/A
360,694
 
2,000,000
  
Salus CLO 2012-1 Ltd., Series 2012-1X, Class B (Cayman Islands) (b)
AA
4.773%
03/05/2021
N/A
1,999,420
 
750,000
  
Telos CLO Ltd., Series 2013.3A, Class C (Cayman Islands)(a) (b)
A
3.268%
01/17/2024
N/A
730,556
               
17,894,981
                 
     
Other - 1.3%
          
 
1,747,402
  
Drug Royalty II LP, Series 2012-1, Class A1(a) (b)
BBB
4.268%
01/15/2025
N/A
1,772,565
 
1,500,000
  
ING IM CLO Ltd. Series 2011-1 (Cayman Islands)(a) (b)
AA
2.173%
06/22/2021
N/A
1,499,895
 
2,500,000
  
Ticc CLO LLC (b)
AAA
2.516%
07/25/2021
N/A
2,489,063
               
5,761,523
                 
     
Transportation - 0.9%
          
 
976,398
  
Aircraft Lease Securitization Ltd., Series 2007-1A, Class G3 (Jersey) (b)
A
0.446%
05/10/2032
N/A
943,445
 
2,230,505
  
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda) (a) (b)
A-
0.424%
12/19/2032
N/A
1,976,005
 
1,277,771
  
Genesis Funding Ltd, Series 2006-1X, Class G1 (Bermuda) (b)
A-
0.424%
12/19/2032
N/A
1,131,977
               
4,051,427
                 
     
Total Asset Backed Securities - 7.6%
          
     
(Cost $33,502,284)
        
33,770,066
                 
     
Collateralized Mortgage Obligations - 1.0%
          
     
Commercial Mortgage Backed Security - 0.5%
          
 
957,324
  
Comm Mortgage Trust(a) (b)
BB
0.934%
06/15/2022
12/12/13 @ 100
931,469
 
1,371,890
  
SRERS Funding Ltd. (Cayman Islands)(a) (b)
Baa3
0.435%
05/09/2046
N/A
1,195,986
               
2,127,455
                 
     
Residential Mortgage Backed Security - 0.5%
          
 
1,513,499
  
Accredited Mortgage Loan Trust 2007-1(b)
CCC
0.314%
02/25/2037
N/A
1,373,447
 
1,278,905
  
GreenPoint Mortgage Funding Trust 2006-AR1(b)
CCC
0.474%
02/25/2036
N/A
988,820
               
2,362,267
                 
     
Total Collateralized Mortgage Obligations - 1.0%
        
4,489,722
     
(Cost $4,520,950)
          
                 
 
Principal
              
 
Amount
  
Description
Rating*
Yield
Maturity
  
Value
     
US Treasury Securities - 26.7%
          
 
$44,000,000
  
U.S. Treasury Bill
NR
0.002%
09/05/2013
N/A
$43,999,956
 
30,000,000
  
U.S. Treasury Bill
NR
0.009%
09/19/2013
N/A
29,999,790
 
45,000,000
  
U.S. Treasury Bill
NR
0.014%
09/26/2013
N/A
44,999,505
     
(Cost $118,998,751)
        
118,999,251
                 
     
Term Loans - 6.5%(c)
          
     
Aerospace & Defense - 0.2%
          
 
867,825
  
Doncasters (b)
B
5.500%
04/09/2020
N/A
877,046
                 
     
Automotive - 0.2%
          
 
997,500
  
Ti Automotive (b)
BB-
5.500%
03/28/2019
N/A
1,002,487
                 
     
Communication Equipment - 0.2%
          
 
988,976
  
Avaya, Inc.(b)
B
4.762%
10/26/2017
N/A
883,561
                 
     
Computers - 0.2%
          
 
250,000
  
Expert (b)
B-
8.500%
04/03/2018
N/A
255,312
 
700,000
  
SRA International, Inc.(b)
B
6.500%
07/20/2018
N/A
695,188
               
950,500
                 
     
Electric Equipment - 0.1%
          
 
276,321
  
Excelitas Technologies Corp.(b)
BB-
5.000%
11/29/2016
N/A
278,048
                 
     
Entertainment - 0.1%
          
 
400,000
  
Travelport, LLC(b)
NR
6.250%
08/23/2015
N/A
405,100
                 
     
Financial Services - 1.1%
          
 
2,000,000
  
National Financial
B+
5.250%
06/19/2020
N/A
2,018,760
 
1,000,000
  
Nuveen Investments, Inc.(b)
NR
4.182%
05/13/2017
N/A
997,290
 
1,967,766
  
RPI Finance Trust(b)
BBB-
3.500%
05/09/2018
N/A
1,981,914
               
4,997,964
     
Health Care Services - 0.5%
          
 
1,995,000
  
Apria Healthcare(b)
BB-
6.750%
04/01/2020
N/A
2,013,683
                 
     
Household Products & Housewares - 0.1%
          
 
496,250
  
Reynolds Group Holdings, Inc.(b)
B+
4.750%
09/28/2018
N/A
500,508
                 
     
Insurance - 0.2%
          
 
803,138
  
CNO Financial Group(b)
BB
3.750%
09/28/2018
N/A
807,153
                 
     
Internet - 0.2%
          
 
748,096
  
Go Daddy Operating Co., LLC(b)
Ba3
4.250%
12/17/2018
N/A
749,967
                 
     
Media Non-Cable- 1.1%
          
 
500,000
  
Acosta, Inc.(b)
B+
5.000%
03/02/2018
N/A
504,270
 
2,500,000
  
CSC Holdings, LLC(b)
BBB-
2.682%
04/17/2020
N/A
2,475,450
 
1,344,123
  
Getty Images, Inc.(b)
B
4.750%
10/18/2019
N/A
1,297,643
 
299,250
  
Univision Communications, Inc.(b)
B+
4.500%
03/01/2020
N/A
299,103
               
4,576,466
                 
     
Oil & Gas Services - 0.6%
          
 
2,000,000
  
Ocean RIG
B+
5.500%
07/15/2016
N/A
2,020,000
 
744,384
  
Paradigm Pinnacle Holding Co. (Luxembourg)(b)
B+
4.750%
07/30/2019
N/A
744,153
               
2,764,153
                 
     
Other - 0.1%
          
 
497,500
  
Ellucian (Datatel) (Sophia LP)(b)
B+
4.500%
07/19/2018
N/A
500,485
                 
     
Paper - 0.5%
          
 
2,000,000
  
Reynolds & Reynolds(b)
B+
4.750%
09/20/2018
N/A
2,011,260
                 
     
Retail Staples - 0.2%
          
 
995,000
  
Serta Simmons Holdings, LLC(b)
B+
5.000%
10/01/2019
N/A
1,000,443
 
498,747
  
Smart & Final
B
4.500%
11/19/2015
N/A
499,997
               
1,500,440
                 
     
Software Services- 0.8%
          
 
870,410
  
Aspect Software, Inc.(b)
B
7.000%
05/07/2016
N/A
875,842
 
497,500
  
Deltek, Inc.(b)
B1
5.000%
10/10/2018
N/A
498,993
 
1,000,000
  
First Data Corp.(b)
B+
4.184%
03/23/2018
N/A
992,565
 
1,000,000
  
First Data Corp.(b)
B+
4.184%
09/24/2018
N/A
990,210
 
317,636
  
Infor US, Inc.(b)
B+
5.250%
04/05/2018
N/A
320,216
               
3,677,826
                 
     
Wireless - 0.1%
          
 
298,500
  
Alcatel-Lucent
B+
0.073%
01/29/2019
N/A
300,537
                 
     
Total Term Loans - 6.5%
          
     
(Cost $28,614,682)
        
28,797,184
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Exchange Traded Funds - 3.1%
          
 
205,550
  
Guggenheim BulletShares 2014 High Yield Corporate Bond ETF
        
$5,473,797
 
323,650
  
Guggenheim BulletShares 2015 High Yield Corporate Bond ETF
        
8,602,617
     
(Cost $14,107,945)
        
14,076,414
                 
 
Principal
  
Short-Term Investments - 38.5%
      
Optional Call
  
 
Amount
  
Description
Rating*
  
Maturity
Provisions**
Value
     
Commercial Paper - 16.1%
          
 
$5,000,000
  
American Water Capital Corp.
A2
  
09/05/2013
  
$4,999,849
 
5,000,000
  
Apache Corp.
A2
  
09/16/2013
  
4,999,450
 
5,000,000
  
Bemis, Inc.
A2
  
09/16/2013
  
4,999,450
 
3,000,000
  
Cigna Corp.
A2
  
09/26/2013
  
2,999,430
 
5,000,000
  
Clorox Co.
A2
  
09/23/2013
  
4,999,200
 
5,700,000
  
Dominion Resources, Inc.
A2
  
09/24/2013
  
5,698,860
 
5,000,000
  
Duke Energy Corp.
A2
  
09/23/2013
  
4,999,190
 
5,000,000
  
Ecolab, Inc.
A2
  
09/20/2013
  
4,999,300
 
5,000,000
  
FMC Technologies, Inc.
A2
  
09/12/2013
  
4,999,600
 
5,000,000
  
Nissan MTR Acceptance Corp.
A2
  
09/18/2013
  
4,999,350
 
5,000,000
  
Omnicom Capital, Inc.
A2
  
09/20/2013
  
4,999,300
 
5,000,000
  
Pacific Gas Electric Co.
A2
  
09/10/2013
  
4,999,750
 
2,950,000
  
Southern California Edison Co.
A2
  
09/03/2013
  
2,949,941
 
5,000,000
  
VF Corp.
A2
  
09/03/2013
  
4,999,900
 
5,000,000
  
Vw Cr, Inc.
A2
  
09/09/2013
  
4,999,700
     
(Cost $71,642,803)
        
71,642,270
                 
                 
     
Repurchase Agreement - 18.1%
          
 
18,974,392
  
Bank of America, Inc., dated 08/02/2013; Proceeds at maturity - $18,991,258; (Collateralized by Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A, 0.963%, due 07/25/2047; Market Value $26,721,257)
 
09/11/2013
  
 
18,974,392
 
2,926,000
  
Jefferies & Company, Inc. dated 08/02/2013; Proceeds at maturity - $2,933,681; (Collateralized by GSAMP Trust, Series 2006-HE2, Class M1, 0.499%, due 03/25/2046; Market Value $4,054,050)
 
09/06/2013
  
 
2,926,000
 
7,936,000
  
Jefferies & Company, Inc. dated 08/16/2013; Proceeds at maturity - $7,948,499; (Collateralized by American Home Mortgage Asset Backed Funding Certificates, Series 2007-1, Class A1, 0.853%, due 02/25/2047; Market Value $8,905,797)
 
09/06/2013
  
 
7,936,000
 
4,800,000
  
Jefferies & Company, Inc. dated 08/21/2013; Proceeds at maturity - $4,805,400; (Collateralized by Asset Backed Funding Certificates, Series 2006-HE1, Class A2C, 0.339%, due 01/25/2037; Market Value $5,999,912)
 
09/06/2013
  
 
4,800,000
 
2,387,000
  
Jefferies & Company, Inc. dated 08/29/2013; Proceeds at maturity - $2,388,432; (Collateralized by Morgan Stanley Capital I Trust, Series 2007-HQ11, Class C, 5.558%, due 02/12/2044; Market Value $3,236,562)
 
09/06/2013
  
 
2,387,000
 
3,312,000
  
Jefferies & Company, Inc. dated 08/30/2013; Proceeds at maturity - $3,313,739; (Collateralized by Canaras Summit CLO Ltd., Series 2007-1A, Class D, 2.502%, due 06/19/2021; Market Value $4,800,000)
 
09/06/2013
  
 
3,312,000
 
20,123,000
  
Nomura Securities International, Inc., dated 08/19/2013; Proceeds at maturity - $20,143,123; (Collateralized by Harborview Mortgage Loan Trust, Series 2006-9, Class 2A1A, 0.409%,  due 11/19/2036; Market Value $24,328,207)
 
09/18/2013
  
 
20,123,000
 
3,148,000
  
Royal Bank of Scotland Securities, Inc., dated 08/02/2013; Proceeds at maturity - $3,149,679; (Collateralized by Structured Asset Securities Corp., Series 2004-20, Class 5A2, 6.250%, due 11/25/2034, Market Value $3,935,031)
 
09/03/2013
  
 
3,148,000
 
17,352,000
  
Royal Bank of Scotland Securities, Inc., dated 08/08/2013; Proceeds at maturity - $17,359,519; (Collateralized by JP Morgan Chase Commercial Mortgage Corp., Series 2006-LDP7, Class AM, 6.056%, due 04/15/2045, Market Value $21,697,500)
 
09/03/2013
  
 
17,352,000
     
(Cost $80,958,392)
        
80,958,392
                 
     
Municipal Bonds - 3.2%
          
     
Michigan - 0.2%
          
 
900,000
  
Michigan Finance Authority
NR
4.375%
08/20/2014
N/A
904,365
     
New York - 3.0%
          
 
3,400,000
  
New York City, New York(b)(d)
AA-
0.400%
11/01/2026
N/A
3,400,000
 
6,000,000
  
New York City, New York Municipal Water Finance Authority(b)(d)
AAA
0.420%
06/15/2033
N/A
6,000,000
 
3,900,000
  
New York City, New York General Obligation Variable Rate, Series L-5(b)(d)
AA
0.430%
04/01/2035
N/A
3,900,000
     
Total Short Term Municipal Bonds - 3.2%
        
13,300,000
     
(Cost $14,200,000)
        
14,204,365
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Money Market - 1.1%
          
 
4,975,873
  
Dreyfus Treasury Prime Cash Management Institutional Shares
AAAm
      
4,975,873
     
(Cost $4,975,873)
          
                 
     
Total Short-Term Investments - 38.5%
          
     
(Cost $171,777,068)
        
171,780,900
                 
     
Total Investments - 100.7%
          
     
(Cost $448,977,844)
        
449,289,776
     
Liabilities in excess of Other Assets - (0.7%)
        
(3,157,813)
     
Net Assets  - 100.0%
        
$446,131,963
 
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
          
Pty - Proprietary
          
                 
*
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's 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)
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 August 31, 2013 these securities amounted to $42,333,700, which represents 9.5% of net assets.
(b)
Floating or variable rate coupon.  The rate shown is as of August 31, 2013.
          
(c)
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.
(d)
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 August 31, 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
                      
                       
The Guggenheim Enhanced Short Duration Bond ETF had the following transactions with affiliated funds during the three months ended August 31, 2013.
                  
 
                     
Three months ended
        
 
Share Activity
                  
August 31, 2013 (in $000s)
        
                           
Dividends
  
 
Balance
            
Balance
          
Included
  
Security Name
5/31/2013
    
Purchases
  
Sales
  
8/31/2013
    
Value
    
in Income
  
Guggenheim Bullet Shares 2014 High Yield Corporate Bond ETF
   140,000       65,550         205,550     $ 5,474     $ 33  
Guggenheim Bullet Shares 2015 High Yield Corporate Bond ETF
   258,000       65,650         323,650       8,603       73  
                            $ 14,077     $ 106  
 
Affiliated funds accounted for $0 of the net realized gain on investments and $(50,387) of the change in net unrealized depreciation on investments during the period.
              
 
   
Country Breakdown
   % of Total Investments
United States
91.5%
Cayman Islands
2.9%
United Kingdom
2.1%
Bermuda
1.2%
Qatar
1.0%
Switzerland
0.5%
Ireland
0.4%
Luxemburg
0.2%
Mexico
0.2%
Subject to change daily.
  
   
See previously submitted notes to financial statements for the period ended May 31, 2013.
  
 
At August 31, 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
  
$ 448,977,844   $ 831,221   $ (519,289 )   $ 311,932  
 
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 investment management, 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, unchanged 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 Board of Trustees.
                       
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
                       
There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).
                       
The 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 as described above. The fair value estimates for the Level 3 securities are determined in accordance with the Fund’s valuation procedures.  The Fund did not have any Level 3 securities at August 31, 2013.
                       
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
              
                       
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
                  
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Corporate Bonds
 $ -     $ 77,376     $ -     $ 77,376  
Asset Backed Securities
   -       33,770       -       33,770  
Collateralized Mortgage Obligations
   -       4,490       -       4,490  
U.S. Treasury Securities
   -       118,999       -       118,999  
Term Loans
   -       28,797       -       28,797  
Exchange Traded Funds
   14,077       -       -       14,077  
Commercial Paper
   -       71,642       -       71,642  
Municipal Bonds
   -       14,205       -       14,205  
Repurchase Agreement
   -       80,958       -       80,958  
Money Market Fund
   4,976       -       -       4,976  
Total
 $ 19,053     $ 430,237     $ -     $ 449,290  
 
The transfers in and out of the valuation levels as of August 31, 2013 compared to the valuation levels at the end of the previous fiscal year are detailed below:
                  
 
Transfers from Level 3 to Level 2 (in $000s)
    
Asset Backed Securities
 $ 2,243  
Corporate Bonds
   1,571  
  $ 3,814  
 
These transfers were due to the availability of market price information for each respective security at August 31, 2013.
                  
                       
The following table presents the activity for the Fund's investments measured at fair value using significant unobservable
                  
inputs (Level 3 valuations) for the three months ended August 31, 2013.
                    
 
Beginning Balance at 5/31/13 (in $000s)
  
Asset Backed Securities
 $                                             2,264
Corporate Bonds
                                                   1,668
Realized Gain/Loss (related to Paydown):
  
Asset Backed Securities
                                                                3
Corporate Bonds
                                                                6
Change in Unrealized Gain/Loss:
  
Asset Backed Securities
                                                       (24)
Corporate Bonds
                                                    (103)
Transfers Out:
  
Asset Backed Securities
                                             (2,243)
Corporate Bonds
                                               (1,571)
Ending Balance at 8/31/13
  
Asset Backed Securities
                                                               -
Corporate Bonds
                                                               -
Total Level 3 holdings
 $                                                          -
 
 
 
 
 
 
 
LVL Guggenheim S&P Global Dividend Opportunities Index ETF
  
Portfolio of Investments
  
August 31, 2013 (unaudited)
  
         
 
Number
      
 
of Shares
  
Description
Value
     
Long-Term Investments - 99.6%
  
     
Common Stocks - 96.7%
  
     
Australia - 17.4%
  
 
16,359
  
ASX Ltd.
 $                        516,511
 
19,510
  
Australia & New Zealand Banking Group Ltd.
                           515,911
 
62,495
  
Bendigo and Adelaide Bank Ltd.
                        562,734
 
110,681
  
CFS Retail Property Trust Group, REIT
                         199,128
 
7,546
  
Commonwealth Bank of Australia
                        489,546
 
481,399
  
DUET Group
                         891,816
 
477,287
  
Metcash Ltd.
                      1,381,560
 
64,237
  
Monadelphous Group Ltd.(a)
                     1,062,439
 
500,160
  
Myer Holdings Ltd.(a)
                      1,225,035
 
22,106
  
National Australia Bank Ltd.
                       638,898
 
255,968
  
OZ Minerals Ltd.
                       964,346
 
854,585
  
SP AusNet
                          879,112
 
62,469
  
Stockland, REIT
                        207,530
 
334,384
  
Tatts Group Ltd.
                        955,999
 
187,224
  
Telstra Corp. Ltd.
                         817,080
 
197,652
  
UGL Ltd.(a)
                     1,304,447
 
21,921
  
Westpac Banking Corp.
                         612,856
 
 
    
                  13,224,948
 
 
    
 
 
 
  
Belgium - 2.6%
 
 
74,890
  
Belgacom SA
                      1,787,374
 
2,054
  
Cofinimmo, REIT
                         227,371
 
 
    
                      2,014,745
 
 
    
 
 
 
  
Bermuda - 1.0%
 
 
72,757
  
VimpelCom Ltd., ADR
                        780,683
 
 
    
 
 
 
  
Brazil - 0.6%
 
 
28,831
  
CPFL Energia SA, ADR
                         470,810
 
 
    
 
 
 
  
Canada - 8.0%
 
 
14,495
  
Artis Real Estate Investment Trust, REIT
                         186,186
 
22,590
  
Baytex Energy Corp.(a)
                        891,908
 
34,498
  
Bell Aliant, Inc.
                        868,255
 
48,039
  
Canadian Oil Sands Ltd.
                        920,341
 
10,390
  
Cominar Real Estate Investment Trust, REIT
                        183,689
 
27,996
  
Crescent Point Energy Corp.(a)
                      1,019,629
 
118,664
  
Lightstream Resources Ltd.(a)
                         813,291
 
107,421
  
Penn West Petroleum Ltd.
                     1,209,746
 
 
    
                    6,093,045
 
 
    
 
 
 
  
Channel Islands - 2.4%
 
 
158,200
  
Polymetal International PLC
                      1,848,857
 
 
    
 
 
 
  
Czech Republic - 0.8%
 
 
27,299
  
CEZ AS
                        629,231
 
 
    
 
 
 
  
Denmark - 1.8%
 
 
165,403
  
TDC A/S
                      1,347,526
 
 
    
 
 
 
  
Finland - 6.7%
 
 
54,644
  
Elisa OYJ
                      1,146,373
 
49,560
  
Fortum OYJ
                        984,168
 
39,510
  
Orion OYJ, Class B
                         913,276
 
109,717
  
Stora ENSO OYJ
                         845,613
 
101,490
  
UPM-Kymmene OYJ
                     1,222,489
 
 
    
                        5,111,919
 
 
    
 
 
 
  
France - 3.0%
 
 
2,699
  
Fonciere Des Regions, REIT
                        208,231
 
16,257
  
Neopost SA
                       1,136,134
 
47,519
  
Vivendi SA
                        961,496
 
 
    
                     2,305,861
 
 
    
 
 
 
  
Germany - 5.7%
 
 
46,723
  
Freenet AG
                      1,099,412
 
51,531
  
ProSiebenSat.1 Media AG
                      2,179,457
 
149,809
  
Telefonica Deutschland Holding AG
                     1,044,384
 
 
    
                    4,323,253
 
 
    
 
 
 
  
Hong Kong - 0.7%
 
 
1,238,000
  
Shougang Fushan Resources Group Ltd.(a)
                         415,094
 
293,039
  
Yuexiu Real Estate Investment Trust, REIT
                         147,003
 
 
    
                        562,097
 
 
    
 
 
 
  
Israel - 3.7%
 
 
1,282,821
  
Bezeq The Israeli Telecommunication Corp. Ltd.
                    2,099,439
 
101,090
  
Israel Chemicals Ltd.
                        704,246
 
 
    
                    2,803,685
 
 
    
 
 
 
  
Italy - 3.8%
 
 
51,933
  
Atlantia SpA
                         935,421
 
50,617
  
Eni SpA
                      1,153,329
 
194,557
  
Terna Rete Elettrica Nazionale SpA
                         829,147
 
 
    
                      2,917,897
 
 
    
 
 
 
  
Netherlands - 0.3%
 
 
6,379
  
Corio NV, REIT
                        249,901
 
 
    
 
 
 
  
Norway - 0.9%
 
 
47,224
  
Gjensidige Forsikring ASA
                        670,005
 
 
    
 
 
 
  
Portugal - 1.5%
 
 
320,982
  
EDP - Energias de Portugal SA
                       1,131,762
 
 
    
 
 
 
  
Singapore - 0.9%
 
 
104,000
  
Ascendas Real Estate Investment Trust, REIT
                          177,576
 
430,000
  
Hutchison Port Holdings Trust
                        318,200
 
143,000
  
Suntec Real Estate Investment Trust, REIT
                         170,245
 
 
    
                        666,021
 
 
    
 
 
 
  
South Africa - 3.3%
 
 
614,861
  
African Bank Investments Ltd.(a)
                       980,439
 
11,864
  
Kumba Iron Ore Ltd.(a)
                          521,316
 
194,911
  
MMI Holdings Ltd.
                         391,497
 
 51,342
  
Vodacom Group Ltd.
                         581,853
 
 
    
                      2,475,105
 
 
    
 
 
 
  
South Korea - 0.6%
 
 
28,232
  
KT Corp., ADR
                        453,688
 
 
    
 
 
 
  
Spain - 3.9%
 
 
34,218
  
Enagas SA
                          775,159
 
85,942
  
Ferrovial SA
                     1,422,206
 
15,421
  
Red Electrica Corporacion SA
                         798,013
 
 
    
                     2,995,378
 
 
    
 
 
 
  
Sweden - 2.2%
 
 
35,608
  
NCC AB
                       929,606
 
41,243
  
Skanska AB
                        737,486
 
 
    
                     1,667,092
 
 
    
 
 
 
  
Switzerland - 0.9%
 
 
2,605
  
Zurich Insurance Group AG
                        647,059
 
 
    
 
 
 
  
Taiwan - 0.6%
 
 
13,701
  
Chunghwa Telecom Co. Ltd., ADR(a)
                       430,896
 
 
    
 
 
 
  
Turkey - 2.2%
 
 
90,280
  
Tofas Turk Otomobil Fabrika
                        467,290
 
29,713
  
Tupras Turkiye Petrol Rafinerileri AS
                         571,446
 
212,857
  
Turk Telekomunikasyon AS(a)
                          651,651
 
 
    
                     1,690,387
 
 
    
 
 
 
  
United Kingdom - 3.1%
 
 
23,538
  
Admiral Group PLC
                         459,142
 
 24,256
  
AstraZeneca PLC
                      1,192,437
 
64,931
  
National Grid PLC
                         745,780
 
 
    
                     2,397,359
 
 
    
 
 
 
  
United States - 18.1%
 
 
27,806
  
American Capital Agency Corp., REIT
                        632,865
 
32,762
  
American Capital Mortgage Investment Corp., REIT
                         656,550
 
40,479
  
Annaly Capital Management, Inc., REIT
                        472,390
 
50,081
  
Ares Capital Corp.
                       880,424
 
 29,987
  
Capstead Mortgage Corp., REIT
                        352,047
 
176,739
  
Chimera Investment Corp., REIT
                          519,613
 
10,069
  
Colony Financial, Inc., REIT
                        199,064
 
105,796
  
Fifth Street Finance Corp.
                     1,096,047
 
8,023
  
Government Properties Income Trust, REIT
                          187,578
 
 4,157
  
Highwoods Properties, Inc., REIT
                        140,423
 
 7,837
  
Hospitality Properties Trust, REIT
                          211,756
 
26,758
  
Invesco Mortgage Capital, Inc., REIT
                        409,665
 
 9,359
  
Mack-Cali Realty Corp., REIT
                         202,154
 
12,131
  
Mercury General Corp.
                        532,308
 
48,512
  
New York Community Bancorp, Inc.
                          710,701
 
5,301
  
Omega Healthcare Investors, Inc., REIT
                         150,548
 
15,002
  
PennyMac Mortgage Investment Trust, REIT
                         315,792
 
101,450
  
Pitney Bowes, Inc.(a)
                      1,655,664
 
102,548
  
Prospect Capital Corp.
                      1,135,206
 
8,647
  
Starwood Property Trust, Inc., REIT
                          215,570
 
17,553
  
TAL International Group, Inc.
                         751,268
 
45,966
  
Two Harbors Investment Corp., REIT
                         437,137
 
71,353
  
Valley National Bancorp(a)
                         719,952
 
71,317
  
Vector Group Ltd.(a)
                      1,164,607
 
 
    
                   13,749,329
 
 
    
 
 
 
  
Total Common Stocks - 96.7%
 
 
 
  
(Cost $74,798,700)
                   73,658,539
 
 
    
 
 
 
  
Preferred Stocks - 2.9%
 
 
 
  
Brazil - 2.9%
 
 
58,327
  
Cia Energetica de Minas Gerais, ADR(a)
                        463,700
 
 1,201,613
  
Oi SA, ADR(a)
                       1,754,355
 
 
  
(Cost $2,736,972)
                      2,218,055
 
 
    
 
 
 
  
Total Long-Term Investments - 99.6%
 
 
 
  
(Cost $77,535,672)
                   75,876,594
 
 
    
 
 
 
  
Investments of Collateral for Securities Loaned - 18.2%
 
 
13,835,164
  
BNY Mellon Securities Lending Overnight Fund, 0.0813%(b) (c)
 $        13,835,164
     
(Cost $13,835,164)
 
       
 
     
Total Investments - 117.8%
 
     
(Cost $91,370,836)
                     89,711,758
     
Liabilities in excess of Other Assets - (17.8%)
                 (13,566,408)
     
Net Assets  - 100.0%
 $      76,145,350
 
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
      
PLC - Public Limited Company
      
REIT - Real Estate Investment Trust
      
SA - Corporation
      
SpA - Limited Share Company
      
         
(a)
Security, or portion thereof, was on loan at August 31, 2013.
  
(b)
At August 31, 2013, the total market value of the Fund's securities on loan was $12,466,327 and the total market value of the collateral held by the Fund was $13,835,164.
(c)
Interest rate shown reflects yield as of August 31, 2013.
  
         
See previously submitted notes to financial statements for the period ended May 31, 2013.
  
 
 
Security of Investments by Sector Classification**
Financial
24.5%
Communications
23.7%
Utilities
11.3%
Energy
9.2%
Industrial
8.6%
Basic Materials
8.1%
Consumer, Non-cyclical
7.4%
Technology
3.7%
Consumer, Cyclical
3.5%
 
 ** Subject to change daily.  Based on long-term investments.  Securities are classified by sectors
  
 that represent broad groups of related industries.
  
 
 
 
 
 
 
 
At August 31, 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
  
$ 91,855,378   $ 3,183,185   $ (5,326,805 ) $ (2,143,620 )
 
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 investment management, fund administration, legal and compliance
is responsible for the oversight of the valuation process of the Fund 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, unchanged 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 as described above. The fair value estimates for Level 3 securities are determined in accordance with the Fund's valuation procedures. The fund did
not have any Level 3 securities at August 31, 2013.
        
                           
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective as of the beginning of the period.
                           
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2013.
      
 
Description
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                      
Assets:
                      
Common Stocks
 $ 73,659     $ -     $ -     $ 73,659  
Preferred Stocks
   2,218       -       -       2,218  
Investments of Collateral for Securities Loaned
   13,835       -       -       13,835  
Total
 $ 89,712     $ -     $ -     $ 89,712  
 
During the three months ended August 31, 2013, 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:
 October 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:
 October 29, 2013
 
By:
  /s/ John L. Sullivan
John L. Sullivan
Chief Financial Officer, Chief Accounting Officer and Treasurer

Date:
 October 29, 2013