CAB Resources

ETF Fund Guide
ETF Performance Guide
CAB

FUND SUMMARY

The Claymore Advantaged Canadian Bond ETF seeks to provide a return based on the price and performance, before fees and expenses, of the DEX DLUX Capped Bond Index (“the Index”). The investment strategy of the fund is to obtain tax-efficient exposure to the constituent securities of the index through entering into a forward agreement with a Canadian Chartered Bank.

The ETF provides suitable investors of different sizes with the opportunity to gain exposure to a well diversified investment grade Canadian bond portfolio, capped at 60% allocation to government bonds and 40% allocation to corporate bonds.

DLUX Capped Bond Index Rules

The DLUX Capped Bond Index is designed to be a broad measure of the Canadian investment-grade fixed income market including both government and corporate investment grade bonds. Qualifying securities are selected from the constituents of the DEX Universe Bond Index, with the following criteria:

  • Government securities represent 60% of the Market Value weight
  • Corporate securities represent 40% of the Market Value weight
  • Minimum issue size / amount outstanding of $300 MM
  • Credit rating of A or higher1
  • Annual Trade Volume turnover of 25% or higher
  • Average quarterly Traded Volume of minimum $500 K per day in the last quarter
  • The index is rebalanced:
    • Daily to account for new issues or remove any issues due to rating downgrade
    • Monthly (at month end) to adjust for market value weights to a 60/40 blend of government and corporate bonds
    • Quarterly to remove any issues that do not meet the liquidity criteria

1 Ratings are provided by DBRS, Standard and Poor’s and Moody’s. The lowest rating available is used for purposes of the index rules

BENEFITS OF USING THE FORWARD STRUCTURE

The Fund utilizes an innovative Forward Agreement structure in order to provide exposure to the portfolio of the DEX DLUX Capped Bond Index on a tax-efficient basis. By using the Forward Agreement, the income generated by the index (interest income) will be recharacterized and paid to Unitholders of the ETF primarily as distributions of return of capital and capital gains. Another benefit of the Forward Agreement Structure is that it reduces the instances where capital gains may be realized as a result of any scheduled rebalancing of the underlying portfolio.

CAB Forward Structure

The above diagram is for illustrative purposes only. The forward structure is used to achieve the exposure to the DEX DLUX Capped Bond Index. Please see the Prospectus for further information.

THE ROLE OF BONDS IN A PORTFOLIO:

The main reasons for holding bonds in investor’s portfolio are: income, diversification, capital preservation and protection against economic slowdown

INCOME

Typically, bonds pay interest coupons semi-annually, which means they can provide a reliable and predictable income stream.

DIVERSIFICATION

Bonds are the foundation of a well diversified portfolio. Bonds are one of the main asset classes in the asset allocation process and their low correlation with other asset classes makes them a very important source of portfolio diversification which can significantly improve the risk-adjusted returns of the portfolio.

CAPITAL PRESERVATION

At their maturity date bonds pay to the bondholder a predetermined amount (par value) which provides for downside protection.

PROTECTION IN ECONOMIC DOWNTURN

During an economic downturn investment grade bonds have historically outperformed equities and other asset classes since they provide regular coupon payments and pay back the face value at their maturity date to the bondholder.

Correlation of Bonds1 with other Asset Classes

ASSET CLASS 5-Year 10-Year 15-Year
Canadian Equity2 0.10 0.01 0.17
US Equity3 0.25 -0.05 0.13
International Equity4 0.30 0.11 0.06
Emerging Markets Equity5 0.21 0.05 0.05
Commodity6 0.01 0.06 0.10

Source: PC Bond & Bloomberg

1The DEX Universe Bond Index is a broad measure of the Canadian investment-grade fixed income market. 2The S&P/TSX Composite Index is a capitalization weighted index of the largest (by market capitalization) and most liquid stocks listed on the TSX. 3The Standard & Poor’s 500 Index is a capitalization weighted index of 500 stocks designed to measure the performance of the broad US economy. 4The MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the performance of developed markets, excluding US & Canada. 5The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. 6The S&P GSCI® is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities.

Fund Statistics

as of 9/2/10

  MARKET PRICE NAV
Close $20.51 $20.40
Change $0.04 ($0.01)
52-Week High $20.55 $20.50
52-Week Low $19.71 $19.66
Bid/Ask Midpoint $20.47
Bid/Ask Premium (Discount) 0.31 %
Volume 14,675
Shares Outstanding 2,410,000
Total Managed Assets $49,167,559
Total Managed Assets (Common and Advisor) $57,325,295
Price History

INDEX CHARACTERISTICS

as of 6/30/010

Number of Securities 307 
Duration 5.63  
Weighted Average Coupon   4.56 % 
Index Yield-to-Maturity  3.02 %
Index Cash Yield 4.17 %
Index Provider pcbond.com

INDEX RATING BREAKDOWN

as of 6/30/10

AAA 43.34 %
AA 34.19 %
A 22.47 %

INDEX MATURITY BREAKDOWN

as of 6/30/10

Short Term (0 - 5 years) 48.74 %
Mid Term (6 - 10 years) 27.07 %
Long Term (10+ years) 24.18 %

TYPE OF BONDS

as of 6/30/10

Government 59.42 %
Corporate 40.58 %

INDEX INDUSTRY SECTOR BREAKDOWN

as of 6/30/10

Federal 40.76 %
Financial 29.61 %
Provincial 18.67 %
Infrastructure 4.50 %
Energy 3.03 %
Securitization 2.59 %
Communication 0.85 %

Profile

Symbol (Click for Intraday Price) CAB
Exchange TSX
CUSIP 18382B105
Fund Inception Date 11/19/09
Income Distribution Return of Capital and Capital Gains
Distribution Schedule (if any) Monthly
Management Fees 0.30 %
Fiscal Year-End 12/31
Investment Adviser Claymore Investments, Inc.
Index Name DEX DLUX Capped Bond Index
Index Provider PC Bond Analytics
RRSP, RRIF, RESP, DPSP, TFSA 100% Eligible
DRIP Yes
PACC Yes
SWP Yes

Top Fund Holdings

as of 9/2/2010

CANADA GOV'T BD SER A55 9.83 %
CANADA SER 2% 01DEC16 4.43 %
CANADA GOVT SER 4.25% 01JUN18 3.25 %
CANADA GOVERNMENT SER YN80 3.16 %
GOVT OF CANADA 1% 01SEP2011 SER YW89 3 %
CANADA HOUSING TRUST 3.55% 15SEP2013 2.6 %
CANADA HOUSING TRUST 2.7% 15DEC13 2.32 %
ONTARIO PROVINCE DEB 2.22 %
QUEBEC PROVINCE CANADA 2.2 %
CANADA HOUSING TRUST 4.55% 15DEC12 144A 1.94 %
All Holdings

Initially, in order to obtain exposure to the performance of the Index, the Claymore Advantaged Canadian Bond ETF (the “ETF”) will invest the net proceeds of its continuous offerings in a portfolio of common shares of Canadian public companies listed on the TSX that qualify as “Canadian securities” for purpose of the Tax Act (the “Canadian Share Portfolio”). The ETF will enter into one or more forward purchase and sale agreements (collectively, the “Forward”) with a Canadian chartered bank or an affiliate thereof (the “Counterparty”) pursuant to which the ETF will agree to sell securities in the Canadian Share Portfolio to the Counterparty from time to time in exchange for a purchase price determined by reference to the Canadian dollar value (the “Forward Amount”) of the performance of Index. However, neither the ETF nor its Unitholders by virtue of their investment in Units will have any ownership interest in the Index or any other financial instrument, if any, the Counterparty chooses to hedge its exposure under the Forward.

DISTRIBUTION INFORMATION

Last Distribution per Share $0.055000
Indicated Distribution Yield* 3.235%
DRIP/PACC Price -
Date Paid 8/6/10
Distribution History
Next Targeted Distribution
Ex-Date 9/27/10
Record Date 9/29/10
Payable Date 10/6/10
(*) Approximate annualized distribution yield based on last distribution and most recent NAV. Information may change without notice. Actual results may vary.

Distribution per unit is subject to change on the ex-distribution date. Distributions, if any, will be paid on a quarterly basis.

RISKS AND OTHER CONSIDERATIONS

There is no assurance the Fund will achieve its investment objective. Past performance does not guarantee future results. Index returns do not represent Fund returns. The Index performance results are hypothetical. Commissions, trailing commissions, management fees and expenses all may be associated with mutual fund investments. Please read the prospectus before investing. Mutual funds are not guaranteed. Their values change frequently and past performance may not be repeated. An investment in the Fund will be subject to certain risk factors, including: there can be no assurance that the Fund will be able to achieve its distribution or total return objectives; Risk of Error in Replicating the DLUX Capped Bond Index™ ; Index Investment Strategy Risk; Tracking Error; Rebalancing and Adjustment Risk; Calculation and Termination of the DLUX Capped Bond Index™ ; Cease Trading of Constituent Securities; Illiquid Securities; Use of Derivative Instruments; Securities Lending; Trading Price of Units; Potential Conflicts of Interest; Changes in Legislation; Taxation of the Fund; Absence of an Active Market for the Units and Lack of Operating History.

DLUX Capped Bond Index™ is a trademark of TSX Inc. This mark has been sublicensed for use for certain purposes to Claymore Investments Inc. by PC-BOND, a business unit of TSX Inc. The Product is not sponsored, endorsed, sold or promoted by TSX Inc., PC-BOND, a business unit of TSX Inc., its affi liates (including TSX Group Inc.) or third party data suppliers. TSX Inc., PC-BOND, a business unit of TSX Inc., its affiliates and third party data suppliers make no representation, warranty, or condition regarding the advisability of investing in the Product.

Commissions, trailing commissions, management fees and expenses all may be associated with fund investments. Please read the prospectus before investing. The indicated rate of return is the historical annual compounded total return including changes in unit value and reinvestment of all distributions and does not take into account sales, redemption, distribution or optional charges or income taxes payable by any securityholder that would have reduced returns. Funds are not guaranteed, their values change frequently and past performance may not be repeated.