GUGGENHEIMINVESTMENTS.COM/GOF
... YOUR WINDOW TO THE LATEST, MOST UP-TO-DATE INFORMATION ABOUT GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
The shareholder report you are reading right now is just the beginning of the story. Online at guggenheiminvestments.com/gof, you will find:
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Daily, weekly and monthly data on share prices, net asset values, distributions and more
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Portfolio overviews and performance analyses
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Announcements, press releases and special notices
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Fund and adviser contact information
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Guggenheim Partners Investment Management, LLC and Guggenheim Funds Investment Advisors, LLC are continually updating and expanding shareholder information services on the Fund’s website in an ongoing effort to provide
you with the most current information about how your Fund’s assets are managed and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment in the Fund.
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(Unaudited)
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November 30, 2019
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DEAR SHAREHOLDER
We thank you for your investment in the Guggenheim Strategic Opportunities Fund (the “Fund”). This report covers the Fund’s performance for the six-month period ended November 30, 2019.
The Fund’s investment objective is to maximize total return through a combination of current income and capital appreciation. The Fund pursues a relative value-based investment philosophy. The Fund’s sub-adviser seeks
to combine a credit-managed fixed-income portfolio with access to a diversified pool of alternative investments and equity strategies.
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the six-month period ended November 30, 2019, the Fund provided a total return based on
market price of 2.76% and a total return based on NAV of 1.66%. As of November 30, 2019, the Fund’s market price of $19.36 represented a premium of 13.08% to its NAV of $17.12. NAV return includes the deduction of management fees, operating expenses,
and all other Fund expenses.
Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund’s shares fluctuates from
time to time, and it may be higher or lower than the Fund’s NAV.
From June 2019 through November 2019, the Fund paid a monthly distribution of $0.1821 per share. The latest distribution represents an annualized distribution rate of 11.29% based on the Fund’s closing market price of
$19.36 on November 30, 2019. The Fund’s distribution rate is not constant and the amount of distributions, when declared by the Fund’s Board of Trustees, is subject to change based on the performance of the Fund. Please see the Distributions to
Shareholders & Annualized Distribution Rate on page 16, and Note 2(f) on page 64 for more information on distributions for the period.
Guggenheim Funds Investment Advisors, LLC (the “Adviser”) serves as the investment adviser to the Fund. Guggenheim Partners Investment Management, LLC (“GPIM” or the “Sub-Adviser”) serves as the Fund’s investment
sub-adviser and is responsible for the management of the Fund’s portfolio of investments. Each of the Adviser and the Sub-Adviser is an affiliate of Guggenheim Partners, LLC (“Guggenheim”), a global diversified financial services firm.
We encourage shareholders to consider the opportunity to reinvest their distributions from the Fund through the Dividend Reinvestment Plan (“DRIP”), which is described in detail on page 89 of this report. When shares
trade at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the monthly dividend distribution in common shares of the Fund purchased in the market at a price less than NAV. Conversely, when the market price of the Fund’s
common shares is at a premium above NAV, the DRIP reinvests participants’ dividends in newly-issued common shares at the greater of NAV per share or 95% of the market price per share. The DRIP provides a cost-effective means to accumulate additional
shares and enjoy the benefits of compounding returns over time. Since the Fund endeavors to maintain a stable monthly distribution, the DRIP effectively provides an income averaging technique
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 3
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DEAR SHAREHOLDER (Unaudited) continued
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November 30, 2019
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which causes shareholders to accumulate a larger number of Fund shares when the market price is depressed than when the price is higher.
To learn more about the Fund’s performance and investment strategy, we encourage you to read the Economic and Market Overview and the Questions & Answers sections of this report, which begin on page 5. You’ll find
information on Guggenheim’s investment philosophy, views on the economy and market environment, and detailed information about the factors that impacted the Fund’s performance.
We appreciate your investment and look forward to serving your investment needs in the future. For the most up-to-date information on your investment, please visit the Fund’s website at guggenheiminvestments.com/gof.
Sincerely,
Guggenheim Funds Investment Advisors, LLC
Guggenheim Strategic Opportunities Fund
December 31, 2019
4 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
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ECONOMIC AND MARKET OVERVIEW (Unaudited)
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November 30, 2019
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U.S. real gross domestic product (“GDP”) growth held roughly steady at a 2.1% annualized rate in the third quarter of 2019 versus 2.0% in the second quarter. The data showed a moderation in government spending and
personal consumption expenditure growth, which came in at a 3.1% annualized rate after an unsustainably strong 4.6% reading in the prior quarter. However, this was largely offset by a smaller drag from inventories and net exports.
Despite the pullback in consumer spending growth, the U.S. household sector has remained a bright spot, as clouds have gathered over the global economy. The manufacturing sector has borne the brunt of the escalation in
U.S.-China tariffs, while also contending with headwinds in the form of U.S. dollar appreciation and weakness in foreign demand. Beyond the U.S., the trade conflict and China’s ongoing financial deleveraging have detracted from global trade volumes,
which are contracting on a year-over-year basis for the first time since 2009. The global trade recession has weighed on GDP growth in economies that are particularly trade- and investment-oriented. Real GDP growth in China slowed to 6.0% year over
year in the third quarter, the slowest pace in several decades, while German GDP grew by just 0.3% annualized in the third quarter of 2019 after contracting by 1.0% in the prior quarter.
The good news is that the manufacturing sector represents only 11.0% of U.S. GDP and 8.4% of non-farm payrolls. We see encouraging signs of an upturn in goods production, which a tentative U.S.-China trade truce should
support. Meanwhile, growth in the much larger services sector has moderated, with real personal spending on services having softened over the past year. Also noteworthy to us was the decline in the employment diffusion index of the IHS Markit
purchasing managers index (“PMI”) for services, which fell to 47.5 in October before rebounding in November and December. Global PMIs also showed a sequential improvement in labor market conditions in November.
Fiscal policy is estimated to have boosted U.S. real GDP growth by about 0.6% in 2019. This substantial fiscal support should fade in 2020, resulting in no contribution to growth (a shift in the growth impulse). We
expect the U.S. Federal Reserve (the “Fed”) to remain on hold in the near term, with monetary policymakers having indicated that the bar is high for further rate changes. This message has since been reinforced by the Fed’s senior leadership, who have
noted that “monetary policy is in a good place.” The recent rally in stocks and bear steepening (widening caused by long-term interest rates increasing at a faster rate than short-term rates) of the yield curve suggests that markets agree.
The Fed’s mid-cycle adjustment appears to have successfully staved off recession. The expansion will likely continue in the near term with the help of global monetary easing efforts that are helping to drive risk assets
higher. Year-to-date performance across different asset classes shows rates and cyclical equities both delivering better returns than credit, although the Fed’s easing will likely allow risks to build in certain areas of the credit markets. For now,
we continue to focus on income and capital preservation.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a
recommendation of any specific security or strategy.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 5
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QUESTIONS & ANSWERS (Unaudited)
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November 30, 2019
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Guggenheim Strategic Opportunities Fund (“Fund”) is managed by a team of seasoned professionals at Guggenheim Partners Investment Management, LLC (“GPIM”). This team includes B. Scott Minerd,
Chairman of Guggenheim Investments and Global Chief Investment Officer; Anne B. Walsh, CFA, JD, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; and Adam Bloch,
Managing Director and Portfolio Manager. In the following interview, the investment team discusses the market environment and the Fund’s performance for the six-month period ended November 30, 2019.
What is the Fund’s investment objective and how is it pursued?
The Fund seeks to maximize total return through a combination of current income and capital appreciation. The Fund pursues a relative value-based investment philosophy, which utilizes quantitative and qualitative
analysis.
The Fund seeks to combine a credit-managed fixed-income portfolio with access to a diversified pool of alternative investments and equity strategies. The Fund seeks to achieve its investment objective by investing in a
wide range of fixed-income and other debt and senior-equity securities (“Income Securities”) selected from a variety of credit qualities and sectors, including, but not limited to, corporate bonds, loans and loan participations, structured finance
investments, U.S. government and agency securities, mezzanine and preferred securities and convertible securities, and in common stocks, limited liability company interests, trust certificates, and other equity investments (“Common Equity
Securities”), exposure to which is obtained primarily by investing in exchange-traded funds (“ETFs”) that Guggenheim believes offer attractive yield and/or capital appreciation potential, including employing a strategy of writing (selling) covered
call and put options on such equities. Guggenheim believes the volatility of the Fund can be reduced by diversifying across a large number of sectors and securities, some of which historically have not been highly correlated to one another.
Under normal market conditions:
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The Fund may invest without limitation in fixed-income securities rated below investment grade (commonly referred to as “junk bonds”); the Fund may invest in below-investment grade income securities of any
rating;
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The Fund may invest up to 20% of its total assets in non-U.S. dollar denominated fixed-income securities of corporate and governmental issuers located outside the U.S., including up to 10% of total assets in
fixed-income securities of issuers located in emerging markets;
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6 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
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QUESTIONS & ANSWERS (Unaudited) continued
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November 30, 2019
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The Fund may invest up to 50% of its total assets in common equity securities, and the Fund may invest in ETFs or other investment funds that track equity market indices and/or through derivative instruments
that replicate the economic characteristics of exposure to Common Equity Securities; and
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The Fund may invest up to 30% of its total assets in investment funds that primarily hold (directly or indirectly) investments in which the Fund may invest directly, of which amount up to 30% of the Fund’s
total assets may be invested in investment funds that are registered as investment companies under the Investment Company Act of 1940 (the “1940 Act”) to the extent permitted by applicable law and related interpretations of the staff of the
U.S. Securities and Exchange Commission.
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Guggenheim’s process for determining whether to buy a security is a collaborative effort between various groups including: (i) economic research, which focus on key economic themes and trends, regional and
country-specific analysis, and assessments of event-risk and policy impacts on asset prices, (ii) the Portfolio Construction Group, which utilize proprietary portfolio construction and risk modeling tools to determine allocation of assets among a
variety of sectors, (iii) its Sector Specialists, who are responsible for identifying investment opportunities in particular securities within these sectors, including the structuring of certain securities directly with the issuers or with investment
banks and dealers involved in the origination of such securities, and (iv) portfolio managers, who determine which securities best fit the Fund based on the Fund’s investment objective and top-down sector allocations. In managing the Fund, Guggenheim
uses a process for selecting securities for purchase and sale that is based on intensive credit research and involves extensive due diligence on each issuer, region and sector. Guggenheim also considers macroeconomic outlook and geopolitical issues.
The Fund may use financial leverage to finance the purchase of additional securities. Although financial leverage may create an opportunity for increased return for shareholders, it also results in additional risks and
can magnify the effect of any losses. There is no assurance that the strategy will be successful. If income and gains earned on securities purchased with the financial leverage proceeds are greater than the cost of the financial leverage, common
shareholders’ return will be greater than if financial leverage had not been used. Conversely, if the income or gains from the securities purchased with the proceeds of financial leverage are less than the cost of the financial leverage, common
shareholders’ return will be less than if financial leverage had not been used.
How did the Fund perform for the six months ended November 30, 2019?
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the six-month period ended November 30, 2019, the Fund provided a total return based on
market price of 2.76% and a total return based on NAV of 1.66%. As
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 7
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QUESTIONS & ANSWERS (Unaudited) continued
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November 30, 2019
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of November 30, 2019, the Fund’s market price of $19.36 represented a premium of 13.08% to its NAV of $17.12. As of May 31, 2019, the Fund’s market price of $19.96 represented a premium of 11.45% to its NAV of $17.91.
NAV return includes the deduction of management fees, operating expenses, and all other Fund expenses. The market value of the Fund’s shares fluctuates from time to time and may be higher or lower than the Fund’s NAV. Past performance is not a
guarantee of future results.
What were the Fund’s distributions?
From June 2019 through November 2019, the Fund paid a monthly distribution of $0.1821 per share. The latest distribution represents an annualized distribution rate of 11.29% based on the Fund’s closing market price of
$19.36 on November 30, 2019. The Fund’s distribution rate is not constant and the amount of distributions, when declared by the Fund’s Board of Trustees, is subject to change based on the performance of the Fund. Please see the Distributions to
Shareholders & Annualized Distribution Rate on page 16, and Note 2(f) on page 64 for more information on distributions for the period.
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How did other markets perform in this environment for the six-month period ended November 30, 2019?
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Index
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Total Return
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Bloomberg Barclays U.S. Aggregate Bond Index
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3.81%
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Bloomberg Barclays U.S. Aggregate Bond 1-3 Year Index
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1.61%
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Bloomberg Barclays U.S. Corporate High Yield Index
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4.27%
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Credit Suisse Leveraged Loan Index
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1.21%
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ICE Bank of America Merrill Lynch Asset Backed Security Master BBB-AA Index
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1.95%
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S&P 500 Index
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15.26%
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Discuss performance over the period.
During the period, the Fund saw positive performance primarily attributable to the portfolio’s carry. Carry refers to the income received from portfolio investments over a defined period. Spreads widened over the
period, although many sectors remain near cycle tights. While trade uncertainty and recession fears persisted over the period, in November optimism of an initial US-China trade agreement, anticipation of a strong holiday sales seasons, and better
than expected jobless claims fueled bullish sentiment leading to a rally in risk assets.
Interest rates across the Treasury curve fell between 30 and 80 basis points over the period, which aided in the Fund’s performance.
Over the period, the Fund added taxable and tax-free municipal closed-end funds to take advantage of attractive yields and discounted share prices relative to their NAVs.
8 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
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QUESTIONS & ANSWERS (Unaudited) continued
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November 30, 2019
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Bank loans, which constituted 41% of the Fund at period’s end, generated a positive total return despite spreads widening over the period, as associated price declines were more than offset by income earned. The Fund
increased its allocation to the asset class over the period as spread widening presented opportunities to selectively add exposure.
Collateralized Loan Obligations (“CLOs”), which constituted 11% of the Fund at period’s end, detracted from performance as spread widening in CLO equity outpaced income earned. We continue to favor senior CLOs with
short spread durations, as they offer a compelling spread pickup to similarly rated corporates while providing defensive positioning.
Non-Agency Residential Mortgage-Backed Securities (“non-Agency RMBS”), which constituted 10% of the Fund at period’s end, were also positive contributors as lower rates and improving credit fundamentals drove higher
prepayments for discounted dollar price holdings. Limited home inventory and improving labor market conditions should support home prices and mortgage credit performance. Pre-crisis RMBS investment has benefited from a supply shortfall caused by
ongoing paydowns and limited new issuance.
Asset Backed Securities (“ABS”) (not including CLO’s), which constituted 7% of the Fund at period’s end, performed well generating positive total returns as the investor base for esoteric structured credit, including
aircraft securitization and other commercial ABS, continues to grow.
The Fund’s modest exposure to investment grade credit contributed to performance.
What was the impact of derivatives on Fund performance?
The Fund uses derivatives for its covered call strategy and for various hedging purposes, such as currency forward contracts to fully hedge exchange rate risk in the purchase of government securities of foreign
countries. It also uses various derivatives to obtain exposure to indexes that track various equity market sectors.
Index futures contributed to performance for the period. Returns from the covered call allocation was roughly flat over the period. The allocation was reduced in May in line with our broader plan to help protect the
portfolio and shareholders from future drawdowns.
The Fund also maintained a credit hedge via credit default swaps to reduce portfolio spread duration and help protect shareholders from a drawdown. With investment grade corporate spreads marginally tighter, the credit
hedge detracted from performance over the period.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 9
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QUESTIONS & ANSWERS (Unaudited) continued
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November 30, 2019
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Discuss the Fund’s approach to duration.
Although the Fund has no set policy regarding portfolio duration or maturity, the Fund maintained a generally low-duration throughout the period.
Discuss the Fund’s use of leverage.
The Fund employed no leverage during the period.
Index Definitions
Indices are unmanaged and reflect no expenses. It is not possible to invest directly in an index.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries,
government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), ABS, and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
The Bloomberg Barclays U.S. Aggregate Bond 1-3 Year Index measures the performance of publicly issued investment grade corporate, U.S. Treasury and government agency securities with remaining maturities of one to three
years.
The Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch,
and S&P is Ba1/BB +/BB + or below.
The Credit Suisse Leveraged Loan Index is an index designed to mirror the investable universe of the U.S.-dollar-denominated leveraged loan market.
The ICE Bank of America Merrill Lynch Asset Backed Security Master BBB-AA Index is a subset of the ICE BofA/ML U.S. Fixed Rate Asset Backed Securities Index including all securities rated AA1 through BBB3, inclusive.
The Standard & Poor’s 500 (“S&P 500”) Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a
representation of the U.S. stock market.
10 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
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QUESTIONS & ANSWERS (Unaudited) continued
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November 30, 2019
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Risks and Other Considerations
Investing involves risk, including the possible loss of principal and fluctuation of value. The views expressed in this report reflect those of the portfolio managers only through the report period as stated on the
cover. These views are expressed for informational purposes only and are subject to change at any time, based on market and other conditions, and may not come to pass. These views may differ from views of other investment professionals at Guggenheim
and should not be construed as research, investment advice or a recommendation of any kind regarding the fund or any issuer or security, do not constitute a solicitation to buy or sell any security and should not be considered specific legal,
investment or tax advice. The information provided does not take into account the specific objectives, financial situation or particular needs of any specific investor.
The views expressed in this report may also include forward looking statements that involve risk and uncertainty, and there is no guarantee that any predictions will come to pass. Actual results or events may differ
materially from those projected, estimated, assumed or anticipated in any such forward-looking statements. Important factors that could result in such differences, in addition to the other factors noted with such forward-looking statements, include
general economic conditions such as inflation, recession and interest rates.
There can be no assurance that the Fund will achieve its investment objectives or that any investment strategies or techniques discussed herein will be effective. The value of the Fund will fluctuate with the value of
the underlying securities. Historically, closed-end funds often trade at a discount to their net asset value.
As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized
in the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 2 of these Notes to Financial Statements.
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 11
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QUESTIONS & ANSWERS (Unaudited) continued
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November 30, 2019
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Please see guggenheiminvestments.com/gof for a detailed discussion of the Fund’s risks and considerations.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not
provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or
educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
12 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
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FUND SUMMARY (Unaudited)
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November 30, 2019
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Fund Statistics
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Share Price
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$19.36
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Net Asset Value
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$17.12
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Premium to NAV
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13.08%
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Net Assets ($000)
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$675,796
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AVERAGE ANNUAL TOTAL RETURNS FOR THE
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PERIOD ENDED NOVEMBER 30, 2019
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Six month
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(non-
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One
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Three
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Five
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Ten
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annualized)
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Year
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Year
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Year
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Year
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Guggenheim Strategic Opportunities Fund
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NAV
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1.66%
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4.74%
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8.92%
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9.02%
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12.34%
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Market
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2.76%
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8.66%
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12.07%
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9.37%
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13.48%
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Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management
fees, operating expenses and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares is not reflected in the total returns. For the most recent month-end performance figures,
please visit guggenheiminvestments.com/gof. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when sold, may be worth more or less than their
original cost.
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Ten Largest Holdings
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(% of Total Net Assets)
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Morgan Stanley Finance LLC, 1.50%
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1.9%
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Government of Japan, 01/10/20
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1.5%
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BlackRock Taxable Municipal Bond Trust
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1.0%
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Nuveen Taxable Municipal Income Fund
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0.9%
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Federative Republic of Brazil, 01/01/20
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0.9%
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State of Israel, 1.00%, 04/30/21
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0.9%
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TSGE, 6.25%
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0.8%
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LSTAR Securities Investment Limited, 3.20%
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0.7%
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Lehman XS Trust Series, 1.89%
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0.7%
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Golub Capital Partners CLO Ltd., 3.99%
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0.7%
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Top Ten Total
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10.0 %
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“Ten Largest Holdings” excludes any temporary cash or derivative investments.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 13
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FUND SUMMARY (Unaudited) continued
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November 30, 2019
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Portfolio Breakdown
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% of Net Assets
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Investments
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Senior Floating Rate Interests
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41.0%
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Asset-Backed Securities
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17.4%
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Corporate Bonds
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17.2%
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Collateralized Mortgage Obligations
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11.2%
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Foreign Government Debt
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6.4%
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Closed-End Funds
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4.3%
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Money Market Fund
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1.3%
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Other
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2.0%
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Total Investments
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100.8%
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Corporate Bonds Sold Short
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-0.4%
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Put Options Written
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0.0%*
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Other Assets & Liabilities, net
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-0.4%
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Net Assets
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100.0%
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Holdings diversification and holdings are subject to change daily. For more information, please visit guggenheiminvestments.com/gof. The above summaries are provided for informational purposes only and should not be
viewed as recommendations. Past performance does not guarantee future results.
* Less than 0.1%.
14 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
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FUND SUMMARY (Unaudited) continued
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November 30, 2019
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Portfolio Composition by Quality Rating1
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% of Total
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Rating
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Investments
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Investments
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AAA
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0.3%
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AA
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2.3%
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A
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12.1%
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BBB
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10.5%
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BB
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12.8%
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B
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31.2%
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CCC
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5.2%
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CC
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5.5%
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C
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0.7%
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D
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0.1%
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NR2
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14.3%
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Other Instruments
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Other
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5.0%
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Total Investments
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100.0%
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1
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Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All rated securities have been rated by Moody’s, Standard &
Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim
Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter
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2
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NR securities do not necessarily indicate low credit quality.
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GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 15
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FUND SUMMARY (Unaudited) continued
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November 30, 2019
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Portfolio breakdown is subject to change daily. For more information, please visit guggenheiminvestments.com/gof. The above summaries are provided for informational purposes only and should not be
viewed as recommendations. Past performance does not guarantee future results. All or a portion of the above distributions may be characterized as a return of capital. For the calendar year ended December 31, 2019, 63% of the distributions were
characterized as return of capital and 37% of the distributions were characterized as ordinary income. The final determination of the tax character of the distributions paid by the Fund in 2019 will be reported to shareholders in January 2020.
16 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
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SCHEDULE OF INVESTMENTS (Unaudited)
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November 30, 2019
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Shares
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Value
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COMMON STOCKS† – 0.3%
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Consumer, Non-cyclical – 0.2%
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Chef Holdings, Inc.*,†††,1
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4,789
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$ 580,618
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ATD New Holdings, Inc.*,††
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13,571
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339,275
|
Cengage Learning Holdings II, Inc.*,††
|
11,126
|
116,823
|
Targus Group International Equity, Inc.*,†††,1,2
|
12,989
|
22,683
|
Total Consumer, Non-cyclical
|
|
1,059,399
|
|
Utilities – 0.1%
|
|
|
TexGen Power LLC*,††
|
22,219
|
988,745
|
|
Energy – 0.0%
|
|
|
SandRidge Energy, Inc.*,17
|
39,565
|
130,169
|
Titan Energy LLC*,17
|
9,603
|
279
|
Total Energy
|
|
130,448
|
|
Technology – 0.0%
|
|
|
Qlik Technologies, Inc. – Class A*,†††,1
|
56
|
72,131
|
Qlik Technologies, Inc. – Class B*,†††,1
|
13,812
|
–
|
Total Technology
|
|
72,131
|
|
Industrial – 0.0%
|
|
|
BP Holdco LLC*,†††,1,2
|
55,076
|
19,447
|
Vector Phoenix Holdings, LP*,†††,1
|
55,076
|
4,609
|
Total Industrial
|
|
24,056
|
Total Common Stocks
|
|
|
(Cost $3,387,298)
|
|
2,274,779
|
|
PREFERRED STOCKS†† – 0.4%
|
|
|
Financial – 0.3%
|
|
|
Public Storage 5.40%
|
41,000
|
1,053,700
|
AmTrust Financial Services, Inc. 7.75%
|
35,100
|
621,270
|
AgriBank FCB 6.88%
|
4,000
|
428,000
|
AmTrust Financial Services, Inc. 7.50%
|
3,410
|
59,504
|
AmTrust Financial Services, Inc. 7.63%
|
2,940
|
51,715
|
AmTrust Financial Services, Inc. 7.25%
|
1,685
|
29,993
|
Total Financial
|
|
2,244,182
|
|
Industrial – 0.1%
|
|
|
Lytx Holdings, LLC *,†††,1
|
591
|
591,396
|
Total Preferred Stocks
|
|
|
(Cost $2,562,893)
|
|
2,835,578
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 17
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Shares
|
Value
|
|
WARRANTS††† – 0.0%
|
|
|
Lytx, Inc.*,1
|
26
|
$ 131
|
Total Warrants
|
|
|
(Cost $–)
|
|
131
|
|
CLOSED-END FUNDS† – 4.3%
|
|
|
BlackRock Taxable Municipal Bond Trust
|
281,604
|
6,721,887
|
Nuveen Taxable Municipal Income Fund
|
281,945
|
6,104,109
|
Nuveen AMT-Free Municipal Credit Income Fund
|
285,719
|
4,614,362
|
Invesco Municipal Opportunity Trust
|
221,815
|
2,752,724
|
Invesco Trust for Investment Grade Municipals
|
201,581
|
2,554,031
|
Invesco Municipal Trust
|
178,403
|
2,185,437
|
Invesco Advantage Municipal Income Trust II
|
156,732
|
1,741,293
|
BlackRock Municipal Income Trust
|
106,147
|
1,477,566
|
Nuveen AMT-Free Quality Municipal Income Fund
|
28,110
|
396,351
|
Nuveen Quality Municipal Income Fund
|
23,225
|
335,369
|
BlackRock MuniVest Fund, Inc.
|
23,028
|
207,713
|
Total Closed-End Funds
|
|
|
(Cost $29,700,933)
|
|
29,090,842
|
|
MONEY MARKET FUND† – 1.3%
|
|
|
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares 1.52%5
|
9,049,257
|
9,049,257
|
Total Money Market Fund
|
|
|
(Cost $9,049,257)
|
|
9,049,257
|
|
Face
|
|
|
Amount~
|
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0%
|
|
|
Consumer, Cyclical – 9.1%
|
|
|
EG Finco Ltd.
|
|
|
6.10% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25
|
3,007,380
|
2,924,045
|
8.75% (3 Month EURIBOR + 7.75%, Rate Floor: 8.75%) due 04/20/26
|
EUR 249,505
|
274,249
|
Titan AcquisitionCo New Zealand Ltd.
|
|
|
6.35% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 05/01/26
|
2,793,000
|
2,799,284
|
Accuride Corp.
|
|
|
7.35% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23
|
3,376,702
|
2,701,361
|
1-800 Contacts
|
|
|
5.20% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 01/22/23
|
2,583,276
|
2,554,860
|
CH Holding Corp.
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/05/26
|
1,995,000
|
2,001,484
|
BGIS (BIFM CA Buyer, Inc.)
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26
|
1,745,625
|
1,743,443
|
Shields Health Solutions Holdings LLC
|
|
|
6.70% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 08/19/26†††
|
1,750,000
|
1,732,500
|
See notes to financial statements.
18 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Consumer, Cyclical – 9.1% (continued)
|
|
|
PT Intermediate Holdings III LLC
|
|
|
7.49% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 10/15/25†††
|
1,700,000
|
$ 1,691,500
|
Packers Sanitation Services, Inc.
|
|
|
5.57% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/04/24
|
1,697,975
|
1,680,469
|
Midas Intermediate Holdco II LLC
|
|
|
4.85% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 08/18/21
|
1,773,908
|
1,670,808
|
Power Solutions (Panther)
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/30/26
|
1,650,000
|
1,648,977
|
World Triathlon Corp.
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 08/15/26
|
1,650,000
|
1,637,625
|
BCPE Empire Holdings, Inc.
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26
|
1,627,025
|
1,612,789
|
ERM
|
|
|
5.85% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 07/10/26
|
1,596,000
|
1,596,287
|
BBB Industries, LLC
|
|
|
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 08/01/25
|
1,634,492
|
1,580,358
|
AVSC Holding Corp.
|
|
|
6.49% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/15/26
|
1,250,000
|
1,225,787
|
5.14% (1 Month USD LIBOR + 3.25% and 3 Month
|
|
|
USD LIBOR + 3.25%, Rate Floor: 4.25%) due 03/03/25
|
323,925
|
314,107
|
Touchtunes Interactive Network
|
|
|
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 05/28/21
|
1,553,684
|
1,538,147
|
OEConnection LLC
|
|
|
5.71% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 09/25/26
|
1,552,814
|
1,536,634
|
CPI Acquisition, Inc.
|
|
|
6.71% (3 Month USD LIBOR + 4.50%, Rate Floor: 6.50%) due 08/17/22
|
2,021,782
|
1,521,957
|
K & N Parent, Inc.
|
|
|
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/20/23†††
|
1,937,936
|
1,453,452
|
SHO Holding I Corp.
|
|
|
6.93% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/27/22
|
1,295,810
|
1,140,313
|
5.87% (1 Month USD LIBOR + 4.00% and 3 Month USD
|
|
|
LIBOR + 4.00%, Rate Floor: 4.00%) due 10/27/21†††,1
|
334,000
|
298,930
|
Comet Bidco Ltd.
|
|
|
6.91% (1 Month USD LIBOR + 5.00% and 3 Month USD
|
|
|
LIBOR + 5.00%, Rate Floor: 6.00%) due 09/30/24
|
1,477,612
|
1,427,743
|
IBC Capital Ltd.
|
|
|
5.90% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23
|
1,433,861
|
1,423,107
|
EnTrans International, LLC
|
|
|
7.70% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24†††
|
1,415,625
|
1,366,078
|
Apro LLC
|
|
|
5.84% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/14/26
|
1,320,000
|
1,323,300
|
Blue Nile, Inc.
|
|
|
8.41% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23
|
1,775,000
|
1,273,563
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 19
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Consumer, Cyclical – 9.1% (continued)
|
|
|
Alexander Mann
|
|
|
6.70% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25†††
|
1,300,000
|
$ 1,254,500
|
WESCO
|
|
|
6.36% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24†††,1
|
1,161,618
|
1,157,242
|
SMG US Midco 2, Inc.
|
|
|
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/23/25
|
985,000
|
984,389
|
8.70% (1 Month USD LIBOR + 7.00%, Rate Floor: 7.00%) due 01/23/26
|
125,000
|
125,625
|
Galls LLC
|
|
|
8.09% (2 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/25†††,1
|
863,446
|
856,267
|
8.42% (1 Month USD LIBOR + 6.25% and Commercial Prime Lending
|
|
|
Rate + 5.25%, Rate Floor: 7.25%) due 01/31/24†††,1
|
113,195
|
102,945
|
8.08% (1 Month USD LIBOR + 6.25% and 2 Month USD LIBOR + 6.25%,
|
|
|
Rate Floor: 7.25%) due 01/31/25†††,1
|
95,533
|
94,738
|
Atkins Nutritionals, Inc.
|
|
|
5.73% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/08/24†††
|
1,000,000
|
1,005,000
|
Cast & Crew Payroll LLC
|
|
|
5.71% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/09/26
|
995,000
|
998,114
|
AT Home Holding III
|
|
|
5.43% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/03/22
|
1,098,497
|
988,648
|
Prime Security Services Borrower LLC (ADT)
|
|
|
5.03% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 09/23/26
|
1,000,000
|
988,500
|
Aimbridge Acquisition Co., Inc.
|
|
|
5.46% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/02/26†††
|
747,500
|
751,238
|
Nellson Nutraceutical
|
|
|
6.35% (3 Month USD LIBOR + 4.25% and Commercial Prime Lending
|
|
|
Rate + 3.25%, Rate Floor: 5.25%) due 12/23/21†††
|
818,227
|
736,404
|
Zephyr Bidco Ltd.
|
|
|
8.21% (1 Month GBP LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26
|
GBP 570,000
|
727,615
|
Checkers Drive-In Restaurants, Inc.
|
|
|
6.16% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24
|
1,002,861
|
652,692
|
NES Global Talent
|
|
|
7.43% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23
|
618,987
|
615,892
|
Sotheby’s
|
|
|
7.27% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 01/15/27
|
560,141
|
544,911
|
American Tire Distributors, Inc.
|
|
|
7.72% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23
|
425,232
|
418,216
|
9.20% (1 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24
|
82,865
|
72,299
|
Outcomes Group Holdings, Inc.
|
|
|
5.41% (1 Month USD LIBOR + 3.50% and 3 Month USD LIBOR + 3.50%,
|
|
|
Rate Floor: 3.50%) due 10/24/25
|
498,244
|
490,357
|
Belk, Inc .
|
|
|
8.80% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 07/31/25
|
647,386
|
482,995
|
See notes to financial statements.
20 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Consumer, Cyclical – 9.1% (continued)
|
|
|
Drive Chassis (DCLI)
|
|
|
10.26% (3 Month USD LIBOR + 8.25%, Rate Floor: 8.25%) due 04/10/26†††
|
500,000
|
$ 450,000
|
Leslie’s Poolmart, Inc.
|
|
|
5.34% (2 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/16/23
|
461,279
|
431,296
|
Truck Hero, Inc.
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 04/22/24
|
436,131
|
407,420
|
Mavis Tire Express Services Corp.
|
|
|
4.95% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/20/25
|
272,929
|
257,691
|
Argo Merchants
|
|
|
5.85% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 12/06/24
|
148,896
|
147,034
|
SP PF Buyer LLC
|
|
|
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25
|
150,000
|
135,300
|
Petco Animal Supplies, Inc.
|
|
|
5.18% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 01/26/23
|
98,465
|
77,604
|
Total Consumer, Cyclical
|
|
61,648,089
|
|
Technology – 7.7%
|
|
|
TIBCO Software, Inc.
|
|
|
5.78% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/30/26
|
3,250,000
|
3,258,125
|
Cologix Holdings, Inc.
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 03/20/24
|
3,150,000
|
3,050,586
|
Planview, Inc.
|
|
|
6.95% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 01/27/23†††,1
|
1,955,000
|
1,955,000
|
11.45% (1 Month USD LIBOR + 9.75%, Rate Floor: 10.75%) due 07/27/23†††,1
|
900,000
|
908,865
|
Emerald TopCo, Inc. (Press Ganey)
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26
|
2,300,000
|
2,288,086
|
Datix Bidco Ltd.
|
|
|
6.43% (6 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††,1
|
2,001,644
|
1,986,246
|
9.68% (6 Month USD LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††,1
|
300,111
|
297,551
|
GlobalFoundries, Inc.
|
|
|
5.88% (2 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/05/26
|
2,344,125
|
2,250,360
|
LANDesk Group, Inc.
|
|
|
6.01% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 01/20/24
|
2,216,349
|
2,199,727
|
Ministry Brands LLC
|
|
|
5.86% (2 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 12/02/22†††
|
2,173,665
|
2,162,796
|
II-VI Inc.
|
|
|
5.21% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/24/26
|
2,000,000
|
2,001,260
|
Upland Software, Inc.
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26
|
2,000,000
|
1,993,760
|
Cvent, Inc.
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/29/24
|
1,970,000
|
1,928,137
|
EIG Investors Corp.
|
|
|
5.67% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%,
|
|
|
Rate Floor: 4.75%) due 02/09/23
|
2,006,300
|
1,885,922
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 21
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Technology – 7.7% (continued)
|
|
|
Brave Parent Holdings, Inc.
|
|
|
5.93% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25
|
1,876,250
|
$ 1,805,891
|
Dun & Bradstreet
|
|
|
6.70% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 02/06/26
|
1,750,000
|
1,758,750
|
MRI Software LLC
|
|
|
7.46% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 06/30/23
|
1,685,649
|
1,668,793
|
7.66% (2 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 06/30/23
|
63,803
|
62,905
|
Park Place Technologies LLC
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 03/29/25
|
1,071,485
|
1,057,202
|
9.70% (1 Month USD LIBOR + 8.00%, Rate Floor: 9.00%) due 03/30/26
|
680,723
|
670,512
|
Project Boost Purchaser LLC
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26
|
1,700,000
|
1,683,714
|
Aston FinCo S.A.R.L.
|
|
|
6.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26
|
1,700,000
|
1,683,000
|
Misys Ltd.
|
|
|
5.70% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24
|
1,696,804
|
1,657,573
|
Navicure, Inc.
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26
|
1,541,667
|
1,536,857
|
24-7 Intouch, Inc.
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 08/25/25
|
1,485,000
|
1,425,600
|
Refinitiv (Financial & Risk Us Holdings, Inc.)
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/01/25
|
1,389,500
|
1,397,601
|
Transact Holdings, Inc.
|
|
|
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26†††
|
1,350,000
|
1,316,250
|
Lytx, Inc.
|
|
|
8.45% (1 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 08/31/23†††,1
|
1,136,582
|
1,119,000
|
Optiv, Inc.
|
|
|
4.95% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 02/01/24
|
1,255,059
|
1,027,579
|
Aspect Software, Inc.
|
|
|
7.21% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24
|
1,017,555
|
933,607
|
Greenway Health LLC
|
|
|
5.85% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24
|
984,887
|
861,776
|
Informatica LLC
|
|
|
4.95% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 08/05/22
|
795,938
|
796,224
|
S2P Acquisition Borrower, Inc.
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/14/26
|
680,000
|
676,811
|
Apttus Corp.
|
|
|
4.84% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/02/21†††,1
|
425,000
|
423,660
|
Project Accelerate Parent, LLC
|
|
|
6.01% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 01/02/25
|
234,904
|
232,555
|
Peak 10 Holding Corp.
|
|
|
5.60% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/01/24
|
246,231
|
197,231
|
Ping Identity Corp.
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 01/24/25
|
101,813
|
101,686
|
See notes to financial statements.
22 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Technology – 7.7% (continued)
|
|
|
Targus Group International, Inc.
|
|
|
due 05/24/16*,†††,1,2,11
|
155,450
|
$ –
|
Total Technology
|
|
52,261,198
|
|
Industrial – 7.5%
|
|
|
Alion Science & Technology Corp.
|
|
|
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/19/21
|
3,324,205
|
3,324,205
|
Tronair Parent, Inc.
|
|
|
6.66% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 09/08/23†††
|
3,119,797
|
2,807,817
|
Dynasty Acquisition Co.
|
|
|
6.10% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/06/26
|
2,750,000
|
2,758,167
|
American Bath Group LLC
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 09/29/23
|
2,681,038
|
2,649,214
|
Capstone Logistics
|
|
|
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/07/21
|
2,613,814
|
2,574,607
|
ILPEA Parent, Inc.
|
|
|
6.46% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 03/02/23
|
2,514,976
|
2,489,826
|
WP CPP Holdings LLC
|
|
|
5.68% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%,
|
|
|
Rate Floor: 4.75%) due 04/30/25
|
2,356,200
|
2,322,813
|
Tank Holdings Corp.
|
|
|
6.46% (1 Month USD LIBOR + 4.00% and 12 Month USD LIBOR + 4.00%
|
|
|
and 3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/26/26
|
2,000,000
|
2,000,000
|
STS Operating, Inc. (SunSource)
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24
|
2,053,493
|
1,997,022
|
Sundyne Us Purchaser, Inc.
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/15/26
|
1,888,889
|
1,887,718
|
Foundation Building Materials Holding Company LLC
|
|
|
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 08/13/25
|
1,736,875
|
1,743,388
|
NA Rail Hold Co LLC (Patriot)
|
|
|
7.22% (3 Month USD LIBOR + 5.25%, Rate Floor: 5.25%) due 10/19/26†††
|
1,700,000
|
1,712,750
|
Bioplan / Arcade
|
|
|
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 09/23/21
|
1,853,228
|
1,630,841
|
API Holdings III Corp.
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 05/11/26
|
1,596,000
|
1,544,130
|
Transcendia Holdings, Inc.
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24
|
1,960,088
|
1,398,189
|
Anchor Packaging LLC
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26
|
1,353,846
|
1,331,846
|
National Technical
|
|
|
8.03% (1 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 06/12/21†††,1
|
1,373,523
|
1,328,884
|
Avison Young (Canada), Inc.
|
|
|
6.98% (3 Month USD LIBOR + 5.00% and 2 Month USD LIBOR + 5.00%,
|
|
|
Rate Floor: 5.00%) due 01/31/26
|
1,290,250
|
1,263,374
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 23
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Industrial – 7.5% (continued)
|
|
|
Charter Nex US, Inc.
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 05/16/24
|
1,197,000
|
$ 1,196,749
|
Savage Enterprises LLC
|
|
|
5.77% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/01/25
|
1,063,636
|
1,073,517
|
Diversitech Holdings, Inc.
|
|
|
9.60% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25†††
|
1,000,000
|
970,000
|
5.10% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/03/24
|
99,745
|
97,418
|
Duran, Inc.
|
|
|
6.41% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/20/24
|
548,505
|
537,535
|
6.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/29/24
|
500,285
|
490,279
|
Bhi Investments LLC
|
|
|
10.95% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25†††,1
|
1,000,000
|
987,500
|
Fortis Solutions Group LLC
|
|
|
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 12/15/23†††,1
|
582,944
|
582,944
|
6.27% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 12/15/23†††,1
|
210,494
|
210,494
|
6.25% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 12/15/23†††,1
|
193,249
|
193,249
|
Hillman Group, Inc.
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/30/25
|
989,975
|
941,714
|
ProAmpac PG Borrower LLC
|
|
|
10.40% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/18/24†††
|
1,000,000
|
915,000
|
SLR Consulting Ltd.
|
|
|
5.72% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25†††,1
|
793,980
|
776,901
|
5.71% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25†††,1
|
82,947
|
81,162
|
5.71% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25†††,1
|
GBP 39,120
|
49,503
|
Pelican Products, Inc.
|
|
|
5.27% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25†††
|
987,500
|
901,094
|
YAK MAT (YAK ACCESS LLC)
|
|
|
11.72% (1 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26
|
1,000,000
|
853,750
|
Thermon Group Holdings, Inc.
|
|
|
5.53% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/30/24
|
709,339
|
710,226
|
TricorBraun Holdings, Inc.
|
|
|
5.86% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/30/23
|
598,463
|
587,241
|
BWAY Holding Co.
|
|
|
5.23% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24
|
497,836
|
487,755
|
Dimora Brands, Inc.
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 08/24/24
|
486,563
|
471,358
|
Titan Acquisition Ltd. (Husky)
|
|
|
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25
|
298,737
|
285,500
|
Hayward Industries, Inc.
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/05/24
|
261,866
|
256,956
|
KUEHG Corp. (KinderCare)
|
|
|
5.85% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/21/25
|
99,747
|
98,833
|
Total Industrial
|
|
50,521,469
|
See notes to financial statements.
24 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Consumer, Non-cyclical – 6.1%
|
|
|
WIRB – Copernicus Group, Inc.
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 08/15/22†††
|
3,614,836
|
$ 3,605,799
|
Springs Window Fashions
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/15/25
|
1,786,383
|
1,757,354
|
10.20% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26
|
1,350,000
|
1,272,375
|
Endo Luxembourg Finance Co.
|
|
|
6.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/29/24
|
2,256,197
|
2,074,144
|
Civitas Solutions, Inc.
|
|
|
5.96% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 03/09/26
|
1,990,585
|
1,993,909
|
Immucor, Inc.
|
|
|
7.10% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 06/15/21
|
1,955,000
|
1,942,175
|
PlayPower, Inc.
|
|
|
7.60% (3 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 05/08/26†††
|
1,845,375
|
1,817,694
|
Snacking Investments US LLC (Arnott’s)
|
|
|
due 10/15/26
|
1,700,000
|
1,696,821
|
CPI Holdco LLC
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 11/04/26†††
|
1,700,000
|
1,695,750
|
MDVIP LLC
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/14/24
|
1,706,055
|
1,695,392
|
Arctic Glacier Group Holdings, Inc.
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24
|
1,772,602
|
1,673,638
|
Cambrex Corp.
|
|
|
due 11/20/26
|
1,700,000
|
1,670,250
|
Diamond (BC) B.V.
|
|
|
4.93% (2 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%,
|
|
|
Rate Floor: 3.00%) due 09/06/24
|
1,748,106
|
1,658,079
|
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
|
|
|
6.27% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25
|
1,628,230
|
1,595,665
|
Confluent Health LLC
|
|
|
7.10% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 06/24/26†††
|
1,596,000
|
1,572,060
|
California Cryobank
|
|
|
6.10% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/06/25†††
|
1,436,617
|
1,415,067
|
BCPE Eagle Buyer LLC
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/18/24
|
1,463,970
|
1,376,132
|
Hearthside Group Holdings LLC
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25
|
1,439,125
|
1,341,265
|
Smart Foodservice (Sage Borrowco LLC)
|
|
|
6.44% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/19/26†††
|
1,296,750
|
1,301,613
|
Tecbid US, Inc.
|
|
|
6.35% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 07/25/24†††
|
988,890
|
990,126
|
Affordable Care Holding
|
|
|
6.59% (2 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/24/22†††
|
970,000
|
943,325
|
Sotera Health Holdings LLC
|
|
|
5.43% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/16/22
|
897,750
|
894,006
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 25
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Consumer, Non-cyclical – 6.1% (continued)
|
|
|
Packaging Coordinators Midco, Inc.
|
|
|
6.11% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 06/30/23
|
828,300
|
$ 821,052
|
Give and Go Prepared Foods Corp.
|
|
|
6.35% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 07/29/23
|
823,200
|
773,808
|
CTI Foods Holding Co. LLC
|
|
|
8.91% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 05/03/24†††
|
467,357
|
469,694
|
10.91% (3 Month USD LIBOR + 9.00%, Rate Floor: 10.00%) due 05/03/24†††
|
190,424
|
178,999
|
Certara, Inc.
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/15/24
|
613,005
|
603,810
|
Hoffmaster Group, Inc.
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/21/23†††
|
438,775
|
429,999
|
Moran Foods LLC
|
|
|
due 12/05/2311
|
1,191,324
|
422,920
|
Kar Nut Products Company
|
|
|
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 03/31/23†††,1
|
373,023
|
370,431
|
Recess Holdings, Inc.
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24
|
299,237
|
294,748
|
Sierra Acquisition, Inc.
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/11/24
|
297,733
|
294,011
|
Affordable Care Holdings Corp.
|
|
|
6.59% (2 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/24/22†††
|
240,567
|
233,951
|
Sterigenics-Norion Holdings
|
|
|
4.93% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 05/15/22
|
224,425
|
222,928
|
Examworks Group, Inc.
|
|
|
4.95% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/27/23
|
99,489
|
99,862
|
Total Consumer, Non-cyclical
|
|
41,198,852
|
|
Basic Materials – 3.1%
|
|
|
ICP Industrial, Inc.
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/03/23†††
|
2,460,415
|
2,448,113
|
American Rock Salt Company LLC
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/21/25
|
1,906,739
|
1,909,122
|
PetroChoice Holdings
|
|
|
6.93% (2 Month USD LIBOR + 5.00% and 3 Month USD LIBOR + 5.00%,
|
|
|
Rate Floor: 6.00%) due 08/19/22
|
2,024,474
|
1,862,516
|
PeroxyChem Holdings LP
|
|
|
7.06% (6 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 10/01/24†††
|
1,700,000
|
1,693,625
|
GrafTech Finance, Inc.
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 02/12/25
|
1,664,194
|
1,622,590
|
Niacet Corp.
|
|
|
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 02/01/24†††
|
1,609,644
|
1,601,596
|
Big River Steel LLC
|
|
|
7.10% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 08/23/23
|
1,532,025
|
1,513,840
|
DCG Acquisition Corp.
|
|
|
6.51% (3 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26
|
1,506,667
|
1,491,600
|
See notes to financial statements.
26 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Basic Materials – 3.1% (continued)
|
|
|
Pregis TopCo Corp.
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/31/26
|
1,450,000
|
$ 1,419,187
|
Ascend Performance Materials Operations LLC
|
|
|
7.35% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 08/27/26
|
1,000,000
|
1,000,000
|
US Salt LLC
|
|
|
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 01/16/26
|
995,000
|
996,244
|
LTI Holdings, Inc.
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/06/25
|
990,000
|
842,203
|
Niacet B.V.
|
|
|
5.50% (1 Month EURIBOR + 4.50%, Rate Floor: 5.50%) due 02/01/24
|
EUR 757,480
|
830,515
|
Vectra Co.
|
|
|
4.95% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/08/25
|
547,859
|
536,732
|
ASP Chromaflo Dutch I B.V.
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/20/23
|
449,961
|
442,649
|
ASP Chromaflo Intermediate Holdings, Inc.
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/20/23
|
346,039
|
340,416
|
Noranda Aluminum Acquisition Corp.
|
|
|
8.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.75%) due 02/28/19†††,11
|
517,932
|
25,897
|
Total Basic Materials
|
|
20,576,845
|
|
Financial – 2.7%
|
|
|
Nexus Buyer LLC
|
|
|
5.51% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26
|
1,700,000
|
1,708,500
|
National Financial Partners Corp.
|
|
|
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/08/24
|
1,699,232
|
1,677,992
|
Teneo Holdings LLC
|
|
|
7.02% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 07/11/25
|
1,750,000
|
1,627,500
|
Virtu Financial, Inc.
|
|
|
6.04% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/01/26
|
1,608,228
|
1,605,220
|
Aretec Group, Inc.
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25
|
1,687,250
|
1,589,390
|
Jefferies Finance LLC
|
|
|
5.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/03/26
|
1,546,125
|
1,529,380
|
Claros Mortgage Trust, Inc.
|
|
|
5.01% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 08/10/26
|
1,500,000
|
1,500,000
|
StepStone Group LP
|
|
|
5.84% (2 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 03/27/25†††
|
1,477,500
|
1,470,113
|
Situs AMC Holdings Corp.
|
|
|
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/28/25†††
|
1,466,595
|
1,444,596
|
Alliant Holdings Intermediate LLC
|
|
|
5.02% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25
|
997,500
|
991,764
|
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/09/25
|
198,992
|
196,754
|
HUB International Ltd.
|
|
|
5.90% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 04/25/25
|
1,000,000
|
1,002,040
|
4.69% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25
|
99,747
|
98,305
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 27
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Financial – 2.7% (continued)
|
|
|
USI, Inc.
|
|
|
due 12/02/26
|
600,000
|
$ 598,998
|
5.10% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24
|
248,731
|
245,363
|
Jane Street Group LLC
|
|
|
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 08/25/22
|
497,487
|
494,169
|
Northstar Financial Services LLC
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/26/25
|
392,341
|
382,858
|
Assetmark Financial Holdings, Inc.
|
|
|
5.35% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 11/14/25
|
358,875
|
360,669
|
Total Financial
|
|
18,523,611
|
|
Communications – 2.7%
|
|
|
Trader Interactive
|
|
|
8.20% (1 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/17/24†††,1
|
2,711,211
|
2,680,679
|
Conterra Ultra Broadband Holdings, Inc.
|
|
|
6.21% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/30/26
|
1,995,000
|
1,990,013
|
Market Track LLC
|
|
|
6.18% (2 Month USD LIBOR + 4.25% and 3 Month USD LIBOR + 4.25%,
|
|
|
Rate Floor: 5.25%) due 06/05/24†††
|
2,101,625
|
1,870,446
|
Flight Bidco, Inc.
|
|
|
9.20% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26
|
1,300,000
|
1,283,750
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25
|
447,739
|
443,821
|
STV Group, Inc.
|
|
|
due 11/22/26
|
1,700,000
|
1,687,250
|
ProQuest, LLC
|
|
|
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/23/26
|
1,650,000
|
1,654,125
|
Liberty Cablevision Of Puerto Rico LLC
|
|
|
6.77% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 10/15/26
|
1,200,000
|
1,209,300
|
Resource Label Group LLC
|
|
|
6.60% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 05/26/23
|
1,322,865
|
1,177,350
|
Internet Brands, Inc.
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24
|
1,047,140
|
1,043,213
|
SFR Group S.A.
|
|
|
5.77% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/14/26
|
997,481
|
989,062
|
Imagine Print Solutions LLC
|
|
|
6.46% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/21/22
|
1,950,000
|
776,743
|
Houghton Mifflin Co.
|
|
|
due 11/22/24
|
700,000
|
675,500
|
Mcgraw-Hill Global Education Holdings LLC
|
|
|
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/04/22
|
483,281
|
440,255
|
Cengage Learning Acquisitions, Inc.
|
|
|
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23
|
188,446
|
172,087
|
Total Communications
|
|
18,093,594
|
See notes to financial statements.
28 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued)
|
|
|
Utilities – 1.5%
|
|
|
Oregon Clean Energy LLC
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/02/26
|
2,462,173
|
$ 2,459,095
|
Panda Power
|
|
|
8.60% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 08/21/20
|
2,350,698
|
1,899,035
|
UGI Energy Services, Inc.
|
|
|
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/13/26
|
1,645,875
|
1,651,027
|
Franklin Energy (KAMC Holdings, Inc.)
|
|
|
5.91% (2 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%,
|
|
|
Rate Floor: 4.00%) due 08/14/26†††
|
1,650,000
|
1,645,875
|
Carroll County Energy LLC
|
|
|
5.60% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/16/26
|
1,544,683
|
1,544,683
|
EIF Channelview Cogeneration LLC
|
|
|
5.96% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 05/03/25
|
865,904
|
870,450
|
Total Utilities
|
|
10,070,165
|
|
Energy – 0.6%
|
|
|
SeaPort Financing LLC
|
|
|
7.21% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/31/25†††
|
1,488,750
|
1,458,975
|
Summit Midstream Partners, LP
|
|
|
7.70% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 05/13/22
|
1,122,648
|
1,081,481
|
Permian Production Partners LLC
|
|
|
10.90% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 05/20/24†††,11
|
1,805,000
|
902,500
|
Gavilan Resources LLC
|
|
|
7.70% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 03/01/24
|
990,000
|
346,500
|
Total Energy
|
|
3,789,456
|
Total Senior Floating Rate Interests
|
|
|
(Cost $286,776,449)
|
|
276,683,279
|
|
ASSET-BACKED SECURITIES†† – 17.4%
|
|
|
Collateralized Loan Obligations – 10.7%
|
|
|
Golub Capital Partners CLO Ltd.
|
|
|
2018-36A, 3.99% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/316,7
|
5,000,000
|
4,619,232
|
2018-39A, 4.17% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 10/20/286,7
|
2,500,000
|
2,438,119
|
2018-25A, 3.79% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 05/05/306,7
|
2,500,000
|
2,427,193
|
2017-16A, 4.94% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 07/25/296,7
|
1,500,000
|
1,458,314
|
Diamond CLO Ltd.
|
|
|
2018-1A, 5.65% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/306,7
|
3,000,000
|
2,925,603
|
2018-1A, 4.55% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/306,7
|
2,500,000
|
2,432,110
|
Mountain Hawk II CLO Ltd.
|
|
|
2018-2A, 4.32% (3 Month USD LIBOR + 2.35%, Rate Floor: 0.00%) due 07/20/246,7
|
3,000,000
|
2,986,904
|
2013-2A, 5.12% (3 Month USD LIBOR + 3.15%, Rate Floor: 0.00%) due 07/22/246,7
|
1,750,000
|
1,744,429
|
Fortress Credit Opportunities IX CLO Ltd.
|
|
|
2017-9A, 4.56% (3 Month USD LIBOR + 2.65%, Rate Floor: 0.00%) due 11/15/296,7
|
4,000,000
|
3,868,256
|
Marathon CRE Ltd.
|
|
|
2018-FL1, 4.77% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/15/286,7
|
3,000,000
|
2,999,991
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 29
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
ASSET-BACKED SECURITIES†† – 17.4% (continued)
|
|
|
Collateralized Loan Obligations – 10.7% (continued)
|
|
|
FDF I Ltd.
|
|
|
2015-1A, 6.88% due 11/12/306
|
2,000,000
|
$ 1,995,711
|
2015-1A, 7.50% due 11/12/308
|
1,000,000
|
989,247
|
FDF II Ltd.
|
|
|
2016-2A, 7.70% due 05/12/318
|
3,000,000
|
2,974,679
|
Dryden 50 Senior Loan Fund
|
|
|
2017-50A, due 07/15/308,9
|
3,555,000
|
2,441,887
|
Denali Capital CLO XI Ltd.
|
|
|
2018-1A, 4.12% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/286,7
|
2,400,000
|
2,341,290
|
Newstar Commercial Loan Funding LLC
|
|
|
2017-1A, 7.26% (3 Month USD LIBOR + 5.10%, Rate Floor: 0.00%) due 03/20/276,7
|
2,000,000
|
2,001,327
|
2017-1A, 5.66% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/276,7
|
250,000
|
250,142
|
Hull Street CLO Ltd.
|
|
|
2017-1A, 4.70% (3 Month USD LIBOR + 2.70%, Rate Floor: 0.00%) due 10/18/266,7
|
2,200,000
|
2,200,623
|
Avery Point VI CLO Ltd.
|
|
|
2018-6A, 3.89% (3 Month USD LIBOR + 2.00%, Rate Floor: 0.00%) due 08/05/276,7
|
2,000,000
|
1,958,290
|
MP CLO VIII Ltd.
|
|
|
2018-2A, 3.84% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 10/28/276,7
|
2,000,000
|
1,939,620
|
DRSLF
|
|
|
due 01/15/319
|
2,998,799
|
1,855,696
|
Exantas Capital Corporation Ltd.
|
|
|
2018-RSO6, 4.26% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 06/15/356,7
|
1,800,000
|
1,802,243
|
Atlas Senior Loan Fund IX Ltd.
|
|
|
2018-9A, due 04/20/288,9,17
|
2,600,000
|
1,118,445
|
2018-9A, 3.77% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/286,7
|
700,000
|
674,370
|
Hunt CRE Ltd.
|
|
|
2017-FL1, 5.07% (1 Month USD LIBOR + 3.30%, Rate Floor: 0.00%) due 08/15/346,7
|
1,800,000
|
1,791,045
|
Cent CLO 19 Ltd.
|
|
|
2013-19A, 5.23% (3 Month USD LIBOR + 3.30%, Rate Floor: 0.00%) due 10/29/256,7
|
1,750,000
|
1,742,576
|
Avery Point II CLO Ltd.
|
|
|
2013-3X COM, due 01/18/259
|
2,399,940
|
1,728,506
|
Monroe Capital CLO Ltd.
|
|
|
2017-1A, 5.55% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/266,7
|
1,750,000
|
1,706,484
|
OHA Credit Partners IX Ltd.
|
|
|
2013-9A, due 10/20/256,9
|
2,000,000
|
1,683,845
|
Treman Park CLO Ltd.
|
|
|
2015-1A, due 10/20/286,9
|
2,000,000
|
1,618,727
|
NewStar Clarendon Fund CLO LLC
|
|
|
2015-1A, 6.29% (3 Month USD LIBOR + 4.35%, Rate Floor: 0.00%) due 01/25/276,7
|
1,000,000
|
1,000,127
|
2019-1A, 4.99% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/276,7
|
550,000
|
549,281
|
Carlyle Global Market Strategies CLO Ltd.
|
|
|
2012-3A, due 01/14/328,9
|
2,600,000
|
1,286,537
|
Voya CLO Ltd.
|
|
|
2013-1A, due 10/15/308,9
|
3,000,000
|
1,259,499
|
See notes to financial statements.
30 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
ASSET-BACKED SECURITIES†† – 17.4% (continued)
|
|
|
Collateralized Loan Obligations – 10.7% (continued)
|
|
|
Jackson Mill CLO Ltd.
|
|
|
2018-1A, 3.85% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/276,7
|
1,000,000
|
$ 986,203
|
KVK CLO Ltd.
|
|
|
2013-1A, due 01/14/288,9,17
|
2,300,000
|
713,389
|
Dryden 41 Senior Loan Fund
|
|
|
2015-41A, due 04/15/318,9
|
1,250,000
|
706,816
|
Great Lakes CLO Ltd.
|
|
|
2014-1A, due 10/15/296,9
|
1,153,846
|
687,049
|
Dryden 37 Senior Loan Fund
|
|
|
2015-37A, due 01/15/318,9
|
1,050,000
|
649,754
|
Venture XIII CLO Ltd.
|
|
|
2013-13A, due 09/10/298,9
|
1,500,000
|
504,949
|
Babson CLO Ltd.
|
|
|
2014-IA, due 07/20/258,9
|
3,000,000
|
433,242
|
Marathon CLO V Ltd.
|
|
|
2013-5A, due 11/21/278,9
|
3,566,667
|
349,177
|
A10 Permanent Asset Financing LLC
|
|
|
2017-II, 6.24% (WAC) due 06/15/51†††,1,6,7
|
250,000
|
267,747
|
West CLO Ltd.
|
|
|
2013-1A, due 11/07/258,9
|
1,350,000
|
200,343
|
Total Collateralized Loan Obligations
|
|
72,309,017
|
|
Transport-Aircraft – 3.8%
|
|
|
Apollo Aviation Securitization Equity Trust
|
|
|
2019-2, 4.46% due 10/16/396
|
3,972,400
|
3,953,398
|
2019-1, 4.95% due 05/15/396
|
1,909,000
|
1,909,354
|
2018-1A, 5.44% due 01/16/386
|
2,278,544
|
2,322,486
|
2017-1A, 5.93% due 05/16/426
|
1,839,677
|
1,895,620
|
2016-2, 7.87% due 11/15/41
|
869,902
|
870,670
|
2016-2, 5.93% due 11/15/41
|
512,841
|
521,420
|
AIM Aviation Finance Ltd.
|
|
|
2015-1A, 5.07% due 02/15/406
|
3,598,126
|
3,595,703
|
AASET US Ltd.
|
|
|
2018-2A, 5.43% due 11/18/386
|
2,729,297
|
2,771,319
|
Willis Engine Securitization Trust II
|
|
|
2012-A, 5.50% due 09/15/376,10
|
1,995,978
|
2,058,491
|
KDAC Aviation Finance Ltd.
|
|
|
2017-1A, 4.21% due 12/15/426
|
1,599,061
|
1,624,801
|
Falcon Aerospace Limited
|
|
|
2017-1, 6.30% due 02/15/426
|
1,562,427
|
1,581,727
|
Stripes Aircraft Ltd.
|
|
|
2013-1 A1, 5.22% due 03/20/23†††
|
999,747
|
987,516
|
Castlelake Aircraft Securitization Trust
|
|
|
due 12/31/30†††,1,12
|
3,054,105
|
882,010
|
Turbine Engines Securitization Ltd.
|
|
|
2013-1A, 6.38% due 12/13/488
|
456,880
|
404,367
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 31
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
ASSET-BACKED SECURITIES†† – 17.4% (continued)
|
|
|
Transport-Aircraft – 3.8% (continued)
|
|
|
Airplanes Pass Through Trust
|
|
|
2001-1A, 2.88% (1 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 03/15/19†††,7,8,11
|
6,677,317
|
$ 106,420
|
Total Transport-Aircraft
|
|
25,485,302
|
|
Financial – 0.9%
|
|
|
Madison Avenue Secured Funding Trust
|
|
|
2019-1, 3.30% (1 Month USD LIBOR + 1.50%,
|
|
|
Rate Floor: 1.50%) due 11/11/20†††,6,7
|
3,300,000
|
3,300,000
|
Nassau LLC
|
|
|
2019-1, 3.98% due 08/15/346
|
2,103,504
|
2,087,845
|
NCBJ
|
|
|
2015-1A, 5.88% due 07/08/22†††,1
|
878,774
|
911,182
|
Total Financial
|
|
6,299,027
|
|
Whole Business – 0.9%
|
|
|
TSGE
|
|
|
2017-1, 6.25% due 09/25/31†††,1
|
5,000,000
|
5,174,539
|
Wingstop Funding LLC
|
|
|
2018-1, 4.97% due 12/05/486
|
995,000
|
1,016,572
|
Total Whole Business
|
|
6,191,111
|
|
Insurance – 0.3%
|
|
|
LTCG Securitization Issuer LLC
|
|
|
2018-A, 4.59% due 06/15/486
|
1,939,428
|
1,956,347
|
CBC Insurance Revenue Securitization LLC
|
|
|
2016-1, 5.25% due 07/15/468
|
340,552
|
347,647
|
Total Insurance
|
|
2,303,994
|
|
Infrastructure – 0.3%
|
|
|
Secured Tenant Site Contract Revenue Notes Series
|
|
|
2018-1A, 5.92% due 06/15/486
|
1,953,683
|
1,944,709
|
|
Diversified Payment Rights – 0.2%
|
|
|
Bib Merchant Voucher Receivables Ltd.
|
|
|
4.18% due 04/07/28†††,1
|
1,100,000
|
1,146,602
|
|
Collateralized Debt Obligations – 0.2%
|
|
|
Anchorage Credit Funding 4 Ltd.
|
|
|
2016-4A, 5.50% due 02/15/356
|
1,000,000
|
1,006,933
|
Highland Park CDO I Ltd.
|
|
|
2006-1A, 3.05% (3 Month USD LIBOR + 0.40%, Rate Floor: 0.00%) due 11/25/517,8,17
|
135,089
|
133,869
|
Total Collateralized Debt Obligations
|
|
1,140,802
|
|
Transport-Container – 0.1%
|
|
|
Global SC Finance II SRL
|
|
|
2013-1A, 2.98% due 04/17/286
|
683,333
|
683,464
|
See notes to financial statements.
32 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
ASSET-BACKED SECURITIES†† – 17.4% (continued)
|
|
|
Transport-Rail – 0.0%
|
|
|
Trinity Rail Leasing, LP
|
|
|
2009-1A, 6.66% due 11/16/396
|
151,916
|
$ 174,971
|
Total Asset-Backed Securities
|
|
|
(Cost $127,233,459)
|
|
117,678,999
|
|
CORPORATE BONDS†† – 17.2%
|
|
|
Financial – 7.1%
|
|
|
Morgan Stanley Finance LLC
|
|
|
1.50% due 10/23/29†††,4
|
13,500,000
|
13,122,975
|
Bank of America Corp.
|
|
|
6.50%3,4
|
2,000,000
|
2,265,000
|
6.30%3,4
|
1,000,000
|
1,145,000
|
QBE Insurance Group Ltd.
|
|
|
7.50% due 11/24/434,6
|
3,000,000
|
3,345,000
|
American Equity Investment Life Holding Co.
|
|
|
5.00% due 06/15/27
|
2,950,000
|
3,152,420
|
BBC Military Housing-Navy Northeast LLC
|
|
|
6.30% due 10/15/4917
|
2,800,000
|
3,104,773
|
Citizens Financial Group, Inc.
|
|
|
5.50%3,4
|
2,500,000
|
2,515,625
|
Macquarie Group Ltd.
|
|
|
5.03% due 01/15/304,6
|
2,000,000
|
2,282,943
|
Fort Knox Military Housing Privatization Project
|
|
|
5.82% due 02/15/526
|
1,918,382
|
2,174,309
|
Assurant, Inc.
|
|
|
4.90% due 03/27/28
|
1,950,000
|
2,145,927
|
CNB Financial Corp.
|
|
|
5.75% due 10/15/264,8
|
2,000,000
|
2,038,855
|
Atlas Mara Ltd.
|
|
|
8.00% due 12/31/208
|
2,200,000
|
1,947,000
|
Hunt Companies, Inc.
|
|
|
6.25% due 02/15/266
|
1,675,000
|
1,658,250
|
Springleaf Finance Corp.
|
|
|
6.13% due 03/15/24
|
1,500,000
|
1,642,515
|
Newmark Group, Inc.
|
|
|
6.13% due 11/15/23
|
1,450,000
|
1,593,825
|
Jefferies Finance LLC / JFIN Company-Issuer Corp.
|
|
|
7.25% due 08/15/246
|
1,500,000
|
1,530,000
|
Fort Benning Family Communities LLC
|
|
|
6.09% due 01/15/516
|
725,545
|
860,360
|
Pacific Beacon LLC
|
|
|
5.63% due 07/15/516,17
|
692,989
|
753,328
|
Fort Gordon Housing LLC
|
|
|
6.32% due 05/15/516
|
200,000
|
239,457
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 33
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
CORPORATE BONDS†† – 17.2% (continued)
|
|
|
Financial – 7.1% (continued)
|
|
|
USI, Inc.
|
|
|
6.88% due 05/01/256
|
150,000
|
$ 150,750
|
Oxford Finance LLC / Oxford Finance Company-Issuer II, Inc.
|
|
|
6.38% due 12/15/226
|
100,000
|
103,240
|
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.
|
|
|
5.88% due 02/01/22
|
50,000
|
50,286
|
Total Financial
|
|
47,821,838
|
|
Energy – 2.1%
|
|
|
Hess Corp.
|
|
|
5.60% due 02/15/41
|
1,550,000
|
1,766,801
|
6.00% due 01/15/40
|
1,000,000
|
1,155,619
|
7.13% due 03/15/33
|
500,000
|
627,474
|
Global Partners Limited Partnership / GLP Finance Corp.
|
|
|
7.00% due 08/01/276
|
1,625,000
|
1,698,507
|
Indigo Natural Resources LLC
|
|
|
6.88% due 02/15/266
|
1,750,000
|
1,588,125
|
Husky Energy, Inc.
|
|
|
4.00% due 04/15/24
|
900,000
|
943,347
|
3.95% due 04/15/22
|
600,000
|
619,173
|
Antero Resources Corp.
|
|
|
5.63% due 06/01/23
|
1,200,000
|
849,000
|
5.13% due 12/01/22
|
370,000
|
300,625
|
5.38% due 11/01/21
|
230,000
|
212,462
|
Sunoco Logistics Partners Operations, LP
|
|
|
4.25% due 04/01/24
|
1,000,000
|
1,043,161
|
American Midstream Partners Limited Partnership / American Midstream Finance Corp.
|
|
|
9.50% due 12/15/216
|
895,000
|
841,300
|
Buckeye Partners, LP
|
|
|
4.35% due 10/15/24
|
750,000
|
745,421
|
Bruin E&P Partners LLC
|
|
|
8.88% due 08/01/238
|
990,000
|
633,600
|
Basic Energy Services, Inc.
|
|
|
10.75% due 10/15/238
|
500,000
|
357,500
|
Unit Corp.
|
|
|
6.63% due 05/15/21
|
343,000
|
176,645
|
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
|
|
|
5.50% due 08/15/22
|
200,000
|
173,000
|
FLNG Liquefaction 2 LLC
|
|
|
4.13% due 03/31/388
|
123,288
|
116,326
|
Schahin II Finance Co. SPV Ltd.
|
|
|
5.88% due 09/25/226,11
|
1,216,133
|
91,210
|
Total Energy
|
|
13,939,296
|
See notes to financial statements.
34 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
CORPORATE BONDS†† – 17.2% (continued)
|
|
|
Industrial – 1.9%
|
|
|
Encore Capital Group, Inc.
|
|
|
5.63% due 08/11/24†††
|
3,800,000
|
$ 3,803,158
|
Great Lakes Dredge & Dock Corp.
|
|
|
8.00% due 05/15/22
|
1,776,000
|
1,884,915
|
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC /
|
|
|
Reynolds Group Issuer Luxembourg
|
|
|
5.50% (3 Month USD LIBOR + 3.50%) due 07/15/216,7
|
1,225,000
|
1,228,062
|
5.75% due 10/15/20
|
436,098
|
436,622
|
Intertape Polymer Group, Inc.
|
|
|
7.00% due 10/15/266
|
1,450,000
|
1,508,000
|
Princess Juliana International Airport Operating Company N.V.
|
|
|
5.50% due 12/20/278
|
1,459,483
|
1,402,855
|
Grinding Media Inc. / MC Grinding Media Canada Inc.
|
|
|
7.38% due 12/15/236
|
1,280,000
|
1,277,530
|
Cleaver-Brooks, Inc.
|
|
|
7.88% due 03/01/236
|
950,000
|
908,438
|
Standard Industries, Inc.
|
|
|
5.38% due 11/15/246
|
400,000
|
411,500
|
Glenn Pool Oil & Gas Trust
|
|
|
6.00% due 08/02/21†††
|
338,117
|
334,958
|
Total Industrial
|
|
13,196,038
|
|
Consumer, Cyclical – 1.8%
|
|
|
HP Communities LLC
|
|
|
6.16% due 09/15/536,17
|
1,000,000
|
1,263,371
|
6.82% due 09/15/536,17
|
956,522
|
1,147,556
|
Williams Scotsman International, Inc.
|
|
|
6.88% due 08/15/236
|
1,650,000
|
1,733,605
|
Sabre GLBL, Inc.
|
|
|
5.38% due 04/15/236
|
1,000,000
|
1,025,000
|
5.25% due 11/15/236
|
625,000
|
640,625
|
Exide Technologies
|
|
|
11.00% due 10/31/24†††,8,17
|
2,591,725
|
1,661,975
|
LBC Tank Terminals Holding Netherlands BV
|
|
|
6.88% due 05/15/236
|
1,575,000
|
1,587,474
|
JB Poindexter & Company, Inc.
|
|
|
7.13% due 04/15/266
|
1,100,000
|
1,147,300
|
Exide International Holdings, LP
|
|
|
10.75% (in-kind rate was 4.50%) due 10/31/21†††,8,16
|
744,491
|
710,989
|
Party City Holdings, Inc.
|
|
|
6.63% due 08/01/266
|
875,000
|
525,000
|
Reliance Intermediate Holdings, LP
|
|
|
6.50% due 04/01/236
|
400,000
|
412,000
|
Total Consumer, Cyclical
|
|
11,854,895
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 35
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
CORPORATE BONDS†† – 17.2% (continued)
|
|
|
Consumer, Non-cyclical – 1.7%
|
|
|
Nathan’s Famous, Inc.
|
|
|
6.63% due 11/01/256
|
2,050,000
|
$ 2,070,500
|
Nielsen Finance LLC / Nielsen Finance Co.
|
|
|
5.00% due 04/15/226
|
1,650,000
|
1,660,313
|
Sotheby’s
|
|
|
7.38% due 10/15/276
|
1,700,000
|
1,659,625
|
Vector Group Ltd.
|
|
|
6.13% due 02/01/256
|
1,725,000
|
1,649,531
|
Flexi-Van Leasing, Inc.
|
|
|
10.00% due 02/15/236
|
1,133,000
|
1,079,182
|
Acadia Healthcare Company, Inc.
|
|
|
5.63% due 02/15/23
|
600,000
|
611,250
|
KeHE Distributors LLC / KeHE Finance Corp.
|
|
|
8.63% due 10/15/266
|
550,000
|
572,000
|
Endo Finance LLC / Endo Finco, Inc.
|
|
|
7.25% due 01/15/226
|
800,000
|
560,000
|
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
|
|
|
7.88% due 10/01/226
|
600,000
|
513,000
|
Avanos Medical, Inc.
|
|
|
6.25% due 10/15/22
|
500,000
|
509,375
|
Beverages & More, Inc.
|
|
|
11.50% due 06/15/228
|
650,000
|
409,500
|
Endo Dac / Endo Finance LLC / Endo Finco, Inc.
|
|
|
6.00% due 07/15/236
|
200,000
|
130,000
|
Carriage Services, Inc.
|
|
|
6.63% due 06/01/266
|
100,000
|
104,750
|
Total Consumer, Non-cyclical
|
|
11,529,026
|
|
Basic Materials – 1.2%
|
|
|
BHP Billiton Finance USA Ltd.
|
|
|
6.75% due 10/19/754,6
|
2,450,000
|
2,870,298
|
Yamana Gold, Inc.
|
|
|
4.95% due 07/15/24
|
2,560,000
|
2,683,122
|
Neon Holdings, Inc.
|
|
|
10.13% due 04/01/266
|
1,625,000
|
1,637,187
|
Kaiser Aluminum Corp.
|
|
|
5.88% due 05/15/24
|
1,100,000
|
1,144,000
|
Mirabela Nickel Ltd.
|
|
|
due 06/24/198,11
|
1,388,176
|
69,409
|
Total Basic Materials
|
|
8,404,016
|
|
Communications – 1.0%
|
|
|
Cengage Learning, Inc.
|
|
|
9.50% due 06/15/246
|
1,851,000
|
1,567,186
|
See notes to financial statements.
36 l GOF l GUGGENHIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
CORPORATE BONDS†† – 17.2% (continued)
|
|
|
Communications – 1.0% (continued)
|
|
|
Altice France S.A.
|
|
|
7.38% due 05/01/266
|
1,060,000
|
$ 1,131,550
|
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
|
|
|
7.88% due 05/15/246
|
1,346,000
|
1,117,180
|
EIG Investors Corp.
|
|
|
10.88% due 02/01/24
|
863,000
|
847,898
|
MDC Partners, Inc.
|
|
|
6.50% due 05/01/246
|
905,000
|
823,550
|
Houghton Mifflin Harcourt Publishers, Inc.
|
|
|
9.00% due 02/15/256
|
700,000
|
668,640
|
LCPR Senior Secured Financing DAC
|
|
|
6.75% due 10/15/276
|
500,000
|
515,625
|
Total Communications
|
|
6,671,629
|
|
Utilities – 0.4%
|
|
|
Terraform Global Operating LLC
|
|
|
6.13% due 03/01/266
|
1,630,000
|
1,695,200
|
Petershill II Senior Secured Notes
|
|
|
5.00% due 12/02/39†††
|
1,000,000
|
989,749
|
Total Utilities
|
|
2,684,949
|
|
Technology – 0.0%
|
|
|
NCR Corp.
|
|
|
6.38% due 12/15/23
|
200,000
|
204,830
|
Total Corporate Bonds
|
|
|
(Cost $116,552,438)
|
|
116,306,517
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 11.2%
|
|
|
Residential Mortgage Backed Securities – 9.7%
|
|
|
Lehman XS Trust Series
|
|
|
2006-18N, 1.89% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 12/25/367
|
4,871,814
|
4,634,536
|
2006-16N, 1.92% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 11/25/467
|
1,957,870
|
1,878,860
|
WaMu Asset-Backed Certificates WaMu Series
|
|
|
2007-HE4, 1.88% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/477
|
2,254,461
|
1,748,018
|
2007-HE2, 1.96% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 04/25/377
|
3,271,738
|
1,714,636
|
2007-HE2, 2.07% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/377
|
2,093,912
|
1,118,539
|
2007-HE4, 1.96% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/477
|
1,310,200
|
912,600
|
2007-HE2, 1.90% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/377
|
1,701,304
|
882,075
|
LSTAR Securities Investment Limited
|
|
|
2019-5, 3.20% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 11/01/246,7
|
5,000,000
|
4,991,685
|
ACE Securities Corporation Home Equity Loan Trust Series
|
|
|
2005-HE2, 2.73% (1 Month USD LIBOR + 1.02%, Rate Floor: 0.68%) due 04/25/357
|
2,000,000
|
2,006,227
|
2007-HE1, 1.86% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/377
|
2,909,577
|
1,896,445
|
2007-ASP1, 1.91% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/377
|
1,574,512
|
972,336
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 37
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 11.2% (continued)
|
|
|
Residential Mortgage Backed Securities – 9.7% (continued)
|
|
|
Ameriquest Mortgage Securities Trust
|
|
|
2006-M3, 1.88% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/367
|
4,502,827
|
$ 3,172,537
|
2006-M3, 1.81% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/367
|
2,262,838
|
1,059,435
|
GSAA Home Equity Trust
|
|
|
2006-16, 1.88% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 10/25/367
|
4,901,850
|
2,189,233
|
2006-12, 1.86% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 08/25/367
|
3,408,160
|
2,039,757
|
Morgan Stanley ABS Capital I Incorporated Trust
|
|
|
2006-HE8, 1.93% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/367
|
3,462,695
|
2,214,058
|
2007-HE4, 1.94% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/377
|
3,681,822
|
1,678,037
|
RALI Series Trust
|
|
|
2006-QO6, 1.89% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/467
|
6,609,247
|
2,553,123
|
2006-QO6, 1.94% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 06/25/467
|
2,091,048
|
832,947
|
LSTAR Securities Investment Trust
|
|
|
2019-1, 3.41% (1 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 03/01/246,7
|
3,238,497
|
3,240,116
|
Long Beach Mortgage Loan Trust
|
|
|
2006-8, 1.80% (1 Month USD LIBOR + 0.09%, Rate Floor: 0.09%) due 09/25/367
|
4,661,538
|
1,858,096
|
2006-1, 1.90% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 02/25/367
|
1,400,905
|
1,242,373
|
Morgan Stanley IXIS Real Estate Capital Trust
|
|
|
2006-2, 1.93% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/367
|
3,208,716
|
1,594,928
|
2006-2, 1.86% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/367
|
2,117,753
|
1,042,110
|
Home Equity Mortgage Loan Asset-Backed Trust Series INABS
|
|
|
2006-E, 1.92% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 04/25/377
|
3,274,630
|
2,424,458
|
American Home Mortgage Assets Trust
|
|
|
2006-6, 1.92% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/467
|
2,546,996
|
2,213,003
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
2007-AMC3, 2.06% (1 Month USD LIBOR + 0.35%, Rate Floor: 0.35%) due 03/25/377
|
2,382,793
|
2,090,739
|
JP Morgan Mortgage Acquisition Trust
|
|
|
2006-WMC3, 1.95% (1 Month USD LIBOR + 0.24%,
|
|
|
Rate Floor: 0.24%) due 08/25/367
|
2,719,454
|
2,047,230
|
Master Asset Backed Securities Trust
|
|
|
2006-WMC3, 1.87% (1 Month USD LIBOR + 0.16%,
|
|
|
Rate Floor: 0.16%) due 08/25/367
|
3,770,353
|
1,760,108
|
IXIS Real Estate Capital Trust
|
|
|
2007-HE1, 1.82% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/377
|
2,540,944
|
862,023
|
2007-HE1, 1.77% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/377
|
2,555,858
|
859,764
|
Morgan Stanley Mortgage Loan Trust
|
|
|
2006-9AR, 1.86% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 08/25/367
|
3,703,334
|
1,644,309
|
First NLC Trust
|
|
|
2007-1, 1.99% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/376,7
|
1,532,072
|
994,724
|
GSAA Trust
|
|
|
2007-3, 1.88% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 03/25/477
|
1,824,370
|
835,243
|
Luminent Mortgage Trust
|
|
|
2006-2, 1.91% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/25/467
|
903,376
|
797,911
|
See notes to financial statements.
38 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 11.2% (continued)
|
|
|
Residential Mortgage Backed Securities – 9.7% (continued)
|
|
|
CitiMortgage Alternative Loan Trust Series
|
|
|
2007-A7, 2.11% (1 Month USD LIBOR + 0.40%,
|
|
|
Rate Cap/Floor: 7.50%/0.40%) due 07/25/377
|
969,017
|
$ 784,428
|
TBW Mortgage Backed Pass-Through Certificates
|
|
|
2006-6, 6.04% due 01/25/3717
|
1,185,071
|
530,528
|
2006-6, 5.75% due 01/25/3717
|
484,704
|
233,630
|
Total Residential Mortgage Backed Securities
|
|
65,550,805
|
|
Military Housing – 1.5%
|
|
|
GMAC Commercial Mortgage Asset Corp.
|
|
|
2004-POKA, 6.36% due 09/10/44†††,6
|
3,500,000
|
4,166,888
|
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
|
|
|
2015-R1, 5.49% (WAC) due 11/25/527,8
|
3,708,110
|
3,652,260
|
Capmark Military Housing Trust
|
|
|
2007-AETC, 5.75% due 02/10/526,17
|
1,587,677
|
1,775,245
|
2007-AET2, 6.06% due 10/10/526,17
|
474,961
|
574,922
|
Total Military Housing
|
|
10,169,315
|
Total Collateralized Mortgage Obligations
|
|
|
(Cost $79,306,102)
|
|
75,720,120
|
|
FOREIGN GOVERNMENT DEBT†† – 6.4%
|
|
|
Government of Japan
|
|
|
due 01/10/2012
|
JPY 1,112,000,000
|
10,165,810
|
0.10% due 06/01/20
|
JPY 439,400,000
|
4,021,297
|
0.10% due 09/01/20
|
JPY 407,000,000
|
3,727,346
|
0.10% due 06/20/20
|
JPY 166,000,000
|
1,519,455
|
0.10% due 04/15/20
|
JPY 142,900,000
|
1,307,399
|
0.10% due 03/20/20
|
JPY 58,000,000
|
530,533
|
2.40% due 03/20/20
|
JPY 24,000,000
|
221,014
|
1.30% due 03/20/20
|
JPY 10,000,000
|
91,793
|
2.20% due 06/22/20
|
JPY 6,650,000
|
61,574
|
Federative Republic of Brazil
|
|
|
due 01/01/2012
|
BRL 25,900,000
|
6,102,246
|
due 07/01/2112
|
BRL 19,940,000
|
4,366,030
|
due 07/01/2012
|
BRL 9,860,000
|
2,274,420
|
State of Israel
|
|
|
1.00% due 04/30/21
|
ILS 20,810,000
|
6,067,638
|
5.50% due 01/31/22
|
ILS 5,410,000
|
1,736,518
|
0.50% due 01/31/21
|
ILS 4,520,000
|
1,307,426
|
Total Foreign Government Debt
|
|
|
(Cost $44,342,782)
|
|
43,500,499
|
|
MUNICIPAL BONDS†† – 0.2%
|
|
|
Maryland – 0.1%
|
|
|
Maryland Economic Development Corp.
|
|
|
5.75% due 09/01/25
|
550,000
|
564,195
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 39
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
MUNICIPAL BONDS†† – 0.2% (continued)
|
|
|
Oklahoma – 0.1%
|
|
|
Oklahoma Development Finance Authority Revenue Bonds
|
|
|
5.45% due 08/15/28
|
400,000
|
$ 455,272
|
Total Municipal Bonds
|
|
|
(Cost $964,554)
|
|
1,019,467
|
|
SENIOR FIXED RATE INTERESTS†† – 0.1%
|
|
|
Communications – 0.1%
|
|
|
MHGE Parent LLC
|
|
|
11.00% due 04/20/22†††,1
|
900,000
|
826,987
|
Total Senior Fixed Rate Interests
|
|
|
(Cost $886,514)
|
|
826,987
|
|
U.S. TREASURY BILLS†† – 0.1%
|
|
|
U.S. Treasury Bills
|
|
|
1.59% due 02/20/2013,17
|
400,000
|
398,616
|
Total U.S. Treasury Bills
|
|
|
(Cost $398,570)
|
|
398,616
|
|
REPURCHASE AGREEMENTS††,14 – 0.4%
|
|
|
Citigroup Global Markets, Inc.
|
|
|
issued 10/16/19 at 1.35%
|
|
|
open maturity15
|
1,016,000
|
1,016,000
|
issued 10/08/19 at 1.35%
|
|
|
open maturity15
|
436,000
|
436,000
|
issued 10/25/19 at 1.25%
|
|
|
open maturity15
|
93,000
|
93,000
|
issued 11/25/19 at 1.35%
|
|
|
open maturity15
|
83,000
|
83,000
|
issued 10/30/19 at 1.30%
|
|
|
open maturity15
|
51,000
|
51,000
|
BofA Securities, Inc.
|
|
|
issued 10/09/19 at 1.40%
|
|
|
open maturity15
|
448,950
|
448,950
|
issued 10/16/19 at 1.35%
|
|
|
open maturity15
|
328,575
|
328,575
|
issued 10/25/19 at 1.35%
|
|
|
open maturity15
|
93,288
|
93,287
|
issued 08/02/19 at 1.40%
|
|
|
open maturity15
|
59,850
|
59,850
|
RBC Capital Markets LLC
|
|
|
issued 11/01/19 at 1.30%
|
|
|
open maturity15
|
52,375
|
52,375
|
See notes to financial statements.
40 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
REPURCHASE AGREEMENTS††,14 – 0.4% (continued)
|
|
|
BNP Paribas
|
|
|
issued 02/06/19 at 1.35%
|
|
|
open maturity15
|
4,638
|
$ 4,638
|
Total Repurchase Agreements
|
|
|
(Cost $2,666,675)
|
|
2,666,675
|
|
COMMERCIAL PAPER†† – 0.3%
|
|
|
Bemis Co., Inc.
|
|
|
1.88% due 12/12/196,13
|
2,000,000
|
1,998,851
|
Total Commercial Paper
|
|
|
(Cost $1,998,851)
|
|
1,998,851
|
|
|
|
|
Notional Value/
|
|
|
Face Amount~
|
|
|
OTC OPTIONS PURCHASED†† – 0.2%
|
|
|
Put options on:
|
|
|
Citibank N.A., New York 2Y-10 CMS CAP
|
|
|
Expiring July 2022 with strike price of $0.40
|
441,000,000
|
$ 679,140
|
Bank of America, N.A. 2Y-10 CMS CAP
|
|
|
Expiring July 2022 with strike price of $0.61
|
165,000,000
|
161,700
|
Bank of America, N.A. 2Y-10 CMS CAP
|
|
|
Expiring July 2022 with strike price of $0.40
|
53,000,000
|
81,620
|
Total OTC Options Purchased
|
|
|
(Cost $1,391,950)
|
|
922,460
|
Total Investments – 100.8%
|
|
|
(Cost $707,218,725)
|
|
$ 680,973,057
|
|
Corporate Bonds Sold Short†† – (0.4)%
|
|
|
Communications – 0.0%
|
|
|
Univision Communications, Inc.
|
|
|
5.13% due 05/15/236
|
(50,000)
|
(49,312)
|
5.13% due 02/15/256
|
(150,000)
|
(144,563)
|
Total Communications
|
|
(193,875)
|
|
Industrial – (0.2)%
|
|
|
Flex Ltd.
|
|
|
4.75% due 06/15/25
|
(170,000)
|
(183,035)
|
Spirit AeroSystems, Inc.
|
|
|
4.60% due 06/15/28
|
(810,000)
|
(878,492)
|
Total Industrial
|
|
(1,061,527)
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 41
|
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
|
November 30, 2019
|
|
|
|
Face
|
|
|
Amount~
|
Value
|
|
Corporate Bonds Sold Short†† – (0.4)% (continued)
|
|
|
Consumer, Cyclical – (0.2)%
|
|
|
Harley-Davidson, Inc.
|
|
|
3.50% due 07/28/25
|
(100,000)
|
$ (104,154)
|
Dollar Tree, Inc.
|
|
|
4.00% due 05/15/25
|
(1,200,000)
|
(1,266,246)
|
Total Consumer, Cyclical
|
|
(1,370,400)
|
Total Corporate Bonds Sold Short
|
|
|
(Proceeds $2,369,340)
|
|
(2,625,802)
|
|
|
|
|
Contracts
|
|
|
LISTED OPTIONS WRITTEN† – 0.0%
|
|
|
Call options on:
|
|
|
S&P 500 Index
|
|
|
Expiring December 2019 with strike price of
|
|
|
$3,105.00 (Notional Value $942,294)
|
3
|
(17,355)
|
Total Listed Options Written
|
|
|
(Premiums received $12,834)
|
|
(17,355)
|
Other Assets & Liabilities, net – (0.4)%
|
|
(2,534,398)
|
Total Net Assets – 100.0%
|
|
$ 675,795,502
|
FUTURES CONTRACTS
|
|
|
|
|
|
|
|
|
Value and
|
|
Number of
|
|
Notional
|
Unrealized
|
Description
|
Contracts
|
Expiration Date
|
Amount
|
Appreciation**
|
|
EQUITY FUTURES CONTRACTS PURCHASED†
|
|
|
|
|
S&P 500 Index Mini Futures Contracts
|
6
|
Dec 2019
|
$942,600
|
$40,208
|
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS PROTECTION PURCHASED††
|
|
|
|
|
|
|
|
|
|
|
|
|
Protection
|
|
|
|
|
Upfront
|
|
|
|
|
Premium
|
Payment
|
Maturity
|
Notional
|
|
Premiums
|
Unrealized
|
Counterparty
|
Exchange
|
Index
|
Rate
|
Frequency
|
Date
|
Amount
|
Value
|
Received
|
Depreciation**
|
BofA Securities, Inc.
|
ICE
|
CDX.NA.IG.31
|
1.00%
|
Quarterly
|
12/20/23
|
$98,500,000
|
$(2,405,693)
|
$(944,702)
|
$(1,460,991)
|
See notes to financial statements.
42 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2019
|
OTC CREDIT DEFAULT SWAP AGREEMENTS PROTECTION PURCHASED††
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Upfront
|
|
|
Index/
|
Protection
|
|
|
|
|
Premiums
|
|
|
Reference
|
Premium
|
Payment
|
Maturity
|
Notional
|
|
Paid
|
Unrealized
|
Counterparty
|
Obligation
|
Rate
|
Frequency
|
Date
|
Amount
|
Value
|
(Received)
|
Depreciation**
|
Goldman Sachs
|
|
|
|
|
|
|
|
|
International
|
L Brands, Inc.
|
1.00%
|
Quarterly
|
12/20/24
|
$ 30,000
|
$ 2,550
|
$ 3,179
|
$ (629)
|
Morgan Stanley
|
CDX.NA.IG.31
|
|
|
|
|
|
|
|
Capital Services LLC
|
(7-15%)
|
1.00%
|
Quarterly
|
12/20/23
|
5,800,000
|
(144,441)
|
(1,118)
|
(143,323)
|
Goldman Sachs
|
CDX.NA.IG.31
|
|
|
|
|
|
|
|
International
|
(7-15%)
|
1.00%
|
Quarterly
|
12/20/23
|
13,410,000
|
(333,958)
|
(17,793)
|
(316,165)
|
|
|
|
|
|
|
$(475,849)
|
$(15,732)
|
$(460,117)
|
CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS††
|
|
|
|
|
|
|
|
|
|
|
|
Floating
|
Floating
|
Fixed Payment
|
Maturity
|
Notional
|
|
Premiums
|
Unrealized
|
Counterparty
|
Exchange
|
Rate Type
|
Rate Index
|
Rate Frequency
|
Date
|
Amount
|
Value
|
Paid
|
Appreciation**
|
BofA Securities, Inc.
|
CME
|
Receive
|
3-Month
|
1.54% Quarterly
|
08/04/21
|
$2,390,000
|
$4,891
|
$263
|
$4,628
|
|
|
|
USD LIBOR
|
|
|
|
|
|
|
TOTAL RETURN SWAP AGREEMENTS
|
|
|
|
|
|
|
|
|
|
Financing
|
|
|
|
|
Value and
|
|
Reference
|
Rate
|
Payment
|
Maturity
|
|
Notional
|
Unrealized
|
Counterparty
|
Obligation
|
Pay
|
Frequency
|
Date
|
Units
|
Amount
|
Depreciation**
|
OTC Sovereign Debt Swap Agreements††
|
|
|
|
|
Deutsche
|
Korea
|
|
|
|
|
|
|
Bank AG
|
Monetary
|
|
|
|
|
|
|
|
Stabilization
|
2.34% (3 Month
|
At Maturity
|
08/04/21
|
N/A
|
$2,418,367
|
$(15,683)
|
|
Bond
|
USD LIBOR + 0.45%)
|
|
|
|
|
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 43
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2019
|
|
|
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
|
|
|
|
|
|
|
|
|
|
|
|
Value at
|
|
|
Unrealized
|
|
|
|
|
|
|
Settlement
|
|
Settlement
|
|
|
November 30,
|
|
|
Appreciation
|
|
Counterparty
|
|
Contracts to Sell
|
|
Currency
|
Date
|
|
Value
|
|
|
2019
|
|
|
(Depreciation)
|
|
Goldman Sachs International
|
|
|
1,777,600,000
|
|
JPY
|
01/10/20
|
|
$
|
16,579,924
|
|
|
$
|
16,301,156
|
|
|
$
|
278,768
|
|
Citibank N.A., New York
|
|
|
25,900,000
|
|
BRL
|
01/02/20
|
|
|
6,314,237
|
|
|
|
6,121,485
|
|
|
|
192,752
|
|
Citibank N.A., New York
|
|
|
11,240,000
|
|
BRL
|
07/01/21
|
|
|
2,716,438
|
|
|
|
2,559,645
|
|
|
|
156,793
|
|
Goldman Sachs International
|
|
|
5,420,000
|
|
BRL
|
07/01/20
|
|
|
1,407,427
|
|
|
|
1,271,395
|
|
|
|
136,032
|
|
Barclays Bank plc
|
|
|
2,366,000
|
|
EUR
|
01/17/20
|
|
|
2,732,494
|
|
|
|
2,616,303
|
|
|
|
116,191
|
|
Goldman Sachs International
|
|
|
2,290,000
|
|
EUR
|
01/17/20
|
|
|
2,644,305
|
|
|
|
2,532,262
|
|
|
|
112,043
|
|
Citibank N.A., New York
|
|
|
4,440,000
|
|
BRL
|
07/01/20
|
|
|
1,143,623
|
|
|
|
1,041,512
|
|
|
|
102,111
|
|
JPMorgan Chase Bank, N.A.
|
|
|
407,203,500
|
|
JPY
|
09/01/20
|
|
|
3,870,646
|
|
|
|
3,784,385
|
|
|
|
86,261
|
|
Citibank N.A., New York
|
|
|
379,189,500
|
|
JPY
|
06/01/20
|
|
|
3,587,277
|
|
|
|
3,505,830
|
|
|
|
81,447
|
|
Citibank N.A., New York
|
|
|
444,400,000
|
|
JPY
|
01/10/20
|
|
|
4,143,474
|
|
|
|
4,075,289
|
|
|
|
68,185
|
|
Goldman Sachs International
|
|
|
5,700,000
|
|
BRL
|
07/01/21
|
|
|
1,335,364
|
|
|
|
1,298,040
|
|
|
|
37,324
|
|
Bank of America, N.A.
|
|
|
166,083,000
|
|
JPY
|
06/22/20
|
|
|
1,570,822
|
|
|
|
1,537,355
|
|
|
|
33,467
|
|
Bank of America, N.A.
|
|
|
142,971,450
|
|
JPY
|
04/15/20
|
|
|
1,348,545
|
|
|
|
1,318,179
|
|
|
|
30,366
|
|
JPMorgan Chase Bank, N.A.
|
|
|
3,000,000
|
|
BRL
|
07/01/21
|
|
|
712,674
|
|
|
|
683,179
|
|
|
|
29,495
|
|
Bank of America, N.A.
|
|
|
749,320
|
|
EUR
|
06/15/20
|
|
|
861,699
|
|
|
|
836,372
|
|
|
|
25,327
|
|
Goldman Sachs International
|
|
|
660,240
|
|
EUR
|
06/15/20
|
|
|
759,659
|
|
|
|
736,943
|
|
|
|
22,716
|
|
JPMorgan Chase Bank, N.A.
|
|
|
58,029,000
|
|
JPY
|
03/23/20
|
|
|
548,032
|
|
|
|
534,289
|
|
|
|
13,743
|
|
JPMorgan Chase Bank, N.A.
|
|
|
60,430,200
|
|
JPY
|
06/01/20
|
|
|
571,147
|
|
|
|
558,713
|
|
|
|
12,434
|
|
Goldman Sachs International
|
|
|
260,000
|
|
EUR
|
04/30/20
|
|
|
298,168
|
|
|
|
289,380
|
|
|
|
8,788
|
|
Goldman Sachs International
|
|
|
34,353,000
|
|
JPY
|
03/23/20
|
|
|
324,553
|
|
|
|
316,297
|
|
|
|
8,256
|
|
Goldman Sachs International
|
|
|
6,723,951
|
|
JPY
|
06/22/20
|
|
|
63,635
|
|
|
|
62,241
|
|
|
|
1,394
|
|
JPMorgan Chase Bank, N.A.
|
|
|
203,500
|
|
JPY
|
03/02/20
|
|
|
1,912
|
|
|
|
1,871
|
|
|
|
41
|
|
Citibank N.A., New York
|
|
|
189,500
|
|
JPY
|
12/02/19
|
|
|
1,770
|
|
|
|
1,732
|
|
|
|
38
|
|
Bank of America, N.A.
|
|
|
43,318
|
|
ILS
|
04/30/20
|
|
|
12,646
|
|
|
|
12,609
|
|
|
|
37
|
|
Bank of America, N.A.
|
|
|
83,000
|
|
JPY
|
12/20/19
|
|
|
775
|
|
|
|
760
|
|
|
|
15
|
|
Goldman Sachs International
|
|
|
73,150
|
|
JPY
|
12/20/19
|
|
|
684
|
|
|
|
670
|
|
|
|
14
|
|
JPMorgan Chase Bank, N.A.
|
|
|
30,200
|
|
JPY
|
12/02/19
|
|
|
282
|
|
|
|
276
|
|
|
|
6
|
|
Deutsche Bank AG
|
|
|
7,680,324
|
|
KRW
|
02/04/21
|
|
|
6,512
|
|
|
|
6,582
|
|
|
|
(70
|
)
|
Deutsche Bank AG
|
|
|
7,680,324
|
|
KRW
|
11/04/20
|
|
|
6,492
|
|
|
|
6,562
|
|
|
|
(70
|
)
|
Deutsche Bank AG
|
|
|
7,429,879
|
|
KRW
|
05/06/21
|
|
|
6,315
|
|
|
|
6,386
|
|
|
|
(71
|
)
|
Deutsche Bank AG
|
|
|
7,680,324
|
|
KRW
|
08/05/20
|
|
|
6,473
|
|
|
|
6,546
|
|
|
|
(73
|
)
|
Deutsche Bank AG
|
|
|
7,513,360
|
|
KRW
|
05/06/20
|
|
|
6,310
|
|
|
|
6,387
|
|
|
|
(77
|
)
|
Deutsche Bank AG
|
|
|
7,680,324
|
|
KRW
|
02/05/20
|
|
|
6,430
|
|
|
|
6,515
|
|
|
|
(85
|
)
|
Goldman Sachs International
|
|
|
165,352
|
|
ILS
|
04/30/20
|
|
|
47,654
|
|
|
|
48,132
|
|
|
|
(478
|
)
|
Bank of America, N.A.
|
|
|
1,009,000
|
|
EUR
|
12/13/19
|
|
|
1,112,303
|
|
|
|
1,112,782
|
|
|
|
(479
|
)
|
Goldman Sachs International
|
|
|
320,150
|
|
ILS
|
01/31/20
|
|
|
91,758
|
|
|
|
92,590
|
|
|
|
(832
|
)
|
Bank of America, N.A.
|
|
|
4,363,200
|
|
ILS
|
04/30/21
|
|
|
1,293,950
|
|
|
|
1,296,950
|
|
|
|
(3,000
|
)
|
Goldman Sachs International
|
|
|
1,135,000
|
|
GBP
|
12/13/19
|
|
|
1,457,914
|
|
|
|
1,468,523
|
|
|
|
(10,609
|
)
|
Goldman Sachs International
|
|
|
4,841,027
|
|
ILS
|
02/01/21
|
|
|
1,410,169
|
|
|
|
1,432,227
|
|
|
|
(22,058
|
)
|
Deutsche Bank AG
|
|
|
2,876,875,324
|
|
KRW
|
08/04/21
|
|
|
2,453,415
|
|
|
|
2,479,892
|
|
|
|
(26,477
|
)
|
Goldman Sachs International
|
|
|
5,707,550
|
|
ILS
|
01/31/22
|
|
|
1,691,893
|
|
|
|
1,719,844
|
|
|
|
(27,951
|
)
|
Barclays Bank plc
|
|
|
8,085,000
|
|
ILS
|
01/31/20
|
|
|
2,287,452
|
|
|
|
2,338,258
|
|
|
|
(50,806
|
)
|
Goldman Sachs International
|
|
|
16,654,900
|
|
ILS
|
04/30/21
|
|
|
4,882,148
|
|
|
|
4,950,625
|
|
|
|
(68,477
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,342,431
|
|
See notes to financial statements.
44 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2019
|
|
|
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS†† (continued)
|
|
|
|
|
|
|
|
|
|
|
|
Value at
|
|
|
Unrealized
|
|
|
|
|
|
|
Settlement
|
|
Settlement
|
|
|
November 30,
|
|
|
Appreciation
|
|
Counterparty
|
|
Contracts to Buy
|
|
Currency
|
Date
|
|
Value
|
|
|
2019
|
|
|
(Depreciation)
|
|
Citibank N.A., New York
|
|
|
8,085,000
|
|
ILS
|
01/31/20
|
|
$
|
2,317,966
|
|
|
$
|
2,338,258
|
|
|
$
|
20,292
|
|
Citibank N.A., New York
|
|
|
260,000
|
|
EUR
|
04/30/20
|
|
|
290,382
|
|
|
|
289,380
|
|
|
|
(1,002
|
)
|
Barclays Bank plc
|
|
|
1,409,560
|
|
EUR
|
06/15/20
|
|
|
1,578,236
|
|
|
|
1,573,315
|
|
|
|
(4,921
|
)
|
JPMorgan Chase Bank, N.A.
|
|
|
4,656,000
|
|
EUR
|
01/17/20
|
|
|
5,176,715
|
|
|
|
5,148,566
|
|
|
|
(28,149
|
)
|
JPMorgan Chase Bank, N.A.
|
|
|
1,110,000,000
|
|
JPY
|
01/10/20
|
|
|
10,266,380
|
|
|
|
10,179,052
|
|
|
|
(87,328
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(101,108
|
)
|
|
|
~
|
The face amount is denominated in U.S. dollars unless otherwise indicated.
|
*
|
Non-income producing security.
|
**
|
Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
|
†
|
Value determined based on Level 1 inputs, unless otherwise noted — See Note 6.
|
††
|
Value determined based on Level 2 inputs, unless otherwise noted — See Note 6.
|
†††
|
Value determined based on Level 3 inputs — See Note 6.
|
1
|
Security was fair valued by the Valuation Committee at November 30, 2019. The total market value of fair valued securities amounts to $26,962,273, (cost $27,399,619) or 4.0% of total net
assets.
|
2
|
Affiliated issuer.
|
3
|
Perpetual maturity.
|
4
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
5
|
Rate indicated is the 7-day yield as of November 30, 2019.
|
6
|
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or
Section 4(a)(2) securities is $160,686,705 (cost $160,641,972), or 23.8% of total net assets.
|
7
|
Variable rate security. Rate indicated is the rate effective at November 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by
the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference
rates and spread amounts are shown, the effective rate is based on a weighted average.
|
8
|
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market
value of 144A or Section 4(a)(2) illiquid and restricted securities is $27,620,536 (cost $44,816,083), or 4.1% of total net assets — See Note 12.
|
9
|
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
|
10
|
Security is a step up bond, with a 5.50% coupon rate until September 14, 2020. Future rate is 8.50% with a reset date of September 15, 2020.
|
11
|
Security is in default of interest and/or principal obligations.
|
12
|
Zero coupon rate security.
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 45
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2019
|
|
|
13
|
Rate indicated is the effective yield at the time of purchase.
|
14
|
Repurchase Agreements - See additional disclosure in the repurchase agreements table below for more information on repurchase agreements.
|
15
|
The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at
November 30, 2019.
|
16
|
Payment in-kind security.
|
17
|
All or a portion of these securities have been physically segregated in connection with futures contracts, options and unfunded loan commitments. As of November 30, 2019, the total value of
segregated securities was $15,136,851.
|
|
|
BofA
|
Bank of America
|
BRL
|
Brazilian Real
|
CDX.NA.IG.31
|
Credit Default Swap North American Investment Grade Series 31 Index
|
CME
|
Chicago Mercantile Exchange
|
CMS
|
Constant Maturity Swap
|
EURIBOR
|
European Interbank Offered Rate
|
EUR
|
Euro
|
GBP
|
British Pound
|
ICE
|
Intercontinental Exchange
|
ILS
|
Israeli New Shekel
|
JPY
|
Japanese Yen
|
KRW
|
South Korean Won
|
LIBOR
|
London Interbank Offered Rate
|
plc
|
Public Limited Company
|
WAC
|
Weighted Average Coupon
|
See Sector Classification in Other Information section.
|
|
|
Country Diversification
|
|
|
% of Long-Term
|
Country
|
|
Investments
|
United States
|
|
84.9%
|
Cayman Islands
|
|
4.7%
|
Japan
|
|
3.4%
|
Brazil
|
|
2.0%
|
Canada
|
|
1.6%
|
Israel
|
|
1.4%
|
Australia
|
|
0.9%
|
Other
|
|
1.1%
|
Total Long-Term Investments
|
|
100.0%
|
See notes to financial statements.
46 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2019
|
The following table summarizes the inputs used to value the Fund’s investments at November 30, 2019 (See Note 6 in the Notes to Financial Statements):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 2
|
|
|
Level 3
|
|
|
|
|
|
|
|
|
|
Significant
|
|
|
Significant
|
|
|
|
|
Investments in
|
|
Level 1
|
|
|
Observable
|
|
|
Unobservable
|
|
|
|
|
Securities (Assets)
|
|
Quoted Prices
|
|
|
Inputs
|
|
|
Inputs
|
|
|
Total
|
|
Common Stocks
|
|
$
|
130,448
|
|
|
$
|
1,444,843
|
|
|
$
|
699,488
|
|
|
$
|
2,274,779
|
|
Preferred Stocks
|
|
|
—
|
|
|
|
2,244,182
|
|
|
|
591,396
|
|
|
|
2,835,578
|
|
Warrants
|
|
|
—
|
|
|
|
—
|
|
|
|
131
|
|
|
|
131
|
|
Closed-End Funds
|
|
|
29,090,842
|
|
|
|
—
|
|
|
|
—
|
|
|
|
29,090,842
|
|
Money Market Fund
|
|
|
9,049,257
|
|
|
|
—
|
|
|
|
—
|
|
|
|
9,049,257
|
|
Senior Floating Rate Interests
|
|
|
—
|
|
|
|
209,778,896
|
|
|
|
66,904,383
|
|
|
|
276,683,279
|
|
Asset-Backed Securities
|
|
|
—
|
|
|
|
104,902,983
|
|
|
|
12,776,016
|
|
|
|
117,678,999
|
|
Corporate Bonds
|
|
|
—
|
|
|
|
95,682,713
|
|
|
|
20,623,804
|
|
|
|
116,306,517
|
|
Collateralized Mortgage Obligations
|
|
|
—
|
|
|
|
71,553,232
|
|
|
|
4,166,888
|
|
|
|
75,720,120
|
|
Foreign Government Debt
|
|
|
—
|
|
|
|
43,500,499
|
|
|
|
—
|
|
|
|
43,500,499
|
|
Municipal Bonds
|
|
|
—
|
|
|
|
1,019,467
|
|
|
|
—
|
|
|
|
1,019,467
|
|
Senior Fixed Rate Interests
|
|
|
—
|
|
|
|
—
|
|
|
|
826,987
|
|
|
|
826,987
|
|
U.S. Treasury Bills
|
|
|
—
|
|
|
|
398,616
|
|
|
|
—
|
|
|
|
398,616
|
|
Repurchase Agreements
|
|
|
—
|
|
|
|
2,666,675
|
|
|
|
—
|
|
|
|
2,666,675
|
|
Commercial Paper
|
|
|
—
|
|
|
|
1,998,851
|
|
|
|
—
|
|
|
|
1,998,851
|
|
Options Purchased
|
|
|
—
|
|
|
|
922,460
|
|
|
|
—
|
|
|
|
922,460
|
|
Equity Futures Contracts*
|
|
|
40,208
|
|
|
|
—
|
|
|
|
—
|
|
|
|
40,208
|
|
Interest Rate Swap Agreements*
|
|
|
—
|
|
|
|
4,628
|
|
|
|
—
|
|
|
|
4,628
|
|
Forward Foreign Currency Exchange Contracts*
|
|
|
—
|
|
|
|
1,574,336
|
|
|
|
—
|
|
|
|
1,574,336
|
|
Total Assets
|
|
$
|
38,310,755
|
|
|
$
|
537,692,381
|
|
|
$
|
106,589,093
|
|
|
$
|
682,592,229
|
|
|
|
|
|
|
|
|
|
Level 2
|
|
|
Level 3
|
|
|
|
|
|
|
|
|
|
|
|
Significant
|
|
|
Significant
|
|
|
|
|
|
Investments in
|
|
Level 1
|
|
|
Observable
|
|
|
Unobservable
|
|
|
|
|
|
Securities (Liabilities)
|
|
Quoted Prices
|
|
|
Inputs
|
|
|
Inputs
|
|
|
Total
|
|
Corporate Bonds Sold Short
|
|
$
|
—
|
|
|
$
|
2,625,802
|
|
|
$
|
—
|
|
|
$
|
2,625,802
|
|
Options Written
|
|
|
17,355
|
|
|
|
—
|
|
|
|
—
|
|
|
|
17,355
|
|
Credit Default Swap Agreements*
|
|
|
—
|
|
|
|
1,921,108
|
|
|
|
—
|
|
|
|
1,921,108
|
|
Total Return Swap Agreements*
|
|
|
|
|
|
|
15,683
|
|
|
|
|
|
|
|
15,683
|
|
Forward Foreign Currency Exchange Contracts*
|
|
|
—
|
|
|
|
333,013
|
|
|
|
—
|
|
|
|
333,013
|
|
Unfunded Loan Commitments (Note 11)
|
|
|
—
|
|
|
|
—
|
|
|
|
529,028
|
|
|
|
529,028
|
|
Total Liabilities
|
|
$
|
17,355
|
|
|
$
|
4,895,606
|
|
|
$
|
529,028
|
|
|
$
|
5,441,989
|
|
* This derivative is reported as unrealized appreciation/depreciation at period end.
Please refer to the detailed Schedule of Investments for a breakdown of investment type by industry category.
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 47
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2019
|
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
|
|
|
|
|
|
|
|
Ending Balance at
|
|
Valuation
|
Unobservable
|
Input
|
Weighted
|
Category
|
November 30, 2019
|
|
Technique
|
Inputs
|
Range
|
Average*
|
Assets:
|
|
|
|
|
|
|
Asset-Backed Securities
|
$ 8,382,080
|
|
Yield Analysis
|
Yield
|
3.0%-13.0%
|
5.4%
|
Asset-Backed Securities
|
4,393,936
|
|
Option Adjusted
|
Broker Quote
|
—
|
—
|
|
|
|
Spread off prior
|
|
|
|
|
|
|
month end broker
|
|
|
|
|
|
|
quote
|
|
|
|
Collateralized Mortgage
|
4,166,888
|
|
Option Adjusted
|
Broker Quote
|
—
|
—
|
Obligations
|
|
|
Spread off prior
|
|
|
|
|
|
|
month end broker
|
|
|
|
|
|
|
quote
|
|
|
|
Common Stocks
|
699,488
|
|
Enterprise Value
|
Valuation Multiple
|
1.9x-15.8x
|
9.4x
|
Corporate Bonds
|
19,634,055
|
|
Option Adjusted
|
Broker Quote
|
—
|
—
|
|
|
|
Spread off prior
|
|
|
|
|
|
|
month end broker
|
|
|
|
|
|
|
quote
|
|
|
|
Corporate Bonds
|
989,749
|
|
Yield Analysis
|
Yield
|
4.7%
|
—
|
Preferred Stocks
|
591,396
|
|
Enterprise Value
|
Valuation Multiple
|
16.8x
|
—
|
Senior Fixed Rate Interests
|
826,987
|
|
Model Price
|
Market Comparable Yields
|
8.8%
|
—
|
Senior Floating Rate Interests
|
46,613,920
|
|
Third Party Pricing
|
Broker Quote
|
—
|
—
|
Senior Floating Rate Interests
|
3,828,272
|
|
Option Adjusted
|
Broker Quote
|
—
|
—
|
|
|
|
Spread off prior
|
|
|
|
|
|
|
month end broker
|
|
|
|
|
|
|
quote
|
|
|
|
Senior Floating Rate Interests
|
9,893,380
|
|
Yield Analysis
|
Yield
|
5.0%-9.9%
|
7.5%
|
Senior Floating Rate Interests
|
2,863,865
|
|
Model Price
|
Liquidation Value
|
—
|
—
|
Senior Floating Rate Interests
|
2,316,384
|
|
Model Price
|
Market Comparable Yields
|
5.8%-10.2%
|
7.7%
|
Senior Floating Rate Interests
|
986,687
|
|
Enterprise Value
|
Valuation Multiple
|
11.0x
|
11.0x
|
Senior Floating Rate Interests
|
401,875
|
|
Model Price
|
Purchase Price
|
—
|
—
|
Warrants
|
131
|
|
Enterprise Value
|
Valuation Multiple
|
16.8x
|
—
|
Total Assets
|
$ 106,589,093
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
Unfunded Loan Commitments
|
$ 529,028
|
|
Model Price
|
Purchase Price
|
—
|
—
|
* Inputs are weighted by the fair value of the instruments.
Significant changes in quote, yield, market comparable yields, liquidation value, purchase price or valuation multiples would generally result in significant changes in the fair value of the security.
The Fund’s fair valuation leveling guidelines were recently revised to classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3 rather than Level 2, if such a
quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended November 30, 2019, the Fund had securities with a
total value of $34,696,935 transfer into Level 3 from Level 2 due to lack of observable inputs and had securities with a
See notes to financial statements.
48 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2019
|
total market value of $5,240 transfer out of Level 3 to Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value of the period ended November 30, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior
|
|
|
|
|
|
|
|
|
|
|
|
Senior
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized
|
|
|
|
|
|
Floating
|
|
|
|
|
|
|
|
|
|
|
|
Fixed
|
|
|
|
|
|
Unfunded
|
|
|
|
Asset-Backed
|
|
|
Mortgage
|
|
|
Corporate
|
|
|
Rate
|
|
|
|
|
|
Common
|
|
|
Preferred
|
|
|
Rate
|
|
|
Total
|
|
|
Loan
|
|
|
|
Securities
|
|
|
Obligations
|
|
|
Bonds
|
|
|
Interests
|
|
|
Warrants
|
|
|
Stocks
|
|
|
Stocks
|
|
|
Interests
|
|
|
Assets
|
|
|
Commitments
|
|
Beginning
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance
|
|
$
|
9,756,075
|
|
|
$
|
3,932,893
|
|
|
$
|
4,421,050
|
|
|
$
|
20,824,542
|
|
|
$
|
131
|
|
|
$
|
717,392
|
|
|
$
|
559,157
|
|
|
$
|
835,218
|
|
|
$
|
41,046,458
|
|
|
$
|
(633,706
|
)
|
Purchases/
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Receipts)
|
|
|
3,537,501
|
|
|
|
–
|
|
|
|
17,109,653
|
|
|
|
17,380,161
|
|
|
|
–
|
|
|
|
–
|
|
|
|
32,239
|
|
|
|
–
|
|
|
|
38,059,554
|
|
|
|
(298,503
|
)
|
(Sales,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
and paydowns)/
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fundings
|
|
|
(277,431
|
)
|
|
|
–
|
|
|
|
(313,402
|
)
|
|
|
(6,063,495
|
)
|
|
|
–
|
|
|
|
(39,350
|
)
|
|
|
–
|
|
|
|
–
|
|
|
|
(6,693,678
|
)
|
|
|
241,338
|
|
Amortization of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
premiums/
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
discount
|
|
|
164,615
|
|
|
|
(3,733
|
)
|
|
|
31,190
|
|
|
|
30,991
|
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
2,794
|
|
|
|
225,857
|
|
|
|
–
|
|
Total realized
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
included in
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
earnings
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
(498,708
|
)
|
|
|
–
|
|
|
|
31,700
|
|
|
|
–
|
|
|
|
–
|
|
|
|
(467,008
|
)
|
|
|
110,700
|
|
Total change in
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
unrealized
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
appreciation
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(depreciation)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
included in
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
earnings
|
|
|
(404,744
|
)
|
|
|
237,728
|
|
|
|
(624,687
|
)
|
|
|
539,197
|
|
|
|
–
|
|
|
|
(10,254
|
)
|
|
|
–
|
|
|
|
(11,025
|
)
|
|
|
(273,785
|
)
|
|
|
51,143
|
|
Transfers into
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
34,696,935
|
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
34,696,935
|
|
|
|
–
|
|
Transfers out of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
(5,240
|
)
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
(5,240
|
)
|
|
|
–
|
|
Ending Balance
|
|
$
|
12,776,016
|
|
|
$
|
4,166,888
|
|
|
$
|
20,623,804
|
|
|
$
|
66,904,383
|
|
|
$
|
131
|
|
|
$
|
699,488
|
|
|
$
|
591,396
|
|
|
$
|
826,987
|
|
|
$
|
106,589,093
|
|
|
$
|
(529,028
|
)
|
Net change in
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
unrealized
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
appreciation
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(depreciation)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
for investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
in Level 3 securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
still held at
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
November 30,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019
|
|
$
|
(404,744
|
)
|
|
$
|
237,728
|
|
|
$
|
(624,687
|
)
|
|
$
|
82,781
|
|
|
$
|
–
|
|
|
$
|
(10,254
|
)
|
|
$
|
–
|
|
|
$
|
(11,025
|
)
|
|
$
|
(730,201
|
)
|
|
$
|
132,733
|
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 49
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2019
|
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian takes possession of the underlying collateral. For the following repurchase agreements, the collateral is in the
possession of the Fund’s custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements, with the exception of where securities are being sold short. The interest rate
on repurchase agreements is market driven and based on the underlying collateral obtained.
The Fund may engage in repurchase agreements. Repurchase agreements are fixed income securities in the form of agreements backed by collateral. These agreements typically involve the acquisition by the Fund of
securities from the selling institution coupled with the agreement that the selling institution will repurchase the underlying securities at a specified price and at a fixed time in the future. The Fund may accept a wide variety of underlying
securities as collateral for the repurchase agreements entered into by the Fund. Any such securities serving as collateral are marked-to-market daily in order to maintain full collateralization. Securities purchased under repurchase agreements are
reflected as an asset on the Statement of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statement of Operations.
The use of repurchase agreements involves certain risks. For example, if the selling institution defaults on its obligation to repurchase the underlying securities at a time when the value of securities has declined,
the Fund may incur a loss upon disposition of them. In the event of an insolvency or bankruptcy by the selling institution, the Fund’s right to control the collateral could be affected and result in certain costs and delays. In addition, the Fund
could incur a loss if the value of the underlying collateral falls below the agreed upon repurchase price.
At November 30, 2019, the repurchase agreements in the account were as follows:
|
|
|
|
|
|
|
|
Counterparty and
|
|
|
Repurchase
|
|
|
|
|
Terms of Agreement
|
Face Value
|
|
Price
|
|
Collateral
|
Par Value
|
Fair Value
|
Citigroup Global Markets, Inc.
|
|
|
|
|
Dollar Tree, Inc.
|
|
|
1.25% - 1.35%
|
|
|
|
|
4.00%
|
|
|
Open Maturity*
|
$1,679,000
|
|
$1,679,000
|
|
05/15/251
|
$ 910,000
|
$ 960,232
|
|
|
|
|
|
Spirit AeroSystems, Inc.
|
|
|
|
|
|
|
|
4.60%
|
|
|
|
|
|
|
|
06/15/281
|
400,000
|
433,840
|
|
|
|
|
|
Flex Ltd.
|
|
|
|
|
|
|
|
4.75%
|
|
|
|
|
|
|
|
06/15/251
|
85,000
|
91,520
|
|
|
|
|
|
Univision Communications, Inc.
|
|
|
|
|
|
|
|
5.13%
|
|
|
|
|
|
|
|
02/15/251
|
85,000
|
81,923
|
|
|
|
|
|
Harley-Davidson, Inc.
|
|
|
|
|
|
|
|
3.50%
|
|
|
|
|
|
|
|
07/28/251
|
50,000
|
52,075
|
|
|
|
|
|
Univision Communications, Inc.
|
|
|
|
|
|
|
|
5.13%
|
|
|
|
|
|
|
|
05/15/231
|
35,000
|
34,517
|
|
|
|
|
|
|
1,565,000
|
1,654,107
|
See notes to financial statements.
50 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2019
|
|
|
|
Counterparty and
|
|
|
Repurchase
|
|
|
|
|
Terms of Agreement
|
Face Value
|
|
Price
|
|
Collateral
|
Par Value
|
Fair Value
|
BofA Securities, Inc.
|
|
|
|
|
Spirit AeroSystems, Inc.
|
|
|
1.35% - 1.40%
|
|
|
|
|
4.60%
|
|
|
Open Maturity*
|
$930,662
|
|
$930,662
|
|
06/15/281
|
$ 410,000
|
$ 444,686
|
|
|
|
|
|
Dollar Tree, Inc.
|
|
|
|
|
|
|
|
4.00%
|
|
|
|
|
|
|
|
05/15/251
|
290,000
|
306,008
|
|
|
|
|
|
Flex Ltd.
|
|
|
|
|
|
|
|
4.75%
|
|
|
|
|
|
|
|
06/15/251
|
85,000
|
91,520
|
|
|
|
|
|
Univision Communications, Inc.
|
|
|
|
|
|
|
|
5.13%
|
|
|
|
|
|
|
|
02/15/251
|
60,000
|
57,828
|
|
|
|
|
|
Univision Communications, Inc.
|
|
|
|
|
|
|
|
5.13%
|
|
|
|
|
|
|
|
05/15/231
|
15,000
|
14,793
|
|
|
|
|
|
|
860,000
|
914,835
|
RBC Capital Markets LLC
|
|
|
|
|
Harley-Davidson, Inc.
|
|
|
1.30%
|
|
|
|
|
3.50%
|
|
|
Open Maturity*
|
52,375
|
|
52,375
|
|
07/28/251
|
50,000
|
52,075
|
|
BNP Paribas
|
|
|
|
|
Univision Communications, Inc.
|
|
|
1.35%
|
|
|
|
|
5.13%
|
|
|
Open Maturity*
|
4,638
|
|
4,638
|
|
02/15/251
|
5,000
|
4,819
|
|
*
|
The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at November 30,
2019.
|
1
|
Collateral is related to securities which are being sold short.
|
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as
defined in the 1940 Act.
Transactions during the period ended November 30, 2019, in which the company is an affiliated issuer, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in
|
|
Shares/
|
|
|
|
|
Realized
|
Unrealized
|
|
Face
|
|
Value
|
|
|
Gain
|
Appreciation
|
Value
|
Amount
|
Security Name
|
05/31/19
|
Additions
|
Reductions
|
(Loss)
|
(Depreciation)
|
11/30/19
|
11/30/19
|
Common Stocks
|
|
|
|
|
|
|
|
BP Holdco LLC *,1
|
$ 19,447
|
$ –
|
$ –
|
$ –
|
$ –
|
$ 19,447
|
55,076
|
Targus Group
|
|
|
|
|
|
|
|
International Equity, Inc.*,1
|
28,515
|
–
|
(7,651)
|
–
|
1,819
|
22,683
|
12,989
|
Senior Floating Rate Interests
|
|
|
|
|
|
|
|
Targus Group
|
|
|
|
|
|
|
|
International, Inc.
|
|
|
|
|
|
|
|
due 05/24/16*,1,2,3
|
–**
|
–
|
–
|
–
|
–
|
–**
|
$155,450
|
|
$ 47,962
|
$ –
|
$ (7,651)
|
$ –
|
$ 1,819
|
$ 42,130
|
|
|
|
*
|
Non-income producing security.
|
**
|
Market value is less than $1.
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 51
|
|
SCHEDULE OF INVESTMENTS (Unaudited) continued
|
November 30, 2019
|
|
1
|
Security was fair valued by the Valuation Committee at November 30, 2019. The total market value of fair valued and affiliated securities amounts to $42,130, (cost $170,660) or less than 0.1% of
total net assets.
|
2
|
Security is in default of interest and/or principal obligations.
|
|
Variable rate security. Rate indicated is the rate effective at November 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the
issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates
and spread amounts are shown, the effective rate is based on a weighted average.
|
52 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
|
November 30, 2019
|
|
|
|
ASSETS:
|
|
|
|
Investments in unaffiliated issuers, at value (cost $704,381,390)
|
|
$
|
678,264,252
|
|
Investments in affiliated issuers, at value (cost $170,660)
|
|
|
42,130
|
|
Repurchase agreements, at value (cost $2,666,675)
|
|
|
2,666,675
|
|
Cash
|
|
|
1,009,383
|
|
Restricted cash
|
|
|
1,877,875
|
|
Unrealized appreciation on forward foreign currency exchange contracts
|
|
|
1,574,336
|
|
Unamortized upfront premiums paid on credit default swap agreements
|
|
|
3,179
|
|
Unamortized upfront premiums paid on interest rate swap agreements
|
|
|
263
|
|
Prepaid expenses
|
|
|
7,722
|
|
Receivables:
|
|
|
|
|
Interest
|
|
|
3,286,830
|
|
Investments sold
|
|
|
1,805,315
|
|
Fund shares sold
|
|
|
731,338
|
|
Dividends
|
|
|
60,422
|
|
Variation margin on credit default swap agreements
|
|
|
17,260
|
|
Tax reclaims
|
|
|
1,909
|
|
Other assets
|
|
|
6,813
|
|
Total assets
|
|
|
691,355,702
|
|
|
|
|
|
|
LIABILITIES:
|
|
|
|
|
Unfunded loan commitments, at value (Note 11) (Commitment fees received $1,190,262)
|
|
|
529,028
|
|
Securities sold short, at value (proceeds $2,369,340)
|
|
|
2,625,802
|
|
Options written, at value (premiums received $12,834)
|
|
|
17,355
|
|
Unamortized upfront premiums received on credit default swap agreements
|
|
|
963,613
|
|
Unrealized depreciation on OTC swap agreements
|
|
|
475,800
|
|
Unrealized depreciation on forward foreign currency exchange contracts
|
|
|
333,013
|
|
Segregated cash due to broker
|
|
|
1,420,000
|
|
Payable for:
|
|
|
|
|
Investments purchased
|
|
|
7,582,069
|
|
Investment advisory fees
|
|
|
573,248
|
|
Offering costs
|
|
|
563,403
|
|
Protection fees on credit default swap agreements
|
|
|
235,480
|
|
Professional fees
|
|
|
111,266
|
|
Trustees’ fees and expenses*
|
|
|
26,727
|
|
Variation margin on interest rate swap agreements
|
|
|
6,739
|
|
Swap settlement
|
|
|
4,314
|
|
Variation margin on futures contracts
|
|
|
3,540
|
|
Other liabilities
|
|
|
88,803
|
|
Total liabilities
|
|
|
15,560,200
|
|
NET ASSETS
|
|
$
|
675,795,502
|
|
|
|
|
|
|
NET ASSETS CONSIST OF:
|
|
|
|
|
Common stock, $0.01 par value per share; unlimited number of shares
|
|
|
|
|
authorized, 39,484,231 shares issued and outstanding
|
|
$
|
394,842
|
|
Additional paid-in capital
|
|
|
750,929,960
|
|
Total distributable earnings (loss)
|
|
|
(75,529,300
|
)
|
NET ASSETS
|
|
$
|
675,795,502
|
|
Shares outstanding ($0.01 par value with unlimited amount authorized)
|
|
|
39,484,231
|
|
Net asset value
|
|
$
|
17.12
|
|
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 53
|
|
STATEMENT OF OPERATIONS
|
November 30, 2019
|
For the Six Months Ended November 30, 2019 (Unaudited)
|
|
|
|
INVESTMENT INCOME:
|
|
|
|
Interest from securities of unaffiliated issuers (net of foreign tax withholding $584)
|
|
$
|
20,874,402
|
|
Dividends from securities of unaffiliated issuers
|
|
|
440,673
|
|
Total investment income
|
|
|
21,315,075
|
|
|
|
|
|
|
EXPENSES:
|
|
|
|
|
Investment advisory fees
|
|
|
3,314,908
|
|
Professional fees
|
|
|
146,909
|
|
Administration fees
|
|
|
69,778
|
|
Fund accounting fees
|
|
|
68,776
|
|
Trustees’ fees and expenses*
|
|
|
56,913
|
|
Printing fees
|
|
|
52,370
|
|
Custodian fees
|
|
|
43,902
|
|
Short sales interest expense
|
|
|
37,499
|
|
Registration and filing fees
|
|
|
29,745
|
|
Interest expense
|
|
|
14,066
|
|
Transfer agent fees
|
|
|
10,166
|
|
Insurance
|
|
|
6,528
|
|
Miscellaneous
|
|
|
7,682
|
|
Total expenses
|
|
|
3,859,242
|
|
Net investment income
|
|
|
17,455,833
|
|
|
|
|
|
|
NET REALIZED AND UNREALIZED GAIN (LOSS):
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
Investments in unaffiliated issuers
|
|
|
(1,665,658
|
)
|
Investments sold short
|
|
|
(11,698
|
)
|
Swap agreements
|
|
|
(632,803
|
)
|
Futures contracts
|
|
|
78,278
|
|
Options purchased
|
|
|
(749,134
|
)
|
Options written
|
|
|
116,691
|
|
Forward foreign currency exchange contracts
|
|
|
662,056
|
|
Foreign currency transactions
|
|
|
(75,169
|
)
|
Net realized loss
|
|
|
(2,277,437
|
)
|
Net change in unrealized appreciation (depreciation) on:
|
|
|
|
|
Investments in unaffiliated issuers
|
|
|
(10,149,286
|
)
|
Investments in affiliated issuers
|
|
|
1,819
|
|
Investments sold short
|
|
|
(122,966
|
)
|
Swap agreements
|
|
|
(1,265,492
|
)
|
Futures contracts
|
|
|
58,377
|
|
Options purchased
|
|
|
(839,938
|
)
|
Options written
|
|
|
15,820
|
|
Forward foreign currency exchange contracts
|
|
|
1,429,759
|
|
Foreign currency translations
|
|
|
1,718
|
|
Net change in unrealized appreciation (depreciation)
|
|
|
(10,870,189
|
)
|
Net realized and unrealized loss
|
|
|
(13,147,626
|
)
|
Net increase in net assets resulting from operations
|
|
$
|
4,308,207
|
|
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
See notes to financial statements.
54 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
|
November 30, 2019
|
|
|
|
|
|
Six Months Ended
|
|
|
|
|
|
|
November 30, 2019
|
|
|
Year Ended
|
|
|
|
(Unaudited)
|
|
|
May 31, 2019
|
|
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
|
|
|
|
|
|
|
Net investment income
|
|
$
|
17,455,833
|
|
|
$
|
30,692,430
|
|
Net realized loss on investments
|
|
|
(2,277,437
|
)
|
|
|
(9,560,369
|
)
|
Net change in unrealized appreciation (depreciation)
|
|
|
|
|
|
|
|
|
on investments
|
|
|
(10,870,189
|
)
|
|
|
(2,624,459
|
)
|
Net increase in net assets resulting from operations
|
|
|
4,308,207
|
|
|
|
18,507,602
|
|
DISTRIBUTIONS:
|
|
|
|
|
|
|
|
|
Distributions to shareholders
|
|
|
(41,217,132
|
)
|
|
|
(40,514,482
|
)
|
Return of capital
|
|
|
–
|
|
|
|
(28,880,612
|
)
|
Total distributions
|
|
|
(41,217,132
|
)
|
|
|
(69,395,094
|
)
|
|
|
SHAREHOLDER TRANSACTIONS:
|
|
|
|
|
|
|
|
|
Proceeds from shares issued through at-the-market offering
|
|
|
66,793,714
|
|
|
|
155,705,147
|
|
Reinvestments of distributions
|
|
|
4,482,895
|
|
|
|
6,817,561
|
|
Common shares offering costs charged to paid-in capital
|
|
|
(396,796
|
)
|
|
|
(61,023
|
)
|
Net increase in net assets resulting from shareholder transactions
|
|
|
70,879,813
|
|
|
|
162,461,685
|
|
Net increase in net assets
|
|
|
33,970,888
|
|
|
|
111,574,193
|
|
NET ASSETS:
|
|
|
|
|
|
|
|
|
Beginning of period
|
|
|
641,824,614
|
|
|
|
530,250,421
|
|
End of period
|
|
$
|
675,795,502
|
|
|
$
|
641,824,614
|
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 55
|
|
STATEMENT OF CASH FLOWS (Unaudited)
|
November 30, 2019
|
For the Six Months Ended November 30, 2019
|
|
|
|
|
|
Cash Flows from Operating Activities:
|
|
|
|
Net increase in net assets resulting from operations
|
|
$
|
4,308,207
|
|
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
|
|
|
|
|
Net Cash Used in Operating and Investing Activities:
|
|
|
|
|
Net change in unrealized (appreciation) depreciation on investments
|
|
|
10,270,433
|
|
Net change in unrealized (appreciation) depreciation on options written
|
|
|
(15,820
|
)
|
Net change in unrealized (appreciation) depreciation on options purchased
|
|
|
839,938
|
|
Net change in unrealized (appreciation) depreciation on swap agreements
|
|
|
333,750
|
|
Net change in unrealized (appreciation) depreciation on forward foreign currency
|
|
|
|
|
exchange contracts
|
|
|
(1,429,759
|
)
|
Net realized loss on investments
|
|
|
1,677,356
|
|
Net realized loss on options purchased
|
|
|
749,134
|
|
Net realized gain on options written
|
|
|
(116,691
|
)
|
Net realized loss on swap agreements
|
|
|
106,914
|
|
Purchase of long-term investments
|
|
|
(217,001,308
|
)
|
Proceeds from sale of long-term investments
|
|
|
99,729,412
|
|
Net proceeds from sale of short-term investments
|
|
|
77,703,379
|
|
Return of capital distributions received from investments
|
|
|
7,651
|
|
Net accretion of discount and amortization of premium
|
|
|
(3,903,611
|
)
|
Corporate actions and other payments
|
|
|
(17,548
|
)
|
Premiums received on options written
|
|
|
76,012
|
|
Cost of closing options written
|
|
|
(132,676
|
)
|
Commitment fees received and repayments of unfunded loan commitments
|
|
|
(135,610
|
)
|
Increase in interest receivable
|
|
|
(150,685
|
)
|
Increase in dividends receivable
|
|
|
(60,422
|
)
|
Increase in investments sold receivable
|
|
|
(1,311,701
|
)
|
Decrease in variation margin on credit default swap agreements
|
|
|
104,040
|
|
Decrease in prepaid expenses
|
|
|
21,100
|
|
Decrease in tax reclaims receivable
|
|
|
72
|
|
Increase in other assets
|
|
|
(6,813
|
)
|
Decrease in investments purchased payable
|
|
|
(3,819,115
|
)
|
Decrease in professional fees payable
|
|
|
(93,464
|
)
|
Increase in segregated cash due to broker
|
|
|
1,420,000
|
|
Increase in investment advisory fees payable
|
|
|
12,677
|
|
Increase in swap settlement payable
|
|
|
4,314
|
|
Decrease in protection fees on credit default swap agreements
|
|
|
(3,271
|
)
|
Increase in variation margin on interest rate swap agreements
|
|
|
6,739
|
|
Decrease in variation margin on futures contracts
|
|
|
(11,820
|
)
|
Increase in trustees’ fees and expenses payable*
|
|
|
2,806
|
|
Increase in accrued expenses and other liabilities
|
|
|
14,744
|
|
Net Cash Used in Operating and Investing Activities
|
|
$
|
(30,821,636
|
)
|
See notes to financial statements.
56 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
STATEMENT OF CASH FLOWS (Unaudited) continued
|
November 30, 2019
|
For the Six Months Ended November 30, 2019
|
|
|
|
|
|
Cash Flows From Financing Activities:
|
|
|
|
Distributions to common shareholders
|
|
$
|
(36,734,237
|
)
|
Proceeds from the issuance of common shares
|
|
|
66,788,719
|
|
Proceeds from reverse repurchase agreements
|
|
|
1,853,563
|
|
Payments made on reverse repurchase agreements
|
|
|
(1,853,563
|
)
|
Offering costs in connection with the issuance of common shares
|
|
|
(269,187
|
)
|
Net Cash Provided by Financing Activities
|
|
$
|
29,785,295
|
|
Net decrease in cash
|
|
|
(1,036,341
|
)
|
Cash at Beginning of Year (including foreign currency and restricted cash)
|
|
|
3,923,599
|
|
Cash at End of Year (including restricted cash)**
|
|
$
|
2,887,258
|
|
Supplemental Disclosure of Cash Flow Information:
|
|
|
|
|
Cash paid during the year for interest
|
|
$
|
14,066
|
|
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment
|
|
$
|
4,482,895
|
|
|
|
*
|
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
|
**
|
Includes $1,009,383 of cash and $1,877,875 of segregated cash for swap agreements with broker.
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 57
|
|
FINANCIAL HIGHLIGHTS
|
November 30, 2019
|
|
|
Period Ended
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
November 30,
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
2019
|
|
|
May 31,
|
|
|
May 31,
|
|
|
May 31,
|
|
|
May 31,
|
|
|
May 31,
|
|
|
|
(Unaudited)
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
|
|
Per Share Data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
17.91
|
|
|
$
|
19.12
|
|
|
$
|
19.78
|
|
|
$
|
17.50
|
|
|
$
|
19.61
|
|
|
$
|
20.56
|
|
Income from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a)
|
|
|
0.46
|
|
|
|
0.97
|
|
|
|
1.23
|
|
|
|
1.61
|
|
|
|
1.40
|
|
|
|
1.28
|
|
Net gain (loss) on investments (realized and unrealized)
|
|
|
(0.16
|
)
|
|
|
0.01
|
|
|
|
0.30
|
|
|
|
2.86
|
|
|
|
(1.33
|
)
|
|
|
(0.05
|
)
|
Total from investment operations
|
|
|
0.30
|
|
|
|
0.98
|
|
|
|
1.53
|
|
|
|
4.47
|
|
|
|
0.07
|
|
|
|
1.23
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(1.09
|
)
|
|
|
(1.12
|
)
|
|
|
(2.01
|
)
|
|
|
(2.18
|
)
|
|
|
(1.82
|
)
|
|
|
(1.42
|
)
|
Capital gains
|
|
|
—
|
|
|
|
(0.16
|
)
|
|
|
(0.18
|
)
|
|
|
(0.01
|
)
|
|
|
(0.36
|
)
|
|
|
(0.76
|
)
|
Return of capital
|
|
|
—
|
|
|
|
(0.91
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Total distributions to shareholders
|
|
|
(1.09
|
)
|
|
|
(2.19
|
)
|
|
|
(2.19
|
)
|
|
|
(2.19
|
)
|
|
|
(2.18
|
)
|
|
|
(2.18
|
)
|
Net asset value, end of period
|
|
$
|
17.12
|
|
|
$
|
17.91
|
|
|
$
|
19.12
|
|
|
$
|
19.78
|
|
|
$
|
17.50
|
|
|
$
|
19.61
|
|
Market value, end of period
|
|
$
|
19.36
|
|
|
$
|
19.96
|
|
|
$
|
21.29
|
|
|
$
|
20.94
|
|
|
$
|
17.61
|
|
|
$
|
21.21
|
|
|
|
Total Return(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value
|
|
|
1.66
|
%
|
|
|
5.43
|
%
|
|
|
8.02
|
%
|
|
|
26.76
|
%
|
|
|
0.80
|
%
|
|
|
6.39
|
%
|
Market value
|
|
|
2.76
|
%
|
|
|
4.94
|
%
|
|
|
13.31
|
%
|
|
|
33.33
|
%
|
|
|
-6.07
|
%
|
|
|
8.08
|
%
|
Ratios/Supplemental Data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
675,796
|
|
|
$
|
641,825
|
|
|
$
|
530,250
|
|
|
$
|
410,465
|
|
|
$
|
310,246
|
|
|
$
|
342,988
|
|
Ratio to average net assets of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income, including interest expense
|
|
|
5.28
|
%(f)
|
|
|
5.26
|
%
|
|
|
6.27
|
%
|
|
|
8.55
|
%
|
|
|
7.79
|
%
|
|
|
6.44
|
%
|
Total expenses, including interest expense(c)(d)
|
|
|
1.17
|
%(f)
|
|
|
1.17
|
%
|
|
|
1.52
|
%
|
|
|
2.35
|
%
|
|
|
2.38
|
%
|
|
|
2.16
|
%
|
Portfolio turnover rate
|
|
|
17
|
%
|
|
|
38
|
%
|
|
|
48
|
%
|
|
|
41
|
%
|
|
|
116
|
%
|
|
|
86
|
%
|
See notes to financial statements.
58 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
FINANCIAL HIGHLIGHTS continued
|
November 30, 2019
|
|
|
Period Ended
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
November 30,
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
2019
|
|
|
May 31,
|
|
|
May 31,
|
|
|
May 31,
|
|
|
May 31,
|
|
|
May 31,
|
|
|
|
(Unaudited)
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
|
|
Senior Indebtedness:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings-committed facility agreement (in thousands)
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
$
|
16,705
|
|
|
$
|
9,355
|
|
|
$
|
45,489
|
|
Asset Coverage per $1,000 of borrowing(e)
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
$
|
25,571
|
|
|
$
|
34,164
|
|
|
$
|
8,540
|
|
|
|
(a)
|
Based on average shares outstanding.
|
(b)
|
Total return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are
assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total return does not reflect brokerage commissions. A return calculated for a period of less than
one year is not annualized.
|
(c)
|
The ratios of total expenses to average net assets applicable to common shares do not reflect fees and expenses incurred indirectly by the Fund as a result of its investment in shares of other investment companies. If these fees were
included in the expense ratios, the expense ratios would increase by 0.00%*, 0.00%*, 0.00%*, 0.00%*, 0.02% and 0.03% for the period ended November 30, 2019 and for the years ended May 31, 2019, 2018, 2017, 2016, and 2015 respectively.
|
(d)
|
Excluding interest expense, the operating expense ratios for the period ended November 30, 2019 and the years ended May 31 would be:
|
|
|
|
|
|
|
November 30,
|
|
|
|
|
|
2019
|
|
|
|
|
|
(Unaudited)
|
2019
|
2018
|
2017
|
2016
|
2015
|
1.16%
|
1.15%
|
1.33%
|
1.62%
|
1.74%
|
1.72%
|
|
|
(e)
|
Calculated by subtracting the Fund’s total liabilities (not including the borrowings) from the Fund’s total assets and dividing by the borrowings.
|
(f)
|
Annualized.
|
*
|
Less than 0.01%.
|
See notes to financial statements.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 59
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)
|
November 30, 2019
|
Note 1 – Organization
Guggenheim Strategic Opportunities Fund (the “Fund”) was organized as a Delaware statutory trust on November 13, 2006. The Fund is registered as a diversified, closed-end management investment company under the
Investment Company Act of 1940, as amended (the “1940 Act”).
The Fund’s investment objective is to maximize total return through a combination of current income and capital appreciation.
Note 2 – Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic
946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Fund. This requires management to make estimates and
assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could
differ from these estimates. All time references are based on Eastern Time.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated
to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation
Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as
needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures,
regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis
of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the
last sale price.
60 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their net asset value (“NAV”) as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale
price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the
close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m.
Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those
discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that
are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and Guggenheim Funds Investment Advisors, LLC (“GFIA or the “Adviser”) are authorized to use prices and other information supplied by a third party
pricing vendor in valuing foreign securities.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade
activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at
acquisition are valued at amortized cost, provided such amount approximates market value.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes. If the pricing service cannot or does not provide a valuation for a particular loan, or such
valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options are valued using a price provided by a pricing service.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial
futures contracts are valued at the 4:00 p.m price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange.
However, the underlying securities from which
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 61
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the spread priced off the previous day’s
Chicago Mercantile Exchange price.
The values of over-the-counter (“OTC”) swap agreements and credit default swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined
by marking the agreements to the last quoted value of the index or other underlying positions that the swaps pertain to at the close NYSE.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GFIA, subject to review and approval by the Valuation Committee, pursuant to methods established or
ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. 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 market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and
characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
(b) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the
ex-dividend date and interest income is recorded on an accrual basis. Discounts or premiums on debt securities purchased are accreted or amortized to interest income over the lives of the respective securities using the effective interest method.
Paydown gains and losses on mortgage-backed and asset-backed securities are treated as an adjustment to interest income.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and
estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are
generally (i) the lending rate offered by one or more major European banks, such as
62 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate
interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less
than the stated maturities disclosed on the Schedule of Investments.
The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite
obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through
investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain
restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of
default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other
risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws
and instead may have to resort to state law and direct claims.
(d) Currency Translations
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales
of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign
government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held.
Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized
exchange appreciation and depreciation arise from changes in the fair
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 63
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(e) Forward Foreign Currency Exchange Contracts
Forward foreign currency exchange contracts are agreements between two parties to buy and sell currencies at a set price on a future date. Fluctuations in the value of open forward foreign currency exchange contracts
are recorded for financial reporting purposes as unrealized appreciation and depreciation by the Fund until the contracts are closed. When the contracts are closed, realized gains and losses are recorded, and included on the Statement of Operations
in forward foreign currency exchange contracts.
(f) Distributions to Shareholders
The Fund declares and pays monthly distributions to common shareholders. These distributions consist of investment company taxable income, which generally includes qualified dividend income, ordinary income and
short-term capital gains. Any net realized long-term capital gains are distributed annually to common shareholders. To the extent distributions exceed taxable income, the excess will be deemed a return of capital.
Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
(g) Restricted Cash
A portion of cash on hand relates to collateral received by the Fund for repurchase agreements and futures contracts. This amount, if any, is presented on the Statement of Assets and Liabilities as Restricted Cash. At
November 30, 2019, there was $1,877,875 of restricted cash outstanding.
(h) U.S. Government Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other
securities bear interest at the rates shown, payable at fixed dates through maturity.
(i) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are
recognized as realized gains or losses.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are
recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
64 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
(j) Options
Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the
option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it
realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise
increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the
premium received when the option was sold).
(k) Futures Contracts
Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the
contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(l) Short Sales
When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the
market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to
the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund.
The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(m) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, throughout the normal course of
business, the Fund enters into contracts that contain a variety of
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 65
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note 3 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized
in the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 2 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will
realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be
used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher
investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand
how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Fund utilized derivatives for the following purposes:
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to
66 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:
|
|
|
|
|
|
|
|
|
Average Notional Amount
|
|
Use
|
|
Call
|
|
|
Put
|
|
Hedge
|
|
$
|
–
|
|
|
$
|
554,756,011
|
|
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if
the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a
closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Fund’s use and volume of call/put options written on a monthly basis:
|
|
|
|
|
|
|
|
|
Average Notional Amount
|
|
Use
|
|
Call
|
|
|
Put
|
|
Hedge, Income
|
|
$
|
900,194
|
|
|
$
|
–
|
|
Futures Contracts
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a
Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures
contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because
futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statement of Assets and Liabilities; securities
held as collateral are noted on the Schedule of Investments.
The following table represents the Fund’s use and volume of futures on a monthly basis:
|
|
|
|
|
|
|
|
|
Average Notional Amount
|
|
Use
|
|
Long
|
|
|
Short
|
|
Index Exposure
|
|
$
|
924,615
|
|
|
$
|
–
|
|
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 67
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
Swap Agreements
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an
underlying asset. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in
value.
Certain standardized swaps are subject to mandatory central clearing and are executed on a multilateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with
respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. Upon entering into certain centrally-cleared swap transactions, the Fund is required to deposit with
its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin payments or receipts are made or received by the Fund, depending on fluctuations in the fair value of the reference entity.
For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure
under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps
will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated
with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying
reference asset declines in value.
The following table represents the Fund’s use and volume of total return swaps on a monthly basis:
|
|
|
|
|
|
|
|
|
Average Notional Amount
|
|
Use
|
|
Long
|
|
|
Short
|
|
Income
|
|
$
|
1,199,751
|
|
|
$
|
–
|
|
Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are
generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.
The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:
|
|
|
|
|
|
|
|
|
Average Notional Amount
|
|
|
|
Pay
|
|
|
Receive
|
|
Use
|
|
Floating Rate
|
|
|
Floating Rate
|
|
Hedge
|
|
$
|
–
|
|
|
$
|
1,593,333
|
|
68 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Fund enters into
credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect
to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred.
If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying
securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the
referenced index. The Notional Amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and
may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will received a
payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling
the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount
expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.
The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the
likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the
swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:
|
|
|
|
|
|
|
|
|
Average Notional Amount
|
|
|
|
Protection
|
|
|
Protection
|
|
Use
|
|
Sold
|
|
|
Purchased
|
|
Hedge
|
|
$
|
–
|
|
|
$
|
117,740,000
|
|
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 69
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal
to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract
terms or if the currency value changes unfavorably as compared to the U.S. dollar.
The following table represents the Fund’s use, and volume of forward foreign currency exchange contracts on a monthly basis:
|
|
|
|
|
|
|
|
|
Average Value
|
|
Use
|
|
Purchased
|
|
|
Sold
|
|
Hedge,Income
|
|
$
|
10,281,401
|
|
|
$
|
76,769,976
|
|
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of November 30, 2019:
|
|
|
Derivative Investment Type
|
Asset Derivatives
|
Liability Derivatives
|
Equity contracts
|
Investments in unaffiliated
|
Variation margin on
|
|
issuers, at value
|
futures contracts
|
|
|
Options written, at value
|
|
Interest rate contracts
|
Investments in unaffiliated
|
Variation margin on interest
|
|
issuers, at value
|
rate swap agreements
|
|
Credit contracts
|
Unamortized upfront premiums
|
Unrealized depreciation on
|
|
paid on credit default
|
OTC swap agreements
|
|
swap agreements
|
|
|
|
Variation margin on credit
|
Unamortized upfront
|
|
default swap agreements
|
premiums received on credit
|
|
|
default swap agreements
|
|
Currency contracts
|
Unrealized appreciation on
|
Unrealized depreciation on
|
|
forward foreign currency
|
forward foreign currency
|
|
exchange contracts
|
exchange contracts
|
70 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at November 30, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Derivative Investments Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options
|
|
|
Forward
|
|
|
|
|
|
|
|
Swaps
|
|
|
|
|
|
Options
|
|
|
Purchased
|
|
|
Foreign
|
|
|
|
|
Futures
|
|
|
Interest
|
|
|
Swaps
|
|
|
Written
|
|
|
Interest
|
|
|
Currency
|
|
|
Total Value at
|
|
Equity
|
|
|
Rate
|
|
|
Credit
|
|
|
Equity
|
|
|
Rate
|
|
|
Exchange
|
|
|
November 30,
|
|
Risk*
|
|
|
Risk
|
|
|
Risk*
|
|
|
Risk
|
|
|
Risk
|
|
|
Risk
|
|
|
2019
|
|
$
|
40,208
|
|
|
$
|
4,628
|
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
922,460
|
|
|
$
|
1,574,336
|
|
|
$
|
2,541,632
|
|
|
|
|
|
Liability Derivative Investments Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options
|
|
|
Forward
|
|
|
|
|
|
|
|
|
|
Swaps
|
|
|
|
|
|
|
Options
|
|
|
Purchased
|
|
|
Foreign
|
|
|
|
|
|
Futures
|
|
|
Interest
|
|
|
Swaps
|
|
|
Written
|
|
|
Interest
|
|
|
Currency
|
|
|
Total Value at
|
|
Equity
|
|
|
Rate
|
|
|
Credit
|
|
|
Equity
|
|
|
Rate
|
|
|
Exchange
|
|
|
November 30,
|
|
Risk*
|
|
|
Risk
|
|
|
Risk*
|
|
|
Risk
|
|
|
Risk
|
|
|
Risk
|
|
|
|
2019
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
1,936,791
|
|
|
$
|
17,355
|
|
|
$
|
–
|
|
|
$
|
333,013
|
|
|
$
|
2,287,159
|
|
|
*
|
Includes cumulative appreciation (depreciation) of futures contracts and OTC and centrally-cleared swap agreements as reported on the Schedule of Investments. For futures contracts and
centrally-cleared swaps, variation margin is reported within the Statement of Assets and Liabilities.
|
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended November 30, 2019:
|
|
Derivative Investment Type
|
Location of Gain (Loss) on Derivatives
|
Equity contracts
|
Net realized gain (loss) on futures contracts
|
|
Net change in unrealized appreciation
|
|
(depreciation) on futures contracts
|
|
Net realized gain (loss) on options written
|
|
Net change in unrealized appreciation
|
|
(depreciation) on options written
|
|
Interest rate contracts
|
Net realized gain (loss) on options purchased
|
|
Net change in unrealized appreciation
|
|
(depreciation) on options purchased
|
|
Net realized gain (loss) on swap agreements
|
|
Net change in unrealized appreciation
|
|
(depreciation) on swap agreements
|
|
Credit contracts
|
Net realized gain (loss) on swap agreements
|
|
Net change in unrealized appreciation
|
|
(depreciation) on swap agreements
|
|
Currency contracts
|
Net realized gain (loss) on forward foreign
|
|
currency exchange contracts
|
|
Net change in unrealized appreciation
|
|
(depreciation) on forward foreign currency
|
|
exchange contracts
|
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 71
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure
for the period ended November 30, 2019:
|
|
|
|
|
|
|
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
|
|
|
|
|
Options
|
Forward
|
|
|
Swaps
|
|
Options
|
Purchased
|
Foreign
|
|
Futures
|
Interest
|
Swaps
|
Written
|
Interest
|
Currency
|
|
Equity
|
Rate
|
Credit
|
Equity
|
Rate
|
Exchange
|
|
Risk
|
Risk
|
Risk
|
Risk
|
Risk
|
Risk
|
Total
|
$ 78,278
|
$(632,358)
|
$ (445)
|
$ 116,691
|
$ (749,134)
|
$ 662,056
|
$ (524,912)
|
|
|
|
|
|
|
|
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
|
|
|
|
|
Options
|
Forward
|
|
|
Swaps
|
|
Options
|
Purchased
|
Foreign
|
|
Futures
|
Interest
|
Swaps
|
Written
|
Interest
|
Currency
|
|
Equity
|
Rate
|
Credit
|
Equity
|
Rate
|
Exchange
|
|
Risk
|
Risk
|
Risk
|
Risk
|
Risk
|
Risk
|
Total
|
$ 58,377
|
$ 4,628
|
$(1,270,120)
|
$ 15,820
|
$ (839,938)
|
$ 1,429,759
|
$ (601,474)
|
In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses
margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those
currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over
short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with
conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively
hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to
the U.S. dollar.
The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets
can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in
financial instruments that are
72 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such
securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may
fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a
foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against
dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.
The Fund has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Fund monitors the counterparty credit risk.
Note 4 – Offsetting
In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to
counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of
default, credit event upon merger or additional termination event.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master
Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange
contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event
of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the
value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are
reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in
connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund,
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 73
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally,
the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully
collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good
standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Amount
|
|
|
Gross Amounts Not Offset
|
|
|
|
|
|
|
|
|
|
Gross Amounts
|
|
|
of Assets
|
|
|
in the Statement of
|
|
|
|
|
|
|
Gross
|
|
|
Offset in the
|
|
|
Presented on the
|
|
|
Assets and Liabilities
|
|
|
|
|
|
|
Amounts of
|
|
|
Statement of
|
|
|
Statement of
|
|
|
|
|
|
Cash
|
|
|
|
|
|
|
Recognized
|
|
|
Assets and
|
|
|
Assets and
|
|
|
Financial
|
|
|
Collateral
|
|
|
|
|
Instrument
|
|
Assets1
|
|
|
Liabilities
|
|
|
Liabilities
|
|
|
Instruments
|
|
|
Received
|
|
|
Net Amount
|
|
Forward foreign
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
currency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
$
|
1,574,336
|
|
|
$
|
–
|
|
|
$
|
1,574,336
|
|
|
$
|
(622,884
|
)
|
|
$
|
(620,616
|
)
|
|
$
|
330,836
|
|
Options purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
922,460
|
|
|
|
–
|
|
|
|
922,460
|
|
|
|
–
|
|
|
|
(679,140
|
)
|
|
|
243,320
|
|
|
|
|
|
|
|
|
|
|
|
Net Amount
|
|
|
Gross Amounts Not Offset
|
|
|
|
|
|
|
|
|
|
Gross Amounts
|
|
|
of Liabilities
|
|
|
in the Statement of
|
|
|
|
|
|
|
Gross
|
|
|
Offset in the
|
|
|
Presented on the
|
|
|
Assets and Liabilities
|
|
|
|
|
|
|
Amounts of
|
|
|
Statement of
|
|
|
Statement of
|
|
|
|
|
|
Cash
|
|
|
|
|
|
|
Recognized
|
|
|
Assets and
|
|
|
Assets and
|
|
|
Financial
|
|
|
Collateral
|
|
|
|
|
Instrument
|
|
Liabilities1
|
|
|
Liabilities
|
|
|
Liabilities
|
|
|
Instruments
|
|
|
Pledged
|
|
|
Net Amount
|
|
Credit
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
default
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
swap
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
agreements
|
|
$
|
460,117
|
|
|
$
|
–
|
|
|
$
|
460,117
|
|
|
$
|
(316,794
|
)
|
|
$
|
–
|
|
|
$
|
143,323
|
|
Forward foreign
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
currency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
333,013
|
|
|
|
–
|
|
|
|
333,013
|
|
|
|
(306,090
|
)
|
|
|
–
|
|
|
|
26,923
|
|
Sovereign
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
debt swap
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
agreements
|
|
|
15,683
|
|
|
|
–
|
|
|
|
15,683
|
|
|
|
–
|
|
|
|
–
|
|
|
|
15,683
|
|
|
1 Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.
|
74 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table
presents deposits held by others in connection with derivative investments as of November 30, 2019.
|
|
|
|
|
|
|
|
Counterparty
|
Asset Type
|
|
Cash Pledged
|
|
|
Cash Received
|
|
BofA Securities, Inc.
|
Credit default swap agreements
|
|
$
|
1,137,777
|
|
|
$
|
–
|
|
BofA Securities, Inc.
|
Interest rate swap agreements
|
|
|
740,098
|
|
|
|
–
|
|
Citigroup Global Markets Inc.
|
Forward foreign currency exchange
|
|
|
|
|
|
|
|
|
|
contracts, Options purchased
|
|
|
–
|
|
|
|
1,420,000
|
|
|
|
|
$
|
1,877,875
|
|
|
$
|
1,420,000
|
|
Note 5 – Fees and Other Transactions with Affiliates
Pursuant to an Investment Advisory Agreement between the Fund and the Adviser, the Adviser furnishes offices, necessary facilities and equipment, provides administrative services, oversees the activities of Guggenheim
Partners Investment Management, LLC (“GPIM” or “Sub-Adviser”), provides personnel including certain officers required for the Fund’s administrative management and compensates the officers and trustees of the Fund who are affiliates of the Adviser. As
compensation for these services, the Fund pays the Adviser a fee, payable monthly, in an amount equal to 1.00% of the Fund’s average daily managed assets.
Pursuant to a Sub-Advisory Agreement among the Fund, the Adviser and GPIM, GPIM under the supervision of the Fund’s Board of Trustees and the Adviser, provides a continuous investment program for the Fund’s portfolio;
provides investment research; makes and executes recommendations for the purchase and sale of securities; and provides certain facilities and personnel, including certain officers required for its administrative management and pays the compensation
of all officers and trustees of the Fund who are GPIM’s affiliates. As compensation for its services, the Adviser pays GPIM a fee, payable monthly, in an annual amount equal to 0.50% of the Fund’s average daily managed assets.
For purposes of calculating the fees payable under the foregoing agreements, average daily managed assets means the average daily value of the Fund’s total assets minus the sum of its accrued liabilities. Total assets
means all of the Fund’s assets and is not limited to its investment securities. Accrued liabilities means all of the Fund’s liabilities other than borrowings for investment purposes.
Certain officers and trustees of the Fund may also be officers, directors and/or employees of the Adviser or GPIM. The Fund does not compensate its officers who are officers, directors and/or employees of the
aforementioned firms.
GFIA pays operating expenses on behalf of the Fund, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis.
MUFG Investor Service (US), LLC (“MUIS”) acts as the Fund’s administrator and accounting agent. As administrator and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of
New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 75
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
aforementioned services, MUIS and BNY are entitled to receive a monthly fee equal to an annual percentage of the Fund’s average daily managed assets subject to certain minimum monthly fees and out of pocket expenses.
Note 6 – Fair Value Measurement
In accordance with U.S. GAAP, 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. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires
corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — quoted prices in active markets for identical assets or liabilities.
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no
observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including:
market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury
securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other
market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations.
Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly quote.
76 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine
fair valuation are regularly monitored and subject to change.
Note 7 – Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio instrument to another
party, such as a bank or broker-dealer, in return for cash. At the same time, the Fund agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have the economic effect of borrowings.
The Fund may enter into such agreements when it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Fund enters into a reverse repurchase agreement, any fluctuations in the
market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Fund’s assets. As a result, such transactions may increase fluctuations in the market
value of the Fund’s assets. For the period ended November 30, 2019, the average daily balance for which reverse repurchase agreements were outstanding amounted to $682,964. The weighted average interest rate was (0.80%). As of November 30, 2019,
there were no reverse repurchase agreements outstanding.
Note 8 – Borrowings
The Fund has entered into a $80,000,000 credit facility agreement with an approved lender whereby the lender has agreed to provide secured financing to the Fund and the Fund will provide pledged collateral to the
lender. Interest on the amount borrowed is based on the 3 month LIBOR plus 0.85%. The Fund did not have any borrowings outstanding in connection with the Fund’s credit facility as of or for the period ended November 30, 2019.
The credit facility agreement governing the loan facility includes usual and customary covenants. These covenants impose on the Fund asset coverage requirements, collateral requirements, investment strategy
requirements, and certain financial obligations. These covenants place limits or restrictions on the Fund’s ability to (i) enter into additional indebtedness with a party other than the counterparty, (ii) change its fundamental investment policy, or
(iii) pledge to any other party, other than to the counterparty, securities owned or held by the Fund over which the counterparty has a lien. In addition, the Fund is required to deliver financial information to the counterparty within established
deadlines, maintain an asset coverage ratio (as defined in Section 18(g) of the 1940 Act) greater than 300%, comply with the rules of the stock exchange on which its shares are listed, and maintain its classification as a “closed-end management
investment company” as defined in the 1940 Act.
There is no guarantee that the Fund’s leverage strategy will be successful. The Fund’s use of leverage may cause the Fund’s NAV and market price of common shares to be more volatile and can magnify the effect of any
losses.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 77
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
Note 9 – Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital
gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax
authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax
returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of
three years after they are filed.
At November 30, 2019, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate
gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
|
|
|
|
|
|
|
Net
|
|
Tax
|
Tax
|
Unrealized
|
Tax
|
Unrealized
|
Unrealized
|
Appreciation/
|
Cost
|
Appreciation
|
Depreciation
|
(Depreciation)
|
$704,883,855
|
$10,331,452
|
$(37,536,039)
|
$(27,204,587)
|
As of May 31, 2019, (the most recent fiscal year end for U.S. federal income tax purposes) tax components of distributable earnings/)loss) were as follows:
|
|
|
|
Net
|
|
Accumulated
|
Unrealized
|
|
Capital and
|
Appreciation/
|
|
Other Losses
|
(Depreciation)
|
Total
|
$(14,654,569)
|
$(23,965,806)
|
$(38,620,375)
|
For the year ended May 31, 2019, (the most fiscal year end for U.S. federal income tax purposes) the tax character of distributions paid to shareholders as reflected in the Statement of Changes in Net Assets was
follows:
|
|
|
|
Ordinary
|
Long-Term
|
Return of
|
|
Income
|
Capital Gain
|
Capital
|
Total
|
$38,174,878
|
$2,339,604
|
$28,880,612
|
$69,395,094
|
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
For all open tax years and all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements.
78 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
Uncertain tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns that would not meet a more-likely-than-not threshold of being sustained by the applicable tax authority and would
be recorded as tax expense in the current year. Open tax years are those that are open for examination by taxing authorities (i.e. generally the last four tax year ends and the interim tax period since then).
Note 10 – Securities Transactions
For the period ended November 30, 2019, the cost of purchases and proceeds from sales of investment securities, excluding written options, swap agreements, futures contracts and short-term investments were as follows:
|
|
Purchases
|
Sales
|
$217,001,308
|
$99,729,412
|
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any
purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers
complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period November 30, 2019, the Fund engaged in purchases and sales
of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
|
|
|
Purchases
|
Sales
|
Realized Gain
|
$2,764,438
|
$–
|
$–
|
Note 11 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of November 30, 2019. The Fund is obligated to fund these loan commitments at the borrower’s discretion. The Fund reserves
against such contingent obligations by designating cash, liquid securities, illiquid securities, and liquid term loans as a reserve. As of November 30, 2019, the total amount segregated in connection with unfunded loan commitments was $14,927,578.
The unfunded loan commitments as of November 30, 2019, were as follows:
|
|
|
|
|
|
|
|
Borrower
|
Maturity Date
|
|
Face Amount*
|
|
|
Value
|
|
Alexander Mann
|
12/16/24
|
|
GBP 1,250,000
|
|
|
$
|
179,649
|
|
Anchor Packaging LLC
|
07/18/26
|
|
|
296,154
|
|
|
|
1,405
|
|
Apro LLC
|
11/14/26
|
|
|
380,000
|
|
|
|
3,752
|
|
Aspect Software, Inc.
|
07/15/23
|
|
|
211,650
|
|
|
|
2,595
|
|
BCPE Empire Holdings, Inc.
|
06/11/26
|
|
|
272,975
|
|
|
|
2,388
|
|
Cypress Intermediate Holdings III, Inc.
|
04/27/22
|
|
|
1,250,000
|
|
|
|
74,102
|
|
DCG Acquisition Corp.
|
09/30/26
|
|
|
243,333
|
|
|
|
5,981
|
|
Examworks Group, Inc.
|
01/27/23
|
|
|
1,500,000
|
|
|
|
69,770
|
|
Fortis Solutions Group LLC
|
12/15/23
|
|
|
163,320
|
|
|
|
13,540
|
|
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 79
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
|
|
|
|
|
|
|
|
Borrower
|
Maturity Date
|
|
Face Amount*
|
|
|
Value
|
|
Galls LLC
|
01/31/25
|
|
|
349,651
|
|
|
$
|
2,908
|
|
Galls LLC
|
01/31/24
|
|
|
24,963
|
|
|
|
2,260
|
|
Hostess Brands LLC
|
08/03/20
|
|
|
500,000
|
|
|
|
9,603
|
|
Lytx, Inc.
|
08/31/22
|
|
|
52,632
|
|
|
|
3,625
|
|
Mavis Tire Express Services Corp.
|
03/20/25
|
|
|
26,154
|
|
|
|
1,460
|
|
MRI Software LLC
|
06/30/23
|
|
|
50,000
|
|
|
|
2,838
|
|
OEConnection LLC
|
09/25/26
|
|
|
147,186
|
|
|
|
717
|
|
Packaging Coordinators Midco, Inc.
|
07/01/21
|
|
|
1,500,000
|
|
|
|
59,416
|
|
SHO Holding I Corp.
|
10/27/21
|
|
|
166,000
|
|
|
|
17,430
|
|
Situs AMC Holdings Corp.
|
06/30/25
|
|
|
129,730
|
|
|
|
–
|
|
SLR Consulting Ltd.
|
05/23/25
|
|
GBP 95,630
|
|
|
|
2,660
|
|
Solera LLC
|
03/03/21
|
|
|
2,033,000
|
|
|
|
72,038
|
|
Trader Interactive
|
06/15/23
|
|
|
115,385
|
|
|
|
–
|
|
WIRB - Copernicus Group, Inc.
|
08/15/22
|
|
|
287,347
|
|
|
|
891
|
|
|
|
|
|
|
|
|
$
|
529,028
|
|
|
* The face amount is denominated in U.S. dollars unless otherwise indicated.
|
GBP – British Pound
|
Note 12 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
|
|
|
|
|
|
|
|
Restricted Securities
|
Acquisition Date
|
|
Cost
|
|
|
Value
|
|
Airplanes Pass Through Trust
|
|
|
|
|
|
|
|
2001-1A, 2.88% (1 Month USD LIBOR + 0.55%,
|
|
|
|
|
|
|
|
Rate Floor: 0.55%) due 03/15/191,4
|
10/14/09
|
|
$
|
5,384,675
|
|
|
$
|
106,420
|
|
Atlas Mara Ltd.
|
|
|
|
|
|
|
|
|
|
8.00% due 12/31/20
|
10/01/15
|
|
|
2,099,971
|
|
|
|
1,947,000
|
|
Atlas Senior Loan Fund IX Ltd.
|
|
|
|
|
|
|
|
|
|
2018-9A, due 04/20/282,5
|
11/29/12
|
|
|
2,450,500
|
|
|
|
1,118,445
|
|
Babson CLO Ltd.
|
|
|
|
|
|
|
|
|
|
2014-IA, due 07/20/252
|
10/13/17
|
|
|
1,535,100
|
|
|
|
433,242
|
|
Basic Energy Services, Inc.
|
|
|
|
|
|
|
|
|
|
10.75% due 10/15/23
|
09/25/18
|
|
|
496,100
|
|
|
|
357,500
|
|
Beverages & More, Inc.
|
|
|
|
|
|
|
|
|
|
11.50% due 06/15/22
|
06/16/17
|
|
|
628,132
|
|
|
|
409,500
|
|
Bruin E&P Partners LLC
|
|
|
|
|
|
|
|
|
|
8.88% due 08/01/23
|
07/23/18
|
|
|
976,235
|
|
|
|
633,600
|
|
Carlyle Global Market Strategies CLO Ltd.
|
|
|
|
|
|
|
|
|
|
2012-3A, due 01/14/322
|
09/20/12
|
|
|
2,515,500
|
|
|
|
1,286,537
|
|
CBC Insurance Revenue Securitization LLC
|
|
|
|
|
|
|
|
|
|
2016-1, 5.25% due 07/15/46
|
08/09/19
|
|
|
331,300
|
|
|
|
347,647
|
|
CNB Financial Corp.
|
|
|
|
|
|
|
|
|
|
5.75% due 10/15/263
|
09/14/16
|
|
|
2,000,000
|
|
|
|
2,038,855
|
|
Dryden 37 Senior Loan Fund
|
|
|
|
|
|
|
|
|
|
2015-37A, due 01/15/312
|
01/29/15
|
|
|
971,250
|
|
|
|
649,754
|
|
Dryden 41 Senior Loan Fund
|
|
|
|
|
|
|
|
|
|
2015-41A, due 04/15/312
|
04/18/18
|
|
|
879,687
|
|
|
|
706,816
|
|
Dryden 50 Senior Loan Fund
|
|
|
|
|
|
|
|
|
|
2017-50A, due 07/15/302
|
07/24/17
|
|
|
3,089,900
|
|
|
|
2,441,887
|
|
Exide International Holdings, LP
|
|
|
|
|
|
|
|
|
|
10.75% (in-kind rate was 4.50%) due 10/31/216
|
05/31/19
|
|
|
683,332
|
|
|
|
710,989
|
|
80 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
|
|
|
|
|
|
|
|
Restricted Securities
|
Acquisition Date
|
|
Cost
|
|
|
Value
|
|
Exide Technologies
|
|
|
|
|
|
|
|
11.00% due 10/31/245
|
07/02/19
|
|
$
|
1,957,262
|
|
|
$
|
1,661,975
|
|
FDF I Ltd.
|
|
|
|
|
|
|
|
|
|
2015-1A, 7.50% due 11/12/30
|
04/22/16
|
|
|
988,483
|
|
|
|
989,247
|
|
FDF II Ltd.
|
|
|
|
|
|
|
|
|
|
2016-2A, 7.70% due 05/12/31
|
04/15/16
|
|
|
2,982,687
|
|
|
|
2,974,679
|
|
FLNG Liquefaction 2 LLC
|
|
|
|
|
|
|
|
|
|
4.13% due 03/31/38
|
07/23/19
|
|
|
111,102
|
|
|
|
116,326
|
|
Freddie Mac Military Housing Bonds Resecuritization
|
|
|
|
|
|
|
|
|
Trust Certificates
|
|
|
|
|
|
|
|
|
|
2015-R1, 5.49% (WAC) due 11/25/521
|
09/10/19
|
|
|
3,708,110
|
|
|
|
3,652,260
|
|
Highland Park CDO I Ltd.
|
|
|
|
|
|
|
|
|
|
2006-1A, 3.05% (3 Month USD LIBOR + 0.40%,
|
|
|
|
|
|
|
|
|
|
Rate Floor 0.00%) due 11/25/511,5
|
04/14/15
|
|
|
110,010
|
|
|
|
133,869
|
|
KVK CLO Ltd.
|
|
|
|
|
|
|
|
|
|
2013-1A, due 01/14/282,5
|
10/21/14
|
|
|
1,802,625
|
|
|
|
713,389
|
|
Marathon CLO V Ltd.
|
|
|
|
|
|
|
|
|
|
2013-5A, due 11/21/272
|
09/28/15
|
|
|
2,147,334
|
|
|
|
349,177
|
|
Mirabela Nickel Ltd.
|
|
|
|
|
|
|
|
|
|
due 06/24/194
|
12/31/13
|
|
|
1,259,370
|
|
|
|
69,409
|
|
Princess Juliana International Airport Operating
|
|
|
|
|
|
|
|
|
|
Company N.V.
|
|
|
|
|
|
|
|
|
|
5.50% due 12/20/27
|
12/17/12
|
|
|
1,453,713
|
|
|
|
1,402,855
|
|
Turbine Engines Securitization Ltd.
|
|
|
|
|
|
|
|
|
|
2013-1A, 6.38% due 12/13/48
|
11/27/13
|
|
|
451,330
|
|
|
|
404,367
|
|
Venture XIII CLO Ltd.
|
|
|
|
|
|
|
|
|
|
2013-13A, due 09/10/292
|
09/28/15
|
|
|
1,009,500
|
|
|
|
504,949
|
|
Voya CLO Ltd.
|
|
|
|
|
|
|
|
|
|
2013-1A, due 10/15/302
|
01/30/18
|
|
|
1,810,750
|
|
|
|
1,259,499
|
|
West CLO Ltd.
|
|
|
|
|
|
|
|
|
|
2013-1A, due 11/07/252
|
11/06/14
|
|
|
982,125
|
|
|
|
200,343
|
|
|
|
|
$
|
44,816,083
|
|
|
$
|
27,620,536
|
|
|
1
|
Variable rate security. Rate indicated is the rate effective at November 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the
issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates
and spread amounts are shown, the effective rate is based on a weighted average.
|
2
|
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
|
3
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
4
|
Security is in default of interest and/or principal obligations.
|
5
|
All or a portion of this security has been physically segregated in connection with unfunded loan commitments.
|
6
|
Payment in-kind security.
|
Note 13 – Capital
Common Shares
The Fund has an unlimited amount of common shares, $0.01 par value, authorized and 39,484,231 issued and outstanding.
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 81
|
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2019
|
Transactions in common shares were as follows:
|
|
|
|
Period Ended
|
|
|
November 30,
|
Year Ended
|
|
2019
|
May 31, 2019
|
Beginning shares
|
35,845,939
|
27,733,512
|
Shares issued through at-the-market offering
|
3,399,848
|
7,758,097
|
Shares issued through dividend reinvestment
|
238,444
|
354,330
|
Ending shares
|
39,484,231
|
35,845,939
|
On July 1, 2019, the Fund’s shelf registration allowing for delayed or continuous offering of additional shares became effective. The shelf registration statement allows for the issuance of up to $350,000,000 of common
shares. On July 1, 2019, the Fund entered into an at-the-market sales agreement with Cantor Fitzgerald & Co. to offer and sell up to 11,250,000 common shares, from time to time, through Cantor Fitzgerald & Co. as agent for the Fund.
As of November 30, 2019, up to 8,587,842 shares remained available under the at-the-market sales agreement. For the period ended November 30, 2019, the Fund paid $269,188 for offering costs associated with the at-the
market offering, and will be responsible for additional offering costs in the future of up to 0.60% of the offering price of commons shares sold pursuant to the shelf registration statement.
Note 14 – Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable
Debt Securities (the “2017 ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The 2017 ASU does not require any accounting change for debt
securities held at a discount; the discount continues to be amortized to maturity. As of June 1, 2019, the Fund has fully adopted the provisions of the 2017 ASU which was applied on a modified-retrospective basis, as prescribed. The adoption did not
result in a cumulative-effect adjustment as of the beginning of the period and had no impact on total distributable earnings, net assets, the current period results from operations, or any prior period information presented in the financial
statements.
Note 15 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial
statements.
82 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited)
|
November 30, 2019
|
Federal Income Tax Information
In January 2020, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the U.S. federal tax status of the distributions received by you in the calendar year 2019.
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications used by Bloomberg Industry Classifica -tion System, a widely recognized industry classification system provider.
In the Fund’s registration statement, the Fund has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Fund usually classifies industries based on industry-level classifications used by
widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Trustees
The Trustees of the Guggenheim Strategic Opportunities Fund and their principal business occupations during the past five years:
|
|
|
|
|
|
|
Position(s)
|
Term of Office
|
|
Number of
|
|
Name, Address*
|
Held
|
and Length
|
|
Portfolios in
|
|
and Year of Birth
|
with
|
of Time
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
of Trustees
|
Trust
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees:
|
Randall C. Barnes
|
Trustee
|
Since 2004
|
Current: Private Investor (2001-present).
|
158
|
Current: Trustee, Purpose Investments
|
(1951)
|
|
|
|
|
Funds (2013-present).
|
|
|
|
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997);
|
|
|
|
|
|
President, Pizza Hut International (1991-1993); Senior Vice President,
|
|
Former: Managed Duration Investment
|
|
|
|
Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).
|
|
Grade Municipal Fund (2003-2016).
|
Angela Brock-Kyle
|
Trustee
|
Since 2019
|
Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm).
|
157
|
Current: Hunt Companies, Inc. (2019-
|
(1959)
|
|
|
|
|
present).
|
|
|
|
Former: Senior Leader, TIAA (financial services firm) (1987-2012).
|
|
|
|
|
|
|
|
Former: Infinity Property & Casualty
|
|
|
|
|
|
Corp. (2014-2018).
|
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 83
|
|
OTHER INFORMATION (Unaudited) continued
|
November 30, 2019
|
|
|
|
|
|
|
|
Position(s)
|
Term of Office
|
|
Number of
|
|
Name, Address*
|
Held
|
and Length
|
|
Portfolios in
|
|
and Year of Birth
|
with
|
of Time
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
of Trustees
|
Trust
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees continued:
|
Donald A.
|
Trustee and
|
Since 2014
|
Current: Retired.
|
157
|
Former: Midland Care, Inc. (2011-2016).
|
Chubb, Jr.
|
Chairman of
|
|
|
|
|
(1946)
|
the Valuation
|
|
Former: Business broker and manager of commercial real estate, Griffith &
|
|
|
|
Oversight
|
|
Blair, Inc. (1997-2017).
|
|
|
|
Committee
|
|
|
|
|
Jerry B. Farley
|
Trustee and
|
Since 2014
|
Current: President, Washburn University (1997-present).
|
157
|
Current: CoreFirst Bank & Trust
|
(1946)
|
Chairman of
|
|
|
|
(2000-present).
|
|
the Audit
|
|
|
|
|
|
Committee
|
|
|
|
Former: Westar Energy, Inc. (2004-2018).
|
Roman
|
Trustee and
|
Since 2011
|
Current: Founder and Managing Partner, Roman Friedrich & Company
|
157
|
Former: Zincore Metals, Inc.
|
Friedrich III
|
Chairman of
|
|
(1998-present).
|
|
(2009-2019).
|
(1946)
|
the Contracts
|
|
|
|
|
|
Review
|
|
|
|
|
|
Committee
|
|
|
|
|
Thomas F.
|
Trustee and
|
Since 2019
|
Current: President, Global Trends Investments (registered investment adviser)
|
157
|
Current: US Global Investors (GROW)
|
Lydon, Jr.
|
Vice Chairman
|
|
(1996-present).
|
|
(1995-present); and Harvest Volatility
|
(1960)
|
of the Contracts
|
|
|
|
Edge Trust (3) (2017-present).
|
|
Review
|
|
|
|
|
|
Committee
|
|
|
|
|
Ronald A. Nyberg
|
Trustee and
|
Since 2004
|
Current: Partner, Momkus LLC (2016-present).
|
158
|
Current: PPM Funds (9) (2018-present);
|
(1953)
|
Chairman of
|
|
|
|
Edward-Elmhurst Healthcare System
|
|
the Nominating
|
|
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive
|
|
(2012-present); Western Asset Inflation-
|
|
and Governance
|
|
Vice President, General Counsel, and Corporate Secretary, Van
|
Linked Opportunities & Income Fund
|
|
Committee
|
|
Kampen Investments (1982-1999).
|
|
(2004-present); Western Asset Inflation-
|
|
|
|
|
|
Linked Income Fund (2003-present).
|
|
|
|
|
|
|
Former: Managed Duration Investment
|
|
|
|
|
|
Grade Municipal Fund (2003-2016).
|
84 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued
|
November 30, 2019
|
|
|
|
|
|
|
|
Position(s)
|
Term of Office
|
|
Number of
|
|
Name, Address*
|
Held
|
and Length
|
|
Portfolios in
|
|
and Year of Birth
|
with
|
of Time
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
of Trustees
|
Trust
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees continued:
|
Sandra G. Sponem
|
Trustee
|
Since 2019
|
Current: Retired.
|
157
|
Current: SPDR Series Trust (78)
|
(1958)
|
|
|
|
|
(2018-present); SPDR Index Shares
|
|
|
|
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson
|
|
Funds (31) (2018-present); SSGA Active
|
|
|
|
Companies, Inc. (general contracting firm) (2007-2017).
|
|
Trust (12) (2018-present); and SSGA
|
|
|
|
|
|
Master Trust (1) (2018-present).
|
Ronald E.
|
Trustee and
|
Since 2004
|
Current: Portfolio Consultant (2010-present); Member, Governing Council,
|
157
|
Current: Western Asset Inflation-Linked
|
Toupin, Jr.
|
Chairman of
|
|
Independent Directors Council (2013-present); Governor, Board of Governors,
|
|
Opportunities & Income Fund
|
(1958)
|
the Board
|
|
Investment Company Institute (2018-present).
|
|
(2004-present); Western Asset Inflation-
|
|
|
|
|
|
Linked Income Fund (2003-present).
|
|
|
|
Former: Member, Executive Committee, Independent Directors Council
|
|
|
|
|
|
(2016-2018); Vice President, Manager and Portfolio Manager,
|
|
Former: Managed Duration Investment
|
|
|
|
Nuveen Asset Management (1998-1999); Vice President, Nuveen
|
|
Grade Municipal Fund (2003-2016).
|
|
|
|
Investment Advisory Corp. (1992-1999); Vice President and Manager,
|
|
|
|
|
|
Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice
|
|
|
|
|
|
President and Portfolio Manager, Nuveen Unit Investment Trusts
|
|
|
|
|
|
(1988-1999), each of John Nuveen & Co., Inc. (1982-1999).
|
|
|
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 85
|
|
OTHER INFORMATION (Unaudited) continued
|
November 30, 2019
|
|
|
|
|
|
|
|
Position(s)
|
Term of Office
|
|
Number of
|
|
Name, Address*
|
Held
|
and Length
|
|
Portfolios in
|
|
and Year of Birth
|
with
|
of Time
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
of Trustees
|
Trust
|
Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees
|
Interested Trustee:
|
Amy J. Lee***
|
Trustee,
|
Since 2018
|
Current: Interested Trustee, certain other funds in the Fund Complex
|
157
|
None.
|
(1961)
|
Vice President
|
(Trustee)
|
(2018-present); Chief Legal Officer, certain other funds in the Fund Complex
|
|
|
|
and Chief
|
|
(2014-present); Vice President, certain other funds in the Fund Complex
|
|
|
|
Legal Officer
|
Since 2014
|
(2007-present); Senior Managing Director, Guggenheim Investments
|
|
|
|
|
(Chief Legal
|
(2012-present).
|
|
|
|
|
Officer)
|
|
|
|
|
|
|
Former: President and Chief Executive Officer (2017-2018); President, certain
|
|
|
|
|
Since 2012
|
other funds in the Fund Complex (2017-2019); Vice President, Associate
|
|
|
|
|
(Vice President)
|
General Counsel and Assistant Secretary, Security Benefit Life Insurance Company
|
|
|
|
|
and Security Benefit Corporation (2004-2012).
|
|
|
|
|
*
|
The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
**
|
Each Trustee serves an indefinite term, until his successor is duly elected and qualified.
|
|
— Messrs. Barnes, Chubb, Friedrich, Ms. Brock-Kyle and Ms. Lee are Class I Trustees. Class I Trustees are expected to stand for re-election at the Fund’s
annual meeting of shareholders for the fiscal year ended May 31, 2020.
|
|
— Messrs. Farley, Lydon, Jr., Nyberg, Toupin and Ms. Sponem are Class II Trustees. Class II Trustees are expected to stand for re-election at the Fund’s annual
meeting of shareholders for the fiscal year ended May 31, 2021.
|
***
|
This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Adviser and/or the
parent of the Investment Adviser.
|
86 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
OTHER INFORMATION (Unaudited) continued
|
November 30, 2019
|
OFFICERS
The Officers of the Guggenheim Strategic Opportunities Fund, who are not Trustees, and their principal occupations during the past five years:
|
|
|
|
|
Position(s)
|
|
|
|
held
|
Term of Office
|
|
Name, Address*
|
with the
|
and Length of
|
Principal Occupations
|
and Year of Birth
|
Trust
|
Time Served**
|
During Past Five Years
|
Officers:
|
Brian E. Binder
|
President
|
Since 2018
|
Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President and Chief Executive Officer,
|
(1972)
|
and Chief
|
|
Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present); Senior Managing Director and Chief Administrative
|
|
Executive
|
|
Officer, Guggenheim Investments (2018-present).
|
|
Officer
|
|
|
|
|
|
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset
|
|
|
|
Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
|
Joanna M.
|
Chief
|
Since 2012
|
Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments
|
Catalucci
|
Compliance
|
|
(2014-present).
|
(1966)
|
Officer
|
|
|
|
|
|
Former: AML Officer, certain funds in the Fund Complex (2016-2017); Chief Compliance Officer and Secretary, certain other funds in the Fund
|
|
|
|
Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief
|
|
|
|
Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
|
James M. Howley
|
Assistant
|
Since 2006
|
Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex
|
(1972)
|
Treasurer
|
|
(2006-present).
|
|
|
|
|
Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
|
Mark E.
|
Secretary
|
Since 2008
|
Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
|
Mathiasen
|
|
|
|
(1978)
|
|
|
|
Glenn McWhinnie
|
Assistant
|
Since 2016
|
Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
|
(1969)
|
Treasurer
|
|
|
Michael P. Megaris
|
Assistant
|
Since 2014
|
Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
|
(1984)
|
Secretary
|
|
|
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 87
|
|
OTHER INFORMATION (Unaudited) continued
|
November 30, 2019
|
|
|
|
|
|
Position(s)
|
|
|
|
held
|
Term of Office
|
|
Name, Address*
|
with the
|
and Length of
|
Principal Occupations
|
and Year of Birth
|
Trust
|
Time Served**
|
During Past Five Years
|
Officers continued:
|
Adam J. Nelson
|
Assistant
|
Since 2015
|
Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
|
(1979)
|
Treasurer
|
|
|
|
|
|
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant
|
|
|
|
Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).
|
Kimberly J. Scott
|
Assistant
|
Since 2012
|
Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
|
(1974)
|
Treasurer
|
|
|
|
|
|
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for
|
|
|
|
Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen
|
|
|
|
Investments, Inc./Morgan Stanley Investment Management (2005-2009).
|
Bryan Stone
|
Vice
|
Since 2014
|
Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
|
(1979)
|
President
|
|
|
|
|
|
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
|
John L. Sullivan
|
Chief
|
Since 2010
|
Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior
|
(1955)
|
Financial
|
|
Managing Director, Guggenheim Investments (2010-present).
|
|
Officer, Chief
|
|
|
|
Accounting
|
|
Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010);
|
|
Officer and
|
|
Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial
|
|
Treasurer
|
|
Officer and Treasurer, Van Kampen Funds (1996-2004).
|
Jon Szafran
|
Assistant
|
Since 2017
|
Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present).
|
(1989)
|
Treasurer
|
|
|
|
|
|
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors
|
|
|
|
(North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); Senior Associate of Fund
|
|
|
|
Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).
|
|
|
*
|
The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
**
|
Each officer serves an indefinite term, until his or her successor is duly elected and qualified. The date reflects the commencement date upon which the officer
|
|
held any officer position with the Fund.
|
88 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
DIVIDEND REINVESTMENT PLAN (Unaudited)
|
November 30, 2019
|
Unless the registered owner of common shares elects to receive cash by contacting Computershare Trust Company, N.A. (the “Plan Administrator”), all dividends declared on common shares of the Fund will be automatically
reinvested by the Plan Administrator for shareholders in the Fund’s Dividend Reinvestment Plan (the “Plan”), in additional common shares of the Fund. Participation in the Plan is completely voluntary and may be terminated or resumed at any time
without penalty by notice if received and processed by the Plan Administrator prior to the dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution. Some
brokers may automatically elect to receive cash on your behalf and may re-invest that cash in additional common shares of the Fund for you. If you wish for all dividends declared on your common shares of the Fund to be automatically reinvested
pursuant to the Plan, please contact your broker.
The Plan Administrator will open an account for each common shareholder under the Plan in the same name in which such common shareholder’s common shares are registered. Whenever the Fund declares a dividend or other
distribution (together, a “Dividend”) payable in cash, nonparticipants in the Plan will receive cash and participants in the Plan will receive the equivalent in common shares. The common shares will be acquired by the Plan Administrator for the
participants’ accounts, depending upon the circumstances described below, either (i) through receipt of additional unissued but authorized common shares from the Fund (“Newly Issued Common Shares”) or (ii) by purchase of outstanding common shares on
the open market (“Open-Market Purchases”) on the New York Stock Exchange or elsewhere. If, on the payment date for any Dividend, the closing market price plus estimated brokerage commission per common share is equal to or greater than the net asset
value per common share, the Plan Administrator will invest the Dividend amount in Newly Issued Common Shares on behalf of the participants. The number of Newly Issued Common Shares to be credited to each participant’s account will be determined by
dividing the dollar amount of the Dividend by the net asset value per common share on the payment date; provided that, if the net asset value is less than or equal to 95% of the closing market value on the payment date, the dollar amount of the
Dividend will be divided by 95% of the closing market price per common share on the payment date. If, on the payment date for any Dividend, the net asset value per common share is greater than the closing market value plus estimated brokerage
commission, the Plan Administrator will invest the Dividend amount in common shares acquired on behalf of the participants in Open-Market Purchases.
If, before the Plan Administrator has completed its Open-Market Purchases, the market price per common share exceeds the net asset value per common share, the average per common share purchase price paid by the Plan
Administrator may exceed the net asset value of the common shares, resulting in the acquisition of fewer common shares than if the Dividend had been paid in Newly Issued Common Shares on the Dividend payment date. Because of the foregoing difficulty
with respect to Open-Market Purchases, the Plan provides that if the Plan Administrator is unable to invest the full Dividend amount in Open-Market Purchases during the purchase period or if the market discount shifts to a market premium during the
purchase period, the Plan Administrator may cease making Open-Market Purchases and may invest the uninvested portion of the Dividend
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 89
|
|
DIVIDEND REINVESTMENT PLAN (Unaudited) continued
|
November 30, 2019
|
amount in Newly Issued Common Shares at net asset value per common share at the close of business on the Last Purchase Date provided that, if the net asset value is less than or equal to 95% of the then current market
price per common share; the dollar amount of the Dividend will be divided by 95% of the market price on the payment date.
The Plan Administrator maintains all shareholders’ accounts in the Plan and furnishes written confirmation of all transactions in the accounts, including information needed by shareholders for tax records. Common shares
in the account of each Plan participant will be held by the Plan Administrator on behalf of the Plan participant, and each shareholder proxy will include those shares purchased or received pursuant to the Plan. The Plan Administrator will forward all
proxy solicitation materials to participants and vote proxies for shares held under the Plan in accordance with the instruction of the participants.
There will be no brokerage charges with respect to common shares issued directly by the Fund. However, each participant will pay a pro rata share of brokerage commission incurred in connection with Open-Market
Purchases. The automatic reinvestment of Dividends will not relieve participants of any Federal, state or local income tax that may be payable (or required to be withheld) on such Dividends.
The Fund reserves the right to amend or terminate the Plan. There is no direct service charge to participants with regard to purchases in the Plan; however, the Fund reserves the right to amend the Plan to include a
service charge payable by the participants.
All correspondence or questions concerning the Plan should be directed to the Plan Administrator, Computershare Trust Company, N.A., P.O. Box 30170 College Station, TX 77842-3170: Attention: Shareholder Services
Department, Phone Number: (866) 488-3559 or online at www.computershare.com/investor.
90 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
|
FUND INFORMATION
|
November 30, 2019
|
Board of Trustees
Randall C. Barnes
Angela Brock-Kyle
Donald A. Chubb, Jr.
Jerry B. Farley
Roman Friedrich III
Amy J. Lee*
Thomas F. Lydon Jr.
Ronald A. Nyberg
Sandra G. Sponem
Ronald E. Toupin, Jr.,
Chairman
* This Trustee is an “interested person” (as
defined in Section 2(a)(19) of the 1940 Act)
(“Interested Trustee”) of the Fund because of
her position as President of the Investment
Adviser and Sub-Adviser.
Principal Executive Officers
Brian E. Binder
President and Chief Executive Officer
Joanna M. Catalucci
Chief Compliance Officer
Amy J. Lee
Vice President and Chief Legal Officer
Mark E. Mathiasen
Secretary
John L. Sullivan
Chief Financial Officer, Chief Accounting
Officer and Treasurer
|
Investment Adviser
Guggenheim Funds Investment
Advisors, LLC
Chicago, IL
Investment Sub-Adviser
Guggenheim Partners Investment
Management, LLC
Santa Monica, CA
Administrator and Accounting Agent
MUFG Investor Services (US), LLC
Rockville, MD
Custodian
The Bank of New York Mellon Corp.
New York, NY
Legal Counsel
Dechert LLP
Washington, D.C.
Independent Registered Public
Accounting Firm
Ernst & Young LLP
Tysons, VA
|
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 91
|
|
FUND INFORMATION continued
|
November 30, 2019
|
Privacy Principles of Guggenheim Strategic Opportunities Fund for Shareholders
The Fund is committed to maintaining the privacy of its shareholders and to safeguarding its non-public personal information. The following information is provided to help you understand what personal information the
Fund collects, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Fund does not receive any non-public personal information relating to its shareholders, although certain non-public personal information of its shareholders may become available to the Fund. The Fund does
not disclose any non-public personal information about its shareholders or former shareholders to anyone except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party
administrator).
The Fund restricts access to non-public personal information about the shareholders to Guggenheim Funds Investment Advisors, LLC employees with a legitimate business need for the information. The Fund maintains
physical, electronic and procedural safeguards designed to protect the non-public personal information of its shareholders.
Questions concerning your shares of Guggenheim Strategic Opportunities Fund?
• If your shares are held in a Brokerage Account, contact your Broker.
•
|
If you have physical possession of your shares in certificate form, contact the Fund’s Transfer Agent:
Computershare Trust Company, N.A., P.O. Box 30170 College Station, TX 77842-3170; (866) 488-3559 or online at www.computershare.com/investor
|
This report is sent to shareholders of Guggenheim Strategic Opportunities Fund for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Fund or
of any securities mentioned in this report.
A description of the Fund’s proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Fund at (888) 991-0091.
Information regarding how the Fund voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling (888)
991-0091, by visiting the Fund’s website at guggenheiminvestments.com/gof or by accessing the Fund’s Form N-PX on the U.S. Securities and Exchange Commission’s (SEC) website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for the reporting periods ended prior to August 31, 2019, filed such
information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC website at www.sec.gov or at guggenheiminvestments.com/gof. The Fund’s Forms N-PORT and N-Q may also be viewed and copied at the SEC’s Public Reference Room in
Washington, DC and that information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330.
Notice to Shareholders
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Fund from time to time may purchase shares of its common stock in the open market or in private
transactions.
92 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
This Page Intentionally Left Blank
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 93
This Page Intentionally Left Blank
94 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
This Page Intentionally Left Blank
GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 95
ABOUT THE FUND MANAGERS
Guggenheim Partners Investment Management, LLC
Guggenheim Partners Investment Management, LLC (“GPIM”) is an indirect subsidiary of Guggenheim Partners, LLC, a diversified financial services firm. The firm provides capital markets services, portfolio and risk
management expertise, wealth management, and investment advisory services. Clients of Guggenheim Partners, LLC subsidiaries are an elite mix of individuals, family offices, endowments, foundations, insurance companies and other institutions.
Investment Philosophy
GPIM’s investment philosophy is predicated upon the belief that thorough research and independent thought are rewarded with performance that has the potential to outperform benchmark indexes with both lower volatility
and lower correlation of returns over time as compared to such benchmark indexes.
Investment Process
GPIM’s investment process is a collaborative effort between various groups including the Portfolio Construction Group, which utilize proprietary portfolio construction and risk modeling tools to determine allocation of
assets among a variety of sectors, and its Sector Specialists, who are responsible for security selection within these sectors and for implementing securities transactions, including the structuring of certain securities directly with the issuers or
with investment banks and dealers involved in the origination of such securities.
|
Guggenheim Funds Distributors, LLC
|
227 West Monroe Street
|
Chicago, IL 60606
|
Member FINRA/SIPC
|
(01/20)
|
NOT FDIC-INSURED l NOT BANK-GUARANTEED l MAY LOSE VALUE
CEF-GOF-SAR-1119
Item 2. Code of Ethics.
Not applicable for a semi-annual reporting period.
Item 3. Audit Committee Financial Expert.
Not applicable for a semi-annual reporting period.
Item 4. Principal Accountant Fees and Services.
Not applicable for a semi-annual reporting period.
Item 5. Audit Committee of Listed Registrants.
Not applicable for a semi-annual reporting period.
Item 6. Schedule of Investments.
The Schedule of Investments is included as part of Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable for a semi-annual reporting period.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a) Not applicable for a semi-annual reporting period.
(b) There has been no change, as of the date of filing, in any of the Portfolio Managers identified in response to
paragraph (a)(1) of this Item in the registrant’s most recent annual report on Form N-CSR
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
None.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not made any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act) as of a date within 90 days of this filing and have concluded based on such
evaluation, as required by Rule 30a-3(b) under the Investment Company Act, 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-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the
registrant’s period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) The registrant has not participated in securities lending activities during the period covered by this report.
(b) Not applicable.
Item 13. Exhibits.
(a)(1) Not applicable
(a)(2) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(a) under
the Investment Company Act.
(a)(3) Not applicable.
(b) Certification of principal executive officer and principal financial officer pursuant to Rule 30a-2(b) under
the Investment Company Act and Section 906 of the Sarbanes-Oxley Act of 2002.
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.
Guggenheim Strategic Opportunities Fund
By: /s/ Brian E. Binder
Name: Brian E. Binder
Title: President and Chief Executive Officer
Date: February 10, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on
behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ Brian E. Binder
Name: Brian E. Binder
Title: President and Chief Executive Officer
Date: February 10, 2020
By: /s/ John L. Sullivan
Name: John L. Sullivan
Title: Chief Financial Officer, Chief Accounting Officer and Treasurer
Date: February 10, 2020