UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number811-21982

Guggenheim Strategic Opportunities Fund
(Exact name of registrant as specified in charter)

227 West Monroe Street, Chicago, 60606
(Address of principal executive offices) (Zip code)

Amy J. Lee

227 West Monroe Street, Chicago, 60606
(Name and address of agent for service)

Registrant's telephone number, including area code: (312) 827-0100

Date of fiscal year end: May 31

Date of reporting period: June 1, 2021 - May 31, 2022

 
 

Item 1. Reports to Stockholders.

The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

 

 

5.31.2022

Guggenheim Funds Annual Report

Guggenheim Strategic Opportunities Fund

 

 

GuggenheimInvestments.com

CEF-GOF-AR-0522


 
 

 

 

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:

  • Daily, weekly and monthly data on share prices, net asset values, distributions and more
  • Portfolio overviews and performance analyses
  • Announcements, press releases and special notices
  • Fund and adviser contact information

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.


 
 

 

DEAR SHAREHOLDER (Unaudited) May 31, 2022

 

We thank you for your investment in the Guggenheim Strategic Opportunities Fund (the “Fund”). This report covers the Fund’s performance for the 12-month period ended May 31, 2022 (the “Reporting Period”).

On September 14, 2021, Guggenheim Investments announced that shareholders approved the mergers of Guggenheim Enhanced Equity Income Fund and Guggenheim Credit Allocation Fund with and into the Fund. The mergers became effective with the open of the New York Stock Exchange on October 25, 2021. More information regarding the mergers is presented later in this report.

The COVID-19 pandemic and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates (which have since risen). Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict.

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have risen recently and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.

To learn more about the Fund’s performance and investment strategy, we encourage you to read the Economic and Market Overview and the Management’s Discussion of Fund Performance, which begin on page 5. There you will 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.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 3


 
 

  

DEAR SHAREHOLDER (Unaudited) continued May 31, 2022

 

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-advisers seek 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 Reporting Period, the Fund provided a total return based on market price of -3.48% and a total return based on NAV of -3.99%. As of May 31, 2022, the Fund’s market price of $17.92 per share represented a premium of 25.05% to its NAV of $14.33 per share.

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.

During the Reporting Period, the Fund paid a monthly distribution of $0.1821 per share. The most recent distribution represents an annualized distribution rate of 12.19% based on the Fund’s closing market price of $17.92 per share on May 31, 2022. 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. There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. Please see Distributions to Shareholders & Annualized Distribution Rate on page 16, and Note 2(f) on page 79 for more information on distributions for the period.

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 200 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. The DRIP effectively provides an income averaging technique which causes shareholders to accumulate a larger number of Fund shares when the market price is depressed than when the price is higher.

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

June 30, 2022

 

4 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

ECONOMIC AND MARKET OVERVIEW (Unaudited) May 31, 2022

 

In the 12 months ended May 31, 2022, the yield on the two-year Treasury rose 242 basis points to 2.56% from 0.14%, and the 10-year Treasury increased by 125 basis points to 2.84% from 1.59% as the Federal Reserve (the “Fed”) began raising rates in March 2022 to battle inflation. The spread between the two-year Treasury and 10-year Treasury narrowed to 29 basis points from 145 basis points. One basis point is equal to one-hundredth of one percent, or 0.01%.

The first half of 2022 was extremely challenging for investors, with interest rates rising sharply even as downside risks to the economic outlook accumulated, pushing stock and bond returns deep into negative territory.

With the labor market overheated and inflation considerably above the Fed’s target, we have entered an uncomfortable regime where “good news is bad news,” and the “Fed put” is deeply out of the money. For the first time in many years, the Fed is aggressively tightening financial conditions in an effort to slow down the economy, keep inflation expectations in check, and bring inflation down to the 2% target. The Fed’s crusade to crush inflation is reverberating around the world, as the strengthening dollar is boosting inflation and inflation expectations in other countries, forcing central banks to tighten policy to avoid an erosion of their own inflation credibility.

The tightening of global financial conditions may further restrain growth, which has already slowed meaningfully in the United States in the first half of 2022 after a robust 2021. Growth this year has been hampered by supply-side constraints as the unemployment rate has fallen to 3.6%, commodity markets have been roiled by Russia’s war in Ukraine and the Chinese economy has been hobbled by renewed COVID-19 lockdowns.

Slower demand growth and limited slack have already served to moderate the pace of improvement in the labor market, with aggregate payroll growth and the pace of the decline in the unemployment rate slowing markedly since last fall. This indicates that the labor market has already started to cool even before the tightening of financial conditions has really been felt. High-frequency indicators and news reports point to a further slowdown in the job market in coming months.

Inflation is a lagging indicator and continues to run far above the Fed’s target. While some measures of inflation have cooled in recent months, the all-important headline consumer price index sits at a cycle high of 8.6% as of May 2022. Our analysis indicates that a recession will be required to bring inflation down to target, and we believe a recession could begin by 2023.

With a recession coming closer into view and the bond market already pricing in wider credit spreads and substantial further Fed tightening, we believe now is an opportune time to add high-quality, longer-duration fixed income ahead of the Fed easing cycle that we forecast to begin next year. We expect fixed income to once again provide a ballast in multi-asset portfolios as growth slows and inflation begins to recede.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 5


 
 

 

 

MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) May 31, 2022

 

MANAGEMENT TEAM

Guggenheim Funds Investment Advisors, LLC serves as the investment adviser to Guggenheim Strategic Opportunities Fund (“Fund”). The Fund is managed by a team of seasoned professionals at Guggenheim Partners Investment Management, LLC (“GPIM”) and Guggenheim Partners Advisors, LLC (“GPA”) (each a “Sub-Adviser” and together, the “Sub-Advisers”).

This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, and Senior Managing Director of GPIM; Adam J. Bloch, Managing Director and Portfolio Manager of GPIM; and Evan L. Serdensky, Director and Portfolio Manager of GPIM.

RETURN OF FUND AND COMPARATIVE INDEXES

All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the 12-month period ended May 31, 2022 (“Reporting Period”), the Fund provided a total return based on market price of -3.48% and a total return based on NAV of -3.99%. As of May 31, 2022, the Fund’s market price of $17.92 per share represented a premium of 25.05% to its NAV of $14.33 per share. As of May 31, 2021, the Fund’s market price of $20.90 per share represented a premium of 22.58% to its NAV of $17.05 per share.

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 may be higher or lower than the Fund’s NAV.

Please refer to the graphs and tables included within the Fund Summary, beginning on page 13 for additional information about the Fund's performance.

 

6 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued May 31, 2022

 

 

Index Total Return
Bloomberg U.S. Aggregate Bond Index -8.22%
Bloomberg U.S. Corporate Bond Index -10.28%
Bloomberg U.S. Corporate High Yield Index -5.27%
Credit Suisse Leveraged Loan Index -0.20%
ICE Bank of America Asset Backed Security Master BBB-AA Index -5.46%
NASDAQ 100 Index -6.96%
Russell 2000 Index -16.92%
Standard & Poor's 500 (“S&P 500”) Index -0.30%

 

DISTRIBUTIONS

During the Reporting Period, the Fund paid a monthly distribution of $0.1821 per share. The most recent distribution represents an annualized distribution rate of 12.19% based on the Fund’s closing market price of $17.92 per share on May 31, 2022.

There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. 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.

Please see the Distributions to Shareholders & Annualized Distribution Rate table on page 16, and Note 2(f) on page 79 for more information on distributions for the period.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 7


 
 

 

 

MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued May 31, 2022

 

   
Payable Date Amount
June 30, 2021 $0.1821
July 30, 2021 $0.1821
August 31, 2021 $0.1821
September 30, 2021 $0.1821
October 29, 2021 $0.1821
November 30, 2021 $0.1821
December 31, 2021 $0.1821
January 31, 2022 $0.1821
February 28, 2022 $0.1821
March 31, 2022 $0.1821
April 29, 2022 $0.1821
May 31, 2022 $0.1821
Total $2.1852

 

PERFORMANCE CONTRIBUTORS AND DETRACTORS

The Reporting Period was comprised of two very unique periods, which bore little-to-no resemblance to each other. The first seven months of the period was generally marked by low interest rates, low volatility, and strong performance across both equities and credit. During this period, nearly all of the Fund’s allocations added to performance, with high yield credit, bank loans, and equities leading the way. As the Fund entered 2022, broader risk markets began to deflate as expectations for the removal of easy monetary conditions and the reduced prospects for growth began to dominate the rhetoric. The widening in credit spreads that began in January 2022 was the primary detractor from the Fund’s performance during the latter five months of the Reporting Period, with the Fund’s allocations to high yield corporates and preferred stock particularly impacted. Alongside widening in credit, equity markets experienced negative returns during the Reporting Period, which negatively impacted the Fund’s equity strategy, though that strategy did outperform broader equity markets. The rise in interest rates over the Reporting Period also detracted from performance, though this was relatively limited given the Fund’s shorter duration profile. The Fund’s use of leverage has been relatively moderate, and negative total returns across all asset classes over the Reporting Period meant leverage also detracted from performance. The Fund’s portfolio allocations remained relatively consistent during the Reporting Period.

 

8 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

 

MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued May 31, 2022

 

DURATION

The Fund has no set policy regarding portfolio duration or maturity; the Fund’s duration at the end of the Reporting Period was 3.46 years. (Duration is a measure of a bond’s price sensitivity to changes in interest rates, expressed in years, and reflects the weighted average term to maturity of discounted bond cash flow). GPIM may seek to manage the Fund’s duration in a flexible and opportunistic manner based primarily on then-current market conditions and interest rate levels.

LEVERAGE

As of May 31, 2022, the Fund’s leverage was approximately 24% of Managed Assets (as described herein), compared with about 30% at the beginning of the Reporting Period.

The Fund currently employs financial leverage through reverse repurchase agreements and a credit facility with a major bank. Given negative total returns across asset classes over the Reporting Period, leverage detracted from performance.

One purpose of leverage is to fund the purchase of additional securities that may provide increased income and potentially greater appreciation to common shareholders than could be achieved from an unlevered portfolio. Leverage may result in greater NAV volatility and entails more downside risk than an unleveraged portfolio.

Investments in Investment Funds (as defined below in the Additional Information Regarding the Fund section) frequently expose the Fund to an additional layer of financial leverage and the associated risks, such as the magnified effect of any losses. These risks are further discussed below in the Additional Information Regarding the Fund section.

DERIVATIVES TYPES, USES, AND IMPACT ON PERFORMANCE

The Fund used a variety of derivatives during the Reporting Period both to gain market exposure and to hedge certain exposures. Derivatives used for market exposure included equity futures, which added to performance over the period. Derivatives used for hedging include call writing, which added to performance through monetization of premium; foreign currency forwards, which benefitted as the dollar strengthened versus both the Euro and the Pound; and interest rate curve caps which detracted as the yield curve flattened (thus benefitting the Fund’s long-duration bond exposure).

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 9


 
 

  

MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued May 31, 2022

 

MERGER UPDATE

On September 14, 2021, Guggenheim Investments announced that shareholders approved the mergers (together, the “Mergers”) of Guggenheim Enhanced Equity Income Fund and Guggenheim Credit Allocation Fund with and into the Fund, each a closed-end fund. The Mergers became effective with the open of the New York Stock Exchange on October 25, 2021.

The Mergers had a positive impact on the Fund from several perspectives, including that the Fund benefitted from certain equity strategy exposure obtained in the Mergers that outperformed broader equity markets and many credit markets for the period from the Mergers to the end of the Reporting Period. Additionally, the Fund benefitted from its increased market capitalization and secondary trading liquidity, allowing it to issue shares at an average 25% premium to NAV for the period from the Mergers to the end of the Reporting Period.

FUND POSITIONING AND OUTLOOK

At the end of the Reporting Period, risk assets continued to re-price lower as markets came to terms with tighter monetary policy and accordingly higher interest rates amid global central bankers’ efforts to curb record inflation. We expect volatility to continue for several months after the Reporting Period as rapidly changing economic data remains highly impactful on valuations. While that outlook is likely negative for risk assets in the near term, the Fund generally benefits from a long-term investment horizon. During such periods of volatility, GPIM typically seeks to add to attractive risk, particularly within credit, where, during the Reporting Period, negative performance outpaced what we would expect relative to equities. Accordingly, by the end of the Reporting Period, the Fund had reduced its exposure to equities, in particular taking advantage of gains in its covered call strategy, to free up cash to re-deploy into credit sectors that cheapened. We believe high yield bonds and certain areas of structured credit, including CLOs, presented compelling relative value as of the end of the Reporting Period, especially when combined with our fundamental, bottom-up credit work.

 

10 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued May 31, 2022

 

Index Definitions

Indices are unmanaged and reflect no expenses. It is not possible to invest directly in an index.

The Bloomberg 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), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

The Bloomberg U.S. Corporate Bond Index is a broad-based benchmark that measures the investment grade, fixed-rate, taxable corporate bond market. It includes U.S. dollar-denominated securities publicly issued by U.S. and non-U.S. industrial, utility, and financial issuers that meet specified maturity, liquidity, and quality requirements.

The Bloomberg 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 Asset Backed Security Master BBB-AA Index is a subset of the ICE Bank of America U.S. Fixed Rate Asset Backed Securities Index including all securities rated AA1 through BBB3, inclusive.

The NASDAQ-100 Index includes 100 of the largest domestic and international non-financial securities listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology. It does not contain securities of financial companies including investment companies.

The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe.

The Standard & Poor’s 500 (“S&P 500”) 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.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 11


 
 

 

MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued May 31, 2022

 

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 subject to change at any time, based on market and other conditions and should not be construed as a recommendation of any kind. The material may also include forward looking statements that involve risk and uncertainty, and there is no guarantee that any predictions will come to pass.

There can be no assurance that the Fund will achieve its investment objective. The value of the Fund will fluctuate with the value of the underlying securities. Risk is inherent in all investing, including the loss of your entire principal. Therefore, before investing you should consider the risks carefully. The Fund is subject to various risk factors, including investment risk, which could result in the loss of the entire principal amount that you invest. Certain of these risk factors are described below. The Fund’s Prospectus, Statement of Additional Information (SAI) and guggenheiminvestments.com/gof also include information about the risks of investing in the Fund. Shareholders may access the Fund’s Prospectus and SAI on the EDGAR Database on the Securities and Exchange Commission’s website at www.sec.gov.

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 ANNUAL REPORT


 
 

 

FUND SUMMARY (Unaudited) May 31, 2022

 

   
Fund Statistics  
Market Price $17.92
Net Asset Value $14.33
Premium to NAV 25.05%
Net Assets ($000) $1,492,615

 

Cumulative Fund Performance*

 

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The Fund does not seek to achieve performance that is comparative to an index.
AVERAGE ANNUAL TOTAL RETURNS FOR THE      
PERIOD ENDED MAY 31, 2022        
  One Three Five Ten
  Year Year Year Year
Guggenheim Strategic Opportunities Fund        
NAV (3.99%) 5.89% 6.22% 9.31%
Market (3.48%) 8.95% 8.99% 10.15%
Bloomberg U.S. Aggregate        
Bond Index (8.22%) 0.00%* 1.18% 1.71%

 

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.

The referenced index is an unmanaged index and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

* Less than 0.01%.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 13


 
 

 

FUND SUMMARY (Unaudited) continued May 31, 2022

 

   
Portfolio Breakdown % of Net Assets
Investments  
Corporate Bonds 44.6%
Senior Floating Rate Interests 30.7%
Common Stocks 21.3%
Asset-Backed Securities 12.9%
Exchange-Traded Funds 8.5%
Preferred Stocks 5.9%
Closed-End Funds 2.6%
Collateralized Mortgage Obligations 1.5%
Money Market Funds 1.0%
U.S. Government Securities 0.9%
Other 0.3%
Total Investments 130.2%
Options Written (0.9%)
Other Assets & Liabilities, net (29.3%)
Net Assets 100.0%
 
Ten Largest Holdings % of Net Assets
SPDR S&P 500 ETF Trust 2.9%
Invesco QQQ Trust Series 2.8%
iShares Russell 2000 Index ETF 2.8%
Pershing Square Tontine Holdings Ltd. — Class A 1.4%
Madison Park Funding LIII Ltd., 6.40% 1.1%
Sprite Ltd., 3.75% 0.9%
U.S. Treasury Bonds 0.9%
Morgan Stanley Finance LLC, 1.50% 0.8%
Delta Air Lines, Inc., 7.00% 0.8%
CIFC Funding Ltd., 8.04% 0.7%
Top Ten Total 15.1%

 

Ten Largest Holdings” excludes any temporary cash or derivative investments.

Portfolio breakdown 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.

 

14 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

FUND SUMMARY (Unaudited) continued May 31, 2022

 

Portfolio Composition by Quality Rating1

  % of Total
Rating Investments
Fixed Income Investments  
AAA 1.0%
AA 0.2%
A 2.9%
BBB 9.5%
BB 20.3%
B 25.7%
CCC 3.8%
CC 0.1%
C 0.1%
NR2 6.1%
Other Investments 30.3%
Total Investments 100.0%

 

1 Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” 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.
2 NR (not rated) securities do not necessarily indicate low credit quality.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 15


 
 

 

 

   
FUND SUMMARY (Unaudited) continued May 31, 2022

 

 

 

All or a portion of the above distributions may be characterized as a return of capital. For the year ended May 31, 2022, 47.5% of the distributions were characterized as ordinary income, 8.7% of the distributions were characterized as long-term capital gains and 43.8% of the distributions were characterized as return of capital. The final determination of the tax character of the distributions paid by the Fund in 2022 will be reported to shareholders in January 2023.

 

16 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

 

   
SCHEDULE OF INVESTMENTS May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3%    
Financial – 5.9%    
Pershing Square Tontine Holdings Ltd. — Class A*,1 1,042,742 $ 20,708,841
KKR Acquisition Holdings I Corp. — Class A*,1 783,532 7,678,614
RXR Acquisition Corp. — Class A*,1 160,538 1,566,851
TPG Pace Beneficial II Corp.*,1 160,210 1,563,650
Colicity, Inc. — Class A*,1 120,524 1,177,519
MSD Acquisition Corp. — Class A*,1 116,869 1,142,979
AfterNext HealthTech Acquisition Corp. — Class A*,1 107,300 1,073,000
Conyers Park III Acquisition Corp. — Class A*,1 99,600 963,132
Acropolis Infrastructure Acquisition Corp. — Class A*,1 98,300 948,595
Waverley Capital Acquisition Corp. 1 — Class A*,1 93,900 907,543
Progressive Corp.2 5,153 615,165
W R Berkley Corp.2 8,641 614,634
Principal Financial Group, Inc.2 8,359 609,622
Host Hotels & Resorts, Inc. REIT2 30,178 603,258
Allstate Corp.2 4,408 602,530
Mastercard, Inc. — Class A2 1,674 599,074
Crown Castle International Corp. REIT2 3,132 593,984
American Tower Corp. — Class A REIT2 2,316 593,197
Discover Financial Services2 5,205 590,715
Hartford Financial Services Group, Inc.2 8,123 588,999
Visa, Inc. — Class A2 2,765 586,650
Loews Corp.2 8,933 585,022
Marsh & McLennan Companies, Inc.2 3,635 581,418
Iron Mountain, Inc. REIT2 10,762 580,072
Northern Trust Corp.2 5,172 577,971
Synchrony Financial2 15,520 574,861
Arthur J Gallagher & Co.2 3,540 573,268
Cincinnati Financial Corp.2 4,469 571,406
MetLife, Inc.2 8,471 570,861
SBA Communications Corp. REIT2 1,695 570,554
Chubb Ltd. 2,693 569,004
M&T Bank Corp.2 3,158 568,345
Realty Income Corp. REIT2 8,322 567,727
Everest Re Group Ltd. 2,003 565,847
Assurant, Inc.2 3,200 565,408
Travelers Companies, Inc.2 3,130 560,395
American International Group, Inc.2 9,541 559,866
Digital Realty Trust, Inc. REIT2 4,008 559,477
JPMorgan Chase & Co.2 4,219 557,878
Raymond James Financial, Inc.2 5,657 557,158
Regency Centers Corp. REIT2 8,136 554,957

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 17


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Financial – 5.9% (continued)    
Ameriprise Financial, Inc.2 2,000 $ 552,540
Blue Whale Acquisition Corp. I — Class A*,1 57,300 552,372
Morgan Stanley2 6,384 549,918
Aflac, Inc.2 9,070 549,370
Regions Financial Corp.2 24,821 548,296
U.S. Bancorp2 10,329 548,160
Globe Life, Inc.2 5,615 547,856
American Express Co.2 3,239 546,808
Prudential Financial, Inc.2 5,128 544,850
Goldman Sachs Group, Inc.2 1,663 543,552
Weyerhaeuser Co. REIT2 13,726 542,451
Kimco Realty Corp. REIT2 22,936 542,436
Franklin Resources, Inc.2 19,949 540,219
Equinix, Inc. REIT2 784 538,679
Citigroup, Inc.2 10,041 536,290
Cboe Global Markets, Inc.2 4,770 535,719
Duke Realty Corp. REIT2 10,140 535,696
Capital One Financial Corp.2 4,180 534,455
Welltower, Inc. REIT2 5,962 531,155
BlackRock, Inc. — Class A2 792 529,911
Federal Realty Investment Trust REIT2 4,591 527,827
Ventas, Inc. REIT2 9,296 527,455
Berkshire Hathaway, Inc. — Class B*,2 1,665 526,107
First Republic Bank2 3,390 525,552
Invesco Ltd.2 27,137 524,830
PNC Financial Services Group, Inc.2 2,985 523,599
Willis Towers Watson plc2 2,464 520,076
Lincoln National Corp.2 8,977 520,038
Brown & Brown, Inc.2 8,672 514,857
CBRE Group, Inc. — Class A*,2 6,210 514,436
Comerica, Inc.2 6,177 513,988
Wells Fargo & Co.2 11,220 513,539
Huntington Bancshares, Inc.2 36,944 512,783
Nasdaq, Inc.2 3,298 512,047
Aon plc — Class A2 1,841 507,508
T. Rowe Price Group, Inc.2 3,989 506,962
Bank of New York Mellon Corp.2 10,876 506,930
Bank of America Corp.2 13,484 501,605
SVB Financial Group*,2 1,025 500,784
Healthpeak Properties, Inc. REIT2 16,779 498,168
Extra Space Storage, Inc. REIT2 2,767 493,079

 

See notes to financial statements.

 

18 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Financial – 5.9% (continued)    
Public Storage REIT2 1,486 $ 491,331
Boston Properties, Inc. REIT2 4,405 489,748
Fifth Third Bancorp2 12,359 487,315
Zions Bancorp North America2 8,469 483,072
Equity Residential REIT2 6,265 481,340
State Street Corp.2 6,625 480,246
Citizens Financial Group, Inc.2 11,600 480,008
Simon Property Group, Inc. REIT2 4,181 479,352
Alexandria Real Estate Equities, Inc. REIT2 2,886 478,932
CME Group, Inc. — Class A2 2,407 478,584
Charles Schwab Corp.2 6,777 475,068
KeyCorp2 23,727 473,591
Truist Financial Corp.2 9,517 473,376
Mid-America Apartment Communities, Inc. REIT2 2,608 472,048
Prologis, Inc. REIT2 3,679 468,999
AvalonBay Communities, Inc. REIT2 2,255 468,950
Essex Property Trust, Inc. REIT2 1,618 459,269
UDR, Inc. REIT2 9,601 458,928
Intercontinental Exchange, Inc.2 4,304 440,687
Camden Property Trust REIT2 3,029 434,631
Vornado Realty Trust REIT2 11,766 411,339
Signature Bank2 1,880 406,588
TPG, Inc. 8,300 242,111
Sparta Systems*,††† 1,922
Total Financial   87,858,463
 
Consumer, Non-cyclical – 4.1%    
Nielsen Holdings plc2 31,058 793,842
Lamb Weston Holdings, Inc.2 10,852 733,378
Viatris, Inc.2 54,273 665,930
Monster Beverage Corp.*,2 7,427 661,894
Philip Morris International, Inc.2 6,119 650,144
Cigna Corp.2 2,397 643,091
Eli Lilly & Co.2 2,042 640,045
Merck & Company, Inc.2 6,949 639,516
McKesson Corp.2 1,934 635,686
Corteva, Inc.2 10,136 634,716
Kellogg Co.2 9,086 633,658
Constellation Brands, Inc. — Class A2 2,560 628,403
Vertex Pharmaceuticals, Inc.*,2 2,300 617,895
Campbell Soup Co.2 12,896 617,847
Kimberly-Clark Corp.2 4,627 615,484

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 19


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Consumer, Non-cyclical – 4.1% (continued)    
Amgen, Inc.2 2,376 $ 610,014
General Mills, Inc.2 8,733 610,000
Gilead Sciences, Inc.2 9,376 608,034
Clorox Co.2 4,178 607,314
Rollins, Inc.2 16,889 598,884
Molson Coors Beverage Co. — Class B2 10,701 597,544
Bristol-Myers Squibb Co.2 7,896 595,753
Anthem, Inc.2 1,169 595,734
Coca-Cola Co.2 9,389 595,075
Conagra Brands, Inc.2 18,067 594,224
PepsiCo, Inc.2 3,537 593,332
Archer-Daniels-Midland Co.2 6,505 590,784
Hologic, Inc.*,2 7,831 589,439
FleetCor Technologies, Inc.*,2 2,369 589,431
Sysco Corp.2 6,988 588,250
Cintas Corp.2 1,472 586,342
Automatic Data Processing, Inc.2 2,624 584,995
Mondelez International, Inc. — Class A2 9,198 584,625
Catalent, Inc.*,2 5,658 583,113
Altria Group, Inc.2 10,773 582,711
Cardinal Health, Inc.2 10,345 582,630
Thermo Fisher Scientific, Inc.2 1,026 582,327
AmerisourceBergen Corp. — Class A2 3,762 582,320
Colgate-Palmolive Co.2 7,372 580,987
Humana, Inc.2 1,276 579,597
Avery Dennison Corp.2 3,349 577,903
Johnson & Johnson2 3,211 576,471
Organon & Co.2 15,178 576,157
Brown-Forman Corp. — Class B2 8,694 574,847
Pfizer, Inc.2 10,818 573,787
Moderna, Inc.*,2 3,935 571,874
Waters Corp.*,2 1,738 569,977
STERIS plc 2,486 567,305
Quest Diagnostics, Inc.2 3,989 562,529
Hershey Co.2 2,657 562,513
Regeneron Pharmaceuticals, Inc.*,2 846 562,370
Procter & Gamble Co.2 3,797 561,500
Global Payments, Inc.2 4,282 561,113
Abbott Laboratories2 4,769 560,167
UnitedHealth Group, Inc.2 1,126 559,374
Becton Dickinson and Co.2 2,186 559,179

 

See notes to financial statements.

 

20 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Consumer, Non-cyclical – 4.1% (continued)    
Incyte Corp.*,2 7,355 $ 558,171
Tyson Foods, Inc. — Class A2 6,205 556,030
Henry Schein, Inc.*,2 6,461 553,320
Bio-Rad Laboratories, Inc. — Class A*,2 1,026 551,772
Kraft Heinz Co.2 14,556 550,654
Zimmer Biomet Holdings, Inc.2 4,577 550,201
Biogen, Inc.*,2 2,751 550,200
IQVIA Holdings, Inc.*,2 2,546 548,027
Danaher Corp.2 2,071 546,371
Moody's Corp.2 1,786 538,604
Baxter International, Inc.2 7,076 538,130
AbbVie, Inc.2 3,648 537,606
Boston Scientific Corp.*,2 13,041 534,811
Centene Corp.*,2 6,520 530,989
Edwards Lifesciences Corp.*,2 5,257 530,168
J M Smucker Co.2 4,221 529,187
Quanta Services, Inc.2 4,410 524,790
Medtronic plc2 5,238 524,586
Hormel Foods Corp.2 10,773 524,322
Estee Lauder Companies, Inc. — Class A2 2,058 524,070
Verisk Analytics, Inc. — Class A2 2,987 522,486
McCormick & Company, Inc.2 5,634 522,384
Kroger Co.2 9,730 515,398
Stryker Corp.2 2,195 514,728
Church & Dwight Company, Inc.2 5,715 514,693
Gartner, Inc.*,2 1,943 509,843
CVS Health Corp.2 5,256 508,518
Laboratory Corporation of America Holdings2 2,048 505,283
Molina Healthcare, Inc.*,2 1,737 504,112
United Rentals, Inc.*,2 1,685 502,433
Cooper Companies, Inc.2 1,431 501,909
Bio-Techne Corp.2 1,357 501,724
Zoetis, Inc.2 2,935 501,680
S&P Global, Inc.2 1,433 500,686
ABIOMED, Inc.*,2 1,896 499,975
Equifax, Inc.2 2,429 492,067
PerkinElmer, Inc.2 3,278 490,618
Charles River Laboratories International, Inc.*,2 2,095 490,398
DaVita, Inc.*,2 4,945 482,088
PayPal Holdings, Inc.*,2 5,631 479,817
Teleflex, Inc.2 1,618 465,563

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 21


 
 

 

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
 
COMMON STOCKS – 21.3% (continued)    
Consumer, Non-cyclical – 4.1% (continued)    
ResMed, Inc.2 2,284 $ 464,703
West Pharmaceutical Services, Inc.2 1,497 464,639
Intuitive Surgical, Inc.*,2 1,987 452,321
Robert Half International, Inc.2 4,998 450,570
Universal Health Services, Inc. — Class B2 3,609 449,717
MarketAxess Holdings, Inc.2 1,587 447,026
Dentsply Sirona, Inc.2 11,150 441,094
HCA Healthcare, Inc.2 2,037 428,585
Illumina, Inc.*,2 1,789 428,430
IDEXX Laboratories, Inc.*,2 1,092 427,649
Dexcom, Inc.*,2 1,393 415,030
Align Technology, Inc.*,2 1,357 376,758
Cengage Learning Holdings II, Inc.*,†† 11,126 144,638
Targus Group International Equity, Inc.*,†††,3 45,049 113,897
Save-A-Lot*,†† 40,316 17,658
Total Consumer, Non-cyclical   60,533,181
Consumer, Cyclical – 2.5%    
ATD New Holdings, Inc.*,†† 23,593 1,922,829
United Airlines Holdings, Inc.*,2 15,595 742,790
Delta Air Lines, Inc.*,2 16,957 706,937
American Airlines Group, Inc.*,2 38,789 693,160
LKQ Corp.2 12,345 634,409
Ulta Beauty, Inc.*,2 1,476 624,496
Southwest Airlines Co.*,2 13,514 619,752
Genuine Parts Co.2 4,469 611,046
McDonald's Corp.2 2,397 604,547
BorgWarner, Inc.2 14,973 603,711
AutoZone, Inc.*,2 291 599,358
Dollar Tree, Inc.*,2 3,699 593,061
Dollar General Corp.2 2,645 582,799
Cummins, Inc.2 2,785 582,399
Marriott International, Inc. — Class A2 3,364 577,195
Yum! Brands, Inc.2 4,677 568,115
Hasbro, Inc.2 6,289 564,438
TJX Companies, Inc.2 8,853 562,785
WW Grainger, Inc.2 1,151 560,618
PACCAR, Inc.2 6,356 551,955
Tapestry, Inc.2 15,832 546,204
Aptiv plc*,2 5,123 544,268
CarMax, Inc.*,2 5,481 544,099
Whirlpool Corp.2 2,933 540,376

 

See notes to financial statements.

 

22 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

  Shares Value
COMMON STOCKS – 21.3% (continued)    
Consumer, Cyclical – 2.5% (continued)    
Hilton Worldwide Holdings, Inc.2 3,836 $ 540,339
Newell Brands, Inc.2 25,200 540,288
Fastenal Co.2 10,076 539,671
Copart, Inc.*,2 4,708 539,207
Alaska Air Group, Inc.*,2 11,139 537,568
PVH Corp.2 7,499 531,454
PulteGroup, Inc.2 11,723 530,583
Las Vegas Sands Corp.*,2 14,932 529,489
NIKE, Inc. — Class B2 4,435 527,100
Darden Restaurants, Inc.2 4,215 526,875
Ross Stores, Inc.2 6,197 526,869
Home Depot, Inc.2 1,717 519,822
Tesla, Inc.*,2 684 518,650
Chipotle Mexican Grill, Inc. — Class A*,2 368 516,138
Starbucks Corp.2 6,573 515,981
VF Corp.2 10,165 512,926
O'Reilly Automotive, Inc.*,2 805 512,922
Ralph Lauren Corp. — Class A2 5,057 511,212
Domino's Pizza, Inc.2 1,407 510,980
NVR, Inc.*,2 114 507,371
General Motors Co.*,2 13,101 506,746
Advance Auto Parts, Inc.2 2,665 505,977
DR Horton, Inc.2 6,717 504,783
Lennar Corp. — Class A2 6,282 504,130
Walgreens Boots Alliance, Inc.2 11,463 502,423
Wynn Resorts Ltd.*,2 7,519 497,006
Walmart, Inc.2 3,828 492,396
Pool Corp.2 1,230 490,303
Costco Wholesale Corp.2 1,031 480,673
Lowe's Companies, Inc.2 2,447 477,899
Bath & Body Works, Inc.2 11,617 476,529
Live Nation Entertainment, Inc.*,2 5,010 476,200
MGM Resorts International2 13,558 474,123
Best Buy Company, Inc.2 5,749 471,763
Ford Motor Co.2 33,904 463,807
Royal Caribbean Cruises Ltd.* 7,947 461,482
Tractor Supply Co.2 2,401 449,851
Carnival Corp.*,2 31,599 438,594
Target Corp.2 2,627 425,259
Penn National Gaming, Inc.*,2 12,745 407,330
Norwegian Cruise Line Holdings Ltd.* 25,392 406,526

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 23


 
 

 

SCHEDULE OF INVESTMENTS continued May 31, 2022

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Consumer, Cyclical – 2.5% (continued)    
Caesars Entertainment, Inc.*,2 7,269 $ 364,686
Exide Technologies*,††† 342 341,710
Under Armour, Inc. — Class C*,2 19,788 191,944
Under Armour, Inc. — Class A* 17,357 183,637
Total Consumer, Cyclical   37,172,569
Industrial – 2.4%    
Amcor plc 49,892 653,585
Jacobs Engineering Group, Inc.2 4,349 609,251
Westrock Co.2 12,559 608,986
Fortive Corp.2 9,669 597,254
Expeditors International of Washington, Inc.2 5,462 594,484
Mohawk Industries, Inc.*,2 4,148 586,776
Snap-on, Inc.2 2,644 586,651
Northrop Grumman Corp.2 1,246 583,091
Honeywell International, Inc.2 2,984 577,762
CH Robinson Worldwide, Inc.2 5,319 577,165
Westinghouse Air Brake Technologies Corp.2 6,107 576,867
Howmet Aerospace, Inc.2 16,123 576,720
3M Co.2 3,858 575,961
Republic Services, Inc. — Class A2 4,298 575,244
Masco Corp.2 10,121 573,760
FedEx Corp.2 2,551 572,904
Packaging Corporation of America2 3,631 571,084
Waste Management, Inc.2 3,590 569,051
Trimble, Inc.*,2 8,306 565,223
Otis Worldwide Corp.2 7,511 558,818
Huntington Ingalls Industries, Inc.2 2,639 555,404
Illinois Tool Works, Inc.2 2,667 554,923
TE Connectivity Ltd.2 4,268 552,236
Nordson Corp.2 2,529 551,019
IDEX Corp.2 2,868 549,365
Xylem, Inc.2 6,503 547,878
Caterpillar, Inc.2 2,531 546,316
Parker-Hannifin Corp.2 2,007 546,245
Allegion plc2 4,885 545,410
Lockheed Martin Corp.2 1,239 545,296
Keysight Technologies, Inc.*,2 3,728 542,797
Ingersoll Rand, Inc.2 11,427 538,783
Mettler-Toledo International, Inc.*,2 415 533,740
Raytheon Technologies Corp.2 5,611 533,718
Agilent Technologies, Inc.2 4,173 532,308

 

See notes to financial statements.

 

24 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Industrial – 2.4% (continued)    
TransDigm Group, Inc.*,2 871 $ 527,277
General Dynamics Corp.2 2,339 526,065
L3Harris Technologies, Inc.2 2,175 523,958
Teledyne Technologies, Inc.*,2 1,293 523,859
Amphenol Corp. — Class A2 7,388 523,514
Garmin Ltd.2 4,953 523,136
AMETEK, Inc.2 4,304 522,807
Sealed Air Corp.2 8,396 522,063
Emerson Electric Co.2 5,847 518,395
Textron, Inc.2 7,860 513,179
Eaton Corporation plc2 3,701 512,959
Vulcan Materials Co.2 3,102 511,427
Pentair plc2 10,108 507,119
Trane Technologies plc2 3,654 504,471
Deere & Co.2 1,396 499,461
CSX Corp.2 15,676 498,340
Martin Marietta Materials, Inc.2 1,466 497,531
A O Smith Corp.2 8,275 497,493
Carrier Global Corp.2 12,582 494,598
Johnson Controls International plc2 8,992 490,154
Norfolk Southern Corp.2 2,034 487,468
United Parcel Service, Inc. — Class B2 2,667 486,061
Dover Corp.2 3,610 483,415
Generac Holdings, Inc.*,2 1,931 477,111
J.B. Hunt Transport Services, Inc.2 2,742 473,214
General Electric Co.2 5,893 461,363
Old Dominion Freight Line, Inc.2 1,775 458,376
Union Pacific Corp.2 2,079 456,923
Rockwell Automation, Inc.2 2,116 451,131
Ball Corp.2 6,356 450,577
Fortune Brands Home & Security, Inc.2 6,483 449,596
Stanley Black & Decker, Inc.2 3,713 440,696
Boeing Co.*,2 3,086 405,500
BP Holdco LLC*,†††,3 121,041 85,334
Vector Phoenix Holdings, LP*,††† 121,040 33,286
Total Industrial   36,203,932
Technology – 2.2%    
Citrix Systems, Inc.*,2 10,484 1,055,634
EPAM Systems, Inc.* 2,717 919,759
Western Digital Corp.*,2 12,005 728,583
Fidelity National Information Services, Inc.2 6,087 636,091

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 25


 
 

 

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Technology – 2.2% (continued)    
DXC Technology Co.*,2 17,795 $ 626,740
Analog Devices, Inc.2 3,684 620,385
Monolithic Power Systems, Inc.2 1,374 618,836
Electronic Arts, Inc.2 4,445 616,299
KLA Corp.2 1,682 613,678
PTC, Inc.*,2 5,232 609,685
International Business Machines Corp.2 4,387 609,091
Synopsys, Inc.*,2 1,851 590,839
Autodesk, Inc.*,2 2,828 587,517
Lam Research Corp.2 1,125 585,034
HP, Inc.2 14,985 582,017
Fiserv, Inc.*,2 5,776 578,640
NXP Semiconductor N.V.2 3,045 577,819
Cadence Design Systems, Inc.*,2 3,753 576,949
Fortinet, Inc.*,2 1,948 572,985
Microchip Technology, Inc.2 7,877 572,264
Texas Instruments, Inc.2 3,192 564,218
Paychex, Inc.2 4,510 558,473
Jack Henry & Associates, Inc.2 2,965 557,776
Leidos Holdings, Inc.2 5,333 557,299
Roper Technologies, Inc.2 1,258 556,589
Teradyne, Inc.2 5,088 555,915
Cerner Corp.2 5,822 552,217
Micron Technology, Inc.2 7,468 551,437
Broadridge Financial Solutions, Inc.2 3,761 549,933
Broadcom, Inc.2 941 545,902
Adobe, Inc.*,2 1,306 543,923
Advanced Micro Devices, Inc.*,2 5,214 531,140
Microsoft Corp.2 1,942 527,972
Activision Blizzard, Inc.2 6,771 527,325
Seagate Technology Holdings plc2 6,227 527,240
Intel Corp.2 11,866 527,088
MSCI, Inc. — Class A2 1,191 526,839
Apple, Inc.2 3,514 523,024
Accenture plc — Class A2 1,745 520,813
IPG Photonics Corp.*,2 4,908 517,745
Applied Materials, Inc.2 4,398 515,841
Intuit, Inc.2 1,238 513,101
Hewlett Packard Enterprise Co.2 32,859 512,600
QUALCOMM, Inc.2 3,570 511,295
Paycom Software, Inc.*,2 1,793 509,822

 

See notes to financial statements.

 

26 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Technology – 2.2% (continued)    
Akamai Technologies, Inc.*,2 5,015 $ 506,716
Oracle Corp.2 6,988 502,577
Ceridian HCM Holding, Inc.*,2 8,860 498,818
ServiceNow, Inc.*,2 1,062 496,453
Qorvo, Inc.*,2 4,399 491,588
Tyler Technologies, Inc.*,2 1,365 485,694
ANSYS, Inc.*,2 1,852 482,187
Zebra Technologies Corp. — Class A*,2 1,408 476,172
NetApp, Inc.2 6,466 465,229
Skyworks Solutions, Inc.2 4,264 464,222
Cognizant Technology Solutions Corp. — Class A2 6,177 461,422
NVIDIA Corp.2 2,461 459,518
Take-Two Interactive Software, Inc.*,2 3,543 441,210
Salesforce, Inc.*,2 2,748 440,340
Qlik Technologies, Inc. - Class A*,††† 112 168,441
Qlik Technologies, Inc. - Class B*,††† 27,624 3
Total Technology   33,104,962
Utilities – 1.3%    
TexGen Power LLC*,††† 68,676 1,648,224
Dominion Energy, Inc.2 9,667 814,155
Constellation Energy Corp.2 11,026 684,494
NRG Energy, Inc.2 14,133 650,683
PPL Corp.2 20,701 624,756
CenterPoint Energy, Inc.2 19,115 612,636
Exelon Corp.2 12,464 612,606
WEC Energy Group, Inc.2 5,794 608,776
Consolidated Edison, Inc.2 6,087 604,196
Entergy Corp.2 5,000 601,600
Eversource Energy2 6,489 599,064
Southern Co.2 7,917 599,000
Ameren Corp.2 6,216 591,701
Evergy, Inc.2 8,451 591,063
Edison International2 8,393 586,755
CMS Energy Corp.2 8,245 585,725
Xcel Energy, Inc.2 7,728 582,228
American Electric Power Company, Inc.2 5,692 580,755
Sempra Energy2 3,526 577,770
Duke Energy Corp.2 5,124 576,552
Alliant Energy Corp.2 9,029 576,231
NiSource, Inc.2 18,255 574,120
Pinnacle West Capital Corp.2 7,373 572,513

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 27


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Utilities – 1.3% (continued)    
DTE Energy Co.2 4,283 $ 568,397
Public Service Enterprise Group, Inc.2 8,275 567,168
Atmos Energy Corp.2 4,781 556,078
American Water Works Company, Inc.2 3,576 540,870
AES Corp.2 24,496 539,892
FirstEnergy Corp.2 12,368 531,329
NextEra Energy, Inc.2 6,858 519,082
Total Utilities   18,878,419
Communications – 1.2%    
Vacasa, Inc. — Class A* 196,839 875,934
Twitter, Inc.*,2 17,407 689,317
AT&T, Inc.2 30,612 651,729
Lumen Technologies, Inc.2 50,919 623,249
Booking Holdings, Inc.*,2 269 603,518
T-Mobile US, Inc.*,2 4,366 581,944
Paramount Global — Class B2 16,671 572,315
Meta Platforms, Inc. — Class A*,2 2,899 561,362
CDW Corp.2 3,199 543,382
Motorola Solutions, Inc.2 2,452 538,802
Comcast Corp. — Class A2 12,079 534,858
Corning, Inc.2 14,924 534,578
Omnicom Group, Inc.2 7,132 532,119
Interpublic Group of Companies, Inc.2 16,484 531,279
eBay, Inc.2 10,863 528,702
Verizon Communications, Inc.2 10,253 525,876
FactSet Research Systems, Inc.2 1,333 508,913
Juniper Networks, Inc.2 16,410 503,459
Charter Communications, Inc. — Class A*,2 972 492,736
Match Group, Inc.*,2 6,148 484,339
NortonLifeLock, Inc.2 19,689 479,230
VeriSign, Inc.*,2 2,664 465,001
Arista Networks, Inc.*,2 4,535 463,840
F5, Inc.*,2 2,797 456,023
Walt Disney Co.*,2 4,128 455,896
Amazon.com, Inc.*,2 187 449,584
Cisco Systems, Inc.2 9,943 447,932
Warner Bros Discovery, Inc.*,2 22,684 418,520
DISH Network Corp. — Class A*,2 18,097 413,155
Expedia Group, Inc.*,2 3,033 392,258
Etsy, Inc.*,2 4,486 363,904
Fox Corp. — Class A2 9,722 345,228

 

See notes to financial statements.

 

28 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Communications – 1.2% (continued)    
News Corp. — Class A2 19,708 $ 342,919
Netflix, Inc.*,2 1,598 315,509
Alphabet, Inc. — Class A*,2 108 245,726
Alphabet, Inc. — Class C*,2 101 230,359
Fox Corp. — Class B 4,463 145,985
News Corp. — Class B 6,106 107,344
Figs, Inc. — Class A*,2 10,450 93,005
Total Communications   18,049,829
Energy – 1.0%    
Valero Energy Corp.2 5,932 768,787
Marathon Oil Corp.2 23,471 737,694
Coterra Energy, Inc. — Class A2 21,218 728,414
Hess Corp.2 5,748 707,406
Marathon Petroleum Corp.2 6,927 705,099
Devon Energy Corp.2 9,274 694,623
Phillips 662 6,733 678,754
APA Corp.2 13,926 654,661
Occidental Petroleum Corp.2 9,384 650,405
Pioneer Natural Resources Co.2 2,339 650,102
EOG Resources, Inc.2 4,701 643,849
Diamondback Energy, Inc.2 4,194 637,572
Williams Companies, Inc.2 17,047 631,762
ConocoPhillips2 5,526 620,901
Exxon Mobil Corp.2 6,404 614,784
Enphase Energy, Inc.*,2 3,179 591,898
Kinder Morgan, Inc.2 30,045 591,586
Halliburton Co.2 14,537 588,749
Schlumberger N.V.2 12,676 582,589
Chevron Corp.2 3,182 555,768
ONEOK, Inc.2 8,232 542,077
Baker Hughes Co.2 14,448 519,839
SolarEdge Technologies, Inc.*,2 1,710 466,471
Permian Production Partners LLC††† 184,043 150,915
Legacy Reserves, Inc.*,††† 2,359 23,590
Bruin E&P Partnership Units††† 40,617 2,112
Total Energy   14,740,407
Basic Materials – 0.7%    
Albemarle Corp.2 2,943 766,416
Linde plc 1,937 628,905
Sherwin-Williams Co.2 2,328 623,997
International Paper Co.2 12,817 620,983

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 29


 
 

 

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
COMMON STOCKS – 21.3% (continued)    
Basic Materials – 0.7%    
Celanese Corp. — Class A2 3,940 $ 616,689
Air Products and Chemicals, Inc.2 2,479 610,231
International Flavors & Fragrances, Inc.2 4,603 608,379
Dow, Inc.2 8,928 606,925
LyondellBasell Industries N.V. — Class A2 5,258 600,727
PPG Industries, Inc.2 4,523 572,114
Eastman Chemical Co.2 5,158 568,205
Ecolab, Inc.2 3,423 561,064
CF Industries Holdings, Inc.2 5,662 559,236
Mosaic Co.2 8,782 550,192
FMC Corp.2 4,411 540,700
Nucor Corp.2 4,021 532,622
DuPont de Nemours, Inc.2 7,502 509,011
Newmont Corp.2 7,073 479,903
Freeport-McMoRan, Inc.2 11,588 452,859
Total Basic Materials   11,009,158
Total Common Stocks    
(Cost $272,162,485)   317,550,920
PREFERRED STOCKS†† – 5.9%    
Financial – 5.7%    
Bank of America Corp.    
4.38% 275,000 5,464,250
4.38% due 12/31/70 2,650,000 2,331,824
6.50% due 12/31/702 2,000,000 2,029,484
6.30% due 12/31/702 1,000,000 1,019,025
4.13% 26,000 505,700
Wells Fargo & Co.    
4.75% 183,750 3,809,137
3.90% due 12/31/70 3,300,000 3,037,539
4.70% 148,000 3,025,120
4.38% 50,000 952,000
First Republic Bank    
4.50% 200,000 3,960,000
4.25% 158,000 2,998,840
4.13% 84,800 1,549,296
Citigroup, Inc.    
3.88% due 12/31/702 4,000,000 3,570,800
4.15% due 12/31/70 2,000,000 1,764,377
4.00% due 12/31/702 1,750,000 1,578,604
Kuvare US Holdings, Inc.    
7.00% due 02/17/514 6,400,000 6,495,593

 

See notes to financial statements.

 

30 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

  

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
PREFERRED STOCKS†† – 5.9% (continued)    
Financial – 5.7% (continued)    
Charles Schwab Corp.    
5.38% due 12/31/702 3,000,000 $ 3,030,290
4.00% due 12/31/70 3,150,000 2,509,472
Equitable Holdings, Inc.    
4.95% due 12/31/702 3,650,000 3,539,888
4.30% 82,000 1,579,320
Markel Corp.    
6.00% due 12/31/70 4,770,000 4,797,260
Public Storage    
4.63% 144,400 3,267,772
4.13% 16,400 336,856
W R Berkley Corp.    
4.13% due 03/30/61 126,000 2,540,160
4.25% due 09/30/60 36,800 730,848
Prudential Financial, Inc.    
4.13% due 09/01/60 140,000 2,994,600
PartnerRe Ltd.    
4.88% 128,000 2,814,720
JPMorgan Chase & Co.    
4.55% 49,000 1,014,790
4.20% 40,000 796,400
4.63% 24,000 504,240
American Financial Group, Inc.    
4.50% due 09/15/60 100,000 2,134,000
MetLife, Inc.    
3.85% due 12/31/702 1,820,000 1,688,954
CNO Financial Group, Inc.    
5.13% due 11/25/60 80,000 1,661,600
Assurant, Inc.    
5.25% due 01/15/61 58,000 1,296,880
American Equity Investment Life Holding Co.    
5.95% 46,000 1,141,720
Arch Capital Group Ltd.    
4.55% 38,000 753,920
Selective Insurance Group, Inc.    
4.60% 36,000 747,720
RenaissanceRe Holdings Ltd.    
4.20% 13,000 244,010
Globe Life, Inc.    
4.25% due 06/15/61 11,000 217,470
Total Financial   84,434,479
Government – 0.2%    
Farmer Mac    
5.75% 112,000 2,668,960

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 31


 
 

 

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
 
PREFERRED STOCKS†† – 5.9% (continued)    
Government – 0.2% (continued)    
AgriBank FCB    
6.88% 4,000 $ 408,000
Total Government   3,076,960
Consumer, Cyclical – 0.0%    
Exide Technologies*,††† 761 855,025
Total Preferred Stocks    
(Cost $100,461,558)   88,366,464
WARRANTS – 0.0%    
KKR Acquisition Holdings I Corp. — Class A    
Expiring 12/31/27*,1 195,882 78,842
Pershing Square Tontine Holdings, Ltd. — Class A    
Expiring 07/24/25*,1 115,860 53,319
Aequi Acquisition Corp.    
Expiring 11/30/27*,1 246,299 35,713
Ginkgo Bioworks Holdings, Inc.    
Expiring 12/31/27* 26,852 16,380
AfterNext HealthTech Acquisition Corp. — Class A    
Expiring 05/13/23*,1 35,766 11,198
Conyers Park III Acquisition Corp. — Class A    
Expiring 08/12/28* 33,200 10,083
MSD Acquisition Corp. — Class A    
Expiring 05/13/23*,1 23,373 8,730
Acropolis Infrastructure Acquisition Corp. — Class A    
Expiring 03/31/26*,1 32,766 8,516
RXR Acquisition Corp. — Class A    
Expiring 03/08/26*,1 32,105 7,856
Waverley Capital Acquisition Corp. 1— Class A    
Expiring 04/30/27*,1 31,300 6,783
Colicity, Inc. — Class A    
Expiring 12/31/27*,1 24,102 5,218
Blue Whale Acquisition Corp. I — Class A    
Expiring 07/30/26*,1 14,324 4,154
Total Warrants    
(Cost $2,301,369)   246,792
EXCHANGE-TRADED FUNDS – 8.5%    
SPDR S&P 500 ETF Trust2 103,730 42,833,229
Invesco QQQ Trust Series2 138,135 42,584,258
iShares Russell 2000 Index ETF2 225,485 41,784,625
Total Exchange-Traded Funds    
(Cost $98,552,569)   127,202,112

 

See notes to financial statements.

 

32 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Shares Value
CLOSED-END FUNDS – 2.6%    
BlackRock Taxable Municipal Bond Trust2 292,122 $ 5,857,046
Nuveen Taxable Municipal Income Fund 289,790 5,427,767
Nuveen AMT-Free Municipal Credit Income Fund 291,077 4,121,650
BlackRock Corporate High Yield Fund, Inc.2 371,445 3,840,741
Invesco Municipal Opportunity Trust 229,099 2,465,105
Invesco Trust for Investment Grade Municipals 212,335 2,367,535
Blackstone Strategic Credit Fund2 186,741 2,211,013
BlackRock Credit Allocation Income Trust2 184,289 2,126,695
Invesco Municipal Trust 188,704 2,024,794
Invesco Advantage Municipal Income Trust II 163,240 1,603,017
Eaton Vance Limited Duration Income Fund 141,764 1,504,116
BlackRock Municipal Income Trust 108,502 1,400,761
Ares Dynamic Credit Allocation Fund, Inc. 68,740 922,491
BlackRock Debt Strategies Fund, Inc.2 83,425 801,714
Western Asset High Income Opportunity Fund, Inc.2 160,170 682,324
Nuveen AMT-Free Quality Municipal Income Fund 31,454 396,635
Nuveen Quality Municipal Income Fund 25,984 340,391
BlackRock MuniVest Fund, Inc. 24,898 193,707
Total Closed-End Funds    
(Cost $41,761,450)   38,287,502
 
MONEY MARKET FUNDS – 1.0%    
Dreyfus Treasury Securities    
Cash Management Fund — Institutional Shares, 0.64%5 12,849,910 12,849,910
Dreyfus Treasury Obligations    
Cash Management Fund — Institutional Shares, 0.65%5 2,341,558 2,341,558
Total Money Market Funds    
(Cost $15,191,468)   15,191,468
  Face  
  Amount~  
CORPORATE BONDS†† – 44.6%    
Financial – 11.0%    
Morgan Stanley Finance LLC    
1.50% due 10/23/296 13,500,000 11,364,300
Dyal Capital Partners III    
4.40% due 06/15/40††† 10,000,000 8,953,078
Wilton RE Ltd.    
6.00%2,4,7,8 7,800,000 6,922,578
Hunt Companies, Inc.    
5.25% due 04/15/292,4 7,325,000 6,903,812
Jefferies Finance LLC / JFIN Company-Issuer Corp.    
5.00% due 08/15/282,4 7,500,000 6,763,950

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 33


 
 

 

 

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Financial – 11.0% (continued)    
United Wholesale Mortgage LLC    
5.50% due 11/15/252,4 4,060,000 $ 3,836,700
5.50% due 04/15/292,4 1,925,000 1,690,420
5.75% due 06/15/272,4 1,250,000 1,126,638
Maple Grove Funding Trust I    
4.16% due 08/15/512,4 8,000,000 6,407,162
Iron Mountain, Inc.    
5.63% due 07/15/322,4 6,500,000 6,196,580
NFP Corp.    
6.88% due 08/15/282,4 6,925,000 6,036,453
OneMain Finance Corp.    
4.00% due 09/15/302 2,200,000 1,868,240
6.13% due 03/15/242 1,500,000 1,515,220
7.13% due 03/15/26 1,100,000 1,126,400
3.88% due 09/15/28 800,000 690,966
6.63% due 01/15/28 450,000 450,562
8.88% due 06/01/25 350,000 365,533
Home Point Capital, Inc.    
5.00% due 02/01/262,4 6,650,000 5,461,113
Liberty Mutual Group, Inc.    
4.30% due 02/01/614 7,300,000 5,383,750
Cushman & Wakefield US Borrower LLC    
6.75% due 05/15/282,4 4,800,000 4,829,280
National Life Insurance Co.    
10.50% due 09/15/394 3,400,000 4,803,003
Kennedy-Wilson, Inc.    
5.00% due 03/01/312 3,225,000 2,862,187
4.75% due 02/01/302 1,450,000 1,292,835
4.75% due 03/01/292 425,000 381,437
Hampton Roads PPV LLC    
6.62% due 06/15/534 4,735,000 4,411,929
LPL Holdings, Inc.    
4.00% due 03/15/292,4 4,172,000 3,864,315
4.38% due 05/15/314 550,000 494,312
RXR Realty LLC    
5.25% due 07/17/25††† 4,200,000 4,171,147
QBE Insurance Group Ltd.    
7.50% due 11/24/434,8 3,000,000 3,086,503
5.88%4,7,8 950,000 940,051
Jane Street Group / JSG Finance, Inc.    
4.50% due 11/15/292,4 3,500,000 3,272,500
Host Hotels & Resorts, LP    
3.50% due 09/15/302 3,610,000 3,220,398
Sherwood Financing plc    
6.00% due 11/15/264 GBP 2,000,000 2,192,734
4.50% due 11/15/264 EUR 1,000,000 972,833

 

See notes to financial statements.

 

34 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Financial – 11.0% (continued)    
Barclays plc    
7.75%2,7,8 3,000,000 $ 3,054,608
Ares Finance Company IV LLC    
3.65% due 02/01/522,4 4,100,000 3,049,785
HUB International Ltd.    
5.63% due 12/01/292,4 2,500,000 2,331,250
7.00% due 05/01/262,4 550,000 555,429
BBC Military Housing-Navy Northeast LLC    
6.30% due 10/15/49††† 2,800,000 2,606,375
Global Atlantic Finance Co.    
4.70% due 10/15/514,8 2,700,000 2,288,539
Lincoln National Corp.    
4.38% due 06/15/502 2,560,000 2,286,103
Fort Knox Military Housing Privatization Project    
5.82% due 02/15/524 1,865,251 1,859,461
First American Financial Corp.    
4.00% due 05/15/302 1,740,000 1,625,170
AmWINS Group, Inc.    
4.88% due 06/30/292,4 1,725,000 1,597,393
Atlas Mara Ltd.    
due 12/31/21†††,9,10 2,200,000 1,573,000
OneAmerica Financial Partners, Inc.    
4.25% due 10/15/502,4 1,730,000 1,480,960
Newmark Group, Inc.    
6.13% due 11/15/232 1,450,000 1,462,688
PHM Group Holding Oy    
4.75% due 06/18/264 EUR 1,400,000 1,442,834
Weyerhaeuser Co.    
6.88% due 12/15/332 1,100,000 1,283,279
Allianz SE    
3.50%2,4,7,8 1,400,000 1,226,694
GLP Capital Limited Partnership / GLP Financing II, Inc.    
5.30% due 01/15/29 1,050,000 1,043,721
Ryan Specialty Group LLC    
4.38% due 02/01/304 1,100,000 990,093
Reinsurance Group of America, Inc.    
3.15% due 06/15/302 1,000,000 915,020
Pershing Square Holdings Ltd.    
3.25% due 10/01/31 1,100,000 910,303
PartnerRe Finance B LLC    
4.50% due 10/01/502,8 950,000 846,849
Fort Benning Family Communities LLC    
6.09% due 01/15/512,4 704,631 704,777
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer    
4.25% due 10/15/272,4 725,000 686,617

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 35


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Financial – 11.0% (continued)    
Pacific Beacon LLC    
5.63% due 07/15/514 677,334 $ 678,209
Prudential Financial, Inc.    
5.13% due 03/01/528 700,000 672,875
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.    
3.88% due 03/01/314 700,000 589,267
Macquarie Bank Ltd.    
3.62% due 06/03/304 640,000 569,266
Greystar Real Estate Partners LLC    
5.75% due 12/01/252,4 450,000 450,364
Assurant, Inc.    
7.00% due 03/27/488 400,000 399,429
Fort Gordon Housing LLC    
6.32% due 05/15/514 200,000 219,596
USI, Inc.    
6.88% due 05/01/252,4 150,000 147,535
Total Financial   163,406,408
Consumer, Non-cyclical – 7.9%    
US Foods, Inc.    
6.25% due 04/15/252,4 3,000,000 3,090,000
4.63% due 06/01/302,4 2,500,000 2,295,000
4.75% due 02/15/292,4 2,250,000 2,112,019
Bausch Health Companies, Inc.    
4.88% due 06/01/282,4 8,025,000 6,894,077
Mozart Debt Merger Sub, Inc.    
5.25% due 10/01/292,4 5,200,000 4,603,092
3.88% due 04/01/294 2,000,000 1,805,000
BCP V Modular Services Finance II plc    
6.13% due 10/30/284 GBP 4,250,000 4,686,338
4.75% due 10/30/284 EUR 1,550,000 1,474,705
CPI CG, Inc.    
8.63% due 03/15/262,4 6,348,000 6,061,814
Sabre GLBL, Inc.    
7.38% due 09/01/252,4 3,725,000 3,678,438
9.25% due 04/15/252,4 1,875,000 1,940,475
Cheplapharm Arzneimittel GmbH    
5.50% due 01/15/282,4 5,370,000 4,851,473
Sotheby's    
7.38% due 10/15/272,4 4,899,000 4,784,532
Kraft Heinz Foods Co.    
5.20% due 07/15/452 1,400,000 1,362,679
5.00% due 06/04/42 1,225,000 1,174,808
4.38% due 06/01/462 1,300,000 1,141,516
4.88% due 10/01/492 600,000 560,996

 

See notes to financial statements.

 

36 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

SCHEDULE OF INVESTMENTS continued May 31, 2022

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Consumer, Non-cyclical – 7.9% (continued)    
Altria Group, Inc.    
3.70% due 02/04/512 6,000,000 $ 4,202,393
Nielsen Finance LLC / Nielsen Finance Co.    
5.63% due 10/01/282,4 1,900,000 1,883,109
4.75% due 07/15/312,4 1,300,000 1,244,750
5.88% due 10/01/302,4 975,000 958,025
KeHE Distributors LLC / KeHE Finance Corp.    
8.63% due 10/15/262,4 3,632,000 3,775,181
Williams Scotsman International, Inc.    
4.63% due 08/15/282,4 3,675,000 3,474,602
Post Holdings, Inc.    
4.50% due 09/15/312,4 3,925,000 3,444,187
Rent-A-Center, Inc.    
6.38% due 02/15/292,4 3,625,000 3,176,624
FAGE International S.A. / FAGE USA Dairy Industry, Inc.    
5.63% due 08/15/262,4 3,301,000 2,920,395
Acadia Healthcare Company, Inc.    
5.00% due 04/15/292,4 2,400,000 2,329,829
5.50% due 07/01/284 550,000 543,812
Nathan's Famous, Inc.    
6.63% due 11/01/252,4 2,676,000 2,667,669
Par Pharmaceutical, Inc.    
7.50% due 04/01/272,4 3,345,000 2,617,462
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.    
5.00% due 02/01/262,4 2,775,000 2,595,638
Avantor Funding, Inc.    
4.63% due 07/15/282,4 1,700,000 1,655,001
3.88% due 11/01/292,4 925,000 858,622
Castor S.p.A.    
5.25% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29◊,4 EUR 2,300,000 2,390,958
Sotheby's/Bidfair Holdings, Inc.    
5.88% due 06/01/292,4 2,700,000 2,376,000
Option Care Health, Inc.    
4.38% due 10/31/292,4 2,275,000 2,073,640
ADT Security Corp.    
4.13% due 08/01/292,4 1,050,000 934,395
4.88% due 07/15/322,4 1,000,000 868,654
Gartner, Inc.    
4.50% due 07/01/282,4 1,700,000 1,653,165
DaVita, Inc.    
4.63% due 06/01/302,4 1,900,000 1,650,625
Spectrum Brands, Inc.    
5.50% due 07/15/302,4 1,700,000 1,571,480
Royalty Pharma plc    
3.55% due 09/02/502 2,100,000 1,540,595

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 37


 
 

 

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Consumer, Non-cyclical – 7.9% (continued)    
HealthEquity, Inc.    
4.50% due 10/01/292,4 1,550,000 $ 1,445,375
Endo Luxembourg Finance Company I SARL / Endo US, Inc.    
6.13% due 04/01/292,4 1,900,000 1,444,646
Grifols Escrow Issuer S.A.    
4.75% due 10/15/282,4 1,350,000 1,233,562
APi Escrow Corp.    
4.75% due 10/15/292,4 1,225,000 1,078,000
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.    
7.00% due 12/31/274 1,038,000 833,089
5.00% due 12/31/264 250,000 226,250
TreeHouse Foods, Inc.    
4.00% due 09/01/28 1,150,000 997,050
Central Garden & Pet Co.    
4.13% due 10/15/302 625,000 553,125
4.13% due 04/30/314 400,000 354,294
AMN Healthcare, Inc.    
4.63% due 10/01/272,4 725,000 697,725
WW International, Inc.    
4.50% due 04/15/294 950,000 672,125
Catalent Pharma Solutions, Inc.    
3.50% due 04/01/304 625,000 560,594
Carriage Services, Inc.    
4.25% due 05/15/292,4 575,000 485,875
Performance Food Group, Inc.    
6.88% due 05/01/254 450,000 459,596
APi Group DE, Inc.    
4.13% due 07/15/294 400,000 344,500
Charles River Laboratories International, Inc.    
4.00% due 03/15/314 300,000 276,479
Prestige Brands, Inc.    
3.75% due 04/01/314 300,000 253,443
Endo Dac / Endo Finance LLC / Endo Finco, Inc.    
9.50% due 07/31/272,4 181,000 43,440
Total Consumer, Non-cyclical   117,882,941
Consumer, Cyclical – 6.9%    
Delta Air Lines, Inc.    
7.00% due 05/01/252,4 10,535,000 11,269,387
JB Poindexter & Company, Inc.    
7.13% due 04/15/262,4 5,275,000 5,225,468
Marriott International, Inc.    
4.63% due 06/15/302 2,320,000 2,297,208
3.50% due 10/15/32 1,400,000 1,257,557
2.85% due 04/15/31 1,280,000 1,108,883
5.75% due 05/01/25 490,000 516,898

 

See notes to financial statements.

 

38 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Consumer, Cyclical – 6.9% (continued)    
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.    
5.88% due 03/01/272 3,210,000 $ 3,187,209
5.00% due 06/01/312,4 1,800,000 1,658,397
Air Canada Class A Pass Through Trust    
5.25% due 04/01/292,4 4,381,804 4,434,833
Delta Air Lines, Inc. / SkyMiles IP Ltd.    
4.75% due 10/20/282,4 3,950,000 3,944,674
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.    
4.63% due 01/15/292,4 4,100,000 3,731,000
Live Nation Entertainment, Inc.    
6.50% due 05/15/272,4 3,350,000 3,467,451
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.    
6.50% due 06/20/272,4 3,350,000 3,400,585
Station Casinos LLC    
4.63% due 12/01/312,4 4,000,000 3,388,290
Wabash National Corp.    
4.50% due 10/15/282,4 4,100,000 3,341,500
Walgreens Boots Alliance, Inc.    
4.10% due 04/15/502 3,800,000 3,165,832
Powdr Corp.    
6.00% due 08/01/252,4 2,790,000 2,814,413
Air Canada    
4.63% due 08/15/294 CAD 2,900,000 2,030,539
3.88% due 08/15/262,4 825,000 768,941
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.    
5.75% due 01/20/262,4 2,575,000 2,557,632
PetSmart, Inc. / PetSmart Finance Corp.    
4.75% due 02/15/282,4 2,725,000 2,507,000
Aramark Services, Inc.    
6.38% due 05/01/252,4 2,300,000 2,357,212
5.00% due 02/01/282,4 110,000 107,140
United Airlines, Inc.    
4.63% due 04/15/292,4 2,575,000 2,415,865
Scotts Miracle-Gro Co.    
4.00% due 04/01/312 2,150,000 1,793,971
4.38% due 02/01/32 700,000 577,500
HP Communities LLC    
6.82% due 09/15/534 934,783 1,059,825
6.16% due 09/15/534 1,000,000 1,049,713
Six Flags Theme Parks, Inc.    
7.00% due 07/01/254 1,925,000 1,992,375
Superior Plus Limited Partnership / Superior General Partner, Inc.    
4.50% due 03/15/292,4 2,000,000 1,867,500
Yum! Brands, Inc.    
4.63% due 01/31/322 1,987,000 1,854,129

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 39


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Consumer, Cyclical – 6.9% (continued)    
Hyatt Hotels Corp.    
5.75% due 04/23/302 1,690,000 $ 1,765,046
Picasso Finance Sub, Inc.    
6.13% due 06/15/252,4 1,683,000 1,712,452
Boyd Gaming Corp.    
8.63% due 06/01/252,4 1,624,000 1,694,043
CD&R Smokey Buyer, Inc.    
6.75% due 07/15/252,4 1,650,000 1,686,481
Wyndham Hotels & Resorts, Inc.    
4.38% due 08/15/282,4 1,625,000 1,533,382
1011778 BC ULC / New Red Finance, Inc.    
3.88% due 01/15/284 850,000 802,188
4.00% due 10/15/304 725,000 639,019
Hilton Domestic Operating Company, Inc.    
3.63% due 02/15/324 1,350,000 1,171,125
Boyne USA, Inc.    
4.75% due 05/15/292,4 1,250,000 1,162,500
Crocs, Inc.    
4.13% due 08/15/314 1,400,000 1,116,759
4.25% due 03/15/294 50,000 41,652
Clarios Global, LP / Clarios US Finance Co.    
8.50% due 05/15/274 1,050,000 1,046,483
Vail Resorts, Inc.    
6.25% due 05/15/254 1,000,000 1,027,110
Clarios Global, LP    
6.75% due 05/15/254 990,000 996,160
Wolverine World Wide, Inc.    
4.00% due 08/15/294 1,150,000 953,815
Allison Transmission, Inc.    
3.75% due 01/30/312,4 1,100,000 941,875
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.    
6.63% due 03/01/302,4 650,000 602,966
Tempur Sealy International, Inc.    
3.88% due 10/15/312,4 700,000 583,870
Penn National Gaming, Inc.    
4.13% due 07/01/294 675,000 552,420
Rite Aid Corp.    
7.50% due 07/01/254 625,000 526,797
United Airlines Class AA Pass Through Trust    
3.45% due 12/01/27 467,596 442,024
Superior Plus, LP    
4.25% due 05/18/284 CAD 350,000 247,717
Exide Technologies    
due 10/31/24†††,9 2,353,687 2
Total Consumer, Cyclical   102,394,813

 

See notes to financial statements.

 

40 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Communications – 5.1%    
Altice France S.A.    
5.50% due 10/15/292,4 8,175,000 $ 7,091,813
5.13% due 07/15/292,4 3,025,000 2,640,447
8.13% due 02/01/272,4 1,300,000 1,301,846
McGraw-Hill Education, Inc.    
8.00% due 08/01/292,4 6,300,000 5,454,330
5.75% due 08/01/284 3,525,000 3,214,747
VZ Secured Financing BV    
5.00% due 01/15/324 6,850,000 6,200,757
British Telecommunications plc    
4.88% due 11/23/812,4,8 5,550,000 5,012,635
4.25% due 11/23/814,8 950,000 875,265
Paramount Global    
4.95% due 05/19/502 6,390,000 5,757,376
Cengage Learning, Inc.    
9.50% due 06/15/242,4 4,976,000 4,695,503
UPC Broadband Finco BV    
4.88% due 07/15/312,4 4,550,000 4,172,953
LCPR Senior Secured Financing DAC    
6.75% due 10/15/274 2,114,000 2,129,855
5.13% due 07/15/292,4 1,900,000 1,728,525
Corning, Inc.    
4.38% due 11/15/572 4,100,000 3,744,890
Vodafone Group plc    
5.13% due 06/04/812,8 4,100,000 3,183,060
AMC Networks, Inc.    
4.25% due 02/15/292 3,450,000 3,157,181
Ciena Corp.    
4.00% due 01/31/302,4 2,150,000 1,978,000
CCO Holdings LLC / CCO Holdings Capital Corp.    
4.50% due 06/01/332,4 1,225,000 1,054,217
4.25% due 01/15/344 750,000 621,274
4.50% due 05/01/32 325,000 285,935
Level 3 Financing, Inc.    
3.63% due 01/15/292,4 1,500,000 1,267,500
3.75% due 07/15/294 600,000 511,598
Vmed O2 UK Financing I plc    
4.25% due 01/31/312,4 1,225,000 1,084,125
4.75% due 07/15/314 650,000 588,250
Radiate Holdco LLC / Radiate Finance, Inc.    
4.50% due 09/15/262,4 1,800,000 1,668,582
TripAdvisor, Inc.    
7.00% due 07/15/252,4 1,575,000 1,629,416
CSC Holdings LLC    
4.63% due 12/01/302,4 1,913,000 1,501,896

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 41


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Communications – 5.1% (continued)    
Virgin Media Secured Finance plc    
4.50% due 08/15/302,4 1,200,000 $ 1,085,640
Sirius XM Radio, Inc.    
3.88% due 09/01/312,4 900,000 791,298
Match Group Holdings II LLC    
3.63% due 10/01/314 875,000 743,488
Ziggo BV    
4.88% due 01/15/304 725,000 671,386
Ziggo Bond Company BV    
5.13% due 02/28/304 500,000 444,182
Total Communications   76,287,970
Industrial – 4.6%    
Boeing Co.    
5.81% due 05/01/502 9,400,000 9,249,205
New Enterprise Stone & Lime Company, Inc.    
9.75% due 07/15/282,4 7,717,000 7,401,432
5.25% due 07/15/282,4 2,025,000 1,792,062
Standard Industries, Inc.    
4.38% due 07/15/302,4 7,050,000 6,351,380
3.38% due 01/15/312,4 1,100,000 923,241
Cleaver-Brooks, Inc.    
7.88% due 03/01/232,4 5,853,000 5,443,290
Artera Services LLC    
9.03% due 12/04/252,4 6,290,000 4,969,100
Great Lakes Dredge & Dock Corp.    
5.25% due 06/01/292,4 3,450,000 3,243,000
Harsco Corp.    
5.75% due 07/31/272,4 3,624,000 3,122,076
Howmet Aerospace, Inc.    
3.00% due 01/15/292 1,175,000 1,071,765
5.95% due 02/01/372 875,000 874,943
6.88% due 05/01/252 800,000 854,920
GrafTech Finance, Inc.    
4.63% due 12/15/282,4 2,785,000 2,549,027
Mauser Packaging Solutions Holding Co.    
8.50% due 04/15/244 1,700,000 1,691,500
5.50% due 04/15/242,4 800,000 790,160
TransDigm, Inc.    
8.00% due 12/15/252,4 2,050,000 2,138,396
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc    
4.00% due 09/01/292,4 2,300,000 1,992,962
Summit Materials LLC / Summit Materials Finance Corp.    
5.25% due 01/15/292,4 1,775,000 1,676,052

 

See notes to financial statements.

 

42 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

  

SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Industrial – 4.6% (continued)    
TK Elevator US Newco, Inc.    
5.25% due 07/15/272,4 1,550,000 $ 1,511,250
Builders FirstSource, Inc.    
4.25% due 02/01/324 1,675,000 1,493,631
JELD-WEN, Inc.    
6.25% due 05/15/252,4 1,350,000 1,356,750
Brundage-Bone Concrete Pumping Holdings, Inc.    
6.00% due 02/01/262,4 1,525,000 1,305,636
Deuce FinCo plc    
5.50% due 06/15/27 GBP 1,200,000 1,292,563
Cellnex Finance Company S.A.    
3.88% due 07/07/414 1,750,000 1,286,093
Amsted Industries, Inc.    
4.63% due 05/15/302,4 950,000 855,000
Ball Corp.    
3.13% due 09/15/312 875,000 764,356
Intertape Polymer Group, Inc.    
4.38% due 06/15/294 600,000 618,000
Hillenbrand, Inc.    
5.75% due 06/15/25 325,000 333,534
3.75% due 03/01/31 250,000 220,000
GATX Corp.    
4.00% due 06/30/302 560,000 540,748
PGT Innovations, Inc.    
4.38% due 10/01/294 400,000 357,781
TopBuild Corp.    
4.13% due 02/15/324 400,000 352,910
Arcosa, Inc.    
4.38% due 04/15/294 350,000 318,633
EnerSys    
4.38% due 12/15/272,4 325,000 295,110
EnPro Industries, Inc.    
5.75% due 10/15/26 115,000 115,000
Total Industrial   69,151,506
Energy – 3.6%    
Global Partners Limited Partnership / GLP Finance Corp.    
7.00% due 08/01/27 4,800,000 4,663,680
6.88% due 01/15/292 2,980,000 2,803,165
Occidental Petroleum Corp.    
6.20% due 03/15/402 2,100,000 2,215,500
7.00% due 11/15/27 2,000,000 2,116,410
4.30% due 08/15/392 2,100,000 1,900,500
4.63% due 06/15/45 750,000 678,750

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 43


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Energy – 3.6% (continued)    
ITT Holdings LLC    
6.50% due 08/01/292,4 7,950,000 $ 6,812,355
BP Capital Markets plc    
4.88%2,7,8 6,750,000 6,311,862
NuStar Logistics, LP    
6.38% due 10/01/302 5,625,000 5,503,500
5.63% due 04/28/27 200,000 200,600
6.00% due 06/01/26 125,000 126,046
CVR Energy, Inc.    
5.25% due 02/15/252,4 2,275,000 2,235,415
5.75% due 02/15/282,4 2,100,000 1,994,895
Parkland Corp.    
4.63% due 05/01/302,4 2,700,000 2,434,887
4.50% due 10/01/292,4 1,300,000 1,174,043
Hess Corp.    
5.60% due 02/15/412 1,550,000 1,578,895
6.00% due 01/15/402 1,000,000 1,062,106
7.13% due 03/15/33 500,000 577,777
Rattler Midstream, LP    
5.63% due 07/15/252,4 1,650,000 1,687,273
TransMontaigne Partners Limited Partnership / TLP Finance Corp.    
6.13% due 02/15/262 1,525,000 1,490,078
Southwestern Energy Co.    
5.38% due 02/01/29 1,400,000 1,408,435
Exterran Energy Solutions Limited Partnership / EES Finance Corp.    
8.13% due 05/01/252 1,201,000 1,200,706
Energy Transfer, LP    
4.25% due 04/01/242 1,000,000 1,006,785
Buckeye Partners, LP    
4.35% due 10/15/24 750,000 744,551
Venture Global Calcasieu Pass LLC    
4.13% due 08/15/314 775,000 726,563
DT Midstream, Inc.    
4.13% due 06/15/292,4 425,000 397,959
FLNG Liquefaction 2 LLC    
4.13% due 03/31/384 248,353 238,024
Viper Energy Partners, LP    
5.38% due 11/01/272,4 200,000 198,997
Basic Energy Services, Inc.    
due 10/15/239,10 1,075,000 43,000
Schahin II Finance Co. SPV Ltd.    
due 09/25/229,10 1,216,133 30,403
Total Energy   53,563,160

 

See notes to financial statements.

 

44 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Basic Materials – 2.4%    
Carpenter Technology Corp.    
6.38% due 07/15/282 5,225,000 $ 5,118,488
7.63% due 03/15/302 2,500,000 2,469,018
SCIL IV LLC / SCIL USA Holdings LLC    
5.38% due 11/01/262,4 5,875,000 5,460,107
Alcoa Nederland Holding BV    
5.50% due 12/15/272,4 3,625,000 3,644,648
6.13% due 05/15/282,4 1,475,000 1,496,988
EverArc Escrow SARL    
5.00% due 10/30/292,4 5,250,000 4,567,500
Clearwater Paper Corp.    
4.75% due 08/15/282,4 2,547,000 2,290,854
WR Grace Holdings LLC    
4.88% due 06/15/272,4 2,050,000 1,916,279
Compass Minerals International, Inc.    
6.75% due 12/01/272,4 1,725,000 1,630,209
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.    
9.00% due 07/01/284 1,625,000 1,430,000
Kaiser Aluminum Corp.    
4.63% due 03/01/284 1,000,000 919,428
4.50% due 06/01/314 500,000 436,596
Minerals Technologies, Inc.    
5.00% due 07/01/282,4 1,350,000 1,255,500
Arconic Corp.    
6.00% due 05/15/252,4 1,200,000 1,227,000
HB Fuller Co.    
4.25% due 10/15/282 1,150,000 1,036,906
Diamond BC BV    
4.63% due 10/01/294 825,000 701,250
Valvoline, Inc.    
3.63% due 06/15/314 760,000 675,163
Mirabela Nickel Ltd.    
due 06/24/199,10 2,667,995 133,400
Total Basic Materials   36,409,334
Technology – 1.6%    
Minerva Merger Sub, Inc.    
6.50% due 02/15/304 7,900,000 7,248,250
NCR Corp.    
5.25% due 10/01/302,4 3,150,000 2,895,188
6.13% due 09/01/294 1,550,000 1,473,002
5.13% due 04/15/294 900,000 858,317
Boxer Parent Company, Inc.    
7.13% due 10/02/252,4 2,350,000 2,301,684

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 45


 
 

 

 

   
SCHEDULE OF INVESTMENTS continued May 31, 2022

 

     
  Face  
  Amount~ Value
CORPORATE BONDS†† – 44.6% (continued)    
Technology – 1.6% (continued)    
Twilio, Inc.    
3.88% due 03/15/312 2,000,000 $ 1,814,660
Playtika Holding Corp.    
4.25% due 03/15/292,4 2,025,000 1,773,394
TeamSystem S.p.A.    
3.50% due 02/15/28 EUR 1,700,000 1,650,177
Dun & Bradstreet Corp.    
5.00% due 12/15/292,4 1,800,000 1,636,866
Oracle Corp.    
3.95% due 03/25/51 2,100,000 1,601,206
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.    
5.75% due 03/01/254 370,000 367,732
Booz Allen Hamilton, Inc.    
4.00% due 07/01/292,4 325,000 307,549
Total Technology   23,928,025
Utilities – 1.5%    
Midcap Funding XLVI Trust    
5.50% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 11/22/23◊,††† 9,250,000 9,277,903
Cheniere Corpus Christi Holdings LLC    
3.52% due 12/31/39††† 6,200,000 5,408,162
Terraform Global Operating LLC    
6.13% due 03/01/262,4 5,255,000 5,149,900
Clearway Energy Operating LLC    
3.75% due 02/15/312,4 2,100,000 1,853,250
3.75% due 01/15/322,4 525,000 450,607
Petershill II Senior Secured Notes    
5.00% due 12/02/39††† 839,000 779,296
5.00% due 07/15/39††† 161,000 149,543
Total Utilities   23,068,661
Total Corporate Bonds    
    (Cost $733,785,429)   666,092,818
SENIOR FLOATING RATE INTERESTS††,◊ – 30.7%    
Consumer, Cyclical – 8.5%    
Pacific Bells, LLC