Filed Pursuant to Rule 424(b)(5)
Securities Act File No. 333-259592
Investment Company Act File No. 811-21982 
 
 
PROSPECTUS SUPPLEMENT
(to Prospectus dated September 20, 2021)
 
GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
Common Shares of Beneficial Interests
Having an Aggregate Initial Offering Price of Up to $330,024,727
Guggenheim Strategic Opportunities Fund (the “Fund”) is a diversified, closed-end management investment company. 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, which utilizes quantitative and qualitative analysis to seek to identify securities or spreads between securities that deviate from their perceived fair value and/or historical norms. 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. The Fund’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 as compared to such benchmark indexes. The Fund cannot ensure investors that it will achieve its investment objective.
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 sectors and credit qualities, 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”) that the Fund’s sub-adviser believes offer attractive yield and/or capital appreciation potential, including employing a strategy of writing (selling) covered call and put options on such equities.
The Fund has entered into a Controlled Equity OfferingSM Sales Agreement, dated July 1, 2019, as amended by First Amendment to Controlled Equity OfferingSM Sales Agreement, dated February 1, 2021, Second Amendment to Controlled Equity OfferingSM Sales Agreement, dated September 16, 2021, and Third Amendment to Controlled Equity OfferingSM Sales Agreement, dated March 27, 2023 (as amended, the “Sales Agreement”), by and among the Fund, the Fund’s investment adviser, Guggenheim Funds Investment Advisors, LLC (the “Investment Adviser”), and Cantor Fitzgerald & Co. (“Cantor Fitzgerald”) relating to the Fund’s common shares of beneficial interest, par value $0.01 per share (the “Common Shares”), offered by this Prospectus Supplement and the accompanying Prospectus. In accordance with the terms of the Sales Agreement, the Fund may offer and sell Common Shares having an aggregate initial offering price of up to $330,024,727, from time to time, through Cantor Fitzgerald as agent for the Fund for the offer and sale of the Common Shares.
Cantor Fitzgerald will be entitled to compensation of up to 2.00% of the gross proceeds of the sale of any Common Shares under the Sales Agreement, with the exact amount of such compensation to be mutually agreed upon by the Fund and Cantor Fitzgerald from time to time. In connection with the sale of the Common Shares on behalf of the Fund, Cantor Fitzgerald may be deemed to be an “underwriter” within the meaning of the Securities Act of 1933, as amended (the “1933 Act”), and the compensation of Cantor Fitzgerald may be deemed to be underwriting commissions or discounts.
Sales of the Common Shares, if any, under this Prospectus Supplement and the accompanying Prospectus may be made in negotiated transactions or by any method permitted by law deemed to be an “at the market offering” as defined in Rule 415(a)(4) under the 1933 Act. The Fund or the Fund and Cantor Fitzgerald will determine whether any sales of Common Shares will be authorized on a particular day.
The Fund’s currently outstanding Common Shares are, and the Common Shares offered by this Prospectus Supplement and the accompanying Prospectus will be listed on the New York Stock Exchange (“NYSE”) under the symbol “GOF.” At the close of business on March 27, 2023, the net asset value per share of the Fund’s Common Shares was $12.49 and the last reported sale price for the Fund’s Common Shares on the NYSE on such date was $15.90 per share, representing a premium to net asset value of 27.30%. To the extent that the market price per Common Share, less any distributing commission or discount, is less than the then current net asset value per Common Share on any given day, the Fund will instruct Cantor Fitzgerald not to make any sales on such day.
This Prospectus Supplement, together with the accompanying Prospectus, dated September 20, 2021, sets forth concisely the information that you should know before investing in the Fund’s Common Shares. You should read this Prospectus Supplement and the accompanying Prospectus, which contain important information about the Fund, before deciding whether to invest, and you should retain these documents for future reference. A Statement of Additional Information, dated September 20, 2021 (the “SAI”), as supplemented from time to time, containing additional information about the Fund, has been filed with the
Securities and Exchange Commission (“SEC”) and is incorporated by reference in its entirety into this Prospectus Supplement and the accompanying Prospectus. This Prospectus Supplement, the accompanying Prospectus and the SAI are part of a “shelf” registration statement filed with the SEC. This Prospectus Supplement describes the specific details regarding this offering, including the method of distribution. If information in this Prospectus Supplement is inconsistent with the accompanying Prospectus or the SAI, you should rely on this Prospectus Supplement. You may request a free copy of the SAI or request other information about the Fund (including the Fund’s annual and semi-annual reports) or make shareholder inquiries by calling (800) 345-7999 or by writing the Fund, or you may obtain a copy (and other information regarding the Fund) from the SEC’s web site (http://www.sec.gov). The information contained in, or that can be accessed through, the Fund’s website is not part of this Prospectus Supplement or the accompanying Prospectus. Free copies of the Fund’s reports and the SAI also are available from the Fund’s website at www.guggenheiminvestments.com/gof.
The Fund’s Common Shares do not represent a deposit or obligation of, and are not guaranteed or endorsed by, any bank or other insured depository institution and are not federally insured by the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other government agency. Investors could lose money by investing in the Fund.
Capitalized terms used herein that are not otherwise defined shall have the meanings assigned to them in the accompanying Prospectus.
Investing in the Fund’s Common Shares involves certain risks. The Fund intends to utilize leverage, which is subject to numerous risks. An investment in the Fund is subject to investment risk, including the possible loss of the entire principal amount that you invest. See “Risks” beginning on page 71 of the accompanying Prospectus. You should consider carefully these risks together with all of the other information contained in this Prospectus Supplement and the accompanying Prospectus before making a decision to purchase the Common Shares.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined if this Prospectus Supplement or the accompanying Prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
 
This Prospectus Supplement is dated March 28, 2023.
*  *  *
CAUTIONARY NOTICE REGARDING FORWARD-LOOKING STATEMENTS
This Prospectus Supplement, the accompanying Prospectus and the Fund’s SAI, including documents incorporated by reference herein and therein, contain “forward-looking statements.” These statements describe the Fund’s plans, strategies, goals, beliefs and assumptions concerning future economic and other conditions and the outlook for the Fund, based on currently available information. Forward-looking statements can be identified by words such as “may,” “will,” “intend,” “expect,” “estimate,” “continue,” “plan,” “anticipate,” and similar terms and the negative of such terms. By their nature, all forward- looking statements involve risks and uncertainties and may be expressed differently, and actual results could differ materially from those contemplated by the forward-looking statements. Several factors that could materially affect the Fund’s actual results are the performance of the portfolio of securities held by the Fund, the conditions in the U.S. and international economies and financial and other markets, the price at which the Fund’s Common Shares will trade in the public markets and other factors discussed in the Fund’s periodic filings with the SEC.
Although the Fund believes that the expectations expressed in any forward-looking statements are reasonable, actual results could differ materially from those expressed or implied in any forward-looking statements. The Fund’s future financial condition and results of operations, as well as any forward-looking statements, are subject to change and are subject to inherent risks and uncertainties, such as those disclosed in the “Principal Risks of the Fund” section of the accompanying Prospectus. You are cautioned not to place undue reliance on these forward- looking statements. All forward-looking statements contained or incorporated by reference in this Prospectus Supplement or the accompanying Prospectus are made as of the date of this Prospectus Supplement or the accompanying Prospectus, as the case may be. Except for the Fund’s ongoing obligations under the federal securities laws, the Fund does not intend, and the Fund undertakes no obligation, to update any forward- looking statement. The forward-looking statements contained in this Prospectus Supplement, the accompanying Prospectus and the Fund’s SAI are excluded from the safe harbor protection provided by Section 27A of the 1933 Act.
Currently known risk factors that could cause actual results to differ materially from the Fund’s expectations include, but are not limited to, the factors described in the “Principal Risks of the Fund” section of the accompanying Prospectus. The Fund urges you to review carefully those sections for a more detailed discussion of the risks of an investment in the Fund’s Common Shares.
ii
TABLE OF CONTENTS 
You should rely only on the information contained or incorporated by reference in this Prospectus Supplement and the accompanying Prospectus in making your investment decisions. This Prospectus Supplement, which describes the specific terms of this offering, also adds to information contained in the accompanying Prospectus and the documents incorporated by reference in the Prospectus. The Fund has not and Cantor Fitzgerald has not authorized any other person to provide you with different or inconsistent information. If anyone provides you with different or inconsistent information, you should not rely on it. The Fund and Cantor Fitzgerald take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give you. This Prospectus Supplement and the accompanying Prospectus do not constitute an offer to sell or solicitation of an offer to buy any securities in any jurisdiction where the offer or sale is not permitted. You should assume the information appearing in this Prospectus Supplement and in the accompanying Prospectus is accurate only as of the respective dates on their front covers. The Fund’s business, financial condition and prospects may have changed since such dates. The Fund will advise investors of any material changes to the extent required by applicable law.
iii
PROSPECTUS SUPPLEMENT SUMMARY
This is only a summary of information contained elsewhere in this Prospectus Supplement and the accompanying Prospectus. This summary does not contain all of the information that you should consider before investing in the Fund’s Common Shares. The following summary is qualified in its entirety by reference to the more detailed information included elsewhere in this Prospectus Supplement and in the accompanying Prospectus and in the Fund’s Statement of Additional Information, dated September 20, 2021 (the “SAI”). You should carefully read the more detailed information contained in this Prospectus Supplement and the accompanying Prospectus, dated September 20, 2021, especially the information set forth under the headings “Investment Objective and Policies” and “Risks” prior to making an investment in the Fund. You may also wish to request a copy of the SAI, which contains additional information about the Fund and is incorporated by reference in its entirety into this Prospectus Supplement and the accompanying Prospectus. Capitalized terms used herein that are not otherwise defined shall have the meanings assigned to them in the accompanying Prospectus. 
The Fund
Guggenheim Strategic Opportunities Fund (the “Fund”) is a diversified, closed-end
management investment company that commenced operations on July 26, 2007. The Fund’s
objective is 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 to seek to identify securities or spreads between securities
that deviate from their perceived fair value and/or historical norms.
 
The Fund’s common shares of beneficial interest, par value $0.01 per share, are called
“Common Shares” and the holders of Common Shares are called “Common Shareholders”
throughout this Prospectus Supplement and the accompanying Prospectus.
Management of the Fund
Guggenheim Funds Investment Advisors, LLC (the “Investment Adviser”) serves as the
Fund’s investment adviser and is responsible for the management of the Fund. Guggenheim
Partners Investment Management, LLC (the “Sub-Adviser”) is responsible for the
management of the Fund’s portfolio of securities. Each of the Investment Adviser and the Sub-
Adviser are wholly-owned subsidiaries of Guggenheim Partners, LLC (“Guggenheim
Partners”). Guggenheim Partners is a diversified financial services firm with wealth
management, capital markets, investment management and proprietary investing businesses,
whose clients are a mix of individuals, family offices, endowments, foundation insurance
companies and other institutions that have entrusted Guggenheim Partners with the
supervision of more than $285 billion of assets as of September 30, 2022. Guggenheim
Partners is headquartered in Chicago and New York with a global network of offices
throughout the United States, Europe, and Asia.
Listing and Symbol
The Fund’s currently outstanding Common Shares are, and the Common Shares offered by
this Prospectus Supplement and the accompanying Prospectus will be, subject to notice of
issuance, listed on the New York Stock Exchange (the “NYSE”) under the symbol “GOF.” As
of the close of business on March 27, 2023, the net asset value per share of the Fund’s
Common Shares was $12.49 and the last reported sale price for the Fund’s Common Shares on
the NYSE on such date was $15.90 per share, representing a premium to net asset value of
27.30%.
Distributions
The Fund has paid distributions to Common Shareholders monthly since inception. Payment
of future distributions is subject to approval by the Fund’s Board of Trustees, as well as
meeting the covenants of any outstanding borrowings and the asset coverage requirements of
the Investment Company Act of 1940, as amended (the “1940 Act”). 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. The Fund expects that distributions paid on the Common Shares
will generally consist of (i) ordinary income, (ii) long-term capital gains and (iii) return of
capital. There is no guarantee of any future distribution or that the current distribution rates
will be maintained.
The Offering
The Fund has entered into a Controlled Equity OfferingSM Sales Agreement, dated July 1,
2019, as amended by First Amendment to Controlled Equity OfferingSM Sales Agreement,
dated February 1, 2021, Second Amendment to Controlled Equity OfferingSM Sales
Agreement, dated September 16, 2021, and Third Amendment to Controlled Equity
OfferingSM Sales Agreement, dated March 27, 2023 (as amended, the “Sales Agreement”), by
and among the Fund, the Fund’s investment adviser, Guggenheim Funds Investment Advisors,
LLC (the “Investment Adviser”), and Cantor Fitzgerald & Co. (“Cantor Fitzgerald”) relating
to the Fund’s Common Shares offered by this Prospectus Supplement and the accompanying
1
 
Prospectus. In accordance with the terms of the Sales Agreement, the Fund may offer and sell
Common Shares having an aggregate initial offering price of up to $330,024,727, from time to
time, through Cantor Fitzgerald as agent for the Fund for the offer and sale of the Common
Shares.
 
Sales of Common Shares, if any, under this Prospectus Supplement and the accompanying
Prospectus may be made in negotiated transactions or by any method permitted by law
deemed to be an “at the market offering” as defined in Rule 415(a)(4) under the Securities Act
of 1933, as amended (the “1933 Act”). See “Plan of Distribution” in this Prospectus
Supplement.
 
The Common Shares may not be sold through agents, underwriters or dealers without delivery
or deemed delivery of the Prospectus and this Prospectus Supplement describing the method
and terms of the offering of Common Shares.
 
Under the 1940 Act, the Fund may not sell Common Shares at a price below the then current
net asset value per Common Share, exclusive of any distributing commission or discount.
Risks
See “Risks” beginning on page 71 of the accompanying Prospectus for a discussion of factors
you should consider carefully before deciding to invest in the Fund’s Common Shares.
Use of Proceeds
The Fund intends to invest the net proceeds of the offering in accordance with its investment
objective and policies as stated in the accompanying Prospectus or otherwise invest the net
proceeds as follows. It is currently anticipated that the Fund will be able to invest most of the
net proceeds of the offering in accordance with its investment objective and policies within
three months after receipt of such proceeds. Pending such investment, it is anticipated that the
proceeds will be invested in U.S. government securities or high quality, short-term money
market securities. The Fund may also use the proceeds for working capital purposes, including
the payment of distributions, interest and operating expenses. A portion of the cash held by the
Fund, including net proceeds of the offering, is usually used to pay distributions in accordance
with the Fund’s distribution policy and may be a return of capital, which is in effect a partial
return of the amount a Common Shareholder invested in the Fund. Common Shareholders
who receive the payment of a distribution consisting of a return of capital may be under the
impression that they are receiving net investment income or profit when they are not. The
Fund’s distributions may be greater than the Fund’s net investment income or profit. If the
Fund does not offer or sell Common Shares, the Fund may not be able to maintain
distributions at historical levels.
SUMMARY OF FUND EXPENSES
The following table contains information about the costs and expenses that the Common Shareholders will bear directly or indirectly. The table reflects the use of leverage in an amount equal to 24.3% of the Fund’s total managed assets, which reflects approximately the percentage of the Fund’s total managed assets attributable to leverage as of November 30, 2022 (unaudited), and shows Fund expenses as a percentage of net assets attributable to the Common Shares. The table and example below are based on the Fund’s capital structure as of November 30, 2022 (unaudited) after giving effect to the anticipated net proceeds of the Common Shares offered pursuant to this Prospectus Supplement and assuming the Fund incurs the estimated offering expenses. The extent of the Fund’s assets attributable to leverage following an offering, and the Fund’s associated expenses, are likely to vary (perhaps significantly) from these assumptions. The purpose of the table and the example below is to help you understand the fees and expenses that you, as a Common Shareholder, would bear directly or indirectly. The following table should not be considered a representation of the Fund’s future expenses. Actual expenses may be greater or less than shown. The following table shows estimated Fund expenses as a percentage of average net assets attributable to the Common Shares, and not as a percentage of managed assets. See “Management of the Fund” in the accompanying Prospectus. 
Shareholder Transaction Expenses
 
Sales load (as a percentage of offering price)
2.00%(1)
Offering expenses borne by the Fund (as a percentage of offering price)
0.60%(2)
Dividend Reinvestment Plan fees(3)
None
 
2
Annual Expenses
As a Percentage of Net Assets Attributable to
Common Shares (reflecting leverage)(4)
Management fee(5)
1.28%
Interest expense(6)
1.40%
Acquired fund fees and expenses(7)
0.04%
Other expenses(8)
0.10%
Total annual expenses(9)
2.82%
(1)
Represents the estimated commission with respect to the Common Shares being sold in this offering. Cantor Fitzgerald will be entitled to compensation of up to 2.00% of the gross proceeds of the sale of any Common Shares under the Sales Agreement, with the exact amount of such compensation to be mutually agreed upon by the Fund and Cantor Fitzgerald from time to time. The Fund has assumed that Cantor Fitzgerald will receive a commission of 2.00% of the gross sale price of the Common Shares sold in this offering.
(2)
The Investment Adviser has incurred on behalf of the Fund all costs associated with the Fund’s registration statement and any offerings pursuant to such registration statement. The Fund has agreed, in connection with offerings under this registration statement, to reimburse the Investment Adviser for offering expenses incurred by the Investment Adviser on the Fund’s behalf in an amount up to the lesser of the Fund’s actual offering costs or 0.60% of the total offering price of the Common Shares sold in such offerings. Amounts in excess of 0.60% of the total offering price of shares sold pursuant to this registration statement will not be subject to recoupment from the Fund.
(3)
You will pay brokerage charges if you direct the Plan Agent to sell your Common Shares held in a dividend reinvestment account. See “Dividend Reinvestment Plan” in the accompanying Prospectus.
(4)
Based upon average net assets attributable to the Common Shares during the six month period ended November 30, 2022, after giving effect to the anticipated net proceeds of all of the Common Shares offered by this Prospectus Supplement based on an assumed price per share of $15.90 (the last reported sale price of the Fund’s Common Shares on the NYSE as of March 27, 2023). The price per share of any sale of Common Shares may be greater or less than the price assumed herein, depending on the market price of the Common Shares at the time of any sale. There is no guarantee that there will be any sales of the Common Shares pursuant to this Prospectus Supplement. The number of the Common Shares actually sold pursuant to this Prospectus Supplement may be less than as assumed herein.
(5)
The Fund pays the Investment Adviser a fee, payable monthly in arrears at an annual rate equal to 1.00% of the Fund’s average daily Managed Assets. Common Shareholders bear the portion of the investment advisory fee attributable to the assets purchased with the proceeds of borrowing or the issuance of commercial paper or other forms of debt (“Borrowings”) or reverse repurchase agreements, dollar rolls or similar transactions or through a combination of the foregoing (collectively “Financial Leverage”), which means that Common Shareholders effectively bear the entire advisory fee. The fee shown above is based upon outstanding Financial Leverage of 24.3% of the Fund’s Managed Assets. The management fee as a percentage of net assets attributable to the Common Shares is higher than if the Trust did not utilize such Financial Leverage. If Financial Leverage of more than 24.3% of the Fund’s Managed Assets is used, the management fees shown would be higher.
(6)
Interest expense is estimated for the current fiscal year and includes interest payments on borrowed funds and interest expense on reverse repurchase agreements. Interest payments on borrowed funds is based upon the Fund’s outstanding Borrowings as of November 30, 2022 (unaudited), which included Borrowings under the Fund’s committed facility agreement in an amount equal to 4.4% of the Fund’s Managed Assets at an assumed average interest rate of 5.50%. Interest expense on reverse repurchase agreements is based on the Fund’s outstanding reverse repurchase agreements as of November 30, 2022 (unaudited), in an amount equal to 19.9% of the Fund’s Managed Assets at November 30, 2022 (unaudited), at an assumed weighted average interest rate of 4.91%. The actual amount of interest payments and expenses borne by the Fund will vary over time in accordance with the amount of Borrowings and reverse repurchase agreements and variations in market interest rates.
(7)
Acquired Fund Fees and Expenses are based on estimated amounts for the current fiscal year, reflecting the fees and expenses borne by the Fund as an investor in other investment companies during the six-month period ended November 30, 2022, and the expected investment of the proceeds of this offering.
(8)
Other expenses are estimated for the current fiscal year.
(9)
The Total Annual Fund Operating Expenses in this fee table may not correlate to the expense ratios in the Fund’s financial highlights and financial statements because the financial highlights and financial statements reflect only the operating expenses of the Fund and do not include Acquired Fund Fees and Expenses, which are fees and expenses incurred indirectly by the Fund through its investments in certain underlying investment companies.
Example
As required by relevant SEC regulations, the following Example illustrates the expenses that you would pay on a $1,000 investment in the Common Shares, assuming (1) “Total annual expenses” of 2.82% of net assets attributable to the Common Shares, (2) the sales load of $20 and estimated offering expenses of $6, and (3) a 5% annual return*: 
 
1 Year
3 Years
5 Years
10 Years
Total Expenses
Incurred
$54
$111
$171
$333
*
The Example should not be considered a representation of future expenses or returns. Actual expenses may be higher or lower than those assumed. Moreover, the Fund’s actual rate of return may be higher or lower than the hypothetical 5% return shown in the Example. The Example assumes that all dividends and distributions are reinvested at net asset value. See “Distributions” and “Dividend Reinvestment Plan” in the accompanying Prospectus.
 
The above table and Example and the assumption in the Example of the 5% annual return are required by the regulations of the SEC. The assumed 5% annual return is not a prediction of, and does not represent, the projected or actual performance
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of the Fund’s Common Shares. For more complete descriptions of certain of the Fund’s costs and expenses, see “Management of the Fund” in the accompanying Prospectus. The Example assumes that the estimated “Other expenses” set forth in the table are accurate.
CAPITALIZATION
In accordance with the terms of the Sales Agreement, the Fund may offer and sell the Common Shares having an aggregate initial offering price of up to $330,024,727, from time to time, through Cantor Fitzgerald as the Fund’s agent for the offer and sale of the Common Shares. The price per share of any of the Common Share sold hereunder may be greater or less than the price of $15.90 per share (the last reported sale price for the Fund’s Common Shares on the NYSE as of March 27, 2023) assumed herein, depending on the market price of the Common Shares at the time of such sale. Furthermore, there is no guarantee that the Fund will sell all of the Common Shares available for sale hereunder or that there will be any sales of the Common Shares hereunder. To the extent that the market price per Common Share, less any distributing commission or discount, is less than the then current net asset value per Common Share on any given day, the Fund will instruct Cantor Fitzgerald not to make any sales on such day.
The following table sets forth the Fund’s capitalization:
(i)
on a historical basis as of May 31, 2022 (audited);
(ii)
on a historical basis as of November 30, 2022 (unaudited);
(iii)
on an as adjusted basis, as of March 27, 2023 (unaudited), to reflect the issuance of an aggregate of 492,024 Common Shares pursuant to the Fund’s Automatic Dividend Reinvestment Plan, and the application of the net proceeds from such issuances of the Common Shares; and the issuance and sale of 3,624,922 Common Shares issued and sold after November 30, 2022, but prior to the date of this Prospectus Supplement (less the commission paid and offering expenses payable by the Fund in connection with the issuance and sale of such Common Shares); and a decrease in Borrowings of $5,000,000 and a decrease in reverse repurchase agreements of $9,875,681; and
(iv)
on an as further adjusted basis (unaudited) to reflect the assumed sale of 20,756,272 Common Shares at a price of $15.90 per share (the last reported sale price for the Fund’s Common Shares on the NYSE as of March 27, 2023), in an offering under this Prospectus Supplement and the accompanying Prospectus less the assumed commission of $6,600,495 (representing an estimated commission paid to Cantor Fitzgerald of 2.00% of the gross proceeds of the sale of the Common Shares effected by Cantor Fitzgerald in this offering) and estimated offering expenses payable by the Fund of $1,980,148. 
 
Actual as of
May 31,
2022
(audited)
Actual as of
November 30,
2022
(unaudited)
As Adjusted as of
March 27,
2023
(unaudited)
As Further
Adjusted
(unaudited)
Short-Term Debt:
 
 
 
 
Borrowings and Reverse Repurchase Agreements
$477,432,183
$465,818,435
$450,942,754
$450,942,754
Common Shareholder’s Equity:
 
 
 
 
Common shares of beneficial interest, par value
$0.01 per share; unlimited shares authorized,
104,149,415 shares issued and outstanding (actual
as of May 31, 2022), 112,164,730 shares issued
and outstanding (actual as of November 30, 2022),
116,281,676 shares issued and outstanding (as
adjusted), and 137,037,948 shares issued and
outstanding (as further adjusted)
$1,041,494
$1,121,647
$1,162,817
$1,370,379
Additional paid-in capital
$1,599,685,304
$1,727,195,422
$1,792,797,610
$2,114,034,132
Total distributable earnings (loss)
$(108,111,691)
$(279,010,348)
$(279,010,348)
$(279,010,348)
Net assets
$1,492,615,107
$1,449,306,721
$1,514,950,079
$1,836,394,163
USE OF PROCEEDS
Sales of the Common Shares, if any, under this Prospectus Supplement and the accompanying Prospectus may be made in negotiated transactions or by any method permitted by law deemed to be an “at the market offering” as defined in Rule 415(a)(4) under the 1933 Act. Assuming the sale of $330,024,727 of the Common Shares under this Prospectus
4
Supplement and the accompanying Prospectus, the net proceeds to the Fund from this offering will be approximately $321,444,084, after deducting the estimated commission and estimated offering expenses. There is no guarantee that there will be any sales of the Common Shares pursuant to the Prospectus Supplement. The price per share of any Common Share sold hereunder may be greater or less than the price assumed herein, depending on the market price of the Common Shares at the time of such sale.
Furthermore, there is no guarantee that the Fund will sell all of the Common Shares available for sale hereunder or that there will be any sales of the Common Shares hereunder. To the extent that the market price per Common Share, less any distributing commission or discount, is less than the then current net asset value per Common Share on any given day, the Fund will instruct Cantor Fitzgerald not to make any sales on such day. As a result, the actual net proceeds received by the Fund may be less than the amount of net proceeds estimated in this Prospectus Supplement.
The Fund intends to invest the net proceeds of the offering in accordance with its investment objective and policies as stated in the accompanying Prospectus or otherwise invest the net proceeds as follows. It is currently anticipated that the Fund will be able to invest most of the net proceeds of the offering in accordance with its investment objective and policies within three months after receipt of such proceeds. Pending such investment, it is anticipated that the proceeds will be invested in U.S. government securities or high quality, short-term money market securities. The Fund may also use the proceeds for working capital purposes, including the payment of distributions, interest and operating expenses. A portion of the cash held by the Fund, including net proceeds of the offering, is usually used to pay distributions in accordance with the Fund’s distribution policy and may be a return of capital, which is in effect a partial return of the amount a Common Shareholder invested in the Fund. Common Shareholders who receive the payment of a distribution consisting of a return of capital may be under the impression that they are receiving net investment income or profit when they are not. The Fund’s distributions may be greater than the Fund’s net investment income or profit. If the Fund does not offer or sell Common Shares, the Fund may not be able to maintain distributions at historical levels.
PLAN OF DISTRIBUTION
Under the Sales Agreement, upon written instructions from the Fund, Cantor Fitzgerald will use its commercially reasonable efforts consistent with its sales and trading practices, to solicit offers to purchase the Common Shares under the terms and subject to the conditions set forth in the Sales Agreement. Cantor Fitzgerald’s solicitation will continue until the Fund instructs Cantor Fitzgerald to suspend the solicitations and offers. The Fund will instruct Cantor Fitzgerald as to the amount of the Common Shares to be sold by Cantor Fitzgerald. The Fund may instruct Cantor Fitzgerald not to sell the Common Shares if the sales cannot be effected at or above the price designated by the Fund in any instruction. The Fund or Cantor Fitzgerald may suspend the offering of the Common Shares upon proper notice and subject to other conditions.
Cantor Fitzgerald will provide written confirmation to the Fund not later than the opening of the trading day on the NYSE following any trading day on which the Common Shares are sold under the Sales Agreement. Each confirmation will include the number of the Common Shares sold on the preceding day, the net proceeds to the Fund and the compensation payable by the Fund to Cantor Fitzgerald in connection with the sales.
The Fund will pay Cantor Fitzgerald commissions for its services in acting as agent for the sale of the Common Shares. Cantor Fitzgerald will be entitled to compensation of up to 2.00% of the gross proceeds of the sale of any Common Shares under the Sales Agreement, with the exact amount of such compensation to be mutually agreed upon by the Fund and Cantor Fitzgerald from time to time. There is no guarantee that there will be any sales of the Common Shares pursuant to this Prospectus Supplement.
Settlement for sales of the Common Shares will occur on the second trading day following the date on which such sales are made, or on some other date that is agreed upon by the Fund and Cantor Fitzgerald in connection with a particular transaction, in return for payment of the net proceeds to the Fund. There is no arrangement for funds to be deposited in escrow, trust or similar arrangement.
In connection with the sale of the Common Shares on behalf of the Fund, Cantor Fitzgerald may be deemed to be an “underwriter” within the meaning of the 1933 Act, and the compensation paid to Cantor Fitzgerald may be deemed to be underwriting commissions or discounts. The Fund and the Investment Adviser have agreed to provide indemnification and contribution to Cantor Fitzgerald against certain civil liabilities, including liabilities under the 1933 Act. The Fund and the Investment Adviser have also agreed to reimburse Cantor Fitzgerald for other specified expenses.
The offering of the Common Shares pursuant to the Sales Agreement will terminate upon the earlier of (1) the sale of all Common Shares subject to the Sales Agreement or (2) the termination of the Sales Agreement. The Sales Agreement may be terminated by the Fund in its sole discretion at any time by giving 10 days’ notice to Cantor Fitzgerald. The Sales Agreement
5
may be terminated by the Investment Adviser in its sole discretion in the event the Investment Adviser ceases to act as investment adviser to the Fund. In addition, Cantor Fitzgerald may terminate the Sales Agreement under the circumstances specified in the Sales Agreement and in its sole discretion at any time following a period of 30 days from the date of the Sales Agreement by giving 10 days’ notice to the Fund.
Under the 1940 Act, the Fund may not sell the Common Shares at a price below the then current net asset value per Common Share, exclusive of any distributing commission or discount. To the extent that the market price per share of the Fund’s Common Shares is less than the then current net asset value per Common Share, exclusive of any distributing commission or discount, on any given day, the Fund will instruct Cantor Fitzgerald not to make any sales on such day.
In accordance with the terms of the Sales Agreement, the Fund may offer and sell the Common Shares having an aggregate initial offering price of up to $330,024,727, from time to time, through Cantor Fitzgerald as agent for the Fund for the offer and sale of the Common Shares.
The principal business address of Cantor Fitzgerald is 499 Park Avenue, New York, New York 10022.
LEGAL MATTERS
Certain legal matters will be passed on by Dechert LLP, Washington, D.C., as counsel to the Fund in connection with the offering of the Common Shares. Certain legal matters will be passed on by Hunton Andrews Kurth LLP, Houston, Texas, as special counsel to Cantor Fitzgerald in connection with the offering of Common Shares.
INCORPORATION BY REFERENCE
This Prospectus Supplement is part of a registration statement filed with the SEC. The Fund is permitted to “incorporate by reference” the information filed with the SEC, which means that the Fund can disclose important information to you by referring you to those documents. The information incorporated by reference is considered to be part of this Prospectus Supplement, and later information that the Fund files with the SEC will automatically update and supersede this information.
The documents listed below, and any reports and other documents subsequently filed with the SEC pursuant to Section 30(b)(2) of the 1940 Act and Sections 13(a), 13(c), 14 or 15(d) of the Exchange Act, prior to the termination of this offering will be incorporated by reference into this Prospectus Supplement and deemed to be part of this Prospectus Supplement from the date of the filing of such reports and documents:
•
the Fund’s Statement of Additional Information, dated September 20, 2021, filed with the SEC with the accompanying Prospectus on September 20, 2021;
•
the Fund’s Annual Report on Form N-CSR for the fiscal year ended May 31, 2022, filed with the SEC on November 23, 2022;
•
the Fund’s Semi-Annual Report on Form N-CSR for the six months ended November 30, 2022, filed with the SEC on February 3, 2023; and
•
the Fund’s description of the Common Shares on Form 8-A, filed with the SEC on June 27, 2007.
You may request a free copy of the information incorporated by reference into this Prospectus Supplement by calling (800) 345-7999 or by writing to the Investment Adviser at Guggenheim Funds Investment Advisors, LLC, 227 West Monroe Street, Chicago, Illinois 60606, or you may obtain a copy (and other information regarding the Fund) from the SEC’s web site (http://www.sec.gov). Free copies of the Fund’s reports will also be available from the Fund’s web site at www.guggenheiminvestments.com/gof. The information contained in, or that can be accessed through, the Fund’s website is not part of this Prospectus Supplement, the Prospectus or the SAI.
ADDITIONAL INFORMATION
This Prospectus Supplement and the accompanying Prospectus constitute part of a Registration Statement filed by the Fund with the SEC under the 1933 Act and the 1940 Act. This Prospectus Supplement and the accompanying Prospectus omit certain of the information contained in the Registration Statement, and reference is hereby made to the Registration Statement and related exhibits for further information with respect to the Fund and the Common Shares offered hereby. Any statements contained herein concerning the provisions of any document are not necessarily complete, and, in each instance, reference is made to the
6
copy of such document filed as an exhibit to the Registration Statement or otherwise filed with the SEC. Each such statement is qualified in its entirety by such reference. The complete Registration Statement may be obtained from the SEC upon payment of the fee prescribed by its rules and regulations or free of charge through the SEC’s web site (http://www.sec.gov).
7
PROSPECTUS
 
Guggenheim Strategic Opportunities Fund
$700,000,000
Common Shares
Investment Objective and Philosophy. Guggenheim Strategic Opportunities Fund (the “Fund”) is a diversified, closed-end management investment company. The Fund’s investment objective is to maximize total return through a combination of current income and capital appreciation. The Fund will pursue a relative value-based investment philosophy, which utilizes quantitative and qualitative analysis to seek to identify securities or spreads between securities that deviate from their perceived fair value and/or historical norms. 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. The Fund’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 as compared to such benchmark indexes. The Fund cannot ensure investors that it will achieve its investment objective.
Investment Portfolio. The Fund will seek 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 sectors and credit qualities, 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”) that the Fund’s sub-adviser believes offer attractive yield and/or capital appreciation potential, including employing a strategy of writing (selling) covered call and put options on such equities.
Offering. The Fund may offer, from time to time, up to $700,000,000 aggregate initial offering price of common shares of beneficial interest, par value $0.01 per share (“Common Shares”), in one or more offerings in amounts, at prices and on terms set forth in one or more supplements to this Prospectus (each a “Prospectus Supplement”). You should read this Prospectus and any related Prospectus Supplement carefully before you decide to invest in the Common Shares.
The Fund may offer Common Shares (1) directly to one or more purchasers, (2) through agents that the Fund may designate from time to time or (3) to or through underwriters or dealers. The Prospectus Supplement relating to a particular offering of Common Shares will identify any agents or underwriters involved in the sale of Common Shares, and will set forth any applicable purchase price, fee, commission or discount arrangement between the Fund and agents or underwriters or among underwriters or the basis upon which such amount may be calculated. The Fund may not sell Common Shares through agents, underwriters or dealers without delivery of this Prospectus and a Prospectus Supplement. See “Plan of Distribution.”
Investing in the Fund’s Common Shares involves certain risks. See “Risks” on page 67 of this Prospectus.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined if this Prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
Prospectus dated September 20, 2021
Investment Adviser and Sub-Adviser. Guggenheim Funds Investment Advisors, LLC (the “Investment Adviser”) serves as the Fund’s investment adviser and is responsible for the management of the Fund. Guggenheim Partners Investment Management, LLC (the “Sub- Adviser”) will be responsible for the management of the Fund’s portfolio of securities. Each of the Investment Adviser and the Sub-Adviser is a wholly-owned subsidiary of Guggenheim Partners, LLC (“Guggenheim Partners”). Guggenheim Partners is a diversified financial services firm with wealth management, capital markets, investment management and proprietary investing businesses, whose clients are a mix of individuals, family offices, endowments, foundation insurance companies and other institutions that have entrusted Guggenheim Partners with the supervision of more than $325 billion of assets as of June 30, 2021. Guggenheim Partners is headquartered in Chicago and New York with a global network of offices throughout the United States, Europe, and Asia. The Investment Adviser and the Sub-Adviser are referred to herein collectively as the “Adviser.”
Investment Parameters. The Fund may allocate its assets among a wide variety of Income Securities and Common Equity Securities. The Fund may invest without limitation in below-investment grade securities (e.g., securities rated below Baa3 by Moody’s Investors Service, Inc., below BBB- by Standard & Poor’s Ratings Group or Fitch Ratings or comparably rated by another nationally recognized statistical rating organization or, if unrated, determined by the Sub-Adviser to be of comparable quality). Below investment grade securities are commonly referred to as “high-yield” or “junk” bonds and are considered speculative with respect to the issuer’s capacity to pay interest and repay principal. The Fund’s investments in any of the sectors and types of Income Securities in which the Fund may invest may include, without limitation, below-investment grade securities. Under normal market conditions, the Fund will not invest more than: 50% of its total assets in Common Equity Securities consisting of common stock; 30% of its total assets in other investment companies, including registered investment companies, private investment funds and/or other pooled investment vehicles; 20% of its total assets in non-U.S. dollar-denominated Income Securities; and 10% of its total assets in Income Securities of issuers in emerging markets.
Common Shares. The Fund’s currently outstanding Common Shares are, and the Common Shares offered in this Prospectus will be, listed on the New York Stock Exchange (the “NYSE”) under the symbol “GOF.” The net asset value of the Common Shares at the close of business on September 7, 2021 was $17.10 per share and the last sale price of the Common Shares on the NYSE on such date was $21.34, representing a premium to net asset value of 24.80%. See “Market and Net Asset Value Information.”
Financial Leverage. The Fund may seek to enhance the level of its current distributions by utilizing financial leverage through the issuance of preferred shares (“Preferred Shares”), through borrowing or the issuance of commercial paper or other forms of debt (“Borrowings”), through reverse repurchase agreements, dollar rolls or similar transactions or through a combination of the foregoing (“leveraged transactions” and collectively “Financial Leverage”). The Fund may utilize Financial Leverage up to the limits imposed by the Investment Company Act of 1940, as amended; however, the aggregate amount of Financial Leverage is not currently expected to exceed 33 1∕3% of the Fund’s Managed Assets (as defined herein) after such issuance and/or borrowing. As of May 31, 2021, outstanding Borrowings under the Fund’s committed facility agreement were $38.5 million, which represented approximately 3.1% of the Fund’s Managed Assets as of such date. In addition, as of May 31, 2021, the Fund had reverse repurchase agreements outstanding representing Financial Leverage equal to approximately 26.8% of the Fund’s Managed Assets. As of May 31, 2021, the Fund’s total Financial Leverage represented approximately 29.9% of the Fund’s Managed Assets.
The Fund’s total Financial Leverage may vary significantly over time based on the Sub-Adviser’s assessment of market and economic conditions, available investment opportunities and cost of Financial Leverage. The Fund has at times used significantly greater levels of Financial Leverage than on May 31, 2021, including at times using Financial Leverage to the maximum extent permitted under the 1940 Act and the parameters set forth herein. The Fund may in the future increase Financial Leverage up to the parameters set forth herein. The Fund maintains a committed facility agreement with BNP Paribas Prime Brokerage International, Ltd. pursuant to which the Fund may borrow up to $80 million (this amount will increase to the greater of $750 million or 50% of the Net Asset Value of the Fund at the closing of the mergers of Guggenheim Enhanced Equity Income Fund and Guggenheim Credit Allocation Fund into the Fund). On May 31, 2021, the Fund had $38.5 million in outstanding Borrowings under the Fund’s committed facility agreement. Although the use of Financial Leverage by the Fund may create an opportunity for increased total return for the Common Shares, it also results in additional risks and can magnify the effect of any losses. Financial Leverage involves risks and special considerations for shareholders, including the likelihood of greater volatility of net asset value and market price of and dividends on the Common Shares. To the extent the Fund increases its amount of Financial Leverage outstanding, it will be more exposed to these risks. The cost of Financial Leverage, including the portion of the investment advisory fee attributable to the assets purchased with the proceeds of Financial Leverage, is borne by Common Shareholders. To the extent the Fund increases its amount of Financial Leverage outstanding, the Fund’s annual expenses as a percentage of net assets attributable to Common Shares will increase. See “Use of Financial Leverage.”
ii
You should read this Prospectus, which contains important information about the Fund, together with any Prospectus Supplement, before deciding whether to invest, and retain it for future reference. A Statement of Additional Information (File No. 811-21982), dated September 20, 2021, containing additional information about the Fund, has been filed with the Securities and Exchange Commission (the “SEC”) and is incorporated by reference in its entirety into this Prospectus. The SEC maintains an internet site that contains reports, proxy and information statements, and other information regarding issuers that file electronically with the SEC (http://www.sec.gov). You may request a free copy of the Statement of Additional Information by calling (800) 345-7999 or by writing to the Investment Adviser at Guggenheim Funds Investment Advisors, LLC, 227 West Monroe Street, Chicago, Illinois 60606, or you may obtain a copy (and other information regarding the Fund) from the SEC’s web site (http://www.sec.gov). Free copies of the Fund’s reports and its Statement of Additional Information will also be available from the Fund’s web site at www.guggenheiminvestments.com/gof. The information contained in, or that can be accessed through, the Fund’s website is not part of this Prospectus.
The Fund’s Common Shares do not represent a deposit or obligation of, and are not guaranteed or endorsed by, any bank or other insured depository institution and are not federally insured by the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other government agency. Investors could lose money by investing in the Fund.
* * *
iii
You should rely only on the information contained or incorporated by reference in this Prospectus and any accompanying Prospectus Supplement. The Fund has not authorized anyone to provide you with different information. The Fund is not making an offer of these securities in any state where the offer is not permitted.

TABLE OF CONTENTS
 
 
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FORWARD-LOOKING STATEMENTS
This Prospectus contains or incorporates by reference forward-looking statements, within the meaning of the federal securities laws, that involve risks and uncertainties. These statements describe the Fund’s plans, strategies, and goals and the Fund’s beliefs and assumptions concerning future economic and other conditions and the outlook for the Fund, based on currently available information. In this Prospectus, words such as “anticipates,” “believes,” “expects,” “objectives,” “goals,” “future,” “intends,” “seeks,” “will,” “may,” “could,” “should,” and similar expressions are used in an effort to identify forward-looking statements, although some forward-looking statements may be expressed differently. The Fund is not entitled to the safe harbor for forward-looking statements pursuant to Section 27A of the Securities Act of 1933, as amended.
iv
PROSPECTUS SUMMARY
This is only a summary of information contained elsewhere in this Prospectus. This summary does not contain all of the information that you should consider before investing in the Common Shares. You should carefully read the more detailed information contained elsewhere in this Prospectus and any related Prospectus Supplement prior to making an investment in the Fund, especially the information set forth under the headings “Investment Objective and Policies” and “Risks.” You may also wish to request a copy of the Fund’s Statement of Additional Information, dated September 20, 2021 (the “SAI”), which contains additional information about the Fund. 
The Fund
Guggenheim Strategic Opportunities Fund (the “Fund”) is a diversified, closed-end
management investment company that commenced operations on July 26, 2007. The Fund’s
objective is 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 to seek to identify securities or spreads between securities
that deviate from their perceived fair value and/or historical norms.
 
The Fund’s common shares of beneficial interest, par value $0.01 per share, are called
“Common Shares” and the holders of Common Shares are called “Common Shareholders”
throughout this Prospectus Supplement and the accompanying Prospectus.
Management of the Fund
Guggenheim Funds Investment Advisors, LLC (the “Investment Adviser”) serves as the
Fund’s investment adviser and is responsible for the management of the Fund. Guggenheim
Partners Investment Management, LLC (the “Sub-Adviser”) is responsible for the
management of the Fund’s portfolio of securities. Each of the Investment Adviser and the Sub-
Adviser are wholly-owned subsidiaries of Guggenheim Partners, LLC (“Guggenheim
Partners”). Guggenheim Partners is a diversified financial services firm with wealth
management, capital markets, investment management and proprietary investing businesses,
whose clients are a mix of individuals, family offices, endowments, foundation insurance
companies and other institutions that have entrusted Guggenheim Partners with the
supervision of more than $325 billion of assets as of June 30, 2021. Guggenheim Partners is
headquartered in Chicago and New York with a global network of offices throughout the
United States, Europe, and Asia.
The Offering
The Fund may offer, from time to time, up to $700,000,000 aggregate initial offering price of
Common Shares, in one or more offerings in amounts, at prices and on terms to be set forth in
one or more supplements to this Prospectus (each a “Prospectus Supplement”).
 
The Fund may offer Common Shares (1) directly to one or more purchasers, (2) through
agents that the Fund may designate from time to time, or (3) to or through underwriters or
dealers. The Prospectus Supplement relating to a particular offering will identify any agents or
underwriters involved in the sale of Common Shares, and will set forth any applicable
purchase price, fee, commission or discount arrangement between the Fund and agents or
underwriters or among underwriters or the basis upon which such amount may be calculated.
The Fund may not sell Common Shares through agents, underwriters or dealers without
delivery of this Prospectus and a Prospectus Supplement describing the method and terms of
the offering of Common Shares. See “Plan of Distribution.”
Use of Proceeds
Unless otherwise specified in a Prospectus Supplement, the Fund intends to invest the net
proceeds of an offering of Common Shares in accordance with its investment objective and
policies as stated herein. It is currently anticipated that the Fund will be able to invest
substantially all of the net proceeds of an offering of Common Shares in accordance with its
investment objective and policies, as stated herein, within three months after the completion of
such offering. Pending such investment, it is anticipated that the proceeds will be invested in
U.S. government securities or high quality, short-term money market securities. The Fund may
also use the proceeds for working capital purposes, including the payment of distributions,
interest and operating expenses, although the Fund currently has no intent to issue Common
Shares primarily for this purpose.
Investment Objective
The Fund’s investment objective is to maximize total return through a combination of current
income and capital appreciation. The Fund cannot ensure investors that it will achieve its
investment objective. The Fund’s investment objective is considered fundamental and may not
be changed without the approval of Common Shareholders. See “Investment Objective and
Policies—Investment Philosophy and Investment Process.”
1
Investment Philosophy
Process
The Fund will pursue a relative value-based investment philosophy, which utilizes quantitative
and qualitative analysis to seek to identify securities or spreads between securities that deviate
from their perceived fair value and/or historical norms. The Sub-Adviser seeks to combine a
credit-managed fixed- income portfolio with access to a diversified pool of alternative
investments and equity strategies. The Fund’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 as compared to such benchmark indexes.
 
The Sub-Adviser’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, the Sub- Adviser 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. The Sub-Adviser also considers macroeconomic outlook and
geopolitical issues.
Investment Portfolio
The Fund will seek to achieve its investment objective by investing in:
 
Income Securities. The Fund may invest in a wide range of fixed- income and other debt and
senior equity securities (“Income Securities”) selected from a variety of sectors and credit
qualities. The Fund may invest in Income Securities of any credit quality, including, without
limitation, Income Securities rated below-investment grade (commonly referred to as “high-
yield” or “junk” bonds), which are considered speculative with respect to the issuer’s capacity
to pay interest and repay principal. The sectors and types of Income Securities in which the
Fund may invest, include, but are not limited to:
 
•Corporate bonds;
 
•Loans and loan participations (including senior secured floating rate loans, “second lien”
secured floating rate loans, and other types of secured and unsecured loans with fixed
and variable interest rates) (collectively, “Loans”);
 
•Structured finance investments (including residential and commercial mortgage-related
securities, asset- backed securities, collateralized debt obligations and risk-linked
securities);
 
•U.S. government and agency securities;
 
•Mezzanine and preferred securities; and
 
•Convertible securities.
 
Common Equity Securities and Covered Call Option Strategy. The Fund may invest in
common stocks, limited liability company interests, trust certificates and other equity
investments (“Common Equity Securities”) that the Sub-Adviser believes offer attractive yield
and/or capital appreciation potential. As part of its Common Equity Securities strategy, the
Fund currently intends to employ a strategy of writing (selling) covered call options and may,
from time to time, buy or sell put options on individual Common Equity Securities and, to a
lesser extent, on indices of securities and sectors of securities. This covered call option
strategy is intended to generate current gains from option premiums as a means to enhance
distributions payable to the Fund’s Common Shareholders.
2
 
Structured Finance Investments. The Fund may invest in structured finance investments, which
are Income Securities and Common Equity Securities typically issued by special purpose
vehicles that hold income-producing securities (e.g., mortgage loans, consumer debt payment
obligations and other receivables) and other financial assets. Structured finance investments
are tailored, or packaged, to meet certain financial goals of investors. Typically, these
investments provide investors with capital protection, income generation and/or the
opportunity to generate capital growth. The Sub-Adviser believes that structured finance
investments may provide attractive risk-adjusted returns, frequent sector rotation opportunities
and prospects for adding value through security selection. Structured finance investments
include:
 
Mortgage-Related Securities. Mortgage-related securities are a form of derivative
collateralized by pools of commercial or residential mortgages. Pools of mortgage loans are
assembled as securities for sale to investors by various governmental, government-related and
private organizations. These securities may include complex instruments such as collateralized
mortgage obligations, real estate investment trusts (“REITs”) (including debt and preferred
stock issued by REITs), and other real estate-related securities. The mortgage- related
securities in which the Fund may invest include those with fixed, floating or variable interest
rates, those with interest rates that change based on multiples of changes in a specified index
of interest rates, and those with interest rates that change inversely to changes in interest rates,
as well as those that do not bear interest. The Fund may invest in residential and commercial
mortgage-related securities issued by governmental entities and private issuers, including
subordinated mortgage-related securities. The underlying assets of certain mortgage-related
securities may be subject to prepayments, which shorten the weighted average maturity and
may lower the return of such securities.
 
Asset-Backed Securities. Asset-backed securities (“ABS”) are a form of structured debt
obligation. ABS are payment claims that are securitized in the form of negotiable paper that is
issued by a financing company (generally called a special purpose vehicle). Collateral assets
are brought into a pool according to specific diversification rules. A special purpose vehicle is
founded for the purpose of securitizing these payment claims and the assets of the special
purpose vehicle are the diversified pool of collateral assets. The special purpose vehicle issues
marketable securities which are intended to represent a lower level of risk than an underlying
collateral asset individually, due to the diversification in the pool. The redemption of the
securities issued by the special purpose vehicle takes place out of the cash flow generated by
the collected assets. A special purpose vehicle may issue multiple securities with different
priorities to the cash flows generated and the collateral assets. The collateral for ABS may
include, among other assets, home equity loans, automobile and credit card receivables, boat
loans, computer leases, airplane leases, mobile home loans, recreational vehicle loans and
hospital account receivables. The Fund may invest in these and other types of ABS that may be
developed in the future. There is the possibility that recoveries on the underlying collateral
may not, in some cases, be available or may be insufficient to support payments on these
securities.
 
Collateralized Debt Obligations. A collateralized debt obligation (“CDO”) is an asset-backed
security whose underlying collateral is typically a portfolio of bonds, bank loans, other
structured finance securities and/or synthetic instruments. Where the underlying collateral is a
portfolio of bonds, a CDO is referred to as a collateralized bond obligation (“CBO”). Where
the underlying collateral is a portfolio of bank loans, a CDO is referred to as a collateralized
loan obligation (“CLO”). Investors in CLOs bear the credit risk of the underlying collateral.
Multiple tranches of securities are issued by the CLO, offering investors various maturity and
credit risk characteristics. Tranches are categorized as senior, mezzanine, and subordinated/
equity, according to their degree of risk. If there are defaults or the CLO’s collateral otherwise
underperforms, scheduled payments to senior tranches take precedence over those of
mezzanine tranches, and scheduled payments to mezzanine tranches take precedence over
those to subordinated/equity tranches. This prioritization of the cash flows from a pool of
securities among the several tranches of the CLO is a key feature of the CLO structure. If
there are funds remaining after each tranche of debt receives its contractual interest rate and
the CLO meets or exceeds required collateral coverage levels (or other similar covenants), the
remaining funds may be paid to the subordinated (or residual) tranche (often referred to as the
“equity” tranche). CLOs are subject to the same risk of prepayment described with respect to
certain mortgage-related and asset-backed securities.
3
 
The Fund may invest in senior, rated tranches as well as mezzanine and subordinated tranches
of CLOs. Investment in the subordinated tranche is subject to special risks. The subordinated
tranche does not receive ratings and is considered the riskiest portion of the capital structure
of a CLO because it bears the bulk of defaults from the loans in the CLO and serves to protect
the other, more senior tranches from default in all but the most severe circumstances.
 
Risk-Linked Securities. Risk-linked securities (“RLS”) are a form of derivative issued by
insurance companies and insurance-related special purpose vehicles that apply securitization
techniques to catastrophic property and casualty damages. RLS are typically debt obligations
for which the return of principal and the payment of interest are contingent on the non-
occurrence of a pre-defined “trigger event.” Depending on the specific terms and structure of
the RLS, this trigger could be the result of a hurricane, earthquake or some other catastrophic
event.
 
Real Property Asset Companies. The Fund may invest in Income Securities and Common
Equity Securities issued by companies that own, produce, refine, process, transport and
market “real property assets,” such as real estate and the natural resources upon or within real
estate (“Real Property Asset Companies”).
 
Personal Property Asset Companies. The Fund may invest in Income Securities and Common
Equity Securities issued by companies that seek to profit primarily from the ownership, rental,
leasing, financing or disposition of personal (as opposed to real) property assets (“Personal
Property Asset Companies”). Personal (as opposed to real) property includes any tangible,
movable property or asset. The Fund will typically seek to invest in Income Securities and
Common Equity Securities of Personal Property Asset Companies the investment performance
of which is not expected to be highly correlated with traditional market indexes because the
personal property asset held by such company is non-correlated with traditional debt or equity
markets. Such personal property assets include special situation transportation assets (e.g.,
railcars, airplanes and ships) and collectibles (e.g., antiques, wine and fine art).
 
Private Securities. The Fund may invest in privately issued Income Securities and Common
Equity Securities of both public and private companies (“Private Securities”). Private
Securities have additional risk considerations than comparable public securities, including
availability of financial information about the issuer and valuation and liquidity issues.
 
Investment Funds. As an alternative to holding investments directly, the Fund may also obtain
investment exposure to Income Securities and Common Equity Securities by investing in other
investment companies, including registered investment companies, private investment funds
and/or other pooled investment vehicles (collectively, “Investment Funds”). 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. The 1940 Act generally limits a
registered investment company’s investments in other registered investment companies to 10%
of its total assets. However, pursuant to exemptions set forth in rules and regulations
promulgated under the 1940 Act, the Fund may invest in excess of this limitation provided that
the conditions of such exemptions are met. In addition, the Fund may invest in certain ETFs in
excess of the 1940 Act limitations in reliance upon and in accordance with exemptive relief
obtained by such ETFs. The Fund will invest in private investment funds, commonly referred
to as “hedge funds,” only to the extent permitted by applicable rules, regulations and
interpretations of the SEC and NYSE. The Fund has no current intention to invest in private
investment funds. Investments in other Investment Funds involve operating expenses and fees
at the Investment Fund level that are in addition to the expenses and fees borne by the Fund
and are borne indirectly by holders of the Fund’s Common Shares. A new regulatory
framework adopted by the SEC in October 2020 that applies to investments by registered
investment companies in other registered investment companies may adversely impact the
Fund’s investment strategies and operations, as well as those of the underlying investment
vehicles in which the Fund invests or other funds that invest in the Fund (and, in turn, trading
in the Common Shares).
 
Synthetic Investments. As an alternative to holding investments directly, the Fund may also
obtain investment exposure to Income Securities and Common Equity Securities through the
use of customized derivative instruments (including swaps, options, forwards, notional
4
 
principal contracts or other financial instruments) to replicate, modify or replace the economic
attributes associated with an investment in Income Securities and Common Equity Securities
(including interests in Investment Funds).
 
Derivative Transactions. The Fund may purchase and sell derivative instruments (which derive
their value by reference to another instrument, security or index) for investment purposes,
such as obtaining investment exposure to an investment category; risk management purposes,
such as hedging against fluctuations in securities prices or interest rates; diversification
purposes; or to change the duration of the Fund. In order to help protect the soundness of
derivative transactions and outstanding derivative positions, the Sub-Adviser generally
requires derivative counterparties to have a minimum credit rating of A from Moody’s
Investors Service (or a comparable rating from another nationally recognized statistical rating
organization (“NRSRO”)) and monitors such rating on an ongoing basis. In addition, the Sub-
Adviser seeks to allocate derivative transactions to limit exposure to any single counterparty.
The Fund has not adopted a maximum percentage limit with respect to derivative investments.
However, the Board of Trustees will receive regular reports from the Investment Adviser and
the Sub-Adviser regarding the Fund’s use of derivative instruments and the effect of derivative
transactions on the management of the Fund’s portfolio and the performance of the Fund. See
“The Fund’s Investments—Derivative Transactions.”
 
Municipal Securities. The Fund may invest directly or indirectly in municipal securities.
Municipal securities include securities issued by or on behalf of states, territories and
possessions of the United States and the District of Columbia and their political subdivisions,
agencies and instrumentalities, the payments from which, in the opinion of bond counsel to
the issuer, are excludable from gross income for federal income tax purposes. Municipal
securities also include taxable securities issued by such issuers. Municipal bonds may include
those backed by, among other things, state taxes and essential service revenues as well as
health care and higher education issuers, among others, or be supported by dedicated revenue
streams and/or statutory liens.
Investment Policies
The Fund may allocate its assets among a wide variety of Income Securities and Common
Equity Securities.
 
The Fund may invest without limitation in below-investment grade securities (e.g., securities
rated below Baa3 by Moody’s Investors Service, Inc., below BBB- by Standard & Poor’s
Ratings Group or Fitch Ratings or comparably rated by another nationally recognized
statistical rating organization or, if unrated, determined by the Sub- Adviser to be of
comparable quality). Below-investment grade securities are commonly referred to as “high-
yield” or “junk” bonds and are considered speculative with respect to the issuer’s capacity to
pay interest and repay principal. The Fund’s investments in any of the sectors and types of
Income Securities in which the Fund may invest may include, without limitation, below
investment grade securities. The Fund’s investments in below investment grade securities may
include distressed and defaulted securities.
 
Under normal market conditions, the Fund will not invest more than:
 
•50% of its total assets in Common Equity Securities consisting of common stock;
 
•30% of its total assets in Investment Funds;
 
•20% of its total assets in non-U.S. dollar-denominated Income Securities of corporate and
governmental issuers located outside the United States; and
 
•10% of its total assets in Income Securities of issuers in emerging markets.
 
The percentage of the Fund’s total assets allocated to any category of investment may at any
given time be significantly less than the maximum percentage permitted pursuant to the above
referenced investment policies.
 
Unless otherwise stated in this Prospectus or the SAI, the Fund’s investment policies are
considered non-fundamental and may be changed by the Board of Trustees of the Fund (the
“Board of Trustees”) without Common Shareholder approval. The Fund will provide investors
with at least 60 days’ prior written notice of any change in the Fund’s investment policies. See
“Investment Objective and Policies” in this Prospectus and in the SAI.
5
Financial Leverage and
Leveraged Transactions
The Fund may seek to enhance the level of its current distributions by utilizing financial
leverage through the issuance of preferred shares (“Preferred Shares”), through borrowing or
the issuance of commercial paper or other forms of debt (“Borrowings”), through reverse
repurchase agreements, dollar rolls or similar transactions or through a combination of the
foregoing (“leveraged transactions” and collectively “Financial Leverage”). The Fund may
utilize Financial Leverage up to the limits imposed by the 1940 Act; however, the aggregate
amount of Financial Leverage is not currently expected to exceed 33 1∕3% of the Fund’s
Managed Assets (as defined herein) after such issuance and/or borrowing.
 
As of May 31, 2021, outstanding Borrowings under the Fund’s committed facility agreement
were $38.5 million, which represented approximately 3.1% of the Fund’s Managed Assets as
of such date. In addition, as of May 31, 2021, the Fund had reverse repurchase agreements
outstanding representing Financial Leverage equal to approximately 26.8% of the Fund’s
Managed Assets. As of May 31, 2021, the Fund’s total Financial Leverage represented
approximately 29.9% of the Fund’s Managed Assets. The Fund’s total Financial Leverage may
vary significantly over time based on the Sub-Adviser’s assessment of market and economic
conditions, available investment opportunities and cost of Financial Leverage. The Fund has at
times used significantly greater levels of Financial Leverage than on May 31, 2021, including
at times using Financial Leverage to the maximum extent permitted under the 1940 Act and
the parameters set forth herein. The Fund may in the future increase Financial Leverage up to
the parameters set forth herein. The Fund maintains a committed facility agreement with BNP
Paribas Prime Brokerage International, Ltd. (“BNP Paribas”) pursuant to which the Fund may
borrow up to $80 million (this amount will increase to the greater of $750 million or 50% of
the Net Asset Value of the Fund at the closing of the mergers of Guggenheim Enhanced Equity
Income Fund and Guggenheim Credit Allocation Fund into the Fund).
 
On May 31, 2021, the Fund had $38.5 million in outstanding Borrowings under the Fund’s
committed facility agreement.
 
Although the use of Financial Leverage and leveraged transactions by the Fund may create an
opportunity for increased total return for the Common Shares, it also results in additional risks
and can magnify the effect of any losses. Financial Leverage and the use of leveraged
transactions involve risks and special considerations for shareholders, including the likelihood
of greater volatility of net asset value and market price of, and dividends on, the Common
Shares. To the extent the Fund increases its amount of Financial Leverage and leveraged
transactions outstanding, it will be more exposed to these risks. The cost of Financial Leverage
and leveraged transactions, including the portion of the investment advisory fee attributable to
the assets purchased with the proceeds of Financial Leverage and leveraged transactions, is
borne by holders of the Common Shares. To the extent the Fund increases its amount of
Financial Leverage and leveraged transactions outstanding, the Fund’s annual expenses as a
percentage of net assets attributable to Common Shares will increase.
 
Under the 1940 Act the Fund may not utilize Borrowings if, immediately after incurring such
Borrowing, the Fund would have asset coverage (as defined in the 1940 Act) of less than
300% (i.e., for every dollar of Borrowings outstanding, the Fund is required to have at least
three dollars of assets). Under the 1940 Act, the Fund may not issue Preferred Shares if,
immediately after issuance, the Fund would have asset coverage (as defined in the 1940 Act)
of less than 200% (i.e., for every dollar of Preferred Shares outstanding, the Fund is required
to have at least two dollars of assets). The Fund has no present intention to issue Preferred
Shares. The Fund may also borrow in excess of such limit for temporary purposes such as the
settlement of transactions.
 
With respect to leverage incurred through investments in reverse repurchase agreements,
dollar rolls or similar transactions, under current regulatory requirements, the Fund intends to
earmark or segregate cash or liquid securities in accordance with applicable interpretations of
the SEC and the staff of the SEC. As a result of such segregation, under current regulatory
requirements, the Fund’s obligations under such transactions will not be considered
indebtedness for purposes of the 1940 Act and the Fund’s use of leverage through reverse
repurchase agreements will not be limited by the 1940 Act asset coverage requirements.
However, the Fund’s use of leverage through reverse repurchase agreements, dollar rolls and
similar transactions will be included when calculating the Fund’s Financial Leverage, and
6
 
therefore is not currently expected to exceed 33 1∕3% of the Fund’s Managed Assets, under
current regulatory requirements, and may be further limited by the availability of cash or
liquid securities to earmark or segregate in connection with such transactions.
 
In addition, the Fund may engage in certain derivatives transactions that have economic
characteristics similar to leverage. To the extent the terms of such leveraged transactions
obligate the Fund to make payments, under current regulatory requirements, the Fund intends
to earmark or segregate cash or liquid securities in an amount at least equal to the current
value of the amount then payable by the Fund under the terms of such transactions or
otherwise cover such transactions in accordance with applicable interpretations of the SEC
and the staff of the SEC. As a result of such segregation or cover, the Fund’s obligations under
such leveraged transactions will not be considered indebtedness for purposes of the 1940 Act
and will not be included in calculating the aggregate amount of the Fund’s Financial Leverage.
 
So long as the net rate of return on the Fund’s investments purchased with the proceeds of
Financial Leverage and leveraged transactions exceeds the cost of such Financial Leverage
and leveraged transactions, such excess amounts will be available to pay higher distributions
to holders of the Fund’s Common Shares. In connection with the Fund’s use of Financial
Leverage, the Fund may seek to hedge the interest rate risks associated with the Financial
Leverage through interest rate swaps, caps or other derivative transactions. There can be no
assurance that the Fund’s Financial Leverage and leveraged transactions strategy will be
successful during any period during which it is employed. The costs associated with the
issuance of Financial Leverage and leveraged transactions will be borne by Common
Shareholders, which will result in a reduction of net asset value of Common Shares. The fee
paid to the Investment Adviser will be calculated on the basis of the Fund’s Managed Assets,
including proceeds from Financial Leverage, so the fees paid to the Investment Adviser will be
higher when Financial Leverage is utilized. Common Shareholders bear the portion of the
investment advisory fee attributable to the assets purchased with the proceeds of Financial
Leverage, which means that Common Shareholders effectively bear the entire advisory fee.
See “Use of Financial Leverage” and “Risks— Financial Leverage and Leveraged
Transactions Risk.”
Other Investment Practices
Temporary Investments. At any time when a temporary posture is believed by the Sub-Adviser
to be warranted (a “temporary period”), the Fund may, without limitation, hold cash or invest
its assets in money market instruments and repurchase agreements in respect of those
instruments. The Fund may not achieve its investment objective during a temporary period or
be able to sustain its historical distribution levels. See “Investment Objective and Policies—
Temporary Investments.”
Management of the Fund
Guggenheim Funds Investment Advisors, LLC acts as the Fund’s Investment Adviser pursuant
to an advisory agreement with the Fund (the “Advisory Agreement”). Pursuant to the
Advisory Agreement, the Investment Adviser is responsible for the management of the Fund
and administers the affairs of the Fund to the extent requested by the Board of Trustees. As
compensation for its services, the Fund pays the Investment Adviser a fee, payable monthly in
arrears at an annual rate equal to 1.00% of the Fund’s average daily Managed Assets.
“Managed Assets” for purposes of the Advisory and Sub-Advisory Agreements (as defined
herein) means the total assets of the Fund (other than assets attributable to any investments by
the Fund in Affiliated Investment Funds), including the assets attributable to the proceeds
from any borrowings or other forms of financial leverage, minus liabilities, other than
liabilities related to any financial leverage. “Affiliated Investment Funds” means investment
companies, including registered investment companies, private investment funds and/or other
pooled investment vehicles, advised or managed by the Fund’s investment Sub-Adviser or any
of its affiliates. “Managed Assets” for all other purposes means the total assets of the Fund,
including the assets attributable to the proceeds from any borrowings or other forms of
Financial Leverage, minus liabilities, other than liabilities related to any Financial Leverage.
 
Guggenheim Partners Investment Management, LLC acts as the Fund’s Sub-Adviser pursuant
to a sub-advisory agreement with the Fund and the Investment Adviser (the “Sub-Advisory
Agreement”). Pursuant to the Sub-Advisory Agreement, the Sub-Adviser is responsible for
the management of the Fund’s portfolio of securities. As compensation for its services, the
Investment Adviser pays the Sub-Adviser a fee, payable monthly in arrears at an annual rate
equal to 0.50% of the Fund’s average daily Managed Assets, less 0.50% of the Fund’s average
daily assets attributable to any investments by the Fund in Affiliated Investment Funds.
7
 
Each of the Investment Adviser and the Sub-Adviser are wholly-owned subsidiaries of
Guggenheim Partners.
Distributions
The Fund intends to pay substantially all of its net investment income to Common
Shareholders through monthly distributions. In addition, the Fund intends to distribute any net
long-term capital gains to Common Shareholders as long-term capital gain dividends at least
annually. The Fund expects that distributions paid on the Common Shares will consist of
(i) investment company taxable income, which includes, among other things, ordinary income,
short-term capital gain and income from certain hedging and interest rate transactions,
(ii) qualified dividend income and (iii) long-term capital gain (gain from the sale of a capital
asset held longer than one year). Distributions may be paid by the Fund from any permitted
source and, from time to time, all or a portion of a distribution may be a return of capital. To
the extent the Fund receives dividends with respect to its investments in Common Equity
Securities that consist of qualified dividend income (income from domestic and certain
foreign corporations), a portion of the Fund’s distributions to its Common Shareholders may
consist of qualified dividend income. The Fund cannot assure you, however, as to what
percentage of the dividends paid on the Common Shares, if any, will consist of qualified
dividend income or long-term capital gains, which are taxed at lower rates for individuals than
ordinary income. In certain circumstances, the Fund may elect to retain income or capital gain
and pay income or excise tax on such undistributed amount, to the extent that the Board of
Trustees, in consultation with Fund management, determines it to be in the best interest of
shareholders to do so. Alternatively, the distributions paid by the Fund for any particular
month may be more than the amount of net investment income from that monthly period. As a
result, all or a portion of a distribution may be a return of capital, which is in effect a partial
return of the amount a Common Shareholder invested in the Fund, up to the amount of the
Common Shareholder’s tax basis in their Common Shares, which would reduce such tax basis.
Although a return of capital may not be taxable, it will generally increase the Common
Shareholder’s potential gain, or reduce the Common Shareholder’s potential loss, on any
subsequent sale or other disposition of Common Shares. Shareholders who periodically
receive the payment of a distribution consisting of a return of capital may be under the
impression that they are receiving net income or profits when they are not. Shareholders
should not assume that the source of a distribution from the Fund is net income or profit. See
“Distributions.”
 
If you hold your Common Shares in your own name or if you hold your Common Shares with
a brokerage firm that participates in the Fund’s Dividend Reinvestment Plan (the “Plan”),
unless you elect to receive cash, all dividends and distributions that are declared by the Fund
will be automatically reinvested in additional Common Shares of the Fund pursuant to the
Plan. If you hold your Common Shares with a brokerage firm that does not participate in the
Plan, you will not be able to participate in the Plan and any dividend reinvestment may be
effected on different terms than those described above. Consult your financial adviser for
more information. See “Dividend Reinvestment Plan.”
Listing and Symbol
The Fund’s currently outstanding Common Shares are, and the Common Shares offered in this
Prospectus will be, listed on the New York Stock Exchange (the “NYSE”) under the symbol
“GOF.” The net asset value of the Common Shares at the close of business on
September 7, 2021 was $17.10 per share and the last sale price of the Common Shares on the
NYSE on such date was $21.34, representing a premium to net asset value of 24.80%.
Special Risk Considerations
Not a Complete Investment Program. An investment in the Common Shares of the Fund
should not be considered a complete investment program. The Fund is intended for long-term
investors seeking current income and capital appreciation. An investment in the Fund is not
meant to provide a vehicle for those who wish to play short-term swings in the market. Each
Common Shareholder should take into account the Fund’s investment objective as well as the
Common Shareholder’s other investments when considering an investment in the Fund. Before
making an investment decision, a prospective investor should consider (i) the suitability of this
investment with respect to his or her investment objectives and personal situation and
(ii) factors such as his or her personal net worth, income, age, risk tolerance and liquidity
needs. See “Risks—Not a Complete Investment Program.”
 
Investment and Market Risk. An investment in the Common Shares of the Fund is subject to
investment risk, particularly under current economic, financial, labor and health conditions,
including the possible loss of the entire principal amount that you invest. The global ongoing
8
 
crisis caused by the outbreak of COVID-19 and the current recovery underway is causing
disruption to consumer demand and economic output and supply chains. There are still travel
restrictions and quarantines, and adverse impacts on local and global economies. Investors
should be aware that in light of the current uncertainty, volatility and distress in economies,
financial markets, and labor and public health conditions around the world, the Fund’s
investments and a shareholder’s investment in the Fund are subject to sudden and substantial
losses, increased volatility and other adverse events. Firms through which investors invest with
the Fund, the Fund, its service providers, the markets in which it invests and market
intermediaries are also impacted by and similar measures intended to respond to and contain
the ongoing pandemic, which can obstruct their functioning and subject them to heightened
operational and other risks.
 
An investment in the Common Shares of the Fund represents an indirect investment in the
securities owned by the Fund. The value of, or income generated by, the investments held by
the Fund are subject to the possibility of rapid and unpredictable fluctuation. These
movements may result from factors affecting individual companies, or from broader
influences, including real or perceived changes in prevailing interest rates, changes in inflation
or expectations about inflation, investor confidence or economic, political, social or financial
market conditions, natural/environmental disasters, cyber-attacks, terrorism, governmental or
quasi-governmental actions, public health emergencies (such as the spread of infectious
diseases, pandemics and epidemics) and other similar events, that each of which may be
temporary or last for extended periods. For example, the risks of a borrower’s default or
bankruptcy or non-payment of scheduled interest or principal payments from senior floating
rate interests held by the Fund are especially acute under these conditions. Furthermore,
interest rates and bond yields may fall as a result of types of events, including responses by
governmental entities to such events, which would magnify the Fund’s fixed-income
instruments’ susceptibility to interest rate risk and diminish their yield and performance.
Moreover, the Fund’s investments in ABS are subject to many of the same risks that are
applicable to investments in securities generally, including interest rate risk, credit risk,
foreign currency risk, below-investment grade securities risk, financial leverage risk,
prepayment and regulatory risk, which would be elevated under the foregoing circumstances.
 
Different sectors, industries and security types may react differently to such developments and,
when the market performs well, there is no assurance that the Fund’s investments will increase
in value along with the broader markets. Volatility of financial markets, including potentially
extreme volatility caused by the events described above or other events, can expose the Fund
to greater market risk than normal, possibly resulting in greatly reduced liquidity. Moreover,
changing economic, political, social or financial market 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 because of the increasingly
interconnected global economies and financial markets. The Adviser potentially could be
prevented from considering, managing and executing investment decisions at an advantageous
time or price or at all as a result of any domestic or global market or other disruptions,
particularly disruptions causing heightened market volatility and reduced market liquidity,
such as the current conditions, which have also resulted in impediments to the normal
functioning of workforces, including personnel and systems of the Fund’s service providers
and market intermediaries. The value of the securities owned by the Fund may decline due to
general market conditions that are not specifically related to a particular issuer, such as real or
perceived economic conditions, changes in interest or currency rates or changes in investor
sentiment or market outlook generally.
 
At any point in time, your Common Shares may be worth less than your original investment,
including the reinvestment of Fund dividends and distributions. See “Risks—Investment and
Market Risk.”
 
Management Risk. The Fund is subject to management risk because it has an actively managed
portfolio. The Sub-Adviser will apply investment techniques and risk analysis in making
investment decisions for the Fund, but there can be no guarantee that these will produce the
desired results. The Fund’s allocation of its investments across various asset classes and
sectors may vary significantly over time based on the Adviser’s analysis and judgment. As a
result, the particular risks most relevant to an investment in the Fund, as well as the overall
risk profile of the Fund’s portfolio, may vary over time. See “Risks—Management Risk.”
9
 
Income Risk. The income investors receive from the Fund is based primarily on the interest it
earns from its investments in Income Securities, which can vary widely over the short- and
long-term. If prevailing market interest rates drop, investors’ income from the Fund could drop
as well. The Fund’s income could also be affected adversely when prevailing short-term
interest rates increase and the Fund is utilizing leverage, although this risk is mitigated to the
extent the Fund invests in floating-rate obligations. See “Risks—Income Risk.”
 
Dividend Risk. Dividends on common stock and other Common Equity Securities which the
Fund may hold are not fixed but are declared at the discretion of an issuer’s board of directors.
There is no guarantee that the issuers of the Common Equity Securities in which the Fund
invests will declare dividends in the future or that, if declared, they will remain at current
levels or increase over time. Therefore, there is the possibility that such companies could
reduce or eliminate the payment of dividends in the future or the anticipated acceleration of
dividends could not occur as a result of, among other things, a sharp rise in interest rates or an
economic downturn. Changes in the dividend policies of companies and capital resources
available for these companies’ dividend payments may adversely affect the Fund. Depending
upon market conditions, dividend-paying stocks that meet the Fund’s investment criteria may
not be widely available and/or may be highly concentrated in only a few market sectors. These
circumstances may result from issuer-specific events, adverse economic or market
developments, or legislative or regulatory changes or other developments that limit an issuer’s
ability to declare and pay dividends, which would affect the Fund’s performance and ability to
generate income. The dividend income from the Fund’s investment in Common Equity
Securities will be influenced by both general economic activity and issuer-specific factors. In
the event of adverse changes in economic conditions or adverse events effecting a specific
industry or issuer, the issuers of the Common Equity Securities held by the Fund may reduce
the dividends paid on such securities. See “Risks—Dividend Risk.”
 
Income Securities Risk. In addition to the risks discussed above, Income Securities, including
high-yield bonds, are subject to certain risks, including:
 
Issuer Risk. The value of Income Securities may decline for a number of reasons which
directly relate to the issuer, such as management performance, financial leverage, reduced
demand for the issuer’s goods and services, historical and projected earnings, and the value of
its assets.
 
Spread Risk. Spread risk is the risk that the market price can change due to broad based
movements in spreads, which is particularly relevant in the current low spread environment.
 
Credit Risk. The Fund could lose money if the issuer or guarantor of a debt instrument or a
counterparty to a derivatives transaction or other transaction (such as a repurchase agreement
or a loan of portfolio securities or other instruments) is unable or unwilling, or perceived to be
unable or unwilling, to pay interest or repay principal on time or defaults. If an issuer fails to
pay interest, the Fund’s income would likely be reduced, and if an issuer fails to repay
principal, the value of the instrument likely would fall and the Fund could lose money. This
risk is especially acute with respect to below investment grade debt instruments (commonly
referred to as “high-yield” or “junk” bonds) and unrated high risk debt instruments, whose
issuers are particularly susceptible to fail to meet principal or interest obligations under
current conditions. Also, the issuer, guarantor or counterparty may suffer adverse changes in
its financial condition or be adversely affected by economic, political or social conditions that
could lower the credit quality (or the market’s perception of the credit quality) of the issuer or
instrument, leading to greater volatility in the price of the instrument and in shares of the
Fund. Although credit quality may not accurately reflect the true credit risk of an instrument, a
change in the credit quality rating of an instrument or an issuer can have a rapid, adverse effect
on the instrument’s liquidity and make it more difficult for the Fund to sell at an advantageous
price or time. The risk of the occurrence of these types of events is heightened under current
conditions.
 
The degree of credit risk depends on the particular instrument and the financial condition of
the issuer, guarantor or counterparty, which are often reflected in its credit quality. Credit
quality is a measure of the issuer’s expected ability to make all required interest and principal
payments in a timely manner. An issuer with the highest credit rating has a very strong
capacity with respect to making all payments. An issuer with the second-highest credit rating
has a strong capacity to make all payments, but the degree of safety is somewhat less. An
10
 
issuer with the lowest credit quality rating may be in default or have extremely poor prospects
of making timely payment of interest and principal. Credit ratings assigned by rating agencies
are based on a number of factors and subjective judgments and therefore do not necessarily
represent an issuer’s actual financial condition or the volatility or liquidity of the security.
Although higher-rated securities generally present lower credit risk as compared to lower-rated
or unrated securities, an issuer with a high credit rating may in fact be exposed to heightened
levels of credit or liquidity risk.
 
Interest Rate Risk. Fixed-income and other debt instruments are subject to the possibility that
interest rates could change (or are expected to change). Changes in interest rates, including
changes in reference rates used in fixed-income and other debt instruments, may adversely
affect the Fund’s investments in these instruments, such as the value or liquidity of, and
income generated by, the investments. In addition, changes in interest rates, including rates
that fall below zero, can have unpredictable effects on markets and can adversely affect the
Fund’s yield, income and performance.
 
The value of a debt instrument with a longer duration will generally be more sensitive to
interest rate changes than a similar instrument with a shorter duration. Similarly, the longer the
average duration (whether positive or negative) of these instruments held by the Fund or to
which the Fund is exposed (i.e., the longer the average portfolio duration of the Fund), the
more the Fund’s NAV will likely fluctuate in response to interest rate changes. Duration is a
measure used to determine the sensitivity of a security’s price to changes in interest rates that
incorporates a security’s yield, coupon, final maturity and call features, among other
characteristics. For example, the NAV per share of a bond fund with an average duration of
eight years would be expected to fall approximately 8% if interest rates rose by one percentage
point.
 
However, measures such as duration may not accurately reflect the true interest rate sensitivity
of instruments held by the Fund and, in turn, the Fund’s susceptibility to changes in interest
rates. Certain fixed-income and debt instruments are subject to the risk that the issuer may
exercise its right to redeem (or call) the instrument earlier than anticipated. Although an issuer
may call an instrument for a variety of reasons, if an issuer does so during a time of declining
interest rates, the Fund might have to reinvest the proceeds in an investment offering a lower
yield or other less favorable features, and therefore might not benefit from any increase in
value as a result of declining interest rates. Interest only or principal only securities and
inverse floaters are particularly sensitive to changes in interest rates, which may impact the
income generated by the security and other features of the security.
 
Adjustable rate securities also react to interest rate changes in a similar manner as fixed-rate
securities but generally to a lesser degree depending on the characteristics of the security, in
particular its reset terms (i.e., the index chosen, frequency of reset and reset caps or floors).
During periods of rising interest rates, because changes in interest rates on adjustable rate
securities may lag behind changes in market rates, the value of such securities may decline
until their interest rates reset to market rates. These securities also may be subject to limits on
the maximum increase in interest rates. During periods of declining interest rates, because the
interest rates on adjustable rate securities generally reset downward, their market value is
unlikely to rise to the same extent as the value of comparable fixed rate securities. These
securities may not be subject to limits on downward adjustments of interest rates.
 
During periods of rising interest rates, issuers of debt securities or asset-backed securities may
pay principal later or more slowly than expected, which may reduce the value of the Fund’s
investment in such securities and may prevent the Fund from receiving higher interest rates on
proceeds reinvested in other instruments. During periods of falling interest rates, issuers of
debt securities or asset-backed securities may pay off debts more quickly or earlier than
expected, which could cause the Fund to be unable to recoup the full amount of its initial
investment and/or cause the Fund to reinvest in lower-yielding securities, thereby reducing the
Fund’s yield or otherwise adversely impacting the Fund.
 
Certain debt instruments, such as instruments with a negative duration or inverse instruments,
are also subject to interest rate risk, although such instruments generally react differently to
changes in interest rates than instruments with positive durations. The Fund’s investments in
11
 
these instruments also may be adversely affected by changes in interest rates. For example, the
value of instruments with negative durations, such as inverse floaters, generally decrease if
interest rates decline.
 
The Fund’s use of leverage will tend to increase Common Share interest rate risk. The Fund
may utilize certain strategies, including taking positions in futures or interest rate swaps, for
the purpose of seeking to reduce the interest rate sensitivity of credit securities held by the
Fund and to decrease the Fund’s exposure to interest rate risk. The Fund is not required to
hedge its exposure to interest rate risk and may choose not to do so. In addition, there is no
assurance that any attempts by the Fund to reduce interest rate risk will be successful or that
any hedges that the Fund may establish will perfectly correlate with movements in interest
rates.
 
Current Fixed-Income and Debt Market Conditions. Fixed-income and debt market conditions
are highly unpredictable and some parts of the market are subject to dislocations. In response
to the crisis initially caused by the outbreak of COVID-19, as with other serious economic
disruptions, governmental authorities and regulators have enacted or are enacting significant
fiscal and monetary policy changes, including direct capital infusions into companies, new
monetary programs and considerable interest rate changes. These actions present heightened
risks to fixed-income and debt instruments, and such risks could be even further heightened if
these actions are unexpectedly or suddenly reversed or are ineffective in achieving their
desired outcomes. In light of these actions and current conditions, interest rates and bond
yields in the United States and many other countries are at or near historic lows, and in some
cases, such rates and yields are or have been negative. The current very low or negative
interest rates are magnifying the Fund’s susceptibility to interest rate risk and diminishing
yield and performance. In addition, the current environment is exposing fixed-income and
debt markets to significant volatility and reduced liquidity for the Fund’s investments. These
or similar conditions may also occur in the future.
 
Corporate Bond Risk. The market value of a corporate bond may be affected by factors
directly related to the issuer, such as investors’ perceptions of the creditworthiness of the
issuer, the issuer’s financial performance, perceptions of the issuer in the market place,
performance of management of the issuer, the issuer’s capital structure and use of financial
leverage and demand for the issuer’s goods and services. There is a risk that the issuers of
corporate bonds may not be able to meet their obligations on interest or principal payments at
the time called for by an instrument or at all. Corporate bonds of below investment grade
quality are often high risk and have speculative characteristics and may be particularly
susceptible to adverse issuer-specific and other developments.
 
Reinvestment Risk. Reinvestment risk is the risk that income from the Fund’s portfolio will
decline if the Fund invests the proceeds from matured, traded or called Income Securities at
market interest rates that are below the Fund portfolio’s current earnings rate. A decline in
income could affect the Common Shares’ market price or the overall return of the Fund.
 
Extension Risk. Certain debt instruments, including mortgage- and other asset-backed
securities, are subject to the risk that payments on principal may occur at a slower rate or later
than expected. In this event, the expected maturity could lengthen as short or intermediate-
term instruments become longer-term instruments, which would make the investment more
sensitive to changes in interest rates. The likelihood that payments on principal will occur at a
slower rate or later than expected is heightened under the current conditions. In addition, the
Fund’s investment may sharply decrease in value and the Fund’s income from the investment
may quickly decline. These types of instruments are particularly subject to extension risk, and
offer less potential for gains, during periods of rising interest rates. In addition, the Fund may
be delayed in its ability to reinvest income or proceeds from these instruments in potentially
higher yielding investments, which would adversely affect the Fund to the extent its
investments are in lower interest rate debt instruments. Thus, changes in interest rates may
cause volatility in the value of and income received from these types of debt instruments.
 
Prepayment Risk. Certain debt instruments, including loans and mortgage- and other asset-
backed securities, are subject to the risk that payments on principal may occur more quickly or
earlier than expected (or an investment is converted or redeemed prior to maturity). For
example, an issuer may exercise its right to redeem outstanding debt securities prior to their
maturity (known as a “call”) or otherwise pay principal earlier than expected for a number of
12
 
reasons (e.g., declining interest rates, changes in credit spreads and improvements in the
issuer’s credit quality). If an issuer calls or “prepays” a security in which the Fund has
invested, the Fund may not recoup the full amount of its initial investment and may be
required to reinvest in generally lower-yielding securities, securities with greater credit risks or
securities with other, less favorable features or terms than the security in which the Fund
initially invested, thus potentially reducing the Fund’s yield. Income Securities frequently have
call features that allow the issuer to repurchase the security prior to its stated maturity. Loans
and mortgage- and other asset-backed securities are particularly subject to prepayment risk,
and offer less potential for gains, during periods of declining interest rates (or narrower
spreads) as issuers of higher interest rate debt instruments pay off debts earlier than expected.
In addition, the Fund may lose any premiums paid to acquire the investment. Other factors,
such as excess cash flows, may also contribute to prepayment risk. Thus, changes in interest
rates may cause volatility in the value of and income received from these types of debt
instruments.
 
Variable or floating rate investments may be less vulnerable to prepayment risk. Most floating
rate loans and fixed-income securities allow for prepayment of principal without penalty.
Accordingly, the potential for the value of a floating rate loan or security to increase in
response to interest rate declines is limited. Corporate loans or fixed-income securities
purchased to replace a prepaid corporate loan or security may have lower yields than the yield
on the prepaid corporate loan or security.
 
Liquidity Risk. The Fund may invest without limitation in Income Securities for which there is
no readily available trading market or which are unregistered, restricted or otherwise illiquid,
including certain high-yield securities. The Fund may invest in privately issued securities of
both public and private companies, which may be illiquid. Securities of below investment
grade quality tend to be less liquid than investment grade debt securities, and securities of
financial distressed or bankrupt issuers may be particularly illiquid. Loans typically are not
registered with the SEC and are not listed on any securities exchange and may at times be
illiquid. Loan investments through participations and assignments are typically illiquid.
Structured finance securities are typically privately offered and sold, and thus are not
registered under the securities laws. As a result, investments in structured finance securities
may be characterized by the Fund as illiquid securities; however, an active dealer market may
exist which would allow such securities to be considered liquid in some circumstances. The
securities and obligations of foreign issuers, particular issuers in emerging markets, may be
more likely to experience periods of illiquidity. Derivative instruments, particularly privately-
negotiated or OTC derivatives, may be illiquid.
 
The Fund may not be able to readily dispose of illiquid securities and obligations at prices that
approximate those at which the Fund could sell such securities and obligations if they were
more widely traded and, as a result of such illiquidity, the Fund may have to sell other
investments or engage in borrowing transactions if necessary to raise cash to meet its
obligations. As a result, the Fund may be unable to achieve its desired level of exposure to
certain issuers, asset classes or sectors. The capacity of market makers of fixed-income and
other debt instruments has not kept pace with the consistent growth in these markets over the
past three decades, which has led to reduced levels in the capacity of these market makers to
engage in trading and, as a result, dealer inventories of corporate fixed-income, floating rate
and certain other debt instruments are at or near historic lows relative to market size. In
addition, limited liquidity could affect the market price of Income Securities, thereby
adversely affecting the Fund’s NAV and ability to make distributions. Dislocations in certain
parts of markets are resulting in reduced liquidity for certain investments. It is uncertain when
financial markets will improve. Liquidity of financial markets may also be affected by
government intervention.
 
Valuation of Certain Income Securities Risk. The Sub-Adviser may use the fair value method
to value investments if market quotations for them are not readily available or are deemed
unreliable, or if events occurring after the close of a securities market and before the Fund
values its assets would materially affect net asset value. Because the secondary markets for
certain investments may be limited, they may be difficult to value. Where market quotations
are not readily available, valuation may require more research than for more liquid
investments. In addition, elements of judgment may play a greater role in valuation in such
cases than for investments with a more active secondary market because there is less reliable
objective data available. A security that is fair valued may be valued at a price higher or lower
13
 
than the value determined by other funds using their own fair valuation procedures. Prices
obtained by the Fund upon the sale of such securities may not equal the value at which the
Fund carried the investment on its books, which would adversely affect the net asset value of
the Fund.
 
Duration and Maturity Risk. The Fund has no set policy regarding portfolio maturity or
duration. Holding long duration and long maturity investments will expose the Fund to certain
magnified risks. These risks include interest rate risk, credit risk and liquidity risks as
discussed above. Generally speaking, the longer the duration of the Fund’s portfolio, the more
exposure the Fund will have to interest rate risk described above.
 
Below-Investment Grade Securities Risk. The Fund may invest in Income Securities rated
below-investment grade or, if unrated, determined by the Sub-Adviser to be of comparable
credit quality, which are commonly referred to as “high-yield” or “junk” bonds. Investment in
securities of below-investment grade quality involves substantial risk of loss, the risk of which
is particularly acute under current conditions. Income Securities of below-investment grade
quality are predominantly speculative with respect to the issuer’s capacity to pay interest and
repay principal when due and therefore involve a greater risk of default or decline in market
value due to adverse economic and issuer-specific developments. Securities of below
investment grade quality may involve a greater risk of default or decline in market value due
to adverse economic and issuer-specific developments, such as operating results and outlook
and to real or perceived adverse economic and competitive industry conditions. Generally, the
risks associated with high yield securities are heightened during times of weakening economic
conditions or rising interest rates (particularly for issuers that are highly leveraged) and are
therefore heightened under current conditions. If the Fund is unable to sell an investment at its
desired time, the Fund may miss other investment opportunities while it holds investments it
would prefer to sell, which could adversely affect the Fund’s performance. In addition, the
liquidity of any Fund investment may change significantly over time as a result of market,
economic, trading, issuer-specific and other factors. Accordingly, the performance of the Fund
and a shareholder’s investment in the Fund may be adversely affected if an issuer is unable to
pay interest and repay principal, either on time or at all. Issuers of below investment grade
securities are not perceived to be as strong financially as those with higher credit ratings.
These issuers are more vulnerable to financial setbacks and recessions or other adverse
economic developments than more creditworthy issuers, which may impair their ability to
make interest and principal payments. Income Securities of below-investment grade quality
display increased price sensitivity to changing interest rates and to a deteriorating economic
environment. The market values, total return and yield for securities of below investment
grade quality tend to be more volatile than the market values, total return and yield for higher
quality bonds. Securities of below investment grade quality tend to be less liquid than
investment grade debt securities and therefore more difficult to value accurately and sell at an
advantageous price or time and may involve greater transactions costs and wider bid/ask
spreads, than higher-quality securities. To the extent that a secondary market does exist for
certain below investment grade securities, the market for them may be subject to irregular
trading activity, wide bid/ask spreads and extended trade settlement periods. Because of the
substantial risks associated with investments in below investment grade securities, you could
have an increased risk of losing money on your investment in Common Shares, both in the
short-term and the long-term. To the extent that the Fund invests in securities that have not
been rated by an NRSRO, the Fund’s ability to achieve its investment objectives will be more
dependent on the Adviser’s credit analysis than would be the case when the Fund invests in
rated securities.
 
Successful investment in lower-medium and lower-rated debt securities may involve greater
investment risk and is highly dependent on the Adviser’s credit analysis. The value of
securities of below investment grade quality is particularly vulnerable to changes in interest
rates and a real or perceived economic downturn or higher interest rates could cause a decline
in prices of such securities by lessening the ability of issuers to make principal and interest
payments. These securities are often thinly traded or subject to irregular trading and can be
more difficult to sell and value accurately than higher-quality securities because there tends to
be less public information available about these securities. Because objective pricing data may
be less available, judgment may play a greater role in the valuation process. In addition, the
entire below investment grade market can experience sudden and sharp price swings due to a
variety of factors, including changes in economic forecasts, stock market activity, large or
sustained sales by major investors, a high-profile default, or a change in the market’s
14
 
psychology. Adverse conditions could make it difficult at times for the Fund to sell certain
securities or could result in lower prices than those used in calculating the Fund’s NAV. See
“Risks—Below-Investment Grade Securities Risk.”
 
Structured Finance Investments Risk. The Fund’s structured finance investments may include
residential and commercial mortgage-related and other ABS issued by governmental entities
and private issuers. Holders of structured finance investments bear risks of the underlying
investments, index or reference obligation and are subject to counterparty risk. The Fund may
have the right to receive payments only from the structured product, and generally does not
have direct rights against the issuer or the entity that sold the assets to be securitized. While
certain structured finance investments enable the investor to acquire interests in a pool of
securities without the brokerage and other expenses associated with directly holding the same
securities, investors in structured finance investments generally pay their share of the
structured product’s administrative and other expenses. Although it is difficult to accurately
predict whether the prices of indices and securities underlying structured finance investments
will rise or fall, these prices (and, therefore, the prices of structured finance investments) will
be influenced by the same types of political, economic and other events that affect issuers of
securities and capital markets generally. If the issuer of a structured product uses shorter term
financing to purchase longer term securities, the issuer may be forced to sell its securities at
below market prices if it experiences difficulty in obtaining short-term financing, which may
adversely affect the value of the structured finance investment owned by the Fund.
 
The Fund may invest in structured finance products collateralized by low grade or defaulted
loans or securities. Investments in such structured finance products are subject to the risks
associated with below investment grade securities. Such securities are characterized by high
risk. It is likely that an economic recession could severely disrupt the market for such
securities and may have an adverse impact on the value of such securities.
 
The Fund may invest in senior and subordinated classes issued by structured finance vehicles.
The payment of cash flows from the underlying assets to senior classes take precedence over
those of subordinated classes, and therefore subordinated classes are subject to greater risk.
Furthermore, the leveraged nature of subordinated classes may magnify the adverse impact on
such class of changes in the value of the assets, changes in the distributions on the assets,
defaults and recoveries on the assets, capital gains and losses on the assets, prepayment on
assets and availability, price and interest rates of assets.
 
Structured finance securities may be thinly traded or have a limited trading market. Structured
finance securities are typically privately offered and sold, and thus are not registered under the
securities laws. As a result, investments in structured finance securities may be characterized
by the Fund as illiquid securities; however, an active dealer market may exist which would
allow such securities to be considered liquid in some circumstances. See “Risks—Structured
Finance Investments Risk.”
 
Mortgage-Backed Securities Risk. Mortgage-backed securities (“MBS”) represent an interest
in a pool of mortgages. MBS are subject to certain risks, such as: credit risk associated with
the performance of the underlying mortgage properties and of the borrowers owning these
properties; risks associated with their structure and execution (including the collateral, the
process by which principal and interest payments are allocated and distributed to investors and
how credit losses affect the return to investors in such MBS); risks associated with the servicer
of the underlying mortgages; adverse changes in economic conditions and circumstances,
which are more likely to have an adverse impact on MBS secured by loans on certain types of
commercial properties than on those secured by loans on residential properties; prepayment
risk, which can lead to significant fluctuations in the value of the MBS; loss of all or part of
the premium, if any, paid; and decline in the market value of the security, whether resulting
from changes in interest rates, prepayments on the underlying mortgage collateral or
perceptions of the credit risk associated with the underlying mortgage collateral. The value of
MBS may be substantially dependent on the servicing of the underlying pool of mortgages. In
addition, the Fund’s level of investment in MBS of a particular type or in MBS issued or
guaranteed by affiliated obligors, serviced by the same servicer or backed by underlying
collateral located in a specific geographic region, may subject the Fund to additional risk.
15
 
When market interest rates decline, more mortgages are refinanced and the securities are paid
off earlier than expected. Prepayments may also occur on a scheduled basis or due to
foreclosure. When market interest rates increase, the market values of MBS decline. At the
same time, however, mortgage refinancings and prepayments slow, which lengthens the
effective maturities of these securities. As a result, the negative effect of the rate increase on
the market value of MBS is usually more pronounced than it is for other types of debt
securities. In addition, due to increased instability in the credit markets, the market for some
MBS has experienced reduced liquidity and greater volatility with respect to the value of such
securities, making it more difficult to value such securities. The Fund may invest in sub-prime
mortgages or MBS that are backed by sub-prime mortgages or defaulted or nonperforming
loans.
 
Additional risks relating to investments in mortgage-backed securities may arise because of
the type of mortgage-backed securities in which the Fund invests, defined by the assets
collateralizing the mortgage-backed securities. For example, collateralized mortgage
obligations (“CMOs”) may have complex or highly variable prepayment terms, such as
companion classes, interest only or principal only payments, inverse floaters and residuals.
These investments generally entail greater market, prepayment and liquidity risks than other
mortgage-backed securities, and may be more volatile or less liquid than other mortgage-
backed securities. These risks are heightened under the currently distressed economic, market,
labor and public health conditions.
 
Moreover, the relationship between prepayments and interest rates may give some high-
yielding MBS less potential for growth in value than conventional bonds with comparable
maturities. In addition, during periods of falling interest rates, the rate of prepayment tends to
increase. During such periods, the reinvestment of prepayment proceeds by the Fund will
generally be at lower rates than the rates that were carried by the obligations that have been
prepaid. Because of these and other reasons, MBS’s total return and maturity may be difficult
to predict precisely. To the extent that the Fund purchases MBS at a premium, prepayments
(which may be made without penalty) may result in loss of the Fund’s principal investment to
the extent of premium paid.
 
MBS generally are classified as either commercial mortgage-backed securities (“CMBS”) or
residential mortgage-backed securities (“RMBS”), each of which are subject to certain
specific risks.
 
Commercial Mortgage-Backed Securities Risk. The market for CMBS developed more
recently and, in terms of total outstanding principal amount of issues, is relatively small
compared to the market for RMBS. CMBS are subject to particular risks, such as those
associated with lack of standardized terms, shorter maturities than residential mortgage loans
and payment of all or substantially all of the principal only at maturity rather than regular
amortization of principal. In addition, commercial lending generally is viewed as exposing the
lender to a greater risk of loss than residential lending. Commercial lending typically involves
larger loans to single borrowers or groups of related borrowers than residential mortgage
loans. In addition, the repayment of loans secured by income producing properties typically is
dependent upon the successful operation of the related real estate project and the cash flow
generated therefrom. Net operating income of an income- producing property can be affected
by, among other things: tenant mix, success of tenant businesses, property management
decisions, property location and condition, competition from comparable types of properties,
changes in laws that increase operating expense or limit rents that may be charged, any need to
address environmental contamination at the property, the occurrence of any uninsured casualty
at the property, changes in national, regional or local economic conditions and/or specific
industry segments, declines in regional or local real estate values, declines in regional or local
rental or occupancy rates, increases in interest rates, real estate tax rates and other operating
expenses, change in governmental rules, regulations and fiscal policies, including
environmental legislation, acts of God, terrorism, social unrest and civil disturbances.
 
Consequently, adverse changes in economic conditions and circumstances are more likely to
have an adverse impact on MBS secured by loans on commercial properties than on those
secured by loans on residential properties. Economic downturns, rises in unemployment and
other events, such as public health emergencies, that limit the activities of and demand for
commercial retail and office spaces (such as the current COVID-19 crisis) adversely impact
the value of such securities. Additional risks may be presented by the type and use of a
16
 
particular commercial property. Special risks are presented by hospitals, nursing homes,
hospitality properties and certain other property types. Commercial property values and net
operating income are subject to volatility, which may result in net operating income becoming
insufficient to cover debt service on the related mortgage loan. The exercise of remedies and
successful realization of liquidation proceeds relating to CMBS may be highly dependent on
the performance of the servicer or special servicer. There may be a limited number of special
servicers available, particularly those that do not have conflicts of interest.
 
Residential Mortgage-Backed Securities Risk. Credit-related risk on RMBS arises from losses
due to delinquencies and defaults by the borrowers in payments on the underlying mortgage
loans and breaches by originators and servicers of their obligations under the underlying
documentation pursuant to which the RMBS are issued. The rate of delinquencies and defaults
on residential mortgage loans and the aggregate amount of the resulting losses will be affected
by a number of factors, including general economic conditions, particularly those in the area
where the related mortgaged property is located, the level of the borrower’s equity in the
mortgaged property and the individual financial circumstances of the borrower. If a residential
mortgage loan is in default, foreclosure on the related residential property may be a lengthy
and difficult process involving significant legal and other expenses. The net proceeds obtained
by the holder on a residential mortgage loan following the foreclosure on the related property
may be less than the total amount that remains due on the loan. The prospect of incurring a
loss upon the foreclosure of the related property may lead the holder of the residential
mortgage loan to restructure the residential mortgage loan or otherwise delay the foreclosure
process. These risks are elevated given the current distressed economic, market, public health
and labor conditions, notably, increased levels of unemployment relative to recent years,
delays and delinquencies in payments of mortgage and rent obligations, and uncertainty
regarding the effects and extent of government intervention with respect to mortgage
payments and other economic matters.
 
Sub-Prime Mortgage Market Risk. The residential mortgage market in the United States has
experienced difficulties that may adversely affect the performance and market value of certain
mortgages and MBS. Delinquencies and losses on residential mortgage loans (especially sub-
prime and second-lien mortgage loans) generally have increased at times and may again
increase, and a decline in or flattening of housing values (as has been experienced at times and
may again be experienced in many housing markets) may exacerbate such delinquencies and
losses. Borrowers with adjustable rate mortgage loans are more sensitive to changes in interest
rates, which affect their monthly mortgage payments, and may be unable to secure
replacement mortgages at comparably low interest rates. Also, a number of residential
mortgage loan originators have experienced serious financial difficulties or bankruptcy.
Largely due to the foregoing, reduced investor demand for mortgage loans and MBS and
increased investor yield requirements caused limited liquidity in the secondary market for
certain MBS, which can adversely affect the market value of MBS. It is possible that such
limited liquidity in such secondary markets could continue or worsen. If the economy of the
United States deteriorates further, the incidence of mortgage foreclosures, especially sub-
prime mortgages, may increase, which may adversely affect the value of any MBS owned by
the Fund.
 
Any increase in prevailing market interest rates, which are currently near historical lows, may
result in increased payments for borrowers who have adjustable rate mortgages. Moreover,
with respect to hybrid mortgage loans after their initial fixed rate period, interest-only
products or products having a lower rate, and with respect to mortgage loans with a negative
amortization feature which reach their negative amortization cap, borrowers may experience a
substantial increase in their monthly payment even without an increase in prevailing market
interest rates. Increases in payments for borrowers may result in increased rates of
delinquencies and defaults on residential mortgage loans underlying the RMBS.
 
The significance of the mortgage crisis and loan defaults in residential mortgage loan sectors
led to the enactment of numerous pieces of legislation relating to the mortgage and housing
markets. These actions, along with future legislation or regulation, may have significant
impacts on the mortgage market generally and may result in a reduction of available
transactional opportunities for the Fund or an increase in the cost associated with such
transactions and may adversely impact the value of RMBS.
17
 
During the mortgage crisis, a number of originators and servicers of residential and
commercial mortgage loans, including some of the largest originators and servicers in the
residential and commercial mortgage loan market, experienced serious financial difficulties.
Such difficulties may affect the performance of non-agency RMBS and CMBS. There can be
no assurance that originators and servicers of mortgage loans will not continue to experience
serious financial difficulties or experience such difficulties in the future, including becoming
subject to bankruptcy or insolvency proceedings, or that underwriting procedures and policies
and protections against fraud will be sufficient in the future to prevent such financial
difficulties or significant levels of default or delinquency on mortgage loans. See “Risks—
Mortgage-Backed Securities Risk.”
 
Asset-Backed Securities Risk. ABS are a form of structured debt obligation. In addition to the
general risks associated with credit securities discussed herein, ABS are subject to additional
risks. While traditional fixed-income securities typically pay a fixed rate of interest until
maturity, when the entire principal amount is due, an ABS represents an interest in a pool of
assets, such as automobile loans, credit card receivables, unsecured consumer loans or student
loans, that has been securitized and provides for monthly payments of interest, at a fixed or
floating rate, and principal from the cash flow of these assets. This pool of assets (and any
related assets of the issuing entity) is the only source of payment for the ABS. The ability of
an ABS issuer to make payments on the ABS, and the timing of such payments, is therefore
dependent on collections on these underlying assets. The recoveries on the underlying
collateral may not, in some cases, be sufficient to support payments on these securities, which
may result in losses to investors in an ABS.
 
Generally, obligors may prepay the underlying assets in full or in part at any time, subjecting
the Fund to prepayment risk related to the ABS it holds. While the expected repayment
streams on ABS are determined by the contractual amortization schedules for the underlying
assets, an investor’s yield to maturity on an ABS is uncertain and may be reduced by the rate
and speed of prepayments of the underlying assets, which may be influenced by a variety of
economic, social and other factors. Any prepayments, repurchases, purchases or liquidations
of the underlying assets could shorten the average life of the ABS to an extent that cannot be
fully predicted. Some ABS may be structured to include a period of rapid amortization
triggered by events such as a significant rise in the default rate of the underlying collateral, a
sharp drop in the credit enhancement level because of credit losses on the underlying assets, a
specified regulatory event or the bankruptcy of the originator. A rapid amortization event will
cause any revolving period to end earlier than expected and all collections on the underlying
assets will be used to pay principal to investors earlier than expected. In general, the senior
most securities will be paid prior to any payments being made on the subordinated securities,
and if such payments are made earlier than expected, the Fund’s yield on such ABS may be
negatively affected. See “Risks—Asset-Backed Securities Risk.”
 
CLO, CDO and CBO Risk. In addition to the general risks associated with credit or debt
securities discussed herein, CLOs, CDOs and CBOs are subject to additional risks. CLOs,
CDOs and CBOs are subject to risks because of the involvement of multiple transaction
parties related to the underlying collateral and disruptions that may occur as a result of the
restructuring or insolvency of the underlying obligors, which are generally corporate obligors.
Unlike a consumer obligor that is generally obligated to make payments on the collateral
backing an ABS, the obligor on the collateral backing a CLO, a CDO or a CBO may have
more effective defenses or resources to cause a delay in payment or restructure the underlying
obligation. If an obligor is permitted to restructure its obligations, distributions from collateral
securities may not be adequate to make interest or other payments.
 
The performance of CLOs, CDOs and CBOs depends primarily upon the quality of the
underlying assets and the level of credit support or enhancement in the structure and the
relative priority of the interest in the issuer of the CLO, CDO or CBO purchased by the Fund.
In general, CLOs, CDOs and CBOs are actively managed by an asset manager that is
responsible for evaluating and acquiring the assets that will collateralize the CLO, CDO or
CBO. The asset manager may have difficulty in identifying assets that satisfy the eligibility
criteria for the assets and may be restricted from trading the collateral. These criteria,
restrictions and requirements, while reducing the overall risk to the Fund, may limit the ability
of the Adviser to maximize returns on the CLOs, CDOs and CBOs if an opportunity is
identified by the collateral manager. In addition, other parties involved in CLOs, CDOs and
CBOs, such as credit enhancement providers and investors in senior obligations of the CLO,
18
 
CDO or CBO may have the right to control the activities and discretion of the Adviser in a
manner that is adverse to the interests of the Fund. A CLO, CDO or CBO generally includes
provisions that alter the priority of payments if performance metrics related to the underlying
collateral, such as interest coverage and minimum overcollateralization, are not met.
 
These provisions may cause delays in payments on the securities or an increase in
prepayments depending on the relative priority of the securities owned by the Fund. The
failure of a CLO, CDO or CBO to make timely payments on a particular tranche may have an
adverse effect on the liquidity and market value of such tranche.
 
The value of securities issued by CLOs, CDOs and CBOs also may change because of, among
other things, changes in market value; changes in the market’s perception of the
creditworthiness of the servicer of the assets, the originator of an asset in the pool, or the
financial institution or fund providing credit support or enhancement; loan performance and
prices; broader market sentiment, including expectations regarding future loan defaults,
liquidity conditions and supply and demand for structured products. See “Risks—CLO, CDO
and CBO Risk.”
 
The Fund may invest in any portion of the capital structure of CLOs (including the
subordinated, residual and deep mezzanine debt tranches). Investment in the subordinated
tranche is subject to special risks. The subordinated tranche does not receive ratings and is
considered the riskiest portion of the capital structure of a CLO. The subordinated tranche is
junior in priority of payment to the more senior tranches of the CLO and is subject to certain
payment restrictions. As a result, the subordinated tranche bears the bulk of defaults from the
loans in the CLO. In addition, the subordinated tranche generally has only limited voting
rights and generally does not benefit from any creditors’ rights or ability to exercise remedies
under the indenture governing the CLO notes. Certain mezzanine tranches in which the Fund
may invest may also be subject to certain risks similar to risks associated with investment in
the subordinated tranche.
 
The subordinated tranche is unsecured and ranks behind all of the secured creditors, known or
unknown, of the CLO issuer, including the holders of the secured notes it has issued.
Consequently, to the extent that the value of the issuer’s portfolio of loan investments has been
reduced as a result of conditions in the credit markets, defaulted loans, capital gains and losses
on the underlying assets, prepayment or changes in interest rates, the value of the subordinated
tranche realized at redemption could be reduced. Accordingly, the subordinated tranche may
not be paid in full and may be subject to up to 100% loss. The leveraged nature of
subordinated notes may magnify the adverse impact on the subordinated notes of changes in
the market value of the investments held by the issuer, changes in the distributions on those
investments, defaults and recoveries on those investments, capital gains and losses on those
investments, prepayments on those investments and availability, prices and interest rates of
those investments. Investments in the subordinated tranche of a CLO are generally less liquid
than CLO debt tranches and subject to extensive transfer restrictions, and there may be no
market for subordinated notes. Certain mezzanine tranches in which the Fund may invest may
also be subject to certain risks similar to risks associated with investment in the subordinated
tranche. See “Risks— CLO, CDO and CBO Risk—CLO Subordinated Notes Risk.”
 
Risks Associated with Risk-Linked Securities. RLS are a form of derivative issued by insurance
companies and insurance-related special purpose vehicles that apply securitization techniques
to catastrophic property and casualty damages. Unlike other insurable low-severity, high-
probability events (such as auto collision coverage), the insurance risk of which can be
diversified by writing large numbers of similar policies, the holders of a typical RLS are
exposed to the risks from high-severity, low-probability events such as that posed by major
earthquakes or hurricanes. RLS represent a method of reinsurance, by which insurance
companies transfer their own portfolio risk to other reinsurance companies and, in the case of
RLS, to the capital markets. A typical RLS provides for income and return of capital similar to
other fixed-income investments, but involves full or partial default if losses resulting from a
certain catastrophe exceeded a predetermined amount. In essence, investors invest funds in
RLS and if a catastrophe occurs that “triggers” the RLS, investors may lose some or all of the
capital invested. In the case of an event, the funds are paid to the bond sponsor—an insurer,
reinsurer or corporation—to cover losses. In return, the bond sponsors pay interest to investors
for this catastrophe protection. RLS can be structured to pay-off on three types of variables—
insurance-industry catastrophe loss indices, insure-specific catastrophe losses and parametric
19
 
indices based on the physical characteristics of catastrophic events. Such variables are difficult
to predict or model, and the risk and potential return profiles of RLS may be difficult to
assess. Catastrophe-related RLS have been in use since the 1990s, and the securitization and
risk-transfer aspects of such RLS are beginning to be employed in other insurance and risk-
related areas. No active trading market may exist for certain RLS, which may impair the
ability of the Fund to realize full value in the event of the need to liquidate such assets. See
“Risks—Risks Associated with Risk-Linked Securities.”
 
Risks Associated with Structured Notes. Investments in structured notes involve risks
associated with the issuer of the note and the reference instrument. Where the Fund’s
investments in structured notes are based upon the movement of one or more factors,
including currency exchange rates, interest rates, referenced bonds and stock indices,
depending on the factor used and the use of multipliers or deflators, changes in interest rates
and movement of the factor may cause significant price fluctuations. Additionally, changes in
the reference instrument or security may cause the interest rate on the structured note to be
reduced to zero, and any further changes in the reference instrument may then reduce the
principal amount payable on maturity. Structured notes may be less liquid than other types of
securities and more volatile than the reference instrument or security underlying the note. See
“Risks—Risks Associated with Structured Notes Risk.”
 
Senior Loans Risk. The Fund may invest in senior secured floating rate Loans made to
corporations and other non-governmental entities and issuers (“Senior Loans”). Senior Loans
typically hold the most senior position in the capital structure of the issuing entity, are
typically secured with specific collateral and typically have a claim on the assets of the
borrower, including stock owned by the borrower in its subsidiaries, that is senior to that held
by junior lien creditors, subordinated debt holders and stockholders of the borrower. The
Fund’s investments in Senior Loans are typically below investment grade and are considered
speculative because of the credit risk of the applicable issuer.
 
There is less readily-available, reliable information about most Senior Loans than is the case
for many other types of securities. In addition, there is rarely a minimum rating or other
independent evaluation of a borrower or its securities, and the Adviser relies primarily on its
own evaluation of a borrower’s credit quality rather than on any available independent sources.
As a result, the Fund is particularly dependent on the analytical abilities of the Adviser with
respect to investments in Senior Loans. The Adviser’s judgment about the credit quality of a
borrower may be wrong.
 
The risks associated with Senior Loans of below-investment grade quality are similar to the
risks of other lower grade Income Securities, although Senior Loans are typically senior in
payment priority and secured on a senior priority basis, in contrast to subordinated and
unsecured Income Securities. Senior Loans’ higher priority has historically resulted in
generally higher recoveries in the event of a corporate reorganization. In addition, because
their interest payments are adjusted for changes in short-term interest rates, investments in
Senior Loans have less interest rate risk than certain other lower grade Income Securities,
which may have fixed interest rates. See “Risks—Senior Loans Risk.”
 
Second Lien Loans Risk. The Fund may invest in “second lien” secured floating rate Loans
made by public and private corporations and other non-governmental entities and issuers for a
variety of purposes (“Second Lien Loans”). Second Lien Loans are typically second in right
of payment and/or second in right of priority with respect to collateral remedies to one or
more Senior Loans of the related borrower. Second Lien Loans are subject to the same risks
associated with investment in Senior Loans and other lower grade Income Securities.
However, Second Lien Loans are second in right of payment and/or second in right of priority
with respect to collateral remedies to Senior Loans and therefore are subject to the additional
risk that the cash flow of the borrower and/or the value of any property securing the Loan may
be insufficient to meet scheduled payments or otherwise be available to repay the Loan after
giving effect to payments in respect of a Senior Loan, including payments made with the
proceeds of any property securing the Loan and any senior secured obligations of the
borrower. Second Lien Loans are expected to have greater price volatility and exposure to
losses upon default than Senior Loans and may be less liquid. There is also a possibility that
originators will not be able to sell participations in Second Lien Loans, which would create
greater credit risk exposure. See “Risks—Second Lien Loans Risk.”
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Subordinated Secured Loans Risk. Subordinated secured Loans generally are subject to similar
risks as those associated with investment in Senior Loans, Second Lien Loans and below
investment grade securities. However, such loans may rank lower in right of payment than any
outstanding Senior Loans, Second Lien Loans or other debt instruments with higher priority
of the borrower and therefore are subject to additional risk that the cash flow of the borrower
and any property securing the loan may be insufficient to meet scheduled payments and
repayment of principal in the event of default or bankruptcy after giving effect to the higher
ranking secured obligations of the borrower. Subordinated secured Loans are expected to have
greater price volatility than Senior Loans and Second Lien Loans and may be less liquid. See
“Risks—Subordinated Secured Loans Risk.”
 
Unsecured Loans Risk. Unsecured Loans generally are subject to similar risks as those
associated with investment in Senior Loans, Second Lien Loans, subordinated secured Loans
and below investment grade securities. However, because unsecured Loans have lower priority
in right of payment to any higher ranking obligations of the borrower and are not backed by a
security interest in any specific collateral, they are subject to additional risk that the cash flow
of the borrower and available assets may be insufficient to meet scheduled payments and
repayment of principal after giving effect to any higher ranking obligations of the borrower.
Unsecured Loans are expected to have greater price volatility than Senior Loans, Second Lien
Loans and subordinated secured Loans and may be less liquid. See “Risks—Unsecured Loans
Risk.”
 
Loans and Loan Participations and Assignments Risk. The Fund may invest in loans directly
or through participations or assignments. The Fund may purchase Loans on a direct
assignment basis from a participant in the original syndicate of lenders or from subsequent
assignees of such interests. The Fund may also purchase, without limitation, participations in
Loans. The purchaser of an assignment typically succeeds to all the rights and obligations of
the assigning institution and becomes a lender under the credit agreement with respect to the
debt obligation; however, the purchaser’s rights can be more restricted than those of the
assigning institution, and, in any event, the Fund may not be able to unilaterally enforce all
rights and remedies under the loan and with regard to any associated collateral. A participation
typically results in a contractual relationship only with the institution participating out the
interest, not with the borrower. In purchasing participations, the Fund generally will have no
right to enforce compliance by the borrower with the terms of the loan agreement against the
borrower, and the Fund may not directly benefit from the collateral supporting the debt
obligation in which it has purchased the participation. As a result, the Fund will be exposed to
the credit risk of both the borrower and the institution selling the participation. Further, in
purchasing participations in lending syndicates, the Fund may not be able to conduct the same
due diligence on the borrower with respect to a Senior Loan that the Fund would otherwise
conduct. In addition, as a holder of the participations, the Fund may not have voting rights or
inspection rights that the Fund would otherwise have if it were investing directly in the Senior
Loan, which may result in the Fund being exposed to greater credit or fraud risk with respect
to the borrower or the Senior Loan. Lenders selling a participation and other persons inter-
positioned between the lender and the Fund with respect to a participation will likely conduct
their principal business activities in the banking, finance and financial services industries.
Because the Fund may invest in participations, the Fund may be more susceptible to
economic, political or regulatory occurrences affecting such industries.
 
Certain of the loan participations or assignments acquired by the Fund may involve unfunded
commitments of the lenders, revolving credit facilities, delayed draw credit facilities or other
investments under which a borrower may from time to time borrow and repay amounts up to
the maximum amount of the facility. In such cases, the Fund would have an obligation to
advance its portion of such additional borrowings upon the terms specified in the loan
documentation. Such an obligation may have the effect of requiring the Fund to increase its
investment in a company at a time when it might not be desirable to do so (including at a time
when the company’s financial condition makes it unlikely that such amounts will be repaid).
These commitments are generally subject to the borrowers meeting certain criteria such as
compliance with covenants and certain operational metrics. The terms of the borrowings and
financings subject to commitment are comparable to the terms of other loans and related
investments in the Fund’s portfolio.
21
 
Loans are especially vulnerable to the financial health, or perceived financial health, of the
borrower but are also particularly susceptible to economic and market sentiment such that
changes in these conditions or the occurrence of other economic or market events may reduce
the demand for loans and cause their value to decline rapidly and unpredictably. Many loans
and loan interests are subject to legal or contractual restrictions on transfer, resale or
assignment that may limit the ability of the Fund to sell its interest in a loan at an
advantageous time or price. The resale, or secondary, market for loans is currently growing,
but may become more limited or more difficult to access, and such changes may be sudden
and unpredictable. Transactions in loans are often subject to long settlement periods (in excess
of the standard T+2 days settlement cycle for most securities and often longer than seven
days). As a result, sale proceeds potentially will not be available to the Fund to make
additional investments or to use proceeds to meet its current obligations. The Fund thus is
subject to the risk of selling other investments at disadvantageous times or prices or taking
other actions necessary to raise cash to meet its obligations such as borrowing from a bank or
holding additional cash, particularly during periods of unusual market or economic conditions
or financial stress.
 
The Fund invests in or is exposed to loans and other similar debt obligations that are
sometimes referred to as “covenant-lite” loans or obligations (“covenant-lite obligations”),
which are generally subject to more risk than investments that contain traditional financial
maintenance covenants and financial reporting requirements. 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) loans and
other similar obligations, including that such loans or 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.
 
Mezzanine Investments Risk. The Fund may invest in certain lower grade securities known as
“Mezzanine Investments,” which are subordinated debt securities that are generally issued in
private placements in connection with an equity security (e.g., with attached warrants) or may
be convertible into equity securities. Mezzanine Investments are subject to the same risks
associated with investment in Senior Loans, Second Lien Loans and other lower grade Income
Securities. However, Mezzanine Investments may rank lower in right of payment than any
outstanding Senior Loans and Second Lien Loans of the borrower, or may be unsecured (i.e.,
not backed by a security interest in any specific collateral), and are subject to the additional
risk that the cash flow of the borrower and available assets may be insufficient to meet
scheduled payments after giving effect to any higher ranking obligations of the borrower.
Mezzanine Investments are expected to have greater price volatility and exposure to losses
upon default than Senior Loans and Second Lien Loans and may be less liquid. See “Risks—
Mezzanine Investments Risk.”
 
Distressed and Defaulted Securities Risk. Investments in the securities of financially
distressed issuers involve substantial risks. These securities may present a substantial risk of
default or may be in default at the time of investment. The Fund may incur additional expenses
to the extent it is required to seek recovery upon a default in the payment of principal or
interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a
portfolio company, the Fund may lose its entire investment or may be required to accept cash
or securities with a value less than its original investment. Among the risks inherent in
investments in a troubled entity is the fact that it frequently may be difficult to obtain
information as to the true financial condition of such issuer. The Adviser’s judgment about the
credit quality of the issuer and the relative value and liquidity of its securities may prove to be
wrong. See “Risks—Distressed and Defaulted Securities Risk.”
 
Convertible Securities Risk. Convertible securities, debt or preferred equity securities
convertible into, or exchangeable for, equity securities, are generally preferred stocks and
other securities, including fixed-income securities and warrants that are convertible into or
exercisable for common stock. Convertible securities generally participate in the appreciation
or depreciation of the underlying stock into which they are convertible, but to a lesser degree
and are subject to the risks associated with debt and equity securities, including interest rate,
22
 
market and issuer risks. For example, if market interest rates rise, the value of a convertible
security usually falls. Certain convertible securities may combine higher or lower current
income with options and other features. Warrants are options to buy a stated number of shares
of common stock at a specified price anytime during the life of the warrants (generally, two or
more years). Convertible securities may be lower-rated securities subject to greater levels of
credit risk. A convertible security may be converted before it would otherwise be most
appropriate, which may have an adverse effect on the Fund’s ability to achieve its investment
objective.
 
“Synthetic” convertible securities are selected based on the similarity of their economic
characteristics to those of a traditional convertible security due to the combination of separate
securities that possess the two principal characteristics of a traditional convertible security, i.e.,
an income-producing security (“income-producing component”) and the right to acquire an
equity security (“convertible component”). The income-producing component is achieved by
investing in non-convertible, income-producing securities such as bonds, preferred stocks and
money market instruments, which may be represented by derivative instruments.
 
The convertible component is achieved by investing in securities or instruments such as
warrants or options to buy common stock at a certain exercise price, or options on a stock
index. A simple example of a synthetic convertible security is the combination of a traditional
corporate bond with a warrant to purchase equity securities of the issuer of the bond. The
income-producing and convertible components of a synthetic convertible security may be
issued separately by different issuers and at different times. See “Risks—Convertible
Securities Risk.”
 
Preferred Stock Risks. The Fund may invest in preferred stock. Preferred stock represents an
equity interest in a company that generally entitles the holder to receive, in preference to the
holders of other stocks such as common stocks, dividends and a fixed share of the proceeds
resulting from a liquidation of the company. Preferred stocks may pay fixed or adjustable rates
of return. Preferred stock is subject to issuer-specific and market risks applicable generally to
equity securities. In addition, a company’s preferred stock generally pays dividends (if
declared) only after the company makes required payments to holders of its bonds and other
debt. For this reason, the value of preferred stock will usually react more strongly than bonds
and other debt to actual or perceived changes in the company’s financial condition or
prospects.
 
Preferred stock has properties of both an equity and a debt instrument and is generally
considered a hybrid instrument. Preferred stock is senior to common stock, but is subordinate
to bonds in terms of claims or rights to their share of the assets of the company. Preferred
stocks may be significantly less liquid than many other securities, such as U.S. Government
securities, corporate debt and common stock. See “Risks—Preferred Stock Risk.”
 
Foreign Securities Risk. The Fund may invest up to 20% of its total assets in non-U.S. dollar-
denominated Income Securities of foreign issuers. Investing in foreign issuers may involve
certain risks not typically associated with investing in securities of U.S. issuers due to
increased exposure to foreign economic, political and legal developments, including favorable
or unfavorable changes in currency exchange rates, exchange control regulations (including
currency blockage), expropriation or nationalization of assets, imposition of withholding taxes
on payments, and possible difficulty in obtaining and enforcing judgments against foreign
entities. Furthermore, issuers of foreign securities and obligations are subject to different,
often less comprehensive, accounting, reporting and disclosure requirements than domestic
issuers. The securities and obligations of some foreign companies and foreign markets are less
liquid and at times more volatile than comparable U.S. securities, obligations and markets. In
addition, such investments are subject to other adverse diplomatic investments, which may
include the imposition of economic or trade sanctions or other measures by the U.S. or other
governments and supranational organizations or changes in trade policies. These developments
may, among other things, limit the ability of the Fund to invest in certain securities or require
the disposition of an investment. These risks may be more pronounced to the extent that the
Fund invests a significant amount of its assets in companies located in one region and to the
extent that the Fund invests in securities of issuers in emerging markets. The Fund may also
invest in U.S. dollar- denominated Income Securities of foreign issuers, which are subject to
23
 
many of the risks described above regarding Income Securities of foreign issuers denominated
in foreign currencies. These risks are heightened under the current conditions. See “Risks—
Foreign Securities Risk.”
 
Emerging Markets Risk. The Fund may invest up to 10% of its total assets in Income
Securities the issuers of which are located in countries considered to be emerging markets.
Investing in securities in emerging countries generally entails greater risks than investing in
securities in developed countries. Securities issued by governments or issuers in emerging
market countries are more likely to have greater exposure to the risks of investing in foreign
securities. These risks are elevated under current conditions and include: (i) less social,
political and economic stability and potentially more volatile currency exchange rates; (ii) the
small current size of the markets for such securities, limited access to investments in the event
of market closures (including due to local holidays), and the currently low or nonexistent
volume of trading, which result in a lack of liquidity, in greater price volatility, and/or a higher
risk of failed trades or other trading issues; (iii) certain national policies which may restrict the
Fund’s investment opportunities, including restrictions on investment in issuers or industries
deemed sensitive to national interests, and trade barriers; (iv) foreign taxation; (v) the absence
of developed legal systems, including structures governing private or foreign investment or
allowing for judicial redress (such as limits on rights and remedies available to the Fund) for
investment losses and injury to private property; (vi) lower levels of government regulation,
which could lead to market manipulation, and less extensive and transparent accounting,
auditing, recordkeeping, financial reporting and other requirements which limit the quality
and availability of financial information; (vii) high rates of inflation for prolonged periods and
rapid interest rate changes; (viii) dependence on a few key trading partners and sensitivity to
adverse political or social events affecting the region where an emerging market is located
compared to developed market securities; and (ix) particular sensitivity to global economic
conditions, including adverse effects stemming from recessions, depressions or other
economic crises, or reliance on international or other forms of aid, including trade, taxation
and development policies. Sovereign debt of emerging countries may be in default or present a
greater risk of default, the risk of which is heightened given the current conditions. These risks
are heightened for investments in frontier markets.
 
The Sub-Adviser has broad discretion to identify countries that it considers to qualify as
“emerging markets.” In determining whether a country is an emerging market, the Sub-
Adviser may take into account specific or general factors that the Sub-Adviser deems to be
relevant, including interest rates, inflation rates, exchange rates, monetary and fiscal policies,
trade and current account balances and/or legal, social and political developments, as well as
whether the country is considered to be emerging or developing by supranational
organizations such as the World Bank, the United Nations or other similar entities. Emerging
market countries generally will include countries with low gross national product per capita
and the potential for rapid economic growth and are likely to be located in Africa, Asia, the
Middle East, Eastern and Central Europe and Central and South America. In addition, the
impact of the economic and public health crisis in emerging market countries may be greater
due to their generally less established healthcare systems and capabilities with respect to fiscal
and monetary policies, which may exacerbate other pre-existing political, social and economic
risks. See “Risks—Emerging Markets Risk.”
 
Foreign Currency Risk. The value of securities denominated or quoted in foreign currencies
may be adversely affected by fluctuations in the relative currency exchange rates and by
exchange control regulations. The Fund’s investment performance may be negatively affected
by a devaluation of a currency in which the Fund’s investments are denominated or quoted.
Further, the Fund’s investment performance may be significantly affected, either positively or
negatively, by currency exchange rates because the U.S. dollar value of securities denominated
or quoted in another currency will increase or decrease in response to changes in the value of
such currency in relation to the U.S. dollar. See “Risks—Foreign Currency Risk.”
 
Sovereign Debt Risk. Investments in sovereign debt involve special risks. Foreign
governmental issuers of debt or the governmental authorities that control the repayment of the
debt may be unable or unwilling to repay principal or pay interest when due. In the event of
default, there may be limited or no legal recourse in that, generally, remedies for defaults must
be pursued in the courts of the defaulting party. Political conditions, especially a sovereign
entity’s willingness to meet the terms of its debt obligations, are of considerable significance.
The ability of a foreign sovereign issuer, especially an emerging market country, to make
24
 
timely payments on its debt obligations will also be strongly influenced by the sovereign
issuer’s balance of payments, including export performance, its access to international credit
facilities and investments, fluctuations of interest rates and the extent of its foreign reserves.
Certain issuers of sovereign debt may be dependent on disbursements from foreign
governments, multilateral agencies and others abroad to reduce principal and interest
arrearages on their debt. Such disbursements may be conditioned upon a debtor’s
implementation of economic reforms and/or economic performance and the timely service of
such debtor’s obligations. A failure on the part of the debtor to implement such reforms,
achieve such levels of economic performance or repay principal or interest when due may
result in the cancellation of such third parties’ commitments to lend funds to the debtor, which
may impair the debtor’s ability to service its debts on a timely basis. As a holder of sovereign
debt, the Fund may be requested to participate in the restructuring of such sovereign
indebtedness, including the rescheduling of payments and the extension of further loans to
debtors, which may adversely affect the Fund. See “Risks—Sovereign Debt Risk.”
 
Common Equity Securities Risk. The Fund may invest up to 50% of its total assets in Common
Equity Securities. An adverse event, such as an unfavorable earnings report, may depress the
value of a particular common stock held by the Fund. Also, the prices of equity securities are
sensitive to general movements in the stock market, so a drop in the stock market may depress
the prices of equity securities to which the Fund has exposure. Common Equity Securities’
prices fluctuate for a number of reasons, including changes in investors’ perceptions of the
financial condition of an issuer, the general condition of the relevant stock market, and
broader domestic and international political and economic events. The prices of Common
Equity Securities may also decline due to factors which affect a particular industry or
industries, such as labor shortages or increased production costs and competitive conditions
within an industry. The value of a particular common stock held by the Fund may decline for a
number of other reasons which directly relate to the issuer, such as management performance,
financial leverage, the issuer’s historical and prospective earnings, the value of its assets and
reduced demand for its goods and services. In addition, common stock prices may be
particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs
increase. The prices of Common Equity Securities are also sensitive to general movements in
the stock market, so a drop in the stock market may depress the prices of Common Equity
Securities to which the Fund has exposure. At times, stock markets can be volatile and stock
prices can change substantially and suddenly. While broad market measures of Common
Equity Securities have historically generated higher average returns than Income Securities,
Common Equity Securities have also experienced significantly more volatility in those
returns. Common Equity Securities in which the Fund may invest are structurally subordinated
to preferred stock, bonds and other debt instruments in a company’s capital structure in terms
of priority to corporate income and are therefore inherently more risky than preferred stock or
debt instruments of such issuers. Dividends on Common Equity Securities which the Fund
may hold are not fixed but are declared at the discretion of the issuer’s board of directors.
There is no guarantee that the issuers of the Common Equity Securities in which the Fund
invests will declare dividends in the future or that, if declared, they will remain at current
levels or increase over time. See “Risks—Common Equity Securities Risk.”
 
Risks Associated with the Fund’s Covered Call Option Strategy and Put Options. The ability of
the Fund to achieve its investment objective is partially dependent on the successful
implementation of its covered call option strategy. There are significant differences between
the securities and options markets that could result in an imperfect correlation between these
markets, causing a given transaction not to achieve its objectives. A decision as to whether,
when and how to use options involves the exercise of skill and judgment, and even a well-
conceived transaction may be unsuccessful to some degree because of market behavior or
unexpected events.
 
The Fund may write call options on individual securities, securities indices, exchange-traded
funds (“ETFs”) and baskets of securities. The buyer of an option acquires the right, but not the
obligation, to buy (a call option) or sell (a put option) a certain quantity of a security (the
underlying security) or instrument, including a futures contract or swap, at a certain price up
to a specified point in time or on expiration, depending on the terms. The seller or writer of an
option is obligated to sell (a call option) or buy (a put option) the underlying instrument. A
call option is “covered” if the Fund owns the security or instrument underlying the call or has
an absolute right to acquire the security or instrument without additional cash consideration
(or, if additional cash consideration is required under current regulatory requirements, cash or
25
 
cash equivalents in such amount are segregated by the Fund’s custodian or earmarked on the
Fund’s books and records). As a seller of covered call options, the Fund faces the risk that it
will forgo the opportunity to profit from increases in the market value of the security or
instrument covering the call option during an option’s life. As the Fund writes covered calls
over more of its portfolio, its ability to benefit from capital appreciation becomes more
limited. For certain types of options, the writer of the option will have no control over the time
when it may be required to fulfill its obligation under the option.
 
There can be no assurance that a liquid market will exist if and when the Fund seeks to close
out an option position. Once an option writer has received an exercise notice, it cannot effect a
closing purchase transaction in order to terminate its obligation under the option and must
deliver the underlying security or instrument at the exercise price.
 
The Fund may purchase and write exchange-listed and OTC options. Options written by the
Fund with respect to non-U.S. securities, indices or sectors and other instruments generally
will be OTC options. OTC options differ from exchange-listed options in several respects.
They are transacted directly with the dealers and not with a clearing corporation, and therefore
entail the risk of non-performance by the dealer. OTC options are available for a greater
variety of securities and for a wider range of expiration dates and exercise prices than are
available for exchange-traded options. Because OTC options are not traded on an exchange,
pricing is done normally by reference to information from a market maker. OTC options are
subject to heightened counterparty, credit, liquidity and valuation risks. The Fund’s ability to
terminate OTC options is more limited than with exchange-traded options and may involve the
risk that broker-dealers participating in such transactions will not fulfill their obligations. The
hours of trading for options may not conform to the hours during which the underlying
securities are traded. The Fund’s options transactions will be subject to limitations established
by each of the exchanges, boards of trade or other trading facilities on which such options are
traded.
 
The Fund may also purchase and write covered put options. A put option is “covered” if the
Fund segregates cash or cash equivalents in an amount equal to the exercise price. As a seller
of covered put options, the Fund bears the risk of loss if the value of the underlying security or
instrument declines below the exercise price minus the put premium. If the option is exercised,
the Fund could incur a loss if it is required to purchase the security or instrument underlying
the put option at a price greater than the market price of the security or instrument at the time
of exercise plus the put premium the Fund received when it wrote the option. The Fund’s
potential gain in writing a covered put option is limited to distributions earned on the liquid
assets securing the put option plus the premium received from the purchaser of the put option;
however, the Fund risks a loss equal to the entire exercise price of the option minus the put
premium. See “Risks—Risks Associated with the Fund’s Covered Call Option Strategy and
Put Options.”
 
Risks of Real Property Asset Companies. The Fund may invest in Income Securities and
Common Equity Securities issued by Real Property Asset Companies. Because of the Fund’s
ability to make indirect investments in real estate and in the securities of companies in the real
estate industry, it is subject to risks associated with the direct ownership of real estate,
including declines in the value of real estate; general and local economic conditions; increased
competition; and changes in interest rates. Because of the Fund’s ability to make indirect
investments in natural resources and physical commodities, and in Real Property Asset
Companies engaged in oil and gas exploration and production, gold and other precious metals,
steel and iron ore production, energy services, forest products, chemicals, coal, alternative
energy sources and environmental services, as well as related transportation companies and
equipment manufacturers, the Fund is subject to risks associated with such real property
assets, including supply and demand risk, depletion risk, regulatory risk and commodity
pricing risk. See “Risks—Risks of Real Property Asset Companies.”
 
Risks of Personal Property Asset Companies. The Fund may invest in Income Securities and
Common Equity Securities issued by Personal Property Asset Companies which invest in
personal property such as special situation transportation assets (e.g., railcars, airplanes and
ships) and collectibles (e.g., antiques, wine and fine art). The risks of special situation
transportation assets include cyclicality of supply and demand for transportation assets and
risk of decline in the value of transportation assets and rental values. The risks of collectible
assets include the difficulty in valuing collectible assets, the relative illiquidity of collectible
26
 
assets, the prospects of forgery or the inability to assess the authenticity of collectible assets
and the high transaction and related costs of purchasing, selling and safekeeping collectible
assets. See “Risks—Risks of Personal Property Asset Companies.”
 
Private Securities Risk. The Fund may invest in privately issued Income Securities and
Common Equity Securities of both private and public companies (“Private Securities”).
Private Securities have additional risk considerations than investments in comparable public
investments. Whenever the Fund invests in companies that do not publicly report financial and
other material information, it assumes a greater degree of investment risk and reliance upon
the Sub-Adviser’s ability to obtain and evaluate applicable information concerning such
companies’ creditworthiness and other investment considerations. Certain Private Securities
may be illiquid. Because there is often no readily available trading market for Private
Securities, the Fund may not be able to readily dispose of such investments at prices that
approximate those at which the Fund could sell them if they were more widely traded. Private
Securities are also more difficult to value. Valuation may require more research, and elements
of judgment may play a greater role in the valuation of Private Securities as compared to
public securities because there is less reliable objective data available. Private Securities that
are debt securities generally are of below-investment grade quality, frequently are unrated and
present many of the same risks as investing in below-investment grade public debt securities.
Investing in private debt instruments is a highly specialized investment practice that depends
more heavily on independent credit analysis than investments in other types of obligations.
See “Risks—Private Securities Risk.”
 
Investment Funds Risk. As an alternative to holding investments directly, the Fund may also
obtain investment exposure to Income Securities and Common Equity Securities by investing
up to 30% of its total assets in Investment Funds. These investments include open-end funds,
closed-end funds, exchange-traded funds and business development companies as well as
other pooled investment vehicles. Investments in Investment Funds present certain special
considerations and risks not present in making direct investments in Income Securities and
Common Equity Securities. Investments in Investment Funds subject the Fund to the risks
affecting such Investment Funds and involve operating expenses and fees that are in addition
to the expenses and fees borne by the Fund. Such expenses and fees attributable to the Fund’s
investment in another Investment Fund are borne indirectly by Common Shareholders.
Accordingly, investment in such entities involves expenses and fees at both levels. Fees
charged by other Investment Funds in which the Fund invests may be similar to the fees
charged by the Fund and can include asset-based management fees and administrative fees
payable to such entities’ advisers and managers, thus resulting in fees at both levels. To the
extent management fees of Investment Funds are based on total gross assets, it may create an
incentive for such entities’ managers to employ Financial Leverage, thereby adding additional
expense and increasing volatility and risk (including the Fund's overall exposure to financial
leverage risk). Fees payable to advisers and managers of Investment Funds may include
performance-based incentive fees calculated as a percentage of profits. Such incentive fees
directly reduce the return that otherwise would have been earned by investors over the
applicable period. A performance-based fee arrangement may create incentives for an adviser
or manager to take greater investment risks in the hope of earning a higher profit participation.
Investments in Investment Funds frequently expose the Fund to an additional layer of
Financial Leverage. Investments in Investment Funds expose the Fund to additional
management risk. The success of the Fund’s investments in Investment Funds will depend in
large part on the investment skills and implementation abilities of the advisers or managers of
such entities. Decisions made by the advisers or managers of such entities may cause the Fund
to incur losses or to miss profit opportunities. While the Sub-Adviser will seek to evaluate
managers of Investment Funds and where possible independently evaluate the underlying
assets, a substantial degree of reliance on such entities’ managers is nevertheless present with
such investments.
 
In October 2020, the SEC adopted certain regulatory changes and took other actions related to
the ability of an investment company to invest in another investment company (which, in
certain instances, may also limit a fund’s ability to invest in certain types of structured finance
vehicles). These changes and actions may adversely impact the Fund’s investment strategies
and operations, as well as those of the underlying investment vehicles in which the Fund
invests or other funds that invest in the Fund. See “Risks—Investment Funds Risk.”
27
 
Synthetic Investments Risk. The Fund may be exposed to certain additional risks to the extent
the Sub-Adviser uses derivatives as a means to synthetically implement the Fund’s investment
strategies. If the Fund enters into a derivative instrument whereby it agrees to receive the
return of a security or financial instrument or a basket of securities or financial instruments, it
will typically contract to receive such returns for a predetermined period of time. During such
period, the Fund may not have the ability to increase or decrease its exposure. In addition,
such customized derivative instruments will likely be highly illiquid, and it is possible that the
Fund will not be able to terminate such derivative instruments prior to their expiration date or
that the penalties associated with such a termination might impact the Fund’s performance in a
material adverse manner. Furthermore, certain derivative instruments contain provisions
giving the counterparty the right to terminate the contract upon the occurrence of certain
events. If a termination were to occur, the Fund’s return could be adversely affected as it
would lose the benefit of the indirect exposure to the reference securities and it may incur
significant termination expenses. See “Risks—Synthetic Investments Risk.”
 
Inflation/Deflation Risk. Inflation risk is the risk that the value of assets or income from
investments will be worth less in the future as inflation decreases the purchasing power and
value of money. As inflation increases, the real value of the Common Shares and distributions
can decline. Inflation rates may change frequently and significantly as a result of various
factors, including unexpected shifts in the domestic or global economy and changes in
monetary or economic policies (or expectations that these policies may change), and the
Fund’s investments may not keep pace with inflation, which would adversely affect the Fund.
This risk is significantly elevated compared to normal conditions because of recent monetary
policy measures and the current low interest rate environment. In addition, during any periods
of rising inflation, the dividend rates or borrowing costs associated with the Fund’s use of
Financial Leverage would likely increase, which would tend to further reduce returns to
Common Shareholders. Deflation risk is the risk that prices throughout the economy decline
over time—the opposite of inflation. Deflation may have an adverse effect on the
creditworthiness of issuers and may make issuer default more likely, which may result in a
decline in the value of the Fund’s portfolio. See “Risks—Inflation/Deflation Risk.”
 
Market Discount Risk. The Fund’s Common Shares have traded both at a premium and at a
discount in relation to net asset value. The Fund cannot predict whether the Common Shares
will trade in the future at a premium or discount to net asset value. The Fund’s Common
Shares have recently traded at a premium to net asset value per share, which may not be
sustainable. If the Common Shares are trading at a premium to net asset value at the time you
purchase Common Shares, the net asset value per share of the Common Shares purchased will
be less than the purchase price paid. Shares of closed-end investment companies frequently
trade at a discount from net asset value, but in some cases have traded above net asset value.
The risk of the Common Shares trading at a discount is a risk separate from the risk of a
decline in the Fund’s net asset value as a result of the Fund’s investment activities. The Fund’s
net asset value will be reduced immediately following an offering of the Common Shares due
to the costs of such offering, which will be borne entirely by the Fund. The sale of Common
Shares by the Fund (or the perception that such sales may occur) may have an adverse effect
on prices of Common Shares in the secondary market. An increase in the number of Common
Shares available may put downward pressure on the market price for Common Shares. The
Fund may, from time to time, seek the consent of Common Shareholders to permit the
issuance and sale by the Fund of Common Shares at a price below the Fund’s then current net
asset value, subject to certain conditions, and such sales of Common Shares at price below net
asset value, if any, may increase downward pressure on the market price for Common Shares.
These sales, if any, also might make it more difficult for the Fund to sell additional Common
Shares in the future at a time and price it deems appropriate.
 
Whether a Common Shareholder will realize a gain or loss upon the sale of Common Shares
depends upon whether the market value of the Common Shares at the time of sale is above or
below the price the Common Shareholder paid, taking into account transaction costs for the
Common Shares, and is not directly dependent upon the Fund’s net asset value. Because the
market value of the Common Shares will be determined by factors such as the relative demand
for and supply of the shares in the market, general market conditions and other factors outside
the Fund’s control, the Fund cannot predict whether the Common Shares will trade at, below
or above net asset value, or at, below or above the public offering price for the Common
28
 
Shares. Common Shares of the Fund are designed primarily for long-term investors; investors
in Common Shares should not view the Fund as a vehicle for trading purposes. See “Risks—
Market Discount Risk.
 
Dilution Risk. The voting power of current Common Shareholders will be diluted to the extent
that current Common Shareholders do not purchase Common Shares in any future offerings of
Common Shares or do not purchase sufficient Common Shares to maintain their percentage
interest. If the Fund is unable to invest the proceeds of such offering as intended, the Fund’s
per Common Share distribution may decrease and the Fund may not participate in market
advances to the same extent as if such proceeds were fully invested as planned. If the Fund
sells Common Shares at a price below net asset value pursuant to the consent of Common
Shareholders, shareholders will experience a dilution of the aggregate net asset value per
Common Share because the sale price will be less than the Fund’s then-current net asset value
per Common Share. Similarly, were the expenses of the offering to exceed the amount by
which the sale price exceeded the Fund’s then current net asset value per Common Share,
shareholders would experience a dilution of the aggregate net asset value per Common Share.
This dilution will be experienced by all shareholders, irrespective of whether they purchase
Common Shares in any such offering. See “Description of Capital Structure— Common
Shares— Issuance of Additional Common Shares.”
 
Financial Leverage and Leveraged Transactions Risk. The Fund may seek to enhance the level
of its current distributions by utilizing financial leverage through the issuance of Preferred
Shares, through borrowing or the issuance of commercial paper or other forms of debt,
through reverse repurchase agreements, dollar rolls or similar transactions, derivatives
transactions or through a combination of the foregoing (“leveraged transactions” and
collectively “Financial Leverage”). Although the use of Financial Leverage and leveraged
transactions by the Fund may create an opportunity for increased after-tax total return for the
Common Shares, it also results in additional risks and can magnify the effect of any losses. If
the income and gains earned on securities purchased with Financial Leverage and leveraged
transaction proceeds are greater than the cost of Financial Leverage and leveraged
transactions, the Fund’s return will be greater than if Financial Leverage and leveraged
transactions had not been used. Conversely, if the income or gains from the securities
purchased with such proceeds does not cover the cost of Financial Leverage and leveraged
transactions, the return to the Fund will be less than if Financial Leverage and leveraged
transactions had not been used. There can be no assurance that a leveraging strategy will be
implemented or that it will be successful during any period during which it is employed.
 
Financial Leverage and leveraged transactions are speculative techniques that expose the Fund
to greater risk and increased costs than if they were not implemented. Increases and decreases
in the value of the Fund’s portfolio will be magnified when the Fund uses Financial Leverage
and leveraged transactions. As a result, Financial Leverage and leveraged transactions may
cause greater changes in the Fund’s NAV and returns than if Financial Leverage and leveraged
transactions had not been used. The Fund will also have to pay interest on its indebtedness, if
any, which may reduce the Fund’s return. This interest expense may be greater than the Fund’s
return on the underlying investment, which would negatively affect the performance of the
Fund.
 
Financial Leverage and the use of leveraged transactions involve risks and special
considerations for shareholders, including the likelihood of greater volatility of NAV and
market price of and dividends on the Common Shares than a comparable portfolio without
leverage; the risk that fluctuations in interest rates on Borrowings or in the dividend rate on
any Preferred Shares that the Fund must pay will reduce the return to the Common
Shareholders; and the effect of Financial Leverage and leveraged transactions in a declining
market, which is likely to cause a greater decline in the NAV of the Common Shares than if
the Fund were not leveraged, which may result in a greater decline in the market price of the
Common Shares.
 
Because the fees received by the Investment Adviser and Sub-Adviser are based on the
Managed Assets of the Fund (including the proceeds of any Financial Leverage), the
Investment Adviser and Sub-Adviser have a financial incentive for the Fund to utilize
Financial Leverage, which may create a conflict of interest between the Investment Adviser
and the Sub-Adviser on the one hand and the Common Shareholders on the other. Common
Shareholders bear the portion of the investment advisory fee attributable to the assets
29
 
purchased with the proceeds of Financial Leverage, which means that Common Shareholders
effectively bear the entire advisory fee. In order to manage this conflict of interest, the Board
will receive regular reports from the Investment Adviser regarding the Fund’s use of Financial
Leverage and the effect of Financial Leverage on the management of the Fund’s portfolio and
the performance of the Fund.
 
Borrowings may subject the Fund to covenants in credit agreements relating to asset coverage
and portfolio composition requirements. Borrowings by the Fund also may subject the Fund to
certain restrictions on investments imposed by guidelines of one or more rating agencies,
which may issue ratings for such indebtedness. Such guidelines may impose asset coverage or
portfolio composition requirements that are more stringent than those imposed by the 1940
Act. It is not anticipated that these covenants or guidelines will impede the Adviser from
managing the Fund’s portfolio in accordance with the Fund’s investment objective and
policies.
 
Reverse repurchase agreements involve the risks that the interest income earned on the
investment of the proceeds will be less than the interest expense and Fund expenses associated
with the repurchase agreement, that the market value of the securities or other assets sold by
the Fund may decline below the price at which the Fund is obligated to repurchase such
securities and that the securities may not be returned to the Fund. There is no assurance that
reverse repurchase agreements can be successfully employed. In the event of the insolvency of
the counterparty to a reverse repurchase agreement, recovery of the securities or other assets
sold by the Fund may be delayed. The counterparty’s insolvency may result in a loss equal to
the amount by which the value of the securities or other assets sold by the Fund exceeds the
repurchase price payable by the Fund; if the value of the purchased securities or other assets
increases during such a delay, that loss may also be increased. When the Fund enters into a
reverse repurchase agreement, any fluctuations in the market value of either the securities or
other assets transferred to another party or the securities or other assets 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 net asset value of the Fund’s Common Shares.
 
The Fund may enter into dollar roll transactions, in which the Fund sells a mortgage-backed or
other security for settlement on one date and buys back a substantially similar security (but
not the same security) for settlement at a later date. During the roll period, the Fund gives up
the principal and interest payments on the security, but may invest the sale proceeds. When the
Fund enters into a dollar roll transaction, any fluctuation in the market value of the security
transferred or the securities in which the sales proceeds are invested can affect the market
value of the Fund’s assets, and therefore, the Fund’s NAV. Successful use of dollar rolls may
depend upon the Sub-Adviser’s ability to correctly predict interest rates and prepayments.
There is no assurance that dollar rolls can be successfully employed. Dollar roll transactions
may sometimes be considered to be the practical equivalent of Borrowing and constitute
leverage. Dollar roll transactions also involve the risk that the market value of the securities
the Fund is required to deliver may decline below the agreed upon repurchase price of those
securities. In addition, in the event that the Fund’s counterparty becomes insolvent or
otherwise unable or unwilling to perform its obligations, the Fund’s use of the proceeds may
become restricted pending a determination as to whether to enforce the Fund’s obligation to
purchase the substantially similar securities.
 
The Fund may engage in certain derivatives transactions that have economic characteristics
similar to leverage. Under current regulatory requirements, to the extent the terms of any such
transaction obligate the Fund to make payments, to mitigate leveraging risk and otherwise
comply with regulatory requirements, the Fund must segregate or earmark liquid assets to
meet its obligations under, or otherwise cover, the transactions that may give rise to this risk.
Securities so segregated or designated as “cover” will be unavailable for sale by the Sub-
Adviser (unless replaced by other securities qualifying for segregation or cover requirements),
which may adversely affect the ability of the Fund to pursue its investment objective.
 
The Fund may have Financial Leverage and leveraged transactions outstanding during a short-
term period during which such Financial Leverage and leveraged transactions may not be
beneficial to the Fund if the Adviser believes that the long-term benefits to Common
Shareholders of such Financial Leverage and leveraged transactions would outweigh the costs
30
 
and portfolio disruptions associated with redeeming and reissuing or closing out and
reopening such Financial Leverage and leveraged transactions. However, there can be no
assurance that the Adviser’s judgment in weighing such costs and benefits will be correct.
 
Recent economic and market events have contributed to severe market volatility at times and
caused severe liquidity strains in the credit markets during some periods. If dislocations in the
credit markets continue, the Fund’s leverage costs may increase and there is a risk that the
Fund may not be able to renew or replace existing leverage on favorable terms or at all. If the
cost of leverage is no longer favorable, or if the Fund is otherwise required to reduce its
leverage, the Fund may not be able to maintain distributions on Common Shares at historical
levels and Common Shareholders will bear any costs associated with selling portfolio
securities.
 
The Fund’s total Financial Leverage and leveraged transactions may vary significantly over
time. To the extent the Fund increases its amount of Financial Leverage and leveraged
transactions outstanding, it will be more exposed to these risks. The Fund may also be exposed
to the risks associated with Financial Leverage through its investments in Investment Funds.
See “Risks— Leverage and Leveraged Transactions Risk.”
 
Derivatives Transactions Risk.
 
Derivatives Transactions Risk in General. In addition to the covered call option strategy
described above, the Fund may, but is not required to, utilize other derivatives, including
futures contracts, swaps transactions and other strategic transactions to seek to earn income,
facilitate portfolio management and mitigate risks. Participation in derivatives markets
transactions involves investment risks and transaction costs to which the Fund would not be
subject absent the use of these strategies (other than its covered call writing strategy). Certain
derivatives transactions that involve leverage can result in losses that greatly exceed the
amount originally invested. Derivatives transactions utilizing instruments denominated in
foreign currencies will expose the Fund to foreign currency risk. Derivatives transactions
involve risks of mispricing or improper valuation, and the documentation governing a
derivative instrument or transaction may be unfavorable or ambiguous. Derivatives
transactions may involve commissions and other costs, which may increase the Fund’s
expenses and reduce its return. Various legislative and regulatory initiatives may impact the
availability, liquidity and cost of derivative instruments, limit or restrict the ability of the Fund
to use certain derivative instruments or transact with certain counterparties as a part of its
investment strategy, increase the costs of using derivative instruments or make derivative
instruments less effective. In connection with certain derivatives transactions, under current
regulatory requirements, to the extent the terms of any such transaction obligate the Fund to
make payments, the Fund may be required to segregate liquid assets or otherwise cover such
transactions. The Fund also may be required to deposit amounts as premiums or to be held in
margin accounts. Such amounts may not otherwise be available to the Fund for investment
purposes. The Fund may earn a lower return on its portfolio than it might otherwise earn if it
did not have to segregate assets in respect of, or otherwise cover, its derivatives transactions
positions. To the extent the Fund’s assets are segregated or committed as cover, it could limit
the Fund’s investment flexibility. Segregating assets and covering positions will not limit or
offset losses on related positions. Participation in derivatives market transactions involves
investment risks and transaction costs to which the Fund would not be subject absent the use
of these strategies. The skills necessary to successfully execute derivatives strategies may be
different from those for more traditional portfolio management techniques, and if the Sub-
Adviser is incorrect about its expectations of market conditions, the use of derivatives could
also result in a loss, which in some cases may be unlimited. Additional risks inherent in the
use of derivatives include:
 
•dependence on the Sub-Adviser’s ability to predict correctly movements in the
direction of interest rates, securities prices or other underlying instruments;
 
•imperfect correlation between the value of such instruments and the underlying assets;
 
•the fact that skills needed to use these strategies are different from those needed to
select portfolio securities;
 
•the possible absence of a liquid secondary market for any particular instrument at any
31
 
time;
 
•the possible need to defer closing out certain hedged positions to avoid adverse tax
consequences;
 
•the possible inability of the Fund to purchase or sell a security at a time that otherwise
would be favorable for it to do so; and
 
•the creditworthiness and possible default of counterparties.
 
Futures Transactions Risk. The Fund may invest in futures contracts and options on futures
contracts. Futures and options on futures entail certain risks, including but not limited to the
following:
 
•no assurance that futures contracts or options on futures can be offset at favorable
prices;
 
•possible reduction of the return of the Fund due to their use for hedging;
 
•possible reduction in value of both the securities hedged and the hedging instrument;
 
•possible lack of liquidity, trading restrictions or limitations that may be imposed by an
exchange, and the potential that government regulations may restrict trading
 
•imperfect correlation between the contracts and the securities being hedged; and
 
•losses from investing in futures transactions that are potentially unlimited and the
segregation requirements for such transactions.
 
Risks Associated with Swaps. The Fund may enter into swap transactions, including credit
default swaps, total return swaps, index swaps, currency swaps, commodity swaps and interest
rate swaps, as well as options thereon, and may purchase or sell interest rate caps, floors and
collars. The Fund may utilize swap agreements in an attempt to gain exposure to certain
securities without purchasing those securities, which is speculative, or to hedge a position.
 
Risks associated with the use of swap agreements are different from those associated with
ordinary portfolio securities transactions, largely due to the fact they could be considered
illiquid and many swaps currently trade on the OTC market. If the Sub-Adviser is incorrect in
its forecasts of market values, interest rates or currency exchange rates, the investment
performance of the Fund may be less favorable than it would have been if these investment
techniques were not used. Such transactions are subject to market risk, risk of default by the
other party to the transaction and risk of imperfect correlation between the value of such
instruments and the underlying assets and may involve commissions or other costs. Swaps
generally do not involve the delivery of securities, other underlying assets or principal.
Accordingly, the risk of loss with respect to swaps generally is limited to the net amount of
payments that the Fund is contractually obligated to make, or in the case of the other party to a
swap defaulting, the net amount of payments that the Fund is contractually entitled to receive.
Swaps are subject to valuation, liquidity and leveraging risks and could result in substantial
losses to the Fund.
 
Swaps may effectively add leverage to the Fund’s portfolio because the Fund would be subject
to investment exposure on the full notional amount of the swap. Swaps are subject to the risk
that a counterparty will default on its payment obligations to the Fund thereunder.
 
Certain standardized swaps are subject to mandatory exchange trading and central clearing.
While exchange trading and central clearing are intended to reduce counterparty credit risk
and increase liquidity, they do not make swap transactions risk-free. Additionally, the
Commodity Futures Trading Commission (“CFTC”) and other applicable regulators have
adopted rules imposing certain margin requirements, including minimums, on OTC swaps,
which may result in the Fund and its counterparties posting higher margin amounts for OTC
swaps, which could increase the cost of swap transactions to the Fund and impose added
operational complexity. The Dodd-Frank Act and related regulatory developments require the
clearing and exchange- trading of many OTC derivative instruments that the CFTC and the
SEC have defined as “swaps.” Mandatory exchange-trading and clearing are occurring on a
32
 
phased-in basis based on the type of market participant and CFTC approval of contracts for
central clearing. In addition, the CFTC in October 2020 adopted amendments to its position
limits rules that establish certain new and amended position limits for 25 specified physical
commodity futures and related options contracts traded on exchanges, other futures contracts
and related options directly or indirectly linked to such 25 specified contracts, and any OTC
transactions that are economically equivalent to the 25 specified contracts. Further regulatory
developments in the swap market may adversely impact the swap market generally or the
Fund’s ability to use swaps. See “Risks—Derivatives Transactions Risk—Risks Associated
with Swaps.”
 
Counterparty Risk The Fund will be subject to risk with respect to the counterparties to the
derivative contracts entered into by the Fund. If a counterparty becomes bankrupt or defaults
on or otherwise fails to perform its payment or other obligations to the Fund, the Fund may not
receive the full amount that it is entitled to receive or may experience delays in recovering the
collateral or other assets held by, or on behalf of, the counterparty. If this occurs, or if
exercising contractual rights involves delays or costs for the Fund, the value of your shares in
the Fund may decrease. The Fund bears the risk that counterparties may be adversely affected
by legislative or regulatory changes, adverse market conditions (such as the current
conditions), increased competition, and/or wide scale credit losses resulting from financial
difficulties of the counterparties’ other trading partners or borrowers.
 
Portfolio Turnover Risk. The Fund’s annual portfolio turnover rate may vary greatly from year
to year. Portfolio turnover rate is not considered a limiting factor in the execution of
investment decisions for the Fund. A higher portfolio turnover rate results in correspondingly
greater brokerage commissions and other transactional expenses that are borne by the Fund.
High portfolio turnover may result in an increased realization of net short-term capital gains
by the Fund which, when distributed to Common Shareholders, will be taxable as ordinary
income. Additionally, in a declining market, portfolio turnover may create realized capital
losses. See “Risks—Portfolio Turnover Risk.”
 
U.S. Government Securities Risk. Different types of U.S. government securities have different
relative levels of credit risk depending on the nature of the particular government support for
that security. U.S. government securities may be supported by: (i) the full faith and credit of
the United States government; (ii) the ability of the issuer to borrow from the U.S. Treasury;
(iii) the credit of the issuing agency, instrumentality or government-sponsored entity (“GSE”);
(iv) pools of assets (e.g., mortgage-backed securities); or (v) the United States in some other
way. The U.S. government and its agencies and instrumentalities do not guarantee the market
value of their securities, which may fluctuate in value and are subject to investment risks, and
certain U.S. government securities may not be backed by the full faith and credit of the United
States government. Any downgrades of the U.S. credit rating could increase volatility in both
stock and bond markets, result in higher interest rates and higher Treasury yields and increase
the costs of all debt generally. The value of U.S. government obligations may be adversely
affected by changes in interest rates. It is possible that the issuers of some U.S. government
securities will not have the funds to timely meet their payment obligations in the future and
there is a risk of default. For certain agency and GSE issued securities, there is no guarantee
the U.S. government will support the agency or GSE if it is unable to meet its obligations. .
See “Risks—U.S. Government Securities Risk.”
 
UK Departure from EU (“Brexit”) Risk. On January 31, 2020, the United Kingdom officially
withdrew from the European Union (“EU”) and the two sides entered into a transition period,
during which period EU law continued to apply in the UK. The transition period ended on
December 31, 2020. On December 30, 2020, the UK and the EU signed an agreement on the
terms governing certain aspects of the EU’s and the United Kingdom’s relationship following
the end of the transition period, the EU-UK Trade and Cooperation Agreement (the “TCA”).
Notwithstanding the TCA, there is likely to be considerable uncertainty as to the UK’s post-
transition framework, and in particular as to the arrangements which will apply to the UK’s
relationships with the EU and with other countries, which is likely to continue to develop and
could result in increased volatility and illiquidity and potentially lower economic growth. The
political divisions surrounding Brexit within the United Kingdom, as well as those between
the UK and the EU, may also have a destabilizing impact on the economy and currency of the
United Kingdom and the EU. Any further exits from member states of the EU, or the
possibility of such exits, would likely cause additional market disruption globally and
introduce new legal and regulatory uncertainties.
33
 
In addition to the effects on the Fund’s investments in European issuers, the unavoidable
uncertainties and events related to Brexit could negatively affect the value and liquidity of the
Fund’s other investments, increase taxes and costs of business and cause volatility in currency
exchange rates and interest rates. Brexit could adversely affect the performance of contracts in
existence at the date of Brexit and European, UK or worldwide political, regulatory, economic
or market conditions and could contribute to instability in political institutions, regulatory
agencies and financial markets. Brexit could also lead to legal uncertainty and politically
divergent national laws and regulations as a new relationship between the UK and EU is
defined and as the UK determines which EU laws to replace or replicate. In addition, Brexit
could lead to further disintegration of the EU and related political stresses (including those
related to sentiment against cross border capital movements and activities of investors like the
Fund), prejudice to financial services businesses that are conducting business in the EU and
which are based in the UK, legal uncertainty regarding achievement of compliance with
applicable financial and commercial laws and regulations in view of the expected steps to be
taken pursuant to or in contemplation of Brexit. Any of these effects of Brexit, and others that
cannot be anticipated, could adversely affect the Fund’s business, results of operations and
financial condition. See “Risks—UK Departure from EU (“Brexit”) Risk.”
 
Redenomination Risk. The result of Brexit, the progression of the European debt crisis and the
possibility of one or more Eurozone countries exiting the European Monetary Union
(“EMU”), or even the collapse of the euro as a common currency, has created significant
volatility in currency and financial markets generally. The effects of the collapse of the euro,
or of the exit of one or more countries from the EMU, on the U.S. and global economies and
securities markets are impossible to predict and any such events could have a significant
adverse impact on the value and risk profile of the Fund’s portfolio. Any partial or complete
dissolution of the EMU could have significant adverse effects on currency and financial
markets, and on the values of the Fund’s portfolio investments. If one or more EMU countries
were to stop using the euro as its primary currency, the Fund’s investments in such countries
may be redenominated into a different or newly adopted currency. As a result, the value of
those investments could decline significantly and unpredictably. In addition, securities or other
investments that are redenominated may be subject to foreign currency risk, liquidity risk and
valuation risk to a greater extent than similar investments currently denominated in euros. To
the extent a currency used for redenomination purposes is not specified in respect of certain
EMU-related investments, or should the euro cease to be used entirely, the currency in which
such investments are denominated may be unclear, making such investments particularly
difficult to value or dispose of. The Fund may incur additional expenses to the extent it is
required to seek judicial or other clarification of the denomination or value of such securities.
See “Risks—Redenomination Risk.”
 
Legislation and Regulation Risk. At any time after the date hereof, U.S. and non-U.S.
governmental agencies and other regulators may implement additional regulations and
legislators may pass new laws that affect the investments held by the Fund, the strategies used
by the Fund or the level of regulation or taxation applying to the Fund (such as regulations
related to investments in derivatives and other transactions). These regulations and laws impact
the investment strategies, performance, costs and operations of the Fund, as well as the way
investments in, and shareholders of, the Fund are taxed. See “Risks—Legislation and
Regulation Risk.”
 
LIBOR Replacement Risk. The terms of many investments, financings or other transactions in
the U.S. and globally have been historically tied to interbank reference rates (referred to
collectively as the “London Interbank Offered Rate” or “LIBOR”), which function as a
reference rate or benchmark for such investments, financings or other transactions. LIBOR
may be a significant factor in determining payment obligations under derivatives transactions,
the cost of financing of Fund investments or the value or return on certain other Fund
investments. As a result, LIBOR may be relevant to, and directly affect, the Fund’s
performance.
 
On July 27, 2017, the Chief Executive of the Financial Conduct Authority (“FCA”), the
United Kingdom’s financial regulatory body and regulator of LIBOR, announced that after
2021 it will cease its active encouragement of banks to provide the quotations needed to
sustain LIBOR due to the absence of an active market for interbank unsecured lending and
other reasons. On March 5, 2021, the FCA and the LIBOR administrator announced that most
tenors and settings of LIBOR will be officially discontinued on December 31, 2021 and the
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most widely used U.S. dollar LIBOR tenors will be discontinued on June 30, 2023 and that
such LIBOR rates will no longer be sufficiently robust to be representative of their underlying
markets around that time. Various financial industry groups have begun planning for that
transition and certain regulators and industry groups have taken actions to establish alternative
reference rates (e.g., the Secured Overnight Financing Rate, which measures the cost of
overnight borrowings through repurchase agreement transactions collateralized with U.S.
Treasury securities and is intended to replace U.S. dollar LIBOR with certain adjustments).
However, there are challenges to converting contracts and transactions to a new benchmark
and neither the full effects of the transition process nor its ultimate outcome is known.
 
The transition process might lead to increased volatility and illiquidity in markets for
instruments with terms tied to LIBOR. It could also lead to a reduction in the interest rates on,
and the value of, some LIBOR-based investments and reduce the effectiveness of hedges
mitigating risk in connection with LIBOR-based investments. Although some LIBOR-based
instruments may contemplate a scenario where LIBOR is no longer available by providing for
an alternative rate-setting methodology or increased costs for certain LIBOR-related
instruments or financing transactions, others may not have such provisions and there may be
significant uncertainty regarding the effectiveness of any such alternative methodologies.
Instruments that include robust fallback provisions to facilitate the transition from LIBOR to
an alternative reference rate may also include adjustments that do not adequately compensate
the holder for the different characteristics of the alternative reference rate. The result may be
that the fallback provision results in a value transfer from one party to the instrument to the
counterparty. Additionally, because such provisions may differ across instruments (e.g.,
hedges versus cash positions hedged), LIBOR’s cessation may give rise to basis risk and
render hedges less effective. As the usefulness of LIBOR as a benchmark could deteriorate
during the transition period, these effects and related adverse conditions could occur prior to
the end of some LIBOR tenors in 2021 or the remaining LIBOR tenors in mid-2023. There
also remains uncertainty and risk regarding the willingness and ability of issuers to include
enhanced provisions in new and existing contracts or instruments. The effect of any changes
to, or discontinuation of, LIBOR on the Fund will vary depending, among other things, on (1)
existing fallback or termination provisions in individual contracts and the possible
renegotiation of existing contracts and (2) whether, how, and when industry participants
develop and adopt new reference rates and fallbacks for both legacy and new products and
instruments. Fund investments may also be tied to other interbank offered rates and
currencies, which also will face similar issues. In many cases, in the event that an instrument
falls back to an alternative reference rate, including the Secured Overnight Financing Rate
(“SOFR”), the alternative reference rate will not perform the same as LIBOR because the
alternative reference rates do not include a credit sensitive component in the calculation of the
rate. The alternative reference rates are generally secured by U.S. treasury securities and will
reflect the performance of the market for U.S. treasury securities and not the inter-bank
lending markets. In the event of a credit crisis, floating rate instruments using alternative
reference rates could therefore perform differently than those instruments using a rate indexed
to the inter-bank lending market.
 
The state of New York recently adopted legislation that would require LIBOR-based contracts
that do not include a fallback to a rate other than LIBOR or an inter-bank quotation poll to use
a SOFR-based rate plus a spread adjustment. Pending legislation in the U.S. Congress may
also affect the transition of LIBOR-based instruments as well by permitting trustees and
calculation agents to transition instruments with no LIBOR transition language to an
alternative reference rate selected by such agents. The New York statute and the federal
legislative proposal includes safe harbors from liability, which may limit the recourse the Fund
may have if the alternative reference rate does not fully compensate the Fund for the transition
of an instrument from LIBOR. If enacted, the federal legislation may also preempt the New
York statue, which may create uncertainty to the extent a party has sought to rely on the New
York statute to select a replacement benchmark rate.
 
These developments could negatively affect financial markets in general and present
heightened risks, including with respect to the Fund’s investments. As a result of this
uncertainty and developments relating to the transition process, the Fund and its investments
may be adversely affected. See “Risks—LIBOR Replacement Risk.”
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Recent Market Developments Risk. Periods of market volatility remain, and may continue to
occur in the future, in response to various political, social, economic and public health events
both within and outside of the United States. These conditions have resulted in, and in many
cases continue to result in, greater price volatility, less liquidity, widening credit spreads and a
lack of price transparency, with certain securities remaining illiquid and of uncertain value.
Such market conditions may adversely affect the Fund, including by making valuation of some
of the Fund’s securities uncertain and/or result in sudden and significant valuation increases or
declines in the Fund’s holdings. If there is a significant decline in the value of the Fund’s
portfolio, this may impact the asset coverage levels for the Fund’s outstanding leverage.
 
Risks resulting from any future debt or other economic or public health crisis could also have
a detrimental impact on the global economic recovery, the financial condition of financial
institutions and the Fund’s business, financial condition and results of operation. Market and
economic disruptions have affected, and may in the future affect, consumer confidence levels
and spending, personal bankruptcy rates, levels of incurrence and default on consumer debt
and home prices, among other factors. To the extent uncertainty regarding the U.S. or global
economy negatively impacts consumer confidence and consumer credit factors, the Fund’s
business, financial condition and results of operations could be significantly and adversely
affected. Downgrades to the credit ratings of major banks could result in increased borrowing
costs for such banks and negatively affect the broader economy. Moreover, Federal Reserve
policy, including with respect to certain interest rates, may also adversely affect the value,
volatility and liquidity of dividend- and interest-paying securities. Market volatility, rising
interest rates and/or unfavorable economic conditions could impair the Fund’s ability to
achieve its investment objective.
 
The outbreak of COVID-19 and the current recovery underway has caused disruption to
consumer demand and economic output and supply chains. There are still travel restrictions
and quarantines, and adverse impacts on local and global economies. As with other serious
economic disruptions, governmental authorities and regulators have in the past responded (and
may in the future respond to similar crises) to this crisis with significant fiscal and monetary
policy changes, including by providing direct capital infusions into companies, introducing
new monetary programs and considerably lowering interest rates, which, in some cases
resulted in negative interest rates and higher inflation. These actions, including their possible
unexpected or sudden 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. See “Risks—Recent Market Developments
Risk.”
 
Increasing Government and other Public Debt Risk. Government and other public debt,
including municipal obligations in which the Fund may invest, can be adversely affected by
large and sudden changes in local and global economic conditions that result in increased debt
levels. Although high levels of government and other public debt do not necessarily indicate or
cause economic problems, high levels of debt may create certain systemic risks if sound debt
management practices are not implemented. A high debt level may increase market pressures
to meet an issuer’s funding needs, which may increase borrowing costs and cause a
government or public or municipal entity to issue additional debt, thereby increasing the risk
of refinancing. A high debt level also raises concerns that the issuer may be unable or
unwilling to repay the principal or interest on its debt, which may adversely impact
instruments held by the Fund that rely on such payments. Extraordinary governmental and
quasigovernmental responses to the current economic, market, labor and public health
conditions are significantly increasing government and other public debt, which heighten
these risks and the long term consequences of these actions are not known. Unsustainable debt
levels can decline the valuation of currencies, and can prevent a government from
implementing effective counter-cyclical fiscal policy during economic downturns or can lead
to increases in inflation or generate or contribute to an economic downturn. See “Risks—
Increasing Government and other Public Debt Risk.”
 
Municipal Securities Risk. Municipal securities are subject to a variety of risks, including
credit, interest, prepayment, liquidity, and valuation risks. In addition, municipal securities can
be adversely affected by (i) unfavorable legislative, political or other developments or events,
including natural disasters and public health conditions, and (ii) changes in the economic and
fiscal conditions of issuers of municipal securities or the federal government (in cases where it
36
 
provides financial support to such issuers). Municipal securities may be fully or partially
backed by the taxing authority or revenue of a local government, the credit of a private issuer,
or the current or anticipated revenues from a specific project, which may be adversely affected
as a result of economic and public health conditions. Certain sectors of the municipal bond
market have special risks that can affect them more significantly than the market as a whole.
Because many municipal instruments are issued to finance similar projects (such as education,
health care, transportation and utilities), conditions in these industries can significantly affect
the overall municipal market. Municipal securities that are insured may be adversely affected
by developments relevant to that particular insurer, or more general developments relevant to
the market as a whole. Municipal securities can be difficult to value and be less liquid than
other investments, which may affect performance. See “Risks— Municipal Securities Risk.
 
When-Issued and Delayed Delivery Transactions Risk. Securities purchased on a when-issued
or delayed delivery basis may expose the Fund to counterparty risk of default as well as the
risk that securities may experience fluctuations in value prior to their actual delivery. The Fund
generally will not accrue income with respect to a when-issued or delayed delivery security
prior to its stated delivery date.
 
Purchasing securities on a when-issued or delayed delivery basis can involve the additional
risk that the price or yield available in the market when the delivery takes place may not be as
favorable as that obtained in the transaction itself. See “Risks—When-Issued and Delayed
Delivery Transactions Risk.”
 
Short Sales Risk. The Fund may make short sales of securities. Short selling a security
involves selling a borrowed security with the expectation that the value of that security will
decline, so that the security may be purchased at a lower price when returning the borrowed
security. If the price of the security sold short increases between the time of the short sale and
the time the Fund replaces the borrowed security, the Fund will incur a loss; conversely, if the
price declines, the Fund will realize a capital gain. Any gain will be decreased, and any loss
will be increased, by the transaction costs incurred by the Fund, including the costs associated
with providing collateral to the broker-dealer (usually cash and liquid securities) and the
maintenance of collateral with its custodian. Although the Fund’s gain is limited to the price at
which it sold the security short, its potential loss is theoretically unlimited and is greater than a
direct investment in the security itself because the price of the borrowed or reference security
may rise. The Fund may not always be able to close out a short position at a particular time or
at an acceptable price. A lender may request that borrowed securities be returned to it on short
notice, and the Fund may have to buy the borrowed securities at an unfavorable price, resulting
in a loss. The Fund may have to pay a premium to borrow the securities and must pay any
dividends or interest payable on the securities until they are replaced, which will be expenses
of the Fund. Short sales also subject the Fund to risks related to the lender (such as bankruptcy
risks) or the general risk that the lender does not comply with its obligations. Government
actions also may affect the Fund’s ability to engage in short selling. The use of physical short
sales is typically more expensive than gaining short exposure through derivatives. See
“Risks—Short Sales Risk.”
 
Repurchase Agreement Risk. In the event of the insolvency of the counterparty to a repurchase
agreement, recovery of the repurchase price owed to the Fund may be delayed. Such an
insolvency may result in a loss to the extent that the value of the purchased securities or other
assets decreases during the delay or that value has otherwise not been maintained at an amount
equal to the repurchase price. The credit, liquidity and other risks associated with repurchase
agreements are magnified to the extent a repurchase agreement is secured by collateral other
than cash, government securities or liquid securities or instruments issued by an issuer that has
an exceptionally strong credit quality. The Fund may accept a wide variety of underlying
securities as collateral for repurchase agreements entered into by the Fund. See “Risks—
Repurchase Agreement Risk.”
 
Securities Lending Risk. The Fund may lend its portfolio securities to banks or dealers which
meet the creditworthiness standards established by the Board of Trustees. Securities lending is
subject to the risk that loaned securities may not be available to the Fund on a timely basis and
the Fund may therefore lose the opportunity to sell the securities at a desirable price. Any loss
in the market price of securities loaned by the Fund that occurs during the term of the loan
would be borne by the Fund and would adversely affect the Fund’s performance. Also, there
37
 
may be delays in recovery, or no recovery, of securities loaned or even a loss of rights in the
collateral should the borrower of the securities fail financially while the loan is outstanding.
See “Risks—Securities Lending Risk.”
 
Risk of Failure to Qualify as a RIC. To qualify for the favorable U.S. federal income tax
treatment generally accorded to RICs, the Fund must, among other things, derive in each
taxable year at least 90% of its gross income from certain prescribed sources, meet certain
asset diversification tests and distribute for each taxable year at least 90% of its “investment
company taxable income” (generally, ordinary income plus the excess, if any, of net short-term
capital gain over net long-term capital loss). If for any taxable year the Fund does not qualify
as a RIC, all of its taxable income for that year (including its net capital gain) would be subject