Guggenheim Strategic Opportunities Fund (GOF) 424B5 Prospectus supplement for primary offering

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.

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TABLE OF CONTENTS 

	Page
PROSPECTUS SUPPLEMENT SUMMARY	1
SUMMARY OF FUND EXPENSES	2
CAPITALIZATION	4
USE OF PROCEEDS	4
PLAN OF DISTRIBUTION	5
LEGAL MATTERS	6
INCORPORATION BY REFERENCE	6
ADDITIONAL INFORMATION	6

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

 

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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).

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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

 

	Page
PROSPECTUS SUMMARY	1
SUMMARY OF FUND EXPENSES	41
FINANCIAL HIGHLIGHTS	43
SENIOR SECURITIES AND OTHER FINANCIAL LEVERAGE	45
THE FUND	46
USE OF PROCEEDS	46
MARKET AND NET ASSET VALUE INFORMATION	46
INVESTMENT OBJECTIVE AND POLICIES	47
THE FUND’S INVESTMENTS	49
USE OF FINANCIAL LEVERAGE	60
RISKS	64
MANAGEMENT OF THE FUND	97
NET ASSET VALUE	99
DISTRIBUTIONS	102
DIVIDEND REINVESTMENT PLAN	103
DESCRIPTION OF CAPITAL STRUCTURE	104
ANTI-TAKEOVER AND OTHER PROVISIONS IN THE FUND’S GOVERNING DOCUMENTS	105
CLOSED-END FUND STRUCTURE	106
REPURCHASE OF COMMON SHARES; CONVERSION TO OPEN-END FUND	107
U.S. FEDERAL INCOME TAX CONSIDERATIONS	107
PLAN OF DISTRIBUTION	110
CUSTODIAN, ADMINISTRATOR, TRANSFER AGENT AND DIVIDEND DISBURSING AGENT	112
LEGAL MATTERS	112
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	112
ADDITIONAL INFORMATION	112
PRIVACY PRINCIPLES OF THE FUND	112
INCORPORATION BY REFERENCE	113
SUPPLEMENTAL SUMMARY OF FUND EXPENSES	113

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.”

20

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

34

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.”

35

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

to tax at regular corporate rates without any deduction for distributions to shareholders, and

such distributions would be taxable as ordinary dividends to the extent of the Fund’s current

and accumulated earnings and profits. See “Risks—Risk of Failure to Qualify as a RIC.”

Conflicts of Interest Risk. Guggenheim Partners is a global asset management and investment

advisory organization. Guggenheim Partners and its affiliates advise clients in various markets

and transactions and purchase, sell, hold and recommend a broad array of investments for their

own accounts and the accounts of clients and of their personnel and the relationships and

products they sponsor, manage and advise. Accordingly, Guggenheim Partners and its

affiliates may have direct and indirect interests in a variety of global markets and the securities

of issuers in which the Fund may directly or indirectly invest. These interests may cause the

Fund to be subject to regulatory limits, and in certain circumstances, these various activities

may prevent the Fund from participating in an investment decision.

An investment in the Fund is subject to a number of actual or potential conflicts of interest.

For example, the Adviser and its affiliates are engaged in a variety of business activities that

are unrelated to managing the Fund, which may give rise to actual, potential or perceived

conflicts of interest in connection with making investment decisions for the Fund. As a result,

activities and dealings of Guggenheim Partners and its affiliates may affect the Fund in ways

that may disadvantage or restrict the Fund or be deemed to benefit Guggenheim Partners and

its affiliates. From time to time, conflicts of interest may arise between a portfolio manager’s

management of the investments of the Fund on the one hand and the management of other

registered investment companies, pooled investment vehicles and other accounts (collectively,

“other accounts”) on the other. The other accounts might have similar investment objectives or

strategies as the Fund or otherwise hold, purchase, or sell securities that are eligible to be held,

purchased or sold by the Fund. In certain circumstances, and subject to its fiduciary

obligations under the Investment Advisers Act of 1940 (the “Advisers Act”) and the

requirements of the 1940 Act, the Adviser may have to allocate a limited investment

opportunity among its clients. The other accounts might also have different investment

objectives or strategies than the Fund. In addition, the Fund may be limited in its ability to

invest in, or hold securities of, any companies that the Adviser or its affiliates (or other

accounts managed by the Adviser or its affiliates) control, or companies in which the Adviser

or its affiliates have interests or with whom they do business. For example, affiliates of the

Adviser may act as underwriter, lead agent or administrative agent for loans or otherwise

participate in the market for loans. Because of limitations imposed by applicable law, the

presence of the Adviser’s affiliates in the markets for loans may restrict the Fund’s ability to

acquire some loans or affect the timing or price of such acquisitions. To address these

conflicts, the Fund and Guggenheim Partners and its affiliates have established various

policies and procedures that are reasonably designed to detect and prevent such conflicts and

prevent the Fund from being disadvantaged.

There can be no guarantee that these policies and procedures will be successful in every

instance. For additional information about potential conflicts of interest, and the way in which

the Adviser and its affiliates address such conflicts, please see “Management of the Fund—

Potential Conflicts of Interest” in the SAI. See “Risks—Conflicts of Interest Risk.”

Market Disruption and Geopolitical Risk. The Fund does not know and cannot predict how

long securities markets may be affected by geopolitical events and the effects of these and

similar events in the future on the U.S. economy and securities markets. The Fund may be

adversely affected by abrogation of international agreements and national laws which have

created the market instruments in which the Fund may invest, failure of the designated

national and international authorities to enforce compliance with the same laws and

38

	agreements, failure of local, national and international organization to carry out their duties prescribed to them under the relevant agreements, revisions of these laws and agreements which dilute their effectiveness or conflicting interpretation of provisions of the same laws and agreements. The Fund may be adversely affected by uncertainties such as terrorism, international political developments, and changes in government policies, taxation, restrictions on foreign investment and currency repatriation, currency fluctuations and other developments in the laws and regulations of the countries in which it is invested and the risks associated with financial, economic, public health, labor and other global market developments and disruptions. See “Risks—Market Disruption and Geopolitical Risk.”
	Technology Risk. As the use of Internet technology has become more prevalent, the Fund and its service providers and markets generally have become more susceptible to potential operational risks related to intentional and unintentional events that may cause the Fund or a service provider to lose proprietary information, suffer data corruption or lose operational capacity. There can be no guarantee that any risk management systems established by the Fund, its service providers, or issuers of the securities in which the Fund invests to reduce technology and cyber security risks will succeed, and the Fund cannot control such systems put in place by service providers, issuers or other third parties whose operations may affect the Fund. See “Risks—Technology Risk.”
	Cyber Security, Market Disruptions and Operational Risk. As in other parts of the economy, the Fund and its service providers, as well as exchanges and market participants through or with which the Fund trades and exchanges on which its shares trade and other infrastructures and services on which the Fund or its service providers rely, are susceptible to ongoing risks related to cyber incidents and the risks associated with financial, economic, public health, labor and other global market developments and disruptions. Cyber incidents, which can be perpetrated by a variety of means, may result in actual or potential adverse consequences for critical information and communications technology, systems and networks that are vital to the operations of the Fund or its service providers. A cyber incident or sudden market disruption could adversely impact the Fund, its service providers or its shareholders by, among other things, interfering with the processing of shareholder transactions or other operational functionality, impacting the Fund’s ability to calculate its NAV or other data, causing the release of private or confidential information, impeding trading, causing reputational damage, and subjecting the Fund to fines, penalties or financial losses or otherwise adversely affecting the operations, systems and activities of the Fund, its service providers and market intermediaries. These types of adverse consequences could also result from other operational disruptions or failures arising from, for example, processing errors, human errors, and other technological issues. In each case, the Fund’s ability to calculate its NAV correctly, in a timely manner or process trades or Fund transactions may be adversely affected, including over a potentially extended period. The Fund and its service providers may directly bear these risks and related costs. The Fund and its service providers are continuing to experience the impacts of quarantines and similar measures being enacted by governments in response to COVID-19, which have obstructed the regular functioning of business workforces (including requiring employees to work from external locations and their homes). Accordingly, the risks described above are heightened under current conditions. See “Risks— Cyber Security, Market Disruptions and Operational Risk.”
Anti-Takeover Provisions in the Fund’s Governing Documents	The Fund’s Amended Restated Agreement and Declaration of Trust and Bylaws (collectively, the “Governing Documents”) include provisions that could limit the ability of other entities or persons to acquire control of the Fund or convert the Fund to an open-end fund. These provisions could have the effect of depriving the Common Shareholders of opportunities to sell their Common Shares at a premium over the then-current market price of the Common Shares. See “Anti-Takeover and Other Provisions in the Fund’s Governing Documents” and “Risks—Anti- Takeover Provisions.”
Administrator, Custodian, Transfer Agent and Dividend Disbursing Agent	The Bank of New York Mellon serves as the custodian of the Fund’s assets pursuant to a custody agreement. Under the custody agreement, the custodian holds the Fund’s assets in compliance with the 1940 Act. For its services, the custodian will receive a monthly fee based upon, among other things, the average value of the total assets of the Fund, plus certain charges for securities transactions.

39

Computershare Inc. serves as the Fund’s dividend disbursing agent, transfer agent and registrar

with respect to the Common Shares of the Fund, and Computershare Trust Company, N.A.

serves as agent under the Fund’s Dividend Reinvestment Plan (the “Plan Agent”).

MUFG Investor Services (US) LLC (“MUFG”) serves as the Fund’s administrator. Pursuant to

an administration agreement with the Fund, MUFG provides certain administrative,

bookkeeping and accounting services to the Fund. MUFG also provides certain fund

accounting services to the Fund pursuant to a fund accounting agreement.

40

SUMMARY OF FUND EXPENSES

The following table contains information about the costs and expenses that Common Shareholders will bear directly or indirectly. The table is based on the capital structure of the Fund as of May 31, 2021 (except as noted below). 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. Additional information regarding the costs and fees and expenses that you, as a Common Shareholder, would bear directly or indirectly is available in the section of the Prospectus entitled “Supplemental Summary of Fund Expenses.” 

Shareholder Transaction Expenses
Sales load (as a percentage of offering price)	—(1)
Offering expenses borne by the Fund (as a percentage of offering price)	0.60%(1),(2)
Dividend Reinvestment Plan fees(3)	None

 

Annual Expenses	Percentage of Average Net Assets Attributable to Common Shares(4)
Management fee(5)	1.36%
Interest expense(6)	0.28%
Acquired fund fees and expenses(7)	0.09%
Other expenses(8)	0.19%
Total annual expenses(9)	1.92%

(1)

If Common Shares to which this Prospectus relates are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses borne by the Fund.

(2)

The 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 Adviser for offering expenses incurred by the 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. The expense limitation agreement will be in effect for the life of the registration statement with respect to all Common Shares sold pursuant to the registration statement and may only be terminated by the Board of Trustees of 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.”

(4)

Based upon average net assets applicable to Common Shares during the year ended May 31, 2021.

(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 (as defined herein). The fee shown above is based upon outstanding Financial Leverage of 29.9% of the Fund’s Managed Assets. If Financial Leverage of more than 29.9% of the Fund’s Managed Assets is used, the management fees shown would be higher.

(6)

Includes interest expense on borrowings under the Fund’s committed facility agreement and reverse repurchase agreements, based on the Fund’s outstanding Financial Leverage as of May 31, 2021. The Fund has entered into a committed facility agreement pursuant to which it may borrow up to $80 million. 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 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. The actual amount of interest payments on borrowed funds and interest expense on reverse repurchase agreements borne by the Fund will vary over time in accordance with the level of the Fund’s use 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 most recently completed fiscal year and the expected investment of the proceeds of this offering.

41

(8)

Other expenses are estimated based upon those incurred during the fiscal year ended May 31, 2021.

(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 Common Shares, assuming (1) “Total annual expenses” of 1.92% of net assets attributable to Common Shares and (2) a 5% annual return*: 

	1 Year	3 Years	5 Years	10 Years
Total Expenses Incurred(1)	$20	$60	$104	$225

*

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.

 

Assuming the Fund does not utilize Financial Leverage, the estimated total expenses incurred for the 1, 3, 5 and 10 year period would be $17, $52, $89 and $194, respectively.

(1)

The example above does not include sales loads or estimated offering costs. In connection with an offering of Common Shares, the Prospectus Supplement will set forth an Example including sales load and estimated offering costs.

42

FINANCIAL HIGHLIGHTS

The financial highlights table is intended to help you understand the Fund’s financial performance. The information in this table for the fiscal year ended 2021, 2020, 2019, 2018 and 2017 is derived from the Fund’s financial statements and has been audited by Ernst & Young LLP, independent registered public accounting firm for the Fund. The Fund’s audited financial statements appearing in the Fund’s annual report to shareholders for the year ended May 31, 2021, including the report of Ernst & Young LLP thereon, including accompanying notes thereto, are incorporated by reference in the SAI. 

Per share data	For the Year Ended May 31, 2021	For the Year Ended May 31, 2020	For the Year Ended May 31, 2019	For the Year Ended May 31, 2018	For the Year Ended May 31, 2017
Net asset value, beginning of period	$15.29	$17.91	$19.12	$19.78	$17.50
Income from investment operations
Net investment income(a)	0.95	0.89	0.97	1.23	1.61
Net gain (loss) on investments (realized and unrealized)	3.00	(1.32)	0.01	0.30	2.86
Total from investment operations	3.95	(0.43)	0.98	1.53	4.47
Distributions to Common Shareholders
From and in excess of net investment income	(0.97)	(0.86)	(1.12)	(2.01)	(2.18)
Return of capital	(1.22)	(1.33)	(0.91)	—	—
Capital gains	—	—	(0.16)	(0.18)	(0.01)
Total distributions	(2.19)	(2.19)	(2.19)	(2.19)	(2.19)
Net asset value, end of period	$17.05	$15.29	17.91	19.12	19.78
Market value, end of period	$20.90	$16.20	19.96	21.29	20.94
Total investment return(b)
Net asset value	27.20%	(2.79)%	5.43%	8.02%	26.76%
Market value	45.59%	(7.96)%	4.94%	13.31%	33.33%
Ratios and supplemental data
Net assets, end of period (in thousands)	$878,041	$648,892	$641,825	$530,250	$410,465
Ratios to average net assets applicable to Common Shares:
Total expenses, including interest expense(c), (d)	1.83%	1.21%	1.17%	1.52%	2.35%
Net investment income, including interest expense	5.72%	5.29%	5.26%	6.27%	8.55%
Portfolio turnover	64%	41%	38%	48%	41%
Senior Indebtedness
Borrowings – committed facility agreement (in thousands)	$38,501	$19,300	N/A	N/A	$16,705
Asset coverage per $1,000 of borrowings(e)	$23,806	$34,621	N/A	N/A	$25,571

(footnotes on following page) 

43

Per share data	For the Year Ended May 31, 2016	For the Year Ended May 31, 2015	For the Year Ended May 31, 2014	For the Year Ended May 31, 2013	For the Year Ended May 31, 2012
Net asset value, beginning of period	$19.61	$20.56	$20.95	$19.00	$20.11
Income from investment operations
Net investment income(a)	1.40	1.28	1.44	1.68	1.80
Net gain (loss) on investments (realized and unrealized)	(1.33)	(0.05)	0.35	2.22	(1.06)
Total from investment operations	0.07	1.23	1.79	3.90	0.74
Distributions to Common Shareholders
From and in excess of net investment income	(1.82)	(1.42)	(1.82)	(1.78)	(1.85)
Return of capital	—	—	—	—	—
Capital gains	(0.36)	(0.76)	(0.36)	(0.17)	—
Total distributions	(2.18)	(2.18)	(2.18)	(1.95)	(1.85)
Net asset value, end of period	17.50	19.61	20.56	20.95	19.00
Market value, end of period	17.61	21.21	21.83	21.91	21.08
Total investment return(b)
Net asset value	0.80%	6.39%	9.20%	21.37%	4.09%
Market value	-6.07%	8.08%	10.71%	14.10%	3.81%
Ratios and supplemental data
Net assets, end of period (in thousands)	$310,246	$342,988	$318,001	$286,471	$207,346
Ratios to average net assets applicable to Common Shares:
Total expenses, including interest expense(c), (d)	2.38%	2.16%	2.28%	2.47%	2.55%
Net investment income, including interest expense	7.79%	6.44%	7.07%	8.30%	9.45%
Portfolio turnover	116%	86%	95%	165%	112%
Senior Indebtedness
Borrowings – committed facility agreements (in thousands)	$9,355	$45,489	$60,789	$56,099	$30,599
Asset coverage per $1,000 of borrowings(e)	$34,164	$8,540	$6,231	$6,107	$7,776

(a)

Based on average shares outstanding.

(b)

Total investment return is calculated assuming a purchase of a Common Share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.

(c)

The ratios of total expenses to average net assets applicable to common shares do not reflect fees and expenses incurred indirectly by the Fund as a result of its investment in shares of other investment companies. If these fees were included in the expense ratios, the expense ratios would increase by 0.09%, 0.08%, 0.00%*, 0.00%*, 0.00%*, 0.02%, 0.03%, 0.03%, 0.05% and 0.04% for the years ended May 31, 2021, 2020, 2019, 2018, 2017, 2016, 2015, 2014, 2013 and 2012, respectively.

(d)

Excluding interest expense, the operating expense ratios for the periods ended May 31 would be: 

2021	2020	2019	2018	2017	2016	2015	2014	2013	2012
1.55%	1.17%	1.15%	1.33%	1.62%	1.74%	1.72%	1.78%	1.81%	1.78%

(e)

Calculated by subtracting the Fund’s total liabilities (not including the borrowings) from the Fund’s total assets and dividing by the borrowings.

*

Less than 0.01%

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SENIOR SECURITIES AND OTHER FINANCIAL LEVERAGE

The following table sets forth information about the Fund’s outstanding Borrowings-committed facility agreements and reverse repurchase agreements as of the end of the last ten fiscal years. The information in this table for the fiscal years ended 2021, 2020, 2019, 2018 and 2017 has been audited by Ernst & Young LLP, independent registered public accounting firm. The Fund’s audited financial statements appearing in the Fund’s annual report to shareholders for the year ended May 31, 2021, including the report of Ernst & Young LLP thereon, including accompanying notes thereto, are incorporated by reference in the SAI. 

Class and Fiscal Period End	Total Principal Amount Outstanding	Asset Coverage Per $1,000 of Borrowings	Involuntary Liquidating Preference Per Unit	Average Market Value Per Unit
Borrowings – Committed Facility Agreement
May 31, 2021	$38,500,690	$23,806	N/A	N/A
May 31, 2020	$19,300,000	$34,621	N/A	N/A
May 31, 2019	$—	$—	N/A	N/A
May 31, 2018	$—	$—	N/A	N/A
May 31, 2017	$16,704,955	$25,571	N/A	N/A
May 31, 2016	$9,354,955	$34,164	N/A	N/A
May 31, 2015	$45,488,955	$8,540	N/A	N/A
May 31, 2014	$60,788,955	$6,231	N/A	N/A
May 31, 2013	$56,098,955	$6,107	N/A	N/A
May 31, 2012	$30,598,955	$7,776	N/A	N/A
Reverse Repurchase Agreements(1)
May 31, 2021	$335,327,511	N/A(1)	N/A	N/A
May 31, 2020	$42,445,822	N/A(1)	N/A	N/A
May 31, 2019	$—	N/A(1)	N/A	N/A
May 31, 2018	$1,610,022	N/A(1)	N/A	N/A
May 31, 2017	$91,424,819	N/A(1)	N/A	N/A
May 31, 2016	$130,570,046	N/A(1)	N/A	N/A
May 31, 2015	$114,758,163	N/A(1)	N/A	N/A
May 31, 2014	$75,641,024	N/A(1)	N/A	N/A
May 31, 2013	$59,473,742	N/A(1)	N/A	N/A
May 31, 2012	$53,243,041	N/A(1)	N/A	N/A

(1)

As a result of the Fund having earmarked or segregated cash or liquid securities to collateralize the transactions or otherwise having covered the transactions, in accordance with current regulatory requirements under the releases and interpretive letters issued by the SEC and its staff, the Fund does not treat its obligations under such transactions as senior securities representing indebtedness for purposes of the 1940 Act.

45

THE FUND

Guggenheim Strategic Opportunities Fund (the “Fund”) is a diversified, closed-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) that commenced operations on July 26, 2007. The Fund was organized as a statutory trust on November 13, 2006, pursuant to a Certificate of Trust, and is governed by the laws of the State of Delaware. Its principal office is located at 227 West Monroe Street, Chicago, Illinois 60606, and its telephone number is (312) 827-0100.

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”).

Shareholders approved the mergers of Guggenheim Enhanced Equity Income Fund and Guggenheim Credit Allocation Fund, each a closed-end fund, with and into the Fund. Subject to the satisfaction of certain customary closing conditions, such mergers are expected to be effective with the open of the New York Stock Exchange on October 25, 2021. Shareholders of Guggenheim Enhanced Equity Income Fund and Guggenheim Credit Allocation Fund will receive newly issued common shares of the Fund, the aggregate net asset value (not the market value) of which will equal the aggregate net asset value of their common shares held immediately prior to such mergers.

Except as otherwise noted, all percentage limitations set forth in this Prospectus apply immediately after a purchase or initial investment and any subsequent change in any applicable percentage resulting from market fluctuations does not require any action.

USE OF PROCEEDS

Unless otherwise specified in a supplement to this Prospectus (each 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 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.

MARKET AND NET ASSET VALUE INFORMATION

The Fund’s currently outstanding Common Shares are, and the Common Shares offered by this Prospectus, will be, subject to notice of issuance, listed on the New York Stock Exchange (the “NYSE”). The Fund’s Common Shares commenced trading on the NYSE on July 27, 2007.

The Common Shares have traded both at a premium and at a discount in relation to the Fund’s net asset value per share. Although the Common Shares recently have traded at a premium to net asset value, there can be no assurance that this will continue after the offering nor that the Common Shares will not trade at a discount in the future. Shares of closed-end investment companies frequently trade at a discount to net asset value. The Fund’s net asset value may 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. See “Risks—Market Discount Risk.”

The following table sets forth, for each of the periods indicated, the high and low closing market prices for the Common Shares on the NYSE, as well as the net asset value per Common Share and the premium or discount to net asset value per Common Share at which the Common Shares were trading on the date of the high and low closing prices. The Fund calculates its net asset value as of the close of business, usually 4:00 p.m. Eastern Time, every day on which the NYSE is open. See “Net Asset Value” for information as to the determination of the Fund’s net asset value. 

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	Market Price		NAV per Common Share on Date of Market Price High and Low(1)		Premium/(Discount) on Date of Market Price High and Low(2)
During Quarter Ended	High	Low	High	Low	High	Low
August 31, 2021	$21.98	$20.92	$17.21	$16.98	27.72%	23.20%
May 31, 2021	$21.95	$19.24	$17.10	$16.94	28.36%	13.58%
February 28, 2021	$21.10	$18.77	$17.43	$16.69	21.06%	12.46%
November 30, 2020	$18.64	$17.48	$16.68	$16.03	11.75%	9.05%
August 31, 2020	$18.46	$16.48	$16.15	$15.44	14.30%	6.74%
May 31, 2020	$18.01	$11.82	$17.00	$15.25	5.94%	(22.49)%
February 29, 2020	$19.47	$17.08	$17.14	$16.91	13.59%	1.01%
November 30, 2019	$19.77	$18.56	$17.63	$17.46	12.14%	6.30%
August 31, 2019	$20.88	$19.51	$17.81	$17.60	17.24%	10.85%

(1)

Based on the Fund’s computations.

(2)

Calculated based on the information presented. Percentages are rounded.

The last reported sale price, net asset value per Common Share and percentage premium to net asset value per Common Share on September 7, 2021 was $ 21.34, $17.10 and 24.80%, respectively. The Fund cannot predict whether its Common Shares will trade in the future at a premium to or discount from net asset value, or the level of any premium or discount. Shares of closed-end investment companies frequently trade at a discount from net asset value. The Fund’s Common Shares have in the past traded below their net asset value. As of September 7, 2021, 54,220,052 Common Shares of the Fund were outstanding.

INVESTMENT OBJECTIVE AND POLICIES

Investment Objective

The Fund’s investment objective is to maximize total return through a combination of current income and capital appreciation. The Fund’s investment objective is considered fundamental and may not be changed without the approval of a majority of the outstanding voting securities (as defined in the 1940 Act) of the Fund. The Fund cannot ensure investors that it will achieve its investment objective.

Investment Philosophy and Investment 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 analysis of a fixed-income security’s credit quality is comprised of multiple elements, including, but not limited to: (i) sector analysis, including regulatory developments and sector health, (ii) collateral, business, and counterparty risk, which includes payment history, collateral performance, and borrower credit profile, (iii) structural analysis, which includes securitization structure review and forms of credit enhancement, and (iv) stress analysis, including historical collateral performance during extreme market stress and identifying tail risks. This analysis is applied against the macroeconomic outlook, geopolitical issues as well as considerations that more directly affect the company’s industry to determine the Sub-Adviser’s internal judgment as to the security’s credit quality. In addition to the process described above, the Sub-Adviser selects securities using a rigorous portfolio construction approach to tightly control independent risk exposures such as fixed income sector weights, sector specific yield curves, credit spreads, prepayment risks, and other risk exposures the Sub-Adviser deems relevant. Within those risk constraints, the Sub-Adviser estimates the relative value of different securities to select individual securities that, in the Sub-Adviser’s judgment, may provide risk-adjusted outperformance.

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

47

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.

The Sub-Adviser generally decides which securities to sell for the Fund based on one of three factors:

•

In the Sub-Adviser’s judgment, the relative value measure of the instrument no longer indicates that the instrument is cheap relative to similar instruments and a substitution of the instrument with a similar but cheaper instrument enhances the risk-adjusted return potential of the portfolio.

•

The Sub-Adviser’s fundamental analysis suggests that the embedded credit risk in an instrument has increased and the instrument no longer properly compensates the holder for this increased risk.

•

The Sub-Adviser’s fundamental sector allocation decisions result in the rebalancing of existing positions to achieve the Sub-Adviser’s desired sector exposures.

Investment Policies

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, including, but not limited to, U.S. government and agency securities, corporate bonds, loans and loan participations, structured finance investments (including residential and commercial mortgage-related securities, asset-backed securities, collateralized debt obligations and risk-linked securities), mezzanine and preferred securities and convertible securities. The Fund may invest in non-U.S. dollar-denominated Income Securities issued by sovereign entities and corporations, including Income Securities of issuers in emerging market countries. 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 Fund may also 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. In addition to its covered call option strategy, the Fund may, to a lesser extent, pursue a strategy that includes the sale (writing) of both covered call and put options on indices of securities and sectors of securities.

The Fund may allocate its assets among a wide variety of Income Securities and Common Equity Securities, provided that, 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 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 percentage permitted pursuant to the above referenced investment policies.

These policies may be changed by the Board of Trustees, but no change is anticipated. If the Fund’s policies change, the Fund will provide shareholders at least 60 days’ prior written notice before implementation of the change.

Percentage limitations described in this Prospectus are as of the time of investment by the Fund and could thereafter be exceeded as a result of market value fluctuations of the Fund’s portfolio.

Credit Quality. The Fund may invest without limitation in securities rated below-investment grade (e.g., securities rated below Baa3 by Moody’s Investors Service, Inc. (“Moody’s”), below BBB- by Standard & Poor’s Ratings Group (“S&P”) or Fitch Ratings (“Fitch”) or comparably rated by another nationally recognized statistical rating organization) or, if unrated, determined

48

by the Sub-Adviser to be of comparable quality. Securities rated below-investment grade 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. Lower grade securities may be particularly susceptible to economic downturns. It is likely that an economic recession could severely disrupt the market for such securities and may have an adverse effect on the value of such securities. In addition, it is likely that any such economic downturn could adversely affect the ability of the issuers of such securities to repay principal and pay interest thereon and increase the incidence of default for such securities.

The Fund is not required to dispose of a security if an NRSRO or the Sub-Adviser downgrades its assessment of that security. In determining whether to retain or sell a security that an NRSRO or the Sub-Adviser has downgraded, the Sub-Adviser may consider such factors as its assessment of the credit quality of the security, the price at which the security could be sold, and the rating, if any, assigned to the security by other ratings agencies. When the Sub-Adviser believes it to be in the best interests of the Fund’s shareholders, the Fund will reduce its investment in lower grade securities and, in certain market conditions, the Fund may invest none of its assets in lower grade securities.

Rating agencies, such as Moody’s or S&P, are private services that provide ratings of the credit quality of debt obligations. Ratings assigned by an NRSRO are not absolute standards of credit quality but represent the opinion of the NRSRO as to the quality of the obligation. Ratings do not evaluate market risks or the liquidity of securities. Rating agencies may fail to make timely changes in credit ratings and an issuer’s current financial condition may be better or worse than a rating indicates. To the extent that the issuer of a security pays an NRSRO for the analysis of its security, an inherent conflict of interest may exist that could affect the reliability of the rating. Ratings are relative and subjective and, although ratings may be useful in evaluating the safety of interest and principal payments, they do not evaluate the market value risk of such obligations. Although these ratings may be an initial criterion for selection of portfolio investments, the Sub-Adviser also will independently evaluate these securities and the ability of the issuers of such securities to pay interest and principal. To the extent that the Fund invests in unrated lower grade securities, the Fund’s ability to achieve its investment objective will be more dependent on the Sub-Adviser’s credit analysis than would be the case when the Fund invests in rated securities.

Please refer to Appendix A to the SAI for more information regarding Moody’s and S&P’s ratings of fixed-income securities.

THE FUND’S INVESTMENTS

The Fund will seek to achieve its investment objective by investing in the following categories of securities:

Income Securities. The Fund may invest in a wide range of Income Securities selected from a variety of sectors, including, but not limited to, corporate bonds, loans and loan participations (including senior secured floating rate loans (“Senior Loans”), “second lien” secured floating rate loans (“Second Lien 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. The Fund may invest in non-U.S. dollar-denominated Income Securities issued by sovereign entities and corporations, including Income Securities of issuers in emerging market countries. The Fund may invest in Income Securities of any credit quality, including 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.

Common Equity Securities and Covered Call Option Strategy. The Fund may invest in 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. In addition to its covered call option strategy, the Fund may, to a lesser extent, pursue a strategy that includes the sale (writing) of both covered call and put options on indices of securities and sectors of securities. This option strategy is intended to generate current gains from option premiums as a means to enhance distributions payable to the Fund’s Common Shareholders. As the Fund writes covered calls over more of its portfolio, its ability to benefit from capital appreciation becomes more limited. A substantial portion of the options written by the Fund may be over-the-counter options (“OTC options”). Under current market conditions, the Fund implements its covered call writing strategy primarily by investing in exchange-traded funds (“ETFs”) which provide exposure to Common Equity Securities and writing covered call options on those ETFs.

49

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”). These Real Property Asset Companies include:

•

Companies engaged in the ownership, construction, financing, management and/or sale of commercial, industrial and/or residential real estate (or that have assets primarily invested in such real estate), including real estate investment trusts (“REITs”); and

•

Companies engaged in energy, natural resources and basic materials businesses and companies engaged in associated businesses. These companies include, but are not limited to, those engaged in businesses such as 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.

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 property assets” (“Personal Property Asset Companies”). Personal (as opposed to real) property assets include 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 with investment performance that is not 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 Income Securities and Common Equity Securities in which the Fund may invest include privately issued 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 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). The Fund may be exposed to certain additional risks should the Sub-Adviser use derivatives as a means to synthetically implement the Fund’s investment strategies, including a lack of liquidity in such derivative instruments and additional expenses associated with using such derivative instruments.

Portfolio Contents

The Fund’s investment portfolio consists of investments in the following types of securities:

Corporate Bonds. Corporate bonds are debt obligations issued by corporations and other business entities. Corporate bonds may be either secured or unsecured. Collateral used for secured debt includes, but is not limited to, real property, machinery, equipment, accounts receivable, stocks, bonds or notes. If a bond is unsecured, it is known as a debenture.

50

Bondholders, as creditors, have a prior legal claim over common and preferred stockholders as to both income and assets of the corporation for the principal and interest due them and may have a prior claim over other creditors if liens or mortgages are involved. Interest on corporate bonds may be fixed or floating, or the bonds may be zero coupons. Interest on corporate bonds is typically paid semi-annually and is fully taxable to the bondholder. Corporate bonds contain elements of both interest-rate risk and credit risk. The market value of a corporate bond generally may be expected to rise and fall inversely with interest rates and may also be affected by the credit rating of the corporation, the corporation’s performance and perceptions of the corporation in the marketplace. Corporate bonds usually yield more than government or agency bonds due to the presence of credit risk.

Investment Grade Bonds. The Fund may invest in a wide variety of fixed-income securities rated or determined by the Sub-Adviser to be investment grade quality that are issued by corporations and other non-governmental entities and issuers (“Investment Grade Bonds”). Investment Grade Bonds are subject to market and credit risk. Market risk relates to changes in a security’s value. Investment Grade Bonds have varying levels of sensitivity to changes in interest rates and varying degrees of credit quality. In general, bond prices rise when interest rates fall, and fall when interest rates rise. Longer-term and zero coupon bonds are generally more sensitive to interest rate changes. Credit risk relates to the ability of the issuer to make payments of principal and interest. The values of Investment Grade Bonds, like those of other fixed-income securities, may be affected by changes in the credit rating or financial condition of an issuer. Investment Grade Bonds are generally considered medium- and high-quality securities. Some, however, may possess speculative characteristics, and may be more sensitive to economic changes and changes in the financial condition of issuers. The market prices of Investment Grade Bonds in the lowest investment grade categories may fluctuate more than higher-quality securities and may decline significantly in periods of general or regional economic difficulty. Investment Grade Bonds in the lowest investment grade categories may be thinly traded, making them difficult to sell promptly at an acceptable price. Investment Grade Bonds include certain investment grade quality mortgage-related securities, asset-backed securities, and other hybrid securities and instruments that are treated as debt obligations for U.S. federal income tax purposes.

Below-Investment Grade Bonds. The Fund may invest without limitation in a wide variety of fixed-income securities that are rated or determined by the Sub-Adviser to be below-investment grade quality (“Below-Investment Grade Bonds”). The credit quality of most Below-Investment Grade Bonds reflects a greater than average possibility that adverse changes in the financial condition of an issuer, or in general economic conditions, or both, may impair the ability of the issuer to make payments of interest and principal. The inability (or perceived inability) of issuers to make timely payment of interest and principal would likely make the values of Below-Investment Grade Bonds held by the Fund more volatile and could limit the Fund’s ability to sell such Bonds at favorable prices. In the absence of a liquid trading market for its Below-Investment Grade Bonds, the Fund may have difficulties determining the fair market value of such investments. Below-Investment Grade Bonds include certain investment grade quality mortgage-related securities, asset-backed securities, and other hybrid securities and instruments that are treated as debt obligations for U.S. federal income tax purposes.

In addition to pre-existing outstanding debt obligations of below-investment grade issuers, the Fund may also invest in “debtor-in-possession” or “DIP” financings newly issued in connection with “special situation” restructuring and refinancing transactions. DIP financings are Loans to a debtor-in-possession in a proceeding under the U.S. Bankruptcy Code that have been approved by the bankruptcy court. DIP financings are typically fully secured by a lien on the debtor’s otherwise unencumbered assets or secured by a junior lien on the debtor’s encumbered assets (so long as the Loan is fully secured based on the most recent current valuation or appraisal report of the debtor). The bankruptcy court can authorize the debtor to grant the DIP lender a claim with super-priority over administrative expenses incurred during bankruptcy and of other claims, thus a DIP financing may constitute senior debt even if not secured. DIP financings are often required to close with certainty and in a rapid manner in order to satisfy existing creditors and to enable the issuer to emerge from bankruptcy or to avoid a bankruptcy proceeding. These financings allow the entity to continue its business operations while reorganizing under Chapter 11 of the U.S. Bankruptcy Code.

Distressed and Defaulted Securities. The Fund may invest in the securities of financially distressed and bankrupt issuers. Such debt obligations may be in covenant or payment default. Such investments generally trade significantly below par and are considered speculative. The repayment of defaulted obligations is subject to significant uncertainties. Defaulted obligations might be repaid only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments. Typically such workout or bankruptcy proceedings result in only partial recovery of cash payments or an exchange of the defaulted obligation for other debt or equity securities of the issuer or its affiliates, which may in turn be illiquid or speculative.

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

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protection, income generation and/or the opportunity to generate capital growth. The Sub-Adviser believes that structured finance investments 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, 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. See “Investment Objective and Policies – Additional Investment Policies – Mortgage Related Securities” in the Fund’s SAI for additional information regarding various types of mortgage-related 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, among other assets, include 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). The contractual provisions setting out this order of payments are set out in detail in the relevant CLO’s indenture. These provisions are referred to as the “priority of payments” or the “waterfall” and determine the terms of payment of any other obligations that may be required to be paid ahead of payments of interest and principal on the securities issued by a CLO. In addition, for payments to be made to each tranche, after the most senior tranche of debt, there are various tests that must be complied with, which are different for each CLO. If a CLO breaches one of these tests excess cash flow that would otherwise be available for distribution to the subordinated tranche investors is diverted to prepay CLO debt investors in order of seniority until such time as the covenant breach is cured. If the covenant breach is not or cannot be cured, the subordinated tranche investors (and potentially other investors in lower priority rated tranches) may experience a partial or total loss of their investment.

CLOs are subject to the same risk of prepayment described with respect to certain mortgage-related and asset-backed securities. The value of CLOs may be affected by changes in the market’s perception of the creditworthiness of the servicing agent for the pool, the originator of the pool, or the financial institution or fund providing the credit support or enhancement.

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The Fund may invest in senior, rated tranches as well as 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. Insurance companies securitize this risk to transfer to the capital markets the truly catastrophic part of the risk exposure. A typical RLS provides for income and return of capital similar to other fixed-income investments, but would involve full or partial default if losses resulting from a certain catastrophe exceeded a predetermined amount. RLS typically have relatively high yields compared with similarly rated fixed-income securities, and also have low correlation with the returns of traditional securities. The Sub-Adviser believes that inclusion of RLS in the Fund’s portfolio could lead to significant improvement in its overall risk-return profile. Investments in RLS may be linked to a broad range of insurance risks, which can be broken down into three major categories: natural risks (such as hurricanes and earthquakes), weather risks (such as insurance based on a regional average temperature) and non-natural events (such as aerospace and shipping catastrophes). Although property-casualty RLS have been in existence for over a decade, significant developments have started to occur in securitizations done by life insurance companies. In general, life insurance industry securitizations could fall into a number of categories. Some are driven primarily by the desire to transfer risk to the capital markets, such as the transfer of extreme mortality risk (mortality bonds). Others, while also including the element of risk transfer, are driven by other considerations. For example, a securitization could be undertaken to relieve the capital strain on life insurance companies caused by the regulatory requirements of establishing very conservative reserves for some types of products. Another example is the securitization of the stream of future cash flows from a particular block of business, including the securitization of embedded values of life insurance business or securitization for the purpose of funding acquisition costs.

Senior Loans. Senior Loans are floating rate Loans made to corporations and other non-governmental entities and issuers. 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 proceeds of Senior Loans primarily are used to finance leveraged buyouts, recapitalizations, mergers, acquisitions, stock repurchases, dividends, and, to a lesser extent, to finance internal growth and for other corporate purposes. Senior Loans typically have rates of interest that are redetermined daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium or credit spread. Base lending rates in common usage today are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major U.S. banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

Second Lien Loans. Second Lien Loans are Loans made by public and private corporations and other non-governmental entities and issuers for a variety of purposes. Second Lien Loans are second in right of payment to one or more Senior Loans of the related borrower. Second Lien Loans typically are secured by a second priority security interest or lien to or on specified collateral securing the borrower’s obligation under the Loan and typically have similar protections and rights as Senior Loans. Second Lien Loans are not (and by their terms cannot) become subordinate in right of payment to any obligation of the related borrower other than Senior Loans of such borrower. Second Lien Loans, like Senior Loans, typically have floating rate interest payments. Because Second Lien Loans are second to Senior Loans, they present a greater degree of investment risk but often pay interest at higher rates reflecting this additional risk. Such investments generally are of below-investment grade quality. Other than their subordinated status, Second Lien Loans have many characteristics and risks similar to Senior Loans discussed above. In addition, Second Lien Loans and debt securities of below-investment grade quality share many of the risk characteristics of Non-Investment Grade Bonds.

Subordinated Secured Loans. Subordinated secured Loans are made by public and private corporations and other non-governmental entities and issuers for a variety of purposes. Subordinated secured Loans may rank lower in right of payment to one or more Senior Loans and Second Lien Loans of the borrower. Subordinated secured Loans typically are secured by a lower priority security interest or lien to or on specified collateral securing the borrower’s obligation under the Loan, and typically have more subordinated protections and rights than Senior Loans and Second Lien Loans. Subordinated secured Loans may become subordinated in right of payment to more senior obligations of the borrower issued in the future. Subordinated secured Loans may have fixed or floating rate interest payments. Because Subordinated secured Loans may rank lower as to right of payment than Senior Loans and Second Lien Loans of the borrower, they may present a greater degree of investment risk than

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Senior Loans and Second Lien Loans but often pay interest at higher rates reflecting this additional risk. Such investments generally are of below investment grade quality. Other than their more subordinated status, such investments have many characteristics and risks similar to Senior Loans and Second Lien Loans discussed above.

Unsecured Loans. Unsecured Loans are loans made by public and private corporations and other non-governmental entities and issuers for a variety of purposes. Unsecured Loans generally have lower priority in right of payment compared to holders of secured debt of the borrower. Unsecured Loans are not secured by a security interest or lien to or on specified collateral securing the borrower’s obligation under the loan. Unsecured Loans by their terms may be or may become subordinate in right of payment to other obligations of the borrower, including Senior Loans, Second Lien Loans and Subordinated Secured Loans. Unsecured Loans may have fixed or floating rate interest payments. Because unsecured Loans are subordinate to the secured debt of the borrower, they present a greater degree of investment risk but often pay interest at higher rates reflecting this additional risk. Such investments generally are of below investment grade quality. Other than their subordinated and unsecured status, such investments have many characteristics and risks similar to Senior Loans, Second Lien Loans and Subordinated Secured Loans discussed above.

Mezzanine Investments. 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 may be issued with or without registration rights. Similar to other lower grade securities, maturities of Mezzanine Investments are typically seven to ten years, but the expected average life is significantly shorter at three to five years. Mezzanine Investments are usually unsecured and subordinated to other obligations of the issuer.

Convertible Securities. Convertible securities include bonds, debentures, notes, preferred stocks and other securities that entitle the holder to acquire common stock or other equity securities of the issuer. Convertible securities have general characteristics similar to both debt and equity securities. A convertible security generally entitles the holder to receive interest or preferred dividends paid or accrued until the convertible security matures or is redeemed, converted or exchanged. Before conversion, convertible securities have characteristics similar to non-convertible debt obligations. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, generally entail less risk than the corporation’s common stock, although the extent to which such risk is reduced depends in large measure upon the degree to which the convertible security sells above its value as a debt obligation. A convertible security may be subject to redemption at the option of the issuer at a predetermined price. If a convertible security held by the Fund is called for redemption, the Fund would be required to permit the issuer to redeem the security and convert it to underlying common stock, or would sell the convertible security to a third party, which may have an adverse effect on the Fund’s ability to achieve its investment objectives. The price of a convertible security often reflects variations in the price of the underlying common stock in a way that non-convertible debt may not. The value of a convertible security is a function of (i) its yield in comparison to the yields of other securities of comparable maturity and quality that do not have a conversion privilege and (ii) its worth if converted into the underlying common stock.

Preferred Stocks. Preferred stocks represent the senior residual interest in the assets of an issuer after meeting all claims, with priority to corporate income and liquidation payments over the issuer’s common stock. As such, preferred stock is inherently more risky than the bonds and loans of the issuer, but less risky than its common stock. Preferred stocks often contain provisions that allow for redemption in the event of certain tax or legal changes or at the issuers’ call. Preferred stocks typically do not provide any voting rights, except in cases when dividends are in arrears beyond a certain time period. Preferred stock in some instances is convertible into common stock.

Although they are equity securities, preferred stocks have certain characteristics of both debt and common stock. They are debt-like in that their promised income is contractually fixed. They are common stock-like in that they do not have rights to precipitate bankruptcy proceedings or collection activities in the event of missed payments. Furthermore, they have many of the key characteristics of equity due to their subordinated position in an issuer’s capital structure and because their quality and value are heavily dependent on the profitability of the issuer rather than on any legal claims to specific assets or cash flows. In order to be payable, dividends on preferred stock must be declared by the issuer’s board of directors. In addition, distributions on preferred stock may be subject to deferral and thus may not be automatically payable. Income payments on some preferred stocks are cumulative, causing dividends and distributions to accrue even if not declared by the board of directors or otherwise made payable. Other preferred stocks are non-cumulative, meaning that skipped dividends and distributions do not continue to accrue. There is no assurance that dividends on preferred stocks in which the Fund invests will be declared or otherwise made payable. If the Fund owns preferred stock that is deferring its distributions, the Fund may be required to report income for U.S. federal income tax purposes while it is not receiving cash payments corresponding to such income. When interest rates fall below the rate payable on an issue of preferred stock or for other reasons, the issuer may redeem the preferred stock, generally after an initial period of call protection in which the stock is not redeemable. Preferred stocks may be significantly less liquid than many other securities, such as U.S. Government securities, corporate bonds and common stock.

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U.S. Government Securities. The Fund may invest in debt securities issued or guaranteed by the U.S. government, its agencies or instrumentalities including: (1) U.S. Treasury obligations, which differ in their interest rates, maturities and times of issuance, such as U.S. Treasury bills (maturity of one year or less), U.S. Treasury notes (maturity of one to ten years), and U.S. Treasury bonds (generally maturities of greater than ten years), including the principal components or the interest components issued by the U.S. government under the separate trading of registered interest and principal securities program (i.e., “STRIPS”), all of which are backed by the full faith and credit of the United States; and (2) obligations issued or guaranteed by U.S. government agencies or instrumentalities, including government guaranteed mortgage-related securities, some of which are backed by the full faith and credit of the U.S. Treasury, some of which are supported by the right of the issuer to borrow from the U.S. government, and some of which are backed only by the credit of the issuer itself.

Foreign Securities. While the Fund invests primarily in securities of U.S. issuers, the Fund may invest up to 20% of its total assets in non-U.S. dollar-denominated fixed-income securities of corporate and governmental issuers located outside the United States, including up to 10% in emerging markets. Foreign securities include securities issued or guaranteed by companies organized under the laws of countries other than the United States and securities issued or guaranteed by foreign governments, their agencies or instrumentalities and supra-national governmental entities, such as the World Bank. Foreign securities also may be traded on foreign securities exchanges or in over-the-counter capital markets. The value of foreign securities and obligations is affected by changes in currency rates, foreign tax laws (including withholding tax), government policies (in this country or abroad), relations between nations and trading, settlement, custodial and other operational risks. In addition, the costs of investing abroad are generally higher than in the United States, and foreign securities markets may be less liquid, more volatile and less subject to governmental supervision than markets in the United States. Foreign investments also could be affected by other factors not present in the United States, including expropriation, armed conflict, confiscatory taxation, lack of uniform accounting and auditing standards, less publicly available financial and other information and potential difficulties in enforcing contractual obligations.

Since the Fund may invest in securities and obligations that are denominated or quoted in currencies other than the U.S. dollar, the Fund may be affected by changes in foreign currency exchange rates (and exchange control regulations) which affect the value of investments in the Fund and the accrued income and appreciation or depreciation of the investments in U.S. dollars. Changes in foreign currency exchange rates relative to the U.S. dollar will affect the U.S. dollar value of the Fund’s assets denominated in that currency and the Fund’s return on such assets as well as any temporary uninvested reserves in bank deposits in foreign currencies. In addition, the Fund will incur costs in connection with conversions between various currencies. The Fund may seek to fully hedge its exposures to foreign currencies but may, at the discretion of the Sub-Adviser, at any time limit or eliminate foreign currency hedging activity. See “—Derivative Transactions—Foreign Currency Transactions.”

Sovereign and Supranational Obligations. The Fund may invest in sovereign debt securities, which are debt securities issued or guaranteed by foreign governmental entities, such as foreign government debt or foreign treasury bills. Investments in sovereign debt securities involve special risks in addition to those risks usually associated with investments in debt securities, including risks associated with economic or political uncertainty and the risk that the governmental authority that controls the repayment of sovereign debt may be unwilling or unable to repay the principal and/or interest when due. The Fund may also invest in securities or other obligations issued or backed by supranational organizations, which are international organizations that are designated or supported by government entities or banking institutions typically to promote economic reconstruction or development. These obligations are subject to the risk that the government(s) on whose support the organization depends may be unable or unwilling to provide the necessary support. With respect to both sovereign and supranational obligations, the Fund may have little recourse against the foreign government or supranational organization that issues or backs the obligation in the event of default. These obligations may be denominated in foreign currencies and the prices of these obligations may be more volatile than corporate debt obligations.

Sovereign debt instruments in which the Fund may invest may involve great risk and may be deemed to be the equivalent in terms of credit quality to securities rated below investment grade by Moody’s and S&P. Governmental entities may depend on expected disbursements from foreign governments, multilateral agencies and international organizations to reduce principal and interest arrearages on their debt obligations. The commitment on the part of these governments, agencies and others to make such disbursements may be conditioned on a governmental entity’s implementation of economic or other reforms and/or economic performance and the timely service of the governmental entity’s obligations. Failure to implement such reforms, achieve such levels of economic performance or repay principal or interest when due may result in the cancellation of the commitments to lend funds or other aid to the governmental entity, which may further impair the governmental entity’s ability or willingness to service its debts in a timely manner. Some of the countries in which the Fund may invest have encountered difficulties in servicing their sovereign debt obligations and have withheld payments of interest and/or principal of sovereign debt. These difficulties have also led to agreements to restructure external debt obligations, which may result in costs to the holders of the sovereign debt. Consequently, a government obligor may default on its obligations and/or the values of its obligations may decline significantly.

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Common Stocks and Other Common Equity Securities. The Fund may also invest in common stocks and other Common Equity Securities that the Sub-Adviser believes offer attractive yield and/or capital appreciation potential. Common stock represents the residual ownership interest in the issuer. Holders of common stocks and other Common Equity Securities are entitled to the income and increase in the value of the assets and business of the issuer after all of its debt obligations and obligations to preferred stockholders are satisfied. The Fund may invest in companies of any market capitalization.

Options. 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. In addition to its covered call option strategy, the Fund may, to a lesser extent, pursue a strategy that includes the sale (writing) of both covered call and put options on indices of securities and sectors of securities. This option strategy is intended to generate current gains from option premiums as a means to enhance distributions payable to the Fund’s Common Shareholders. An option on a security is a contract that gives the holder of the option, in return for a premium, the right to buy from (in the case of a call) or sell to (in the case of a put) the writer of the option the security underlying the option at a specified exercise or “strike” price. The writer of an option on a security has the obligation upon exercise of the option to deliver the underlying security upon payment of the exercise price or to pay the exercise price upon delivery of the underlying security. Certain options, known as “American style” options may be exercised at any time during the term of the option. Other options, known as “European style” options, may be exercised only on the expiration date of the option.

If an option written by the Fund expires unexercised, the Fund realizes on the expiration date a capital gain equal to the premium received by the Fund at the time the option was written. If an option purchased by the Fund expires unexercised, the Fund realizes a capital loss equal to the premium paid. Prior to the earlier of exercise or expiration, an exchange-traded option may be closed out by an offsetting purchase or sale of an option of the same series (type, underlying security, exercise price and expiration). There can be no assurance, however, that a closing purchase or sale transaction can be effected when the Fund desires. The Fund may sell put or call options it has previously purchased, which could result in a net gain or loss depending on whether the amount realized on the sale is more or less than the premium and other transaction costs paid on the put or call option when purchased. The Fund will realize a capital gain from a closing purchase transaction if the cost of the closing option is less than the premium received from writing the option, or, if it is more, the Fund will realize a capital loss. If the premium received from a closing sale transaction is more than the premium paid to purchase the option, the Fund will realize a capital gain or, if it is less, the Fund will realize a capital loss. Net gains from the Fund’s option strategy will be short-term capital gains which, for U.S. federal income tax purposes, will constitute net investment company taxable income.

The Fund will follow a strategy known as “covered call option writing,” which is a strategy designed to generate current gains from option premiums as a means to enhance distributions payable to the Fund’s Common Shareholders. As the Fund writes covered calls over more of its portfolio, its ability to benefit from capital appreciation becomes more limited.

As part of its strategy, the Fund may not sell “naked” call options on individual securities, (i.e., options representing more shares of the stock than are held in the portfolio). A call option written by the Fund on a security is “covered” if the Fund owns the security or instrument underlying the call or has an absolute and immediate right to acquire that security or instrument without additional cash consideration (or, if additional cash consideration is required, cash or other assets determined to be liquid by the Sub-Adviser (in accordance with procedures established by the board of trustees) in such amount are segregated by the Fund’s custodian) upon conversion or exchange of other securities held by the Fund. A call option is also covered if the Fund holds a call on the same security as the call written where the exercise price of the call held is (i) equal to or less than the exercise price of the call written, or (ii) greater than the exercise price of the call written, provided the difference is maintained by the Fund in segregated assets determined to be liquid by the Sub-Adviser as described above.

Put options are contracts that give the holder of the option, in return for a premium, the right to sell to the writer of the option the security underlying the option at a specified exercise price at a specific time or times during the term of the option. These strategies may produce a considerably higher return than the Fund’s primary strategy of covered call writing, but involve a higher degree of risk and potential volatility.

The Fund will write (sell) put options on individual securities only if the put option is “covered.” A put option written by the Fund on a security is “covered” if the Fund segregates or earmarks assets determined to be liquid by the Sub-Adviser, as described above, equal to the exercise price. A put option is also covered if the Fund holds a put on the same security as the put written where the exercise price of the put held is (i) equal to or greater than the exercise price of the put written, or (ii) less than the exercise price of the put written, provided the difference is maintained by the Fund in segregated or earmarked assets determined to be liquid by the Sub-Adviser, as described above.

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The Fund may sell put and call options on indices of securities. Options on an index differ from options on securities because (i) the exercise of an index option requires cash payments and does not involve the actual purchase or sale of securities, (ii) the holder of an index option has the right to receive cash upon exercise of the option if the level of the index upon which the option is based is greater, in the case of a call, or less, in the case of a put, than the exercise price of the option and (iii) index options reflect price-fluctuations in a group of securities or segments of the securities market rather than price fluctuations in a single security.

Restricted and Illiquid Securities. The Fund may invest in securities for which there is no readily available trading market or that are otherwise illiquid. Illiquid securities include securities legally restricted as to resale, such as commercial paper issued pursuant to Section 4(2) of the Securities Act of 1933, as amended (the “Securities Act”), and securities eligible for resale pursuant to Rule 144A thereunder. Section 4(2) and Rule 144A securities may, however, be treated as liquid by the Investment Adviser pursuant to procedures adopted by the Fund’s Board of Trustees, which require consideration of factors such as trading activity, availability of market quotations and number of dealers willing to purchase the security. If the Fund invests in Rule 144A securities, the level of portfolio illiquidity may be increased to the extent that eligible buyers become uninterested in purchasing such securities.

It may be difficult to sell such securities at a price representing the fair value until such time as such securities may be sold publicly. Where registration is required, a considerable period may elapse between a decision to sell the securities and the time when it would be permitted to sell. Thus, the Fund may not be able to obtain as favorable a price as that prevailing at the time of the decision to sell. The Fund may also acquire securities through private placements under which it may agree to contractual restrictions on the resale of such securities. Such restrictions might prevent their sale at a time when such sale would otherwise be desirable.

Government Sponsored Investment Programs

From time to time, the Fund may seek to invest in credit securities through one or more programs that may from time to time be sponsored, established or operated by the U.S. Department of the Treasury, the Board of Governors of the Federal Reserve System and other governmental agencies.

Derivative Transactions

The Fund may, but is not required to, use various strategic transactions in swaps, futures, options and other derivative contracts in order to earn income, facilitate portfolio management and mitigate risks. These strategies may be executed through the use of derivative contracts. In the course of pursuing these investment strategies, the Fund may purchase and sell exchange-listed and OTC put and call options on securities, equity and fixed-income indices and other instruments, purchase and sell futures contracts and options thereon, and enter into various transactions such as swaps, caps, floors or collars. In addition, derivative transactions may also include new techniques, instruments or strategies that are permitted as regulatory changes occur. 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 (or a comparable rating from another 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.

Credit Derivatives. Credit default derivatives are linked to the price of reference securities or loans after a default by the issuer or borrower, respectively. Market spread derivatives are based on the risk that changes in market factors, such as credit spreads, can cause a decline in the value of a security, loan or index. There are three basic transactional forms for credit derivatives: swaps, options and structured instruments. The use of credit derivatives is a highly specialized activity which involves strategies and risks different from those associated with ordinary portfolio security transactions. When the Fund engages in a credit derivative transaction, it may have to earmark or segregate cash or liquid securities, and mark the same on a daily basis, in an amount necessary to comply with currently applicable regulatory requirements.

The Fund may invest in credit default swap transactions and credit-linked notes (described below) for hedging and investment purposes. The “buyer” in a credit default swap contract is obligated to pay the “seller” a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If an event of default occurs, the seller must pay the buyer the full notional value, or “par value,” of the reference obligation. Credit default swap transactions are either “physical delivery” settled or “cash” settled. Physical delivery entails the actual delivery of the reference asset to the seller in exchange for the payment of the full par value of the reference asset. Cash settled entails a net cash payment from the seller to the buyer based on the difference of the par value of the reference asset and the current value of the reference asset that may, after a default, have lost some, most, or all of its value.

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The Fund may be either the buyer or seller in a credit default swap transaction and generally will be a buyer in instances in which the Fund actually owns the underlying debt security and seeks to hedge against the risk of default in that debt security. If the Fund is a buyer and no event of default occurs, the Fund will have made a series of periodic payments (in an amount more or less than the value of the cash flows received on the underlying debt security) and recover nothing of monetary value. However, if an event of default occurs, the Fund (if the buyer) will receive the full notional value of the reference obligation either through a cash payment in exchange for such asset or a cash payment in addition to owning the reference asset. The Fund generally will be a seller when it seeks to take the credit risk of a particular debt security and, as a seller, the Fund receives a fixed rate of income throughout the term of the contract, which typically is between six months and ten years, provided that there is no event of default. If an event of default occurs, the seller must pay the buyer the full notional value of the reference obligation through either physical settlement and/or cash settlement. Credit default swap transactions involve greater risks than if the Fund had invested in the reference obligation directly, including counterparty credit risk and leverage risk.

typically is between six months and five years, provided that there is no credit event during the pendency of the trade. If a credit event occurs, the Fund as seller generally must pay the buyer the full notional value, or “par value” of the swap in exchange for an equal face amount of the reference obligations of the entity described in the swap, or the Fund may be required to deliver the related net cash amount, depending on the settlement methodology of the swap. Unless and until the Fund actually receives the defaulted reference obligation, it will not be a holder of record of such obligation and will not have any rights as a creditor against the relevant issuer.

The Fund would earmark and reserve assets necessary to meet any accrued payment obligations when it is the buyer of a credit default swap. In cases where the Fund is the seller of a credit default swap, if the credit default swap provides for physical settlement, the Fund would be required to earmark and reserve the full notional amount of the credit default swap. Where the Fund sells protection, it effectively adds the equivalent of leverage to its portfolio because, in addition to its total assets, the Fund would be subject to investment exposure on the notional amount of the swap.

Foreign Currency Transactions. The Fund may (but is not required to) hedge some or all of its exposure to non-U.S. currencies through the use of forward foreign currency exchange contracts, options on foreign currencies, foreign currency futures contracts and swaps and other derivatives transactions. Suitable hedging transactions may not be available in all circumstances and there can be no assurance that the Fund will engage in such transactions at any given time or from time to time when they would be beneficial. Although the Fund has the flexibility to engage in such transactions, the Investment Adviser or Sub-Adviser may determine not to do so or to do so only in unusual circumstances or market conditions. These transactions may not be successful and may eliminate any chance for the Fund to benefit from favorable fluctuations in relevant foreign currencies. The Fund may also use derivatives transactions for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one currency to another.

For a more complete discussion of the Fund’s investment practices involving transactions in derivatives and certain other investment techniques, see “Investment Objective and Policies—Derivative Instruments” in the Fund’s SAI.

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.

Temporary Investments

At any time when a temporary posture is believed by the Investment Adviser to be warranted (a “temporary defensive 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 money market instruments in which the Fund may invest are obligations of the U.S. government, its agencies or instrumentalities; commercial paper rated A-1 or higher by S&P or Prime-1 by Moody’s; and certificates of deposit and bankers’ acceptances issued by domestic branches of U.S. banks that are members of the Federal Deposit Insurance Corporation. During a temporary defensive period, the Fund may also invest in shares of money market mutual funds. Money market mutual funds are investment companies, and the investments in those companies by the Fund are in some cases subject to the 1940 Act’s limitations on investments in other investment companies. See “Investment Restrictions” in the Fund’s SAI. As a shareholder in a mutual fund, the Fund will bear its ratable share of its expenses, including management fees, and will remain subject to payment of the fees to the Investment Adviser, with respect to assets so invested. See “Management of the Fund.” The Fund may not achieve its investment objective during a temporary defensive period or be able to sustain its historical distribution levels.

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Certain Other Investment Practices

When Issued, Delayed Delivery Securities and Forward Commitments. The Fund may enter into forward commitments for the purchase or sale of securities, including on a “when issued” or “delayed delivery” basis, in excess of customary settlement periods for the type of security involved. In some cases, a forward commitment may be conditioned upon the occurrence of a subsequent event, such as approval and consummation of a merger, corporate reorganization or debt restructuring (i.e., a when, as and if issued security). When such transactions are negotiated, the price is fixed at the time of the commitment, with payment and delivery taking place in the future, generally a month or more after the date of the commitment. While it will only enter into a forward commitment with the intention of actually acquiring the security, the Fund may sell the security before the settlement date if it is deemed advisable. Securities purchased under a forward commitment are subject to market fluctuation, and no interest (or dividends) accrues to the Fund prior to the settlement date. Under current regulatory requirements, the Fund will segregate with its custodian cash or liquid securities in an aggregate amount at least equal to the amount of its outstanding forward commitments. There is a risk that the securities may not be delivered and that the Fund may incur a loss. Forward commitments involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in value of the Fund’s other assets. In addition, recently finalized FINRA rules include mandatory margin requirements that will require the Fund to post collateral in connection with certain of these transactions. There is no similar requirement applicable to the Fund’s counterparties. The required collateralization of these transactions could increase the cost of such transactions to the Fund and impose added operational complexity.

Loans of Portfolio Securities. To increase income, the Fund may lend its portfolio securities to securities broker-dealers or financial institutions if (i) the loan is collateralized in accordance with applicable regulatory requirements and (ii) no loan will cause the value of all loaned securities to exceed 331/3% of the value of the Fund’s total assets. If the borrower fails to maintain the requisite amount of collateral, the loan automatically terminates and the Fund could use the collateral to replace the securities while holding the borrower liable for any excess of replacement cost over the value of the collateral. As with any extension of credit, there are risks of delay in recovery and in some cases even loss of rights in collateral should the borrower of the securities fail financially. There can be no assurance that borrowers will not fail financially. On termination of the loan, the borrower is required to return the securities to the Fund, and any gain or loss in the market price during the period of the loan would inure to the Fund. If the other party to the loan petitions for bankruptcy or becomes subject to the United States Bankruptcy Code, the law regarding the rights of the Fund is unsettled. As a result, under extreme circumstances, there may be a restriction on the Fund’s ability to sell the collateral and the Fund would suffer a loss. See “Investment Objective and Policies Loans of Portfolio Securities” in the Fund’s SAI.

Repurchase Agreements. Repurchase agreements may be seen as loans by the Fund collateralized by underlying debt securities. Under the terms of a typical repurchase agreement, the Fund would acquire an underlying debt obligation or other security for a relatively short period (usually not more than one week) subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed price and time. This arrangement results in a fixed rate of return to the Fund that is not subject to market fluctuations during the holding period. 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 Sub-Adviser reviews the creditworthiness of the counterparties with which the Fund enters into repurchase agreements to evaluate these risks and monitors on an ongoing basis the value of the securities subject to repurchase agreements to ensure that the value is maintained at the required level. The Fund will not enter into repurchase agreements with the Investment Adviser, the Sub-Adviser or their affiliates.

Reverse Repurchase Agreements. The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Fund agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. The Fund may enter into such agreements when it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. 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 instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Fund’s assets. As a result, such transactions may increase fluctuations in the net asset value

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of the Fund’s Common Shares. Because reverse repurchase agreements may be considered to be the practical equivalent of borrowing funds, they constitute a form of leverage. Such agreements will be treated as subject to investment restrictions regarding “borrowings.” If the Fund reinvests the proceeds of a reverse repurchase agreement at a rate lower than the cost of the agreement, entering into the agreement will lower the Fund’s cash available for distribution.

Portfolio Turnover

The Fund will buy and sell securities to seek to accomplish its investment objective. Portfolio turnover generally involves some expense to the Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestment in other securities. The portfolio turnover rate is computed by dividing the lesser of the amount of the securities purchased or securities sold by the average monthly value of securities owned during the year (excluding securities whose maturities at acquisition were one year or less). The Fund’s portfolio turnover rate may vary greatly from year to year. Higher portfolio turnover may decrease the after-tax return to individual investors in the Fund to the extent it results in a decrease of the long-term capital gains portion of distributions to shareholders. For the fiscal years ended May 31, 2021 and May 31, 2020, the Fund’s portfolio turnover rate was 64% and 41%, respectively.

Investment Restrictions

The Fund has adopted certain other investment limitations designed to limit investment risk. These limitations are fundamental and may not be changed without the approval of the holders of a majority of the outstanding Common Shares, as defined in the 1940 Act (and preferred shares, if any, voting together as a single class). See “Investment Restrictions” in the SAI for a complete list of the fundamental investment policies of the Fund.

USE OF 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 1940 Act; however, the aggregate amount of Financial Leverage is not currently expected to exceed 33 1∕3% of the Fund’s Managed Assets after such issuance and/or borrowing. So long as the net rate of return on the Fund’s investments purchased with the proceeds of Financial Leverage exceeds the cost of such Financial Leverage, such excess amounts will be available to pay higher distributions to holders of the Fund’s Common Shares. 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.

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 and leveraged transactions may vary significantly over time based on the Sub-Adviser’s assessment of market and economic conditions, available investment opportunities and cost of leverage. The Fund has at times used significantly greater levels of leverage than on May 31, 2021, and may in the future increase leverage up to the parameters set forth herein.

Borrowing

The Fund is authorized to borrow or issue debt securities for financial leveraging purposes and for temporary purposes such as the settlement of transactions. The Fund may utilize indebtedness to the maximum extent permitted under the 1940 Act. Under the 1940 Act, the Fund generally is not permitted to issue commercial paper or notes or engage in other Borrowings, other than temporary borrowings as defined under the 1940 Act, unless, immediately after the Borrowing, the Fund would have asset coverage (as defined in the 1940 Act) of less than 300%, as measured at the time of borrowing and calculated as the ratio of the Fund’s total assets (less all liabilities and indebtedness not represented by senior securities) over the aggregate amount of the Fund’s outstanding senior securities representing indebtedness. In addition, other than with respect to privately arranged Borrowings, the Fund generally is not permitted to declare any cash dividend or other distribution on any class of the Fund’s capital stock, including the Common Shares, or purchase any such capital stock, unless, at the time of such declaration, the Fund would have asset coverage (as described above) of at least 300% after deducting the amount of such dividend or other distribution. If the Fund borrows, the Fund intends, to the extent possible, to prepay all or a portion of the principal amount of any outstanding commercial paper, notes or other Borrowings to the extent necessary to maintain the required asset coverage.

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The terms of any such Borrowings may require the Fund to pay a fee to maintain a line of credit, such as a commitment fee, or to maintain minimum average balances with a lender. Any such requirements would increase the cost of such Borrowings over the stated interest rate. Such lenders would have the right to receive interest on and repayment of principal of any such Borrowings, which right will be senior to those of the Common Shareholders. Any such Borrowings may contain provisions limiting certain activities of the Fund, including the payment of dividends to Common Shareholders in certain circumstances. Any Borrowings will likely be ranked senior or equal to all other existing and future Borrowings of the Fund.

Certain types of Borrowings subject the Fund to covenants in credit agreements relating to asset coverage and portfolio composition requirements. Certain Borrowings issued 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 Borrowings. 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 Sub-Adviser from managing the Fund’s portfolio in accordance with the Fund’s investment objective and policies.

The 1940 Act grants to the holders of senior securities representing indebtedness issued by the Fund, other than with respect to privately arranged Borrowings, certain voting rights in the event of default in the payment of interest on or repayment of principal. Failure to maintain certain asset coverage requirements under the 1940 Act could result in an event of default and entitle the debt holders to elect a majority of the Board.

The Fund has entered into a committed facility agreement with BNP Paribas, dated as of November 20, 2008, and amended through the date hereof, 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). Interest payable by the Fund on Borrowings under the committed facility agreement is based on the three- month London Interbank Offered Rate (LIBOR) plus 85 basis points. An unused commitment fee of 0.75% may be charged on the difference between the maximum committed amount and the actual amount borrowed. On May 31, 2021, outstanding Borrowings under the Fund’s committed facility agreement were $38.5 million. The Fund’s Borrowings under the committed facility are collateralized by portfolio assets which are maintained by the Fund in a separate account with the Fund’s custodian for the benefit of the lender, which collateral exceeds the amount borrowed. Securities deposited in the collateral account may, subject to certain conditions, be rehypothecated by BNP Paribas up to the amount of the loan balance outstanding. The Fund continues to receive dividends and interest on rehypothecated securities. The Fund also has the right to recall rehypothecated securities on demand and such securities shall be returned to the collateral account within the ordinary settlement cycle. In the event a recalled security is not returned by the lender, the loan balance outstanding will be reduced by the amount of the recalled security failed to be returned. The Fund receives a portion of the fees earned by BNP Paribas in connection with the rehypothecation of portfolio securities. Rehypothecation of the Fund’s pledged portfolio securities entails risks, including the risk that the lender will be unable or unwilling to return rehypothecated securities which could result in, among other things, the Fund’s inability to find suitable investments to replace the unreturned securities, thereby impairing the Fund’s ability to achieve its investment objectives. In the event of a default by the Fund under the committed facility, the lender has the right to sell such collateral assets to satisfy the Fund’s obligation to the lender. The amounts drawn under the committed facility may vary over time and such amounts will be reported in the Fund’s audited and unaudited financial statements contained in the Fund’s annual and semi-annual reports to shareholders.

Reverse Repurchase Agreements and Dollar Roll Transactions

Borrowings may be made by the Fund through reverse repurchase agreements under which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers and agrees to repurchase them at a particular date and price. Such agreements are considered to be borrowings under the 1940 Act. The Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction.

Borrowings may be made by the Fund through dollar roll transactions. A dollar roll transaction involves a sale by the Fund of a mortgage-backed or other fixed-income security concurrently with an agreement by the Fund to repurchase a similar security at a later date at an agreed-upon price. The securities that are repurchased will bear the same interest rate and stated maturity as those sold, but pools of mortgages collateralizing those securities may have different prepayment histories than those sold. During the period between the sale and repurchase, the Fund will not be entitled to receive interest and principal payments on the securities sold. Proceeds of the sale will be invested in additional instruments for the Fund, and the income from these investments will generate income for the Fund. If such income does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will diminish the investment performance of the Fund compared with what the performance would have been without the use of dollar rolls.

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With respect to any reverse repurchase agreement, dollar roll or similar transaction, the Fund’s Managed Assets shall include any proceeds from the sale of an asset of the Fund to a counterparty in such a transaction, in addition to the value of the underlying asset as of the relevant measuring date.

With respect to Financial Leverage incurred through investments in reverse repurchase agreements, dollar rolls and economically similar transactions, the Fund intends to earmark or segregate cash or liquid securities in accordance with applicable interpretations of the staff of the SEC. As a result of such segregation, the Fund’s obligations under such transactions will not be considered senior securities representing indebtedness for purposes of the 1940 Act and the Fund’s use of leverage through reverse repurchase agreements, dollar rolls and economically similar transactions will not be limited by the 1940 Act. However, the Fund’s use of leverage through reverse repurchase agreements, dollar rolls and economically similar transactions will be included when calculating the Fund’s Financial Leverage and therefore will be limited by the Fund’s maximum overall leverage levels approved by the Board of Trustees (currently 33 1∕3% of the Fund’s Managed Assets) and may be further limited by the availability of cash or liquid securities to earmark or segregate in connection with such transactions.

As described below, the SEC adopted a final rule related to the use of derivatives, reverse repurchase agreements and certain other transactions by registered investment companies that will rescind and withdraw the guidance of the SEC and its staff regarding asset segregation and coverage transactions reflected in the Fund’s asset segregation and cover practices discussed herein. Under the final rule, when the Fund trades reverse repurchase agreements or similar financing transactions, including certain tender option bonds, it needs to aggregate the amount of indebtedness associated with the reverse repurchase agreements or similar financing transactions with the aggregate amount of any other senior securities representing indebtedness when calculating the Fund’s asset coverage ratio or treat all such transactions as derivatives transactions. Reverse repurchase agreements or similar financing transactions aggregated with other indebtedness do not need to be included in the calculation of whether the Fund is a limited derivatives user, but if the Fund is subject to the VaR testing requirement, reverse repurchase agreements and similar financing transactions must be included for purposes of such testing whether treated as derivatives transactions or not.

Preferred Shares

The Fund’s Governing Documents provide that the Board may authorize and issue Preferred Shares with rights as determined by the Board, by action of the Board without prior approval of the holders of the Common Shares. Common Shareholders have no preemptive right to purchase any Preferred Shares that might be issued. Any such Preferred Share offering would be subject to the limits imposed by the 1940 Act. Although the Fund has no present intention to issue Preferred Shares, it may in the future utilize Preferred Shares to the maximum extent permitted by the 1940 Act. 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%, calculated as the ratio of the Fund’s total assets (less all liabilities and indebtedness not represented by senior securities) over the aggregate amount of the Fund’s outstanding senior securities representing indebtedness plus the aggregate liquidation preference of any outstanding shares of preferred stock. In addition, the Fund generally is not permitted to declare any cash dividend or other distribution on the Fund’s Common Shares, or purchase any such Common Shares, unless, at the time of such declaration, the Fund would have asset coverage (as described above) of at least 200% after deducting the amount of such dividend or other distribution. The 1940 Act grants to the holders of senior securities representing stock issued by the Fund certain voting rights. Failure to maintain certain asset coverage requirements under the 1940 Act could entitle the holders of Preferred Shares to elect a majority of the Board. See “Description of Capital Structure-Preferred Shares.”

Certain Portfolio 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 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 staff of the SEC. To the extent the terms of such transactions obligate the Fund to deliver particular securities to extinguish the Fund’s obligations under such transactions the Fund may “cover” its obligations under such transactions by either (i) owning the securities or collateral underlying such transactions or (ii) having an absolute and immediate right to acquire such securities or collateral without additional cash consideration (or, if additional cash consideration is required, having earmarked or segregated cash or liquid securities). Such segregation or cover is intended to provide the Fund with available assets to satisfy its obligations under such transactions. As a result of such segregation or cover, the Fund’s obligations under such transactions will not be considered senior securities representing indebtedness for purposes of the 1940 Act, or included in calculating the aggregate amount of the Fund’s Financial Leverage. To the extent that the Fund’s obligations under such transactions are not so segregated or covered, such obligations may be considered “senior securities representing indebtedness” under the 1940 Act and therefore subject to the 300% asset coverage requirement, as described above.

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In October 2020, the SEC adopted a final rule related to the use of derivatives, reverse repurchase agreements and certain other transactions by registered investment companies that will rescind and withdraw the guidance of the SEC and its staff regarding asset segregation and cover transactions reflected in the Fund’s asset segregation and cover practices discussed herein. The final rule requires the Fund to trade derivatives and other transactions that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to value-at-risk (“VaR”) leverage limits and derivatives risk management program and reporting requirements. Generally, these requirements apply unless a fund satisfies a “limited derivatives users” exception that is included in the final rule. Under the final rule, when the Fund trades reverse repurchase agreements or similar financing transactions, including certain tender option bonds, it needs to aggregate the amount of indebtedness associated with the reverse repurchase agreements or similar financing transactions with the aggregate amount of any other senior securities representing indebtedness when calculating the fund’s asset coverage ratio or treat all such transactions as derivatives transactions. Reverse repurchase agreements or similar financing transactions aggregated with other indebtedness do not need to be included in the calculation of whether a fund satisfies the limited derivatives users exception, but for funds subject to the VaR testing requirement, reverse repurchase agreements and similar financing transactions must be included for purposes of such testing whether treated as derivatives transactions or not. The SEC also provided guidance in connection with the new rule regarding the use of securities lending collateral that may limit the Fund’s securities lending activities. Compliance with these new requirements will be required after an eighteen-month transition period. Following the compliance date, these requirements may limit the ability of the Fund to use derivatives and reverse repurchase agreements and similar financing transactions as part of its investment strategies. These requirements may increase the cost of the Fund’s investments and cost of doing business, which could adversely affect investors.

Effects of Financial Leverage

As of May 31, 2021, outstanding Borrowings under the 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. Assuming the Fund’s total Financial Leverage represented approximately 33 1∕3% of the Fund’s Managed Assets and interest costs to the Fund at a combined average annual rate of 0.55% with respect to such Financial Leverage, then the incremental income generated by the Fund’s portfolio (net of estimated expenses including expenses related to the Financial Leverage) must exceed approximately 0.18% to cover such interest expense. Of course, these numbers are merely estimates used for illustration. The amount of Financial Leverage used by the Fund as well as actual interest expenses on such Financial Leverage will vary.

The following table is furnished pursuant to requirements of the SEC. It is designed to illustrate the effect of leverage on Common Share total return, assuming investment portfolio total returns (comprised of income, net expenses and changes in the value of investments held in the Fund’s portfolio) of -10%, -5%, 0%, 5% and 10%. These assumed investment portfolio returns are hypothetical figures and are not necessarily indicative of what the Fund’s investment portfolio returns will be. The table further assumes Financial Leverage representing approximately 33 1∕3% of the Fund’s Managed Assets and interest costs to the Fund at a combined average annual rate of 0.55% with respect to such Financial Leverage. 

Assumed portfolio total return (net of expenses)	(10.00)%	(5.00)%	0.00%	5.00%	10.00%
Common Share total return	-15.28%	-7.78%	-0.28%	7.22%	14.72%

Common Share total return is composed of two elements—the Common Share dividends paid by the Fund (the amount of which is largely determined by the Fund’s net investment income after paying the carrying cost of Financial Leverage) and realized and unrealized gains or losses on the value of the securities the Fund owns. As required by SEC rules, the table assumes that the Fund is more likely to suffer capital loss than to enjoy capital appreciation. For example, to assume a total return of 0%, the Fund must assume that the net investment income it receives on its investments is entirely offset by losses on the value of those investments. This table reflects the hypothetical performance of the Fund’s portfolio and not the performance of the Fund’s Common Shares, the value of which will be determined by market and other factors.

During the time in which the Fund is utilizing Financial Leverage, the amount of the fees paid to the Investment Adviser and the Sub-Adviser for investment advisory services will be higher than if the Fund did not utilize Financial Leverage because the fees paid will be calculated based on the Fund’s Managed Assets, which may create a conflict of interest between the Investment Adviser and the Sub-Adviser and the Common Shareholders. In order to manage this conflict of interest, the Board will receive regular reports from the Investment Adviser and the Sub-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. Because the Financial Leverage costs will be borne by the Fund at a specified rate, only the Fund’s Common Shareholders will bear the cost of the Fund’s fees and expenses.

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Interest Rate Transactions

In connection with the Fund’s use of Financial Leverage, the Fund may enter into interest rate swap or cap transactions. Interest rate swaps involve the Fund’s agreement with the swap counterparty to pay a fixed-rate payment in exchange for the counterparty’s paying the Fund a variable rate payment that is intended to approximate all or a portion of the Fund’s variable-rate payment obligation on the Fund’s Financial Leverage. The payment obligation would be based on the notional amount of the swap, which will not exceed the amount of the Fund’s Financial Leverage.

The Fund may use an interest rate cap, which would require it to pay a premium to the cap counterparty and would entitle it, to the extent that a specified variable-rate index exceeds a predetermined fixed rate, to receive payment from the counterparty of the difference based on the notional amount. The Fund would use interest rate swaps or caps only with the intent to reduce or eliminate the risk that an increase in short-term interest rates could have on Common Share net earnings as a result of leverage.

The Fund will usually enter into swaps or caps on a net basis; that is, the two payment streams will be netted out in a cash settlement on the payment date or dates specified in the instrument, with the Fund’s receiving or paying, as the case may be, only the net amount of the two payments. Under current regulatory requirements, the Fund intends to segregate cash or liquid securities having a value at least equal to the Fund’s net payment obligations under any swap transaction, marked-to-market daily. The Fund will treat such amounts as illiquid.

The use of interest rate swaps and caps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. Depending on the state of interest rates in general, the Fund’s use of interest rate instruments could enhance or harm the overall performance of the Common Shares. To the extent there is a decline in interest rates, the net amount receivable by the Fund under the interest rate swap or cap could decline and could thus result in a decline in the net asset value of the Common Shares. In addition, if short-term interest rates are lower than the Fund’s fixed rate of payment on the interest rate swap, the swap will reduce Common Share net earnings if the Fund must make net payments to the counterparty. If, on the other hand, short-term interest rates are higher than the fixed rate of payment on the interest rate swap, the swap will enhance Common Share net earnings if the Fund receives net payments from the counterparty. Buying interest rate caps could enhance the performance of the Common Shares by limiting the Fund’s maximum leverage expense.

Buying interest rate caps could also decrease the net earnings of the Common Shares if the premium paid by the Fund to the counterparty exceeds the additional cost of the Financial Leverage that the Fund would have been required to pay had it not entered into the cap agreement.

Interest rate swaps and caps do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that the Fund is contractually obligated to make. If the counterparty defaults, the Fund would not be able to use the anticipated net receipts under the swap or cap to offset the costs of the Financial Leverage. Depending on whether the Fund would be entitled to receive net payments from the counterparty on the swap or cap, which in turn would depend on the general state of short-term interest rates at that point in time, such a default could negatively impact the performance of the Common Shares.

Although this will not guarantee that the counterparty does not default, the Fund will not enter into an interest rate swap or cap transaction with any counterparty that the Sub-Adviser believes does not have the financial resources to honor its obligation under the interest rate swap or cap transaction. Further, the Sub-Adviser will regularly monitor the financial stability of a counterparty to an interest rate swap or cap transaction in an effort to proactively protect the Fund’s investments.

In addition, at the time the interest rate swap or cap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction. If this occurs, it could have a negative impact on the performance of the Common Shares.

The Fund may choose or be required to redeem some or all Fund Preferred Shares, if any, or prepay any Borrowings. Such a redemption or prepayment would likely result in the Fund’s seeking to terminate early all or a portion of any swap or cap transaction. Such early termination of a swap could result in a termination payment by or to the Fund. An early termination of a cap could result in a termination payment to the Fund. There may also be penalties associated with early termination.

RISKS

Investors should consider the following risk factors and special considerations associated with investing in the Fund. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions over the world, the risks below are heightened significantly compared to normal conditions and

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therefore subject the Fund’s investments and a shareholder’s investment in the Fund to elevated investment risk, including the possible loss of the entire principal amount invested. The fact that a particular risk below is not specifically identified as being heightened under current conditions does not mean that the risk is not greater than under normal conditions.

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.

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 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. It is unknown how long current circumstances will persist, whether they will reoccur in the future and whether efforts to support the economy and financial markets will be successful.

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.

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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.

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.

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.

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

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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 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.

In addition, during recent conditions, many issuers have been unprofitable, have had little cash on hand and/or unable to pay the interest owed on their debt obligations and the number of such issuers may increase if demand for their goods and services falls, borrowing costs rise due to governmental action or inaction or for other reasons. Also, the issuer, guarantor or counterparty may suffer adverse changes in its financial condition or reduced demand for its goods and services or be adversely affected by economic, political, public health 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.

If an issuer, guarantor or counterparty declares bankruptcy or is declared bankrupt, the Fund would likely be adversely affected in its ability to receive principal or interest owed or otherwise to enforce the financial obligations of the other party. The Fund may be subject to increased costs associated with the bankruptcy process and experience losses as a result of the deterioration of the financial condition of the issuer, guarantor or counterparty. The risks to the Fund related to such bankruptcies are elevated given the currently distressed economic, market, labor and public health conditions and would likely be elevated under similar circumstances in the future.

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 (such as LIBOR), 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.

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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 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 reducing the interest rate sensitivity of credit securities held by the Fund and decreasing 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 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

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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, although can be no assurance that a liquid market will exist when the Fund seeks to close out an exchange-traded derivative position.

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 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

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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 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.

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.

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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.

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.

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, 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 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 MBS. 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,

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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 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.

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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.

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.

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.

CLO, CDO and CBO Risk

In addition to the general risks associated with credit 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, 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.

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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.

Payments to holders of CLOs, CDOs and CBOs may be subject to deferral. If cashflows generated by the underlying assets are insufficient to make all current and, if applicable, deferred payments on the CLOs, CDOs and CBOs, no other assets will be available for payment of the deficiency and, following realization of the underlying assets, the obligations of the issuer to pay such deficiency will be extinguished.

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.

Section 13 of the Bank Holding Company Act of 1956, often referred to as the “Volcker Rule,” imposes restrictions on banking entities’ ability to sponsor or invest in certain CLOs, CDOs and CBOs. These restrictions may have an adverse effect on the CLO, CDO and CBO market generally, including the availability, liquidity and value of certain CLOs, CDOs and CBOs.

The Fund may invest in any portion of the capital structure of CLOs (including the subordinated, residual and deep mezzanine debt tranches). As a result, the CLOs in which the Fund invests may have issued and sold debt tranches that will rank senior to the tranches in which the Fund invests. By their terms, such more senior tranches may entitle the holders to receive payment of interest or principal on or before the dates on which the Fund is entitled to receive payments with respect to the tranches in which the Fund invests. Also, in the event of insolvency, liquidation, dissolution, reorganization or bankruptcy of a CLO, holders of more senior tranches would typically be entitled to receive payment in full before the Fund receives any distribution. After repaying such senior creditors, such CLO may not have any remaining assets to use for repaying its obligation to the Fund. In the case of tranches ranking equally with the tranches in which the Fund invests, the Fund would have to share on an equal basis any distributions with other creditors holding such securities in the event of an insolvency, liquidation, dissolution, reorganization or bankruptcy of the relevant CLO. Therefore, the Fund may not receive back the full amount of its investment in a CLO.

CLO Subordinated Notes 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. If a CLO breaches certain tests set forth in the CLO’s indenture, excess cash flow that would otherwise be available for distribution to the subordinated tranche investors is diverted to prepay CLO debt investors in order of seniority until such time as the covenant breach is cured. If the covenant breach is not or cannot be cured, the subordinated tranche investors (and potentially other investors in lower priority rated tranches) may experience a partial or total loss of their investment. Accordingly, the subordinated tranche may not be paid in full and may be subject to up to 100% loss. At the time of issuance, the subordinated tranche of a CLO is typically under-collateralized in that the liabilities of a CLO at inception exceed its total assets.

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.

Subordinated notes are not guaranteed by another party. There can be no assurance that distributions on the assets held by the CLO will be sufficient to make any distributions or that the yield on the subordinated notes will meet the Fund’s expectations. Investments in the subordinated tranche of a CLO are generally less liquid than CLO debt tranches and subject to

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extensive transfer restrictions, and there may be no market for subordinated notes. Therefore Fund may be required to hold subordinated notes for an indefinite period of time or until their stated maturity. 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.

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 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.

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.

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. The Fund’s investments in Senior Loans are typically below-investment grade and are considered speculative because of the credit risk of their issuers. Such companies are more likely to default on their payments of interest and principal owed to the Fund, and such defaults could reduce the Fund’s net asset value and income distributions. An economic downturn generally leads to a higher non-payment rate, and a debt obligation may lose significant value before a default occurs. Moreover, any specific collateral used to secure a Senior Loan may decline in value or become illiquid, which would adversely affect the Senior Loan’s value.

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Economic and other events (whether real or perceived) can reduce the demand for certain Senior Loans or Senior Loans generally, which may reduce market prices and cause the Fund’s net asset value per share to fall. The frequency and magnitude of such changes cannot be predicted.

Loans and other debt instruments are also subject to the risk of price declines due to increases in prevailing interest rates, although floating-rate debt instruments are substantially less exposed to this risk than fixed-rate debt instruments. Interest rate changes may also increase prepayments of debt obligations and require the Fund to invest assets at lower yields. No active trading market may exist for certain Senior Loans, which may impair the ability of the Fund to realize full value in the event of the need to liquidate such assets. Adverse market conditions may impair the liquidity of some actively traded Senior Loans.

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.

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.

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.

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

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credit or fraud risk with respect to the borrower or the Senior Loan. Lenders selling a participation and other persons interpositioned 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.

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.

In certain circumstances, the Adviser or its affiliates (including on behalf of clients other than the Fund) or the Fund may be in possession of material non-public information about a borrower as a result of its ownership of a loan and/or corporate debt security of a borrower. Because U.S. laws and regulations generally prohibit trading in securities of issuers while in possession of material, non-public information, the Fund might be unable (potentially for a substantial period of time) to trade securities or other instruments issued by the borrower when it would otherwise be advantageous to do so and, as such, could incur a loss. In circumstances when the Adviser or the Fund determines to avoid or to not receive non-public information about a borrower for loan investments being considered for acquisition by the Fund or held by the Fund, the Fund may be disadvantaged relative to other investors that do receive such information, and the Fund may not be able to take advantage of other investment opportunities that it may otherwise have. The Adviser or its affiliates may participate in the primary and secondary market for loans or other transactions with possible borrowers. As a result, the Fund may be legally restricted from acquiring some loans and from participating in a restructuring of a loan or other similar instrument. Further, if the Fund, in combination with other accounts managed by the Adviser or its affiliates, acquires a large portion of a loan, the Fund’s valuation of its interests in the loan and the Fund’s ability to dispose of the loan at favorable times or prices may be adversely affected.

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.

Unfunded Commitments Risk. 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.

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

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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.

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.

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, 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.

Preferred Stock Risk

The Fund may invest in preferred stock, which represents the senior residual interest in the assets of an issuer after meeting all claims, with priority to corporate income and liquidation payments over the issuer’s common stock. As such, preferred stock is inherently more risky than the bonds and other debt instruments of the issuer, but less risky than its common stock. 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. Certain preferred stocks contain provisions that allow an issuer under certain conditions to skip (in the case of “non-cumulative” preferred stocks) or defer (in the case of “cumulative” preferred stocks) dividend payments. Preferred stocks often contain provisions that allow for redemption in the event of certain tax or legal changes or at the issuer’s call.

Preferred stocks typically do not provide any voting rights, except in cases when dividends are in arrears beyond a certain time period. There is no assurance that dividends on preferred stocks in which the Fund invests will be declared or otherwise made payable. If the Fund owns preferred stock that is deferring its distributions, the Fund may be required to report income for U.S. federal income tax purposes while it is not receiving cash payments corresponding to such income. When interest rates fall below the rate payable on an issue of preferred stock or for other reasons, the issuer may redeem the preferred stock, generally after an initial period of call protection in which the stock is not redeemable.

Preferred stocks may be significantly less liquid than many other securities, such as U.S. Government securities,

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corporate debt and common stock. Preferred stock has properties of both an equity and a debt instrument and is generally considered a hybrid instrument.

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 many of the risks described above regarding Income Securities of foreign issuers denominated in foreign currencies. These risks are heightened under the current conditions.

There may be less publicly available information about a foreign company than a U.S. company. Foreign securities markets may have substantially less volume than U.S. securities markets and some foreign company securities are less liquid than securities of otherwise comparable U.S. companies. Foreign markets also have different clearance and settlement procedures that could cause the Fund to encounter difficulties in purchasing and selling securities on such markets and may result in the Fund missing attractive investment opportunities or experiencing a loss. In addition, a portfolio that includes foreign securities can expect to have a higher expense ratio because of the increased transaction costs on non-U.S. securities markets and the increased costs of maintaining the custody of foreign securities.

ADRs are receipts issued by United States banks or trust companies in respect of securities of foreign issuers held on deposit for use in the United States securities markets. While ADRs may not necessarily be denominated in the same currency as the securities into which they may be converted, many of the risks associated with foreign securities may also apply to ADRs. In addition, the underlying issuers of certain depositary receipts, particularly unsponsored or unregistered depositary receipts, are under no obligation to distribute shareholder communications to the holders of such receipts, or to pass through to them any voting rights with respect to the deposited securities.

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. Furthermore, foreign investors may be required to register the proceeds of sales and future economic or political crises could lead to price controls, forced mergers, expropriation or confiscatory taxation, seizure, nationalization or creation of government monopolies. The currencies of emerging market countries may experience significant declines against the U.S. dollar, and devaluation may occur subsequent to

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investments in these currencies by the Fund. Inflation and rapid fluctuations in inflation rates have had, and may continue to have, negative effects on the economies and securities markets of certain emerging market countries. 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.

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. Finally, the Fund’s distributions are paid in U.S. dollars, and to the extent the Fund’s assets are denominated in currencies other than the U.S. dollar, there is a risk that the value of any distribution from such assets may decrease if the currency in which such assets or distributions are denominated falls in relation to the value of the U.S. dollar. The Fund currently intends to seek to hedge its exposures to foreign currencies but may, at the discretion of the Investment Adviser, at any time limit or eliminate foreign currency hedging activity. To the extent the Fund does not hedge (or is unsuccessful in seeking to hedge) its foreign currency risk, the value of the Fund’s assets and income could be adversely affected by currency exchange rate movements.

Sovereign Debt Risk

Investments in sovereign debt securities, such as foreign government debt or foreign treasury bills, involve special risks, including the availability of sufficient foreign exchange on the date a payment is due, the relative size of the debt service burden to the economy as a whole, the government debtor's policy towards the International Monetary Fund or international lenders, the political constraints to which the debtor may be subject and other political considerations. Periods of economic and political uncertainty may result in the illiquidity and increased price volatility of sovereign debt securities held by the Fund. The governmental authority that controls the repayment of sovereign debt may be unwilling or unable to repay the principal and/or interest when due in accordance with the terms of such securities due to the extent of its foreign reserves. If an issuer of sovereign debt defaults on payments of principal and/or interest, the Fund may have limited or no legal recourse against the issuer and/or guarantor. In certain cases, remedies must be pursued in the courts of the defaulting party itself. For example, there may be no bankruptcy or similar proceedings through which all or part of the sovereign debt that a governmental entity has not repaid may be collected. There can be no assurance that the holders of commercial bank loans to the same sovereign entity may not contest payments to the holders of sovereign debt in the event of default under commercial bank loan agreements.

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. Foreign investment in certain sovereign debt is restricted or controlled to varying degrees, including requiring governmental approval for the repatriation of income, capital or proceeds of sales by foreign investors. These restrictions or controls may at times limit or preclude foreign investment in certain sovereign debt and increase the costs and expenses of the Fund.

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. There can be no assurance that such restructuring will result in the repayment of all or part of the debt. Sovereign debt

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risk is increased for emerging market issuers and certain emerging market countries have declared moratoria on the payment of principal and interest on external debt. Certain emerging market countries have experienced difficulty in servicing their sovereign debt on a timely basis, which has led to defaults and the restructuring of certain indebtedness.

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 phase, scheduled to conclude on December 31, 2020, where the United Kingdom effectively remains in the EU from an economic perspective, but no longer has any political representation in the EU parliament. During this transition phase, which could be extended beyond December of 2020, the United Kingdom is expected to negotiate a new trade deal with the EU. Due to political uncertainty, it is not possible to anticipate whether the United Kingdom and the EU will be able to agree and implement a new trade agreement or what the nature of such trade arrangement will be. Throughout the withdrawal process and afterward, the impact on the United Kingdom and Economic and Monetary Union and the broader global economy is unknown but could be significant 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.

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.

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.

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

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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. Equity securities have experienced heightened volatility over recent periods and, therefore, the Fund's investments in equity securities are subject to heightened risks related to volatility during the current environment and would likely also be subject to such risks in similar market, economic and public health conditions in the future.

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 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 also 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.

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Risks of Real Property Asset Companies

The Fund may invest in Income Securities and Common Equity Securities issued by Real Property Asset Companies.

Real Estate Risks. 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. These risks include:

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declines in the value of real estate;

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general and local economic conditions;

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unavailability of mortgage funds;

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overbuilding;

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extended vacancies of properties;

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increased competition;

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increases in property taxes and operating expenses;

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changes in zoning laws;

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losses due to costs of cleaning up environmental problems and contamination;

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limitations on, or unavailability of, insurance on economic terms;

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liability to third parties for damages resulting from environmental problems;

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casualty or condemnation losses;

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limitations on rents;

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changes in neighborhood values and the appeal of properties to tenants;

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changes in valuation due to the impact of terrorist incidents on a particular property or area, or on a segment of the economy; and

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changes in interest rates.

National Resources and Commodities Risks. 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 special risks, which include:

Supply and Demand Risk. A decrease in the production of a physical commodity or a decrease in the volume of such commodity available for transportation, mining, processing, storage or distribution may adversely impact the financial performance of an energy, natural resources, basic materials or an associated company that devotes a portion of its business to that commodity. Production declines and volume decreases could be caused by various factors, including catastrophic events affecting production, depletion of resources, labor difficulties, environmental proceedings, increased regulations, equipment failures and unexpected maintenance problems, import supply disruption, governmental expropriation, political upheaval or conflicts or increased competition from alternative energy sources or commodity prices. Alternatively, a sustained decline in demand for such commodities could also adversely affect the financial performance of energy, natural resources, basic materials or associated companies. Factors that could lead to a decline in demand include economic recession or other adverse economic conditions, higher taxes on commodities or increased governmental regulations, increases in fuel economy, consumer shifts to the use of alternative commodities or fuel sources, changes in commodity prices, or weather.

Depletion and Exploration Risk. Many energy, natural resources, basic materials and associated companies are engaged in the production of one or more physical commodities or are engaged in transporting, storing, distributing and processing these items on behalf of shippers. To maintain or grow their revenues, these companies or their customers

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need to maintain or expand their reserves through exploration of new sources of supply, through the development of existing sources, through acquisitions or through long-term contracts to acquire reserves. The financial performance of energy, natural resources, basic materials and associated companies may be adversely affected if they, or the companies to whom they provide the service, are unable to cost-effectively acquire additional reserves sufficient to replace the natural decline.

Operational and Geological Risk. Energy, natural resources, basic materials companies and associated companies are subject to specific operational and geological risks in addition to normal business and management risks. Some examples of operational risks include mine rock falls, underground explosions and pit wall failures. Geological risk would include faulting of the ore body and misinterpretation of geotechnical data.

Regulatory Risk. Energy, natural resources, basic materials and associated companies are subject to significant federal, state and local government regulation in virtually every aspect of their operations, including how facilities are constructed, maintained and operated, environmental and safety controls, and the prices they may charge for the products and services they provide. Various governmental authorities have the power to enforce compliance with these regulations and the permits issued under them, and violators are subject to administrative, civil and criminal penalties, including civil fines, injunctions or both. Stricter laws, regulations or enforcement policies could be enacted in the future which would likely increase compliance costs and may adversely affect the operations and financial performance of energy, natural resources and basic materials companies.

Commodity Pricing Risk. The operations and financial performance of energy, natural resources and basic materials companies may be directly affected by commodity prices, especially those energy, natural resources, basic materials and associated companies that own the underlying commodity. Commodity prices fluctuate for several reasons, including changes in market and economic conditions, the impact of weather on demand, levels of domestic production and imported commodities, energy conservation, domestic and foreign governmental regulation and taxation, the availability of local, intrastate and interstate transportation systems, governmental expropriation and political upheaval and conflicts. Volatility of commodity prices, which may lead to a reduction in production or supply, may also negatively impact the performance of energy, natural resources, basic materials and associated companies that are solely involved in the transportation, processing, storing, distribution or marketing of commodities. Volatility of commodity prices may also make it more difficult for energy, natural resources, basic materials and associated companies to raise capital to the extent the market perceives that their performance may be directly or indirectly tied to commodity prices.

Precious Metals Pricing Risk. The Fund may invest in companies that have a material exposure to precious metals, such as gold, silver and platinum and precious metals related instruments and securities. The price of precious metals can fluctuate widely and is affected by numerous factors beyond the Fund’s control including: global or regional political, economic or financial events and situations; investors’ expectations with respect to the future rates of inflation and movements in world equity, financial and property markets; global supply and demand for specific precious metals, which is influenced by such factors as mine production and net forward selling activities by precious metals producers, central bank purchases and sales, jewelry demand and the supply of recycled jewelry, net investment demand and industrial demand, net of recycling; interest rates and currency exchange rates, particularly the strength of and confidence in the U.S. dollar; and investment and trading activities of hedge funds, commodity funds and other speculators. The Fund does not intend to hold physical precious metals.

Risks of Personal Property Asset Companies

The Fund may invest in Income Securities and Common Equity Securities issued by 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 that are associated with personal property assets with investment performance that is not highly correlated with traditional market indexes, such as special situation transportation assets (e.g., railcars, airplanes and ships) and collectibles (e.g., antiques, wine and fine art).

Special Situation Transportation Assets Risks. The risks of special situation transportation assets include:

Cyclicality of Supply and Demand for Transportation Assets Risk. The transportation asset leasing and sales industry has periodically experienced cycles of oversupply and undersupply of railcars, aircraft and ships. The oversupply of a specific type of transportation asset in the market is likely to depress the values of that type of transportation asset. The supply and demand of transportation assets is affected by various cyclical factors that are not under the Fund’s control, including: (i) passenger and cargo demand; (ii) commercial demand for certain types of transportation assets, (iii) fuel costs and general economic conditions affecting lessees’ operations; (iv) government regulation, including operating

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restrictions; (v) interest rates; (vi) the availability of credit; (vii) manufacturer production level; (viii) retirement and obsolescence of certain classes of transportation assets; (ix) re-introduction into service of transportation assets previously in storage; and (x) traffic control infrastructure constraints.

Risk of Decline in Value of Transportation Assets and Rental Values. In addition to factors linked to the railway, aviation and shipping industries, other factors that may affect the value of transportation assets, and thus of the Personal Property Asset Companies in which the Fund invests, include: (i) manufacturers merging or exiting the industry or ceasing to produce specific types of transportation asset; (ii) the particular maintenance and operating history of the transportation assets; (iii) the number of operators using that type of transportation asset; (iv) whether the railcar, aircraft or ship is subject to a lease; (v) any regulatory and legal requirements that must be satisfied before the transportation asset can be operated, sold or re-leased, (vi) compatibility of parts and layout of the transportation asset among operators of particular asset; and (vii) any renegotiation of a lease on less favorable terms.

Technological Risks. The availability for sale or lease of new, technologically advanced transportation assets and the imposition of stringent noise, emissions or environmental regulations may make certain types of transportation assets less desirable in the marketplace and therefore may adversely affect the owners’ ability to lease or sell such transportation assets. Consequently, the owner will have to lease or sell many of the transportation assets close to the end of their useful economic life. The owners’ ability to manage these technological risks by modifying or selling transportation assets will likely be limited.

Risks Relating to Leases of Transportation Assets. Owner/lessors of transportation assets will typically require lessees of assets to maintain customary and appropriate insurance. There can be no assurance that the lessees’ insurance will cover all types of claims that may be asserted against the owner, which could adversely affect the value of the Fund’s investment in the Personal Property Asset Company owning such transportation asset. Personal Property Asset Companies will be subject to credit risk of the lessees’ ability to the provisions of the lease of the transportation asset. The Personal Property Asset Company will need to release or sell transportation assets as the current leases expire in order to continue to generate revenues. The ability to re-lease or sell transportation assets will depend on general market and competitive conditions. Some of the competitors of the Personal Property Asset Company may have greater access to financial resources and may have greater operational flexibility. If the Personal Property Asset Company is not able to re-lease a transportation asset, it may need to attempt to sell the aircraft to provide funds for its investors, including the Fund.

Collectible Assets Risks. The risks of collectible assets include:

Valuation of Collectible Assets Risk. The market for collectible assets as a financial investment is in the early stages of development. Collectible assets are typically bought and sold through auction houses, and estimates of prices of collectible assets at auction are imprecise. Accordingly, collectible assets are difficult to value.

Liquidity of Collectible Assets Risk. There are relatively few auction houses in comparison to brokers and dealers of traditional financial assets. The ability to sell collectible assets is dependent on the demand for particular classes of collectible assets, which demand has been volatile and erratic in the past. There is no assurance that collectible assets can be sold within a particular timeframe or at the price at which such collectible assets are valued, which may impair the ability of the Fund to realize full value of Personal Property Asset Companies in the event of the need to liquidate such assets.

Authenticity of Collectible Assets Risk. The value of collectible assets often depends on its rarity or scarcity, or of its attribution as the product of a particular artisan. Collectible Assets are subject to forgery and to the inabilities to assess the authenticity of the collectible asset, which may significantly impair the value of the collectible asset.

High Transaction and Related Costs Risk. Collectible assets are typically bought and sold through auction houses, which typically charge commissions to the purchaser and to the seller which may exceed 20% of the sale price of the collectible asset. In addition, holding collectible assets entails storage and insurance costs, which may be substantial.

Private Securities Risk

The Fund may invest in privately issued Income Securities and Common Equity Securities of both public and private companies. 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

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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.

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. 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 duplicative fees. 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. 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 include, among other things, amendments to Rule 12d1-1, the rescission of Rule 12d1-2, the adoption of Rule 12d1-4, and the rescission of certain exemptive relief issued by the SEC permitting such investments in excess of statutory limits and the withdrawal of certain related SEC staff no-action letters. 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.

Synthetic Investments Risk

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 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). The Fund may be exposed to certain additional risks to the extent the Sub-Adviser use 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. Such events may include a

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decline in the value of the reference securities and material violations of the terms of the contract or the portfolio guidelines as well as other events determined by the counterparty. 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.

In the event the Fund seeks to participate in Investment Funds (including Private Investment Funds) through the use of such synthetic derivative instruments, the Fund will not acquire any voting interests or other shareholder rights that would be acquired with a direct investment in the underlying Investment Fund. Accordingly, the Fund will not participate in matters submitted to a vote of the shareholders. In addition, the Fund may not receive all of the information and reports to shareholders that the Fund would receive with a direct investment in such Investment Fund.

Further, the Fund will pay the counterparty to any such customized derivative instrument structuring fees and ongoing transaction fees, which will reduce the investment performance of the Fund. Finally, certain tax aspects of such customized derivative instruments are uncertain and a Common Shareholder’s return could be adversely affected by an adverse tax ruling.

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 affect 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.

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 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.

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

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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

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 exposes 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 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 receives regular reports from the 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.

The Fund may enter into reverse repurchase agreements with the same parties with whom they may enter into repurchase agreements (as described below). Under a reverse repurchase agreement, the Fund would sell securities or other assets and agree to repurchase them at a particular price at a future date. 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

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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 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 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.

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

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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:

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dependence on the Sub-Adviser’s ability to predict correctly movements in the direction of interest rates and securities prices;

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imperfect correlation between the price of derivatives and movements in the prices of the securities being hedged;

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the fact that skills needed to use these strategies are different from those needed to select portfolio securities;

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the possible absence of a liquid secondary market for any particular instrument at any time;

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the possible need to defer closing out certain hedged positions to avoid adverse tax consequences;

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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, or the possible need for the Fund to sell a security at a disadvantageous time due to a need for the Fund to maintain “cover” or to segregate securities in connection with the hedging techniques; and

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the creditworthiness 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:

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no assurance that futures contracts or options on futures can be offset at favorable prices;

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possible reduction of the return of the Fund due to their use for hedging;

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possible reduction in value of both the securities hedged and the hedging instrument;

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possible lack of liquidity, trading restrictions or limitations that may be imposed by an exchange, and the potential that government regulations may restrict trading

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imperfect correlation between the contracts and the securities being hedged; and

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losses from investing in futures transactions that are potentially unlimited and the segregation requirements for such transactions.

Under current regulatory requirements, with respect to futures contracts that are not contractually required to “cash-settle,” the Fund usually must cover its open positions by earmarking or segregating on its records cash or liquid assets equal to the contract’s notional value. For futures contracts that are “cash-settled,” however, the Fund is permitted to earmark or segregate cash or liquid assets in an amount equal to the Fund’s next daily marked-to-market (net) obligation, if any (i.e., the Fund’s daily net liability) rather than the notional value. By earmarking or designating assets equal to only its net obligation under cash-settled futures, the Fund will have the ability to employ leverage to a greater extent than if the Fund were required to earmark or segregate assets equal to the full notional value of such contracts. However, as described above, the SEC adopted a final rule related to the use of derivatives, reverse repurchase agreements and certain other transactions by registered investment companies that will rescind and withdraw the guidance of the SEC and its staff regarding asset segregation and coverage transactions reflected in the Fund’s asset segregation and cover practices discussed herein.

Counterparty Risk. Counterparty risk is the risk that a counterparty to a Fund transaction (e.g., prime brokerage or securities lending arrangement or derivatives transaction) will be unable or unwilling to perform its contractual obligation to the Fund. The Fund is exposed to credit risks that the counterparty may be unwilling or unable to make timely payments or otherwise meet its contractual obligations. If the counterparty becomes bankrupt or defaults on (or otherwise becomes unable or unwilling 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.

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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.

The counterparty risk for cleared derivatives is generally lower than for uncleared OTC derivatives transactions since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations under the derivative contract. However, there can be no assurance that a clearing organization, or its members, will satisfy its obligations to the Fund.

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.

When the Fund acts as a seller of a credit default swap agreement with respect to a debt security, it is subject to the risk that an adverse credit event may occur with respect to the issuer of the debt security and the Fund may be required to pay the buyer the full notional value of the debt security under the swap net of any amounts owed to the Fund by the buyer under the swap (such as the buyer’s obligation to deliver the debt security to the Fund). As a result, the Fund bears the entire risk of loss due to a decline in value of a referenced debt security on a credit default swap it has sold if there is a credit event with respect to the issuer of the security. If the Fund is a buyer of a credit default swap and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the Fund generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased.

The swap market has become more standardized in recent years with a large number of banks and investment banking firms acting both as principals and as agents utilizing standardized swap documentation. As a result, some swaps have become relatively liquid. Although the swap market has become liquid, certain types of derivatives products, such as caps, floors and collars may be less liquid than swaps in general.

Certain standardized swaps are subject to mandatory exchange-trading and/or central clearing. Exchange-trading and central clearing are expected to reduce counterparty credit risk and increase liquidity, but exchange-trading and central clearing do not make swap transactions risk-free. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) and related regulatory developments require the clearing and exchange-trading of certain OTC derivative instruments that the CFTC and SEC have defined as “swaps.” Mandatory exchange-trading and clearing are occurring on a phased-in basis based on CFTC approval of contracts for central clearing. Depending on the Fund’s size and other factors, the margin required under the rules of the clearinghouse and by the clearing member may be in excess of the collateral required to be posted by the Fund to support its obligations under a similar bilateral swap. In addition, regulators have developed rules that require trading and execution of the most liquid swaps on trading facilities. Moving trading to an exchange-type system may increase market transparency and liquidity but may require the Fund to incur increased expenses to access the same types of cleared and uncleared swaps. In addition, the CFTC and other applicable regulators have adopted rules imposing certain margin requirements, including minimums, on uncleared swaps which may result in the Fund and its counterparties posting higher margin amounts for uncleared swaps. Recently adopted rules also require centralized reporting of detailed information about many types of cleared and uncleared swaps. Reporting of swap data may result in greater market transparency, but may subject the Fund to additional administrative burdens and the safeguards established to protect trader anonymity may not function as

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expected. The Sub-Adviser will continue to monitor developments in this area, particularly to the extent regulatory changes affect the ability of the Fund to enter into swap agreements. 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.

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 “U.S. Federal Income Tax Considerations.”

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. 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.

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.

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 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.

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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 statute, 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.

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

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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.

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.

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 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.

Investments in municipal securities are subject to risks associated with the financial health of the issuers of such securities or the revenue associated with underlying projects. For example, the current COVID-19 pandemic has significantly stressed the financial resources of many municipalities and other issuers of municipal securities, which may impair their ability to meet their financial obligations and may harm the value or liquidity of the Fund’s investments in municipal securities. In particular, responses by municipalities and other governmental authorities to the COVID-19 pandemic have caused disruptions in business and other activities. These and other effects of the COVID-19 pandemic, such as increased unemployment levels, have impacted tax and other revenues of municipalities and other issuers of municipal securities and the financial conditions of such issuers. In addition, in response to the COVID-19 pandemic, governmental authorities and regulators have enacted and are enacting significant fiscal and monetary policy changes, which present heightened risks to municipal securities, and such risks could be even further heightened if these actions are unexpectedly or suddenly discontinued, disrupted, reversed or are ineffective in achieving their desired outcomes or lead to increases in inflation. Furthermore, governmental authorities have proposed various forms of relief for municipal issuers. As a result, there is an increased budgetary and financial pressure on municipalities and other issuers of municipal securities and heightened risk of default or other adverse credit or similar events for issuers of municipal securities, which would adversely impact the Fund’s investments.

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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.

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.

Repurchase Agreement Risk

The Fund may enter into bilateral and tri-party repurchase agreements. In a typical Fund repurchase agreement, the Fund enters into a contract with a broker, dealer, or bank (the “counterparty” to the transaction) for the purchase of securities or other assets. The counterparty agrees to repurchase the securities or other assets at a specified future date, or on demand, for a price that is sufficient to return to the Fund its original purchase price, plus an additional amount representing the return on the Fund’s investment. Such repurchase agreements economically function as a secured loan from the Fund to a counterparty. If the counterparty defaults on the repurchase agreement, the Fund will retain possession of the underlying securities or other assets. If bankruptcy proceedings are commenced with respect to the seller, realization on the collateral by the Fund may be delayed or limited and the Fund may incur additional costs. In such case, the Fund will be subject to risks associated with changes in market value of the collateral securities or other assets. Each Fund intends to enter into repurchase agreements only with brokers, dealers, or banks or other permitted counterparties after the Adviser (or Sub-Adviser) evaluates the creditworthiness of the counterparty. The Fund will not enter into repurchase agreements with the Investment Adviser or Sub-Adviser or their affiliates. Except as described elsewhere in this SAI and as provided under applicable law, the Fund may enter into repurchase agreements without limitation.

Repurchase agreements collateralized fully by cash items, U.S. government securities or by securities issued by an issuer that the Fund’s Board of Trustees, or its delegate, has determined at the time the repurchase agreement is entered into has an exceptionally strong capacity to meet its financial obligations (“Qualifying Collateral”) and meet certain liquidity standards generally may be deemed to be “collateralized fully” and may be deemed to be investments in the underlying securities for certain purposes. The Fund may accept collateral other than Qualifying Collateral determined by the Investment Adviser or Sub-Adviser to be in the best interests of the Fund to accept as collateral for such repurchase agreement (which may include high yield debt instruments that are rated below investment grade) (“Alternative Collateral”). Repurchase agreements secured by Alternative Collateral are not deemed to be “collateralized fully” under applicable regulations and the repurchase agreement is therefore considered a separate security issued by the counterparty to the Fund. Accordingly, the Fund must include repurchase agreements that are not “collateralized fully” in its calculations of securities issued by the selling institution held by the Fund for purposes of various portfolio diversification and concentration requirements applicable to the Fund. In addition, Alternative Collateral may not qualify as permitted or appropriate investments for the Fund under the Fund’s investment strategies and limitations. Accordingly, if a counterparty to a repurchase agreement defaults and the Fund takes possession of Alternative Collateral, the Fund may need to promptly dispose of the Alternative Collateral (or other securities held by the Fund, if the Fund exceeds a limitation on a permitted investment by virtue of taking possession of the Alternative Collateral). The Alternative Collateral may be particularly illiquid, especially in times of market volatility or in the case of a counterparty insolvency or bankruptcy, which may restrict the Fund’s ability to dispose of Alternative Collateral received from the counterparty. Depending on the terms of the repurchase agreement, the Fund may determine to sell the collateral during the term of the repurchase

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agreement and then purchase the same collateral at the market price at the time of the resale. (See “Short Sales”). In tri-party repurchase agreements, an unaffiliated third party custodian maintains accounts to hold collateral for the Fund and its counterparties and, therefore, the Fund may be subject to the credit risk of those custodians. Securities subject to repurchase agreements (other than tri-party repurchase agreements) and purchase and sale contracts will be held by the Fund’s custodian (or sub-custodian) in the Federal Reserve/Treasury book-entry system or by another authorized securities depository.

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 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.

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 to tax at regular corporate rates without any deduction for distributions to shareholders, and such distributions would be taxable as ordinary dividends to the extent of the Fund’s current and accumulated earnings and profits.

Conflicts of Interest Risk

Guggenheim Partners is a global asset management and investment advisory organization. Guggenheim Partners and its affiliates advise clients in various markets and transactions and purchase, sell, hold and recommend a broad array of investments for their own accounts and the accounts of clients and of their personnel and the relationships and products they sponsor, manage and advise. Accordingly, Guggenheim Partners and its affiliates may have direct and indirect interests in a variety of global markets and the securities of issuers in which the Fund may directly or indirectly invest. These interests may cause the Fund to be subject to regulatory limits, and in certain circumstances, these various activities may prevent the Fund from participating in an investment decision.

An investment in the Fund is subject to a number of actual or potential conflicts of interest. For example, the Adviser and its affiliates are engaged in a variety of business activities that are unrelated to managing the Fund, which may give rise to actual, potential or perceived conflicts of interest in connection with making investment decisions for the Fund. As a result, activities and dealings of Guggenheim Partners and its affiliates may affect the Fund in ways that may disadvantage or restrict the Fund or be deemed to benefit Guggenheim Partners and its affiliates. From time to time, conflicts of interest may arise between a portfolio manager’s management of the investments of the Fund on the one hand and the management of other registered investment companies, pooled investment vehicles and other accounts (collectively, “other accounts”) on the other. The other accounts might have similar investment objectives or strategies as the Fund or otherwise hold, purchase, or sell securities that are eligible to be held, purchased or sold by the Fund. In certain circumstances, and subject to its fiduciary obligations under the Advisers Act and the requirements of the 1940 Act, the Adviser may have to allocate a limited investment opportunity among its clients. The other accounts might also have different investment objectives or strategies than the Fund. In addition, the Fund may be limited in its ability to invest in, or hold securities of, any companies that the Adviser or its affiliates (or other accounts managed by the Adviser or its affiliates) control, or companies in which the Adviser or its affiliates have interests or with whom they do business. For example, affiliates of the Adviser may act as underwriter, lead agent or administrative agent for loans or otherwise participate in the market for loans. Because of limitations imposed by applicable law, the presence of the Adviser’s affiliates in the markets for loans may restrict the Fund’s ability to acquire some loans or affect the timing or price of such acquisitions. To address these conflicts, the Fund and Guggenheim Partners and its affiliates have established various policies and procedures that are reasonably designed to detect and prevent such conflicts and prevent the Fund from being disadvantaged.

There can be no guarantee that these policies and procedures will be successful in every instance. For additional information about potential conflicts of interest, and the way in which the Adviser and its affiliates address such conflicts, please see “Management of the Fund—Potential Conflicts of Interest” in the SAI.

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Market Disruption and Geopolitical Risk

The Fund does not know and cannot predict how long the securities markets may be affected by geopolitical events and the effects of these and similar events in the future on the U.S. economy and securities markets. The Fund may be adversely affected by abrogation of international agreements and national laws which have created the market instruments in which the Fund may invest, failure of the designated national and international authorities to enforce compliance with the same laws and agreements, failure of local, national and international organization to carry out their duties prescribed to them under the relevant agreements, revisions of these laws and agreements which dilute their effectiveness or conflicting interpretation of provisions of the same laws and agreements. The Fund may be adversely affected by uncertainties such as terrorism, international political developments, and changes in government policies, taxation, restrictions on foreign investment and currency repatriation, currency fluctuations and other developments in the laws and regulations of the countries in which it is invested and the risks associated with financial, economic, public health, labor and other global market developments and disruptions.

Technology Risk

As the use of Internet technology has become more prevalent, the Fund and its service providers and markets generally have become more susceptible to potential operational risks related to intentional and unintentional events that may cause the Fund or a service provider to lose proprietary information, suffer data corruption or lose operational capacity. There can be no guarantee that any risk management systems established by the Fund, its service providers, or issuers of the securities in which the Fund invests to reduce technology and cyber security risks will succeed, and the Fund cannot control such systems put in place by service providers, issuers or other third parties whose operations may affect the Fund.

Cyber Security, Market Disruptions and Operational Risk.

As in other parts of the economy, the Fund and its service providers, as well as exchanges and market participants through or with which the Fund trades and exchanges on which its shares trade and other infrastructures and services on which the Fund or its service providers rely, are susceptible to ongoing risks related to cyber incidents and the risks associated with financial, economic, public health, labor and other global market developments and disruptions. Cyber incidents, which can be perpetrated by a variety of means, may result in actual or potential adverse consequences for critical information and communications technology, systems and networks that are vital to the operations of the Fund or its service providers. A cyber incident or sudden market disruption could adversely impact the Fund, its service providers or its shareholders by, among other things, interfering with the processing of shareholder transactions or other operational functionality, impacting the Fund’s ability to calculate its NAV or other data, causing the release of private or confidential information, impeding trading, causing reputational damage, and subjecting the Fund to fines, penalties or financial losses or otherwise adversely affecting the operations, systems and activities of the Fund, its service providers and market intermediaries. These types of adverse consequences could also result from other operational disruptions or failures arising from, for example, processing errors, human errors, and other technological issues. In each case, the Fund’s ability to calculate its NAV correctly, in a timely manner or process trades or Fund transactions may be adversely affected, including over a potentially extended period. The Fund and its service providers may directly bear these risks and related costs. The Fund and its service providers are continuing to experience the impacts of quarantines and similar measures being enacted by governments in response to COVID-19, which have obstructed the regular functioning of business workforces (including requiring employees to work from external locations and their homes). Accordingly, the risks described above are heightened under current conditions.

Anti-Takeover Provisions Risk

The Fund’s Agreement and Declaration of Trust and Bylaws (collectively the “Governing Documents”) include provisions that could limit the ability of other entities or persons to acquire control of the Fund or convert the Fund to an open-end fund. These provisions could have the effect of depriving the Common Shareholders of opportunities to sell their Common Shares at a premium over the then-current market price of the Common Shares. See “Anti-Takeover and Other Provisions in the Fund’s Governing Documents.”

MANAGEMENT OF THE FUND

Trustees and Officers

The Board of Trustees is broadly responsible for the management of the Fund, including general supervision of the duties performed by the Investment Adviser or the Sub-Adviser. The names and business addresses of the Trustees and officers of the Fund and their principal occupations and other affiliations during the past five years are set forth under “Management of the Fund” in the SAI.

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The Investment Adviser

Guggenheim Funds Investment Advisors, LLC, a wholly-owned subsidiary of Guggenheim Partners, acts as the Fund’s Investment Adviser pursuant to an investment advisory agreement between the Fund and the Investment Adviser (the “Advisory Agreement”). The Investment Adviser is a registered investment adviser and acts as investment adviser to a number of closed-end and open-end investment companies. The Investment Adviser is a Delaware limited liability company, with its principal offices located at 227 West Monroe Street, Chicago, Illinois 60606.

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.

Pursuant to the Advisory Agreement, the Investment Adviser is responsible for the management of the Fund. The Investment Adviser furnishes office facilities and equipment and clerical, bookkeeping and administrative services on behalf of the Fund and oversees the activities of the Fund’s Sub-Adviser. The Investment Adviser provides all services through the medium of any directors, officers or employees of the Investment Adviser or its affiliates as the Investment Adviser deems appropriate in order to fulfill its obligations and pays the compensation of all officers and Trustees of the Fund who are its affiliates.

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 (from which the Investment Adviser pays the Sub-Adviser’s fee as described under “—The Sub-Adviser” below). “Managed Assets” for purposes of the Advisory and Sub-Advisory Agreements 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.

A discussion regarding the basis for the most recent approval of the Advisory Agreement by the Board of Trustees is available in the Fund’s annual report to shareholders for the period ending May 31, 2021.

In addition to the fees of the Investment Adviser, the Fund pays all other costs and expenses of its operations, including compensation of its Trustees (other than those affiliated with the Investment Adviser), custodial expenses, transfer agency and dividend disbursing expenses, legal fees, expenses of the Fund’s independent registered public accounting firm, expenses of repurchasing shares, listing expenses, expenses of preparing, printing and distributing prospectuses, stockholder reports, notices, proxy statements and reports to governmental agencies, and taxes, if any.

The Sub-Adviser

Guggenheim Partners Investment Management, LLC, a wholly-owned subsidiary of Guggenheim Partners, acts as the Fund’s Sub-Adviser pursuant to a sub-advisory agreement among the Fund, the Investment Adviser and the Sub-Adviser (the “Sub-Advisory Agreement”). The Sub-Adviser is a Delaware limited liability company, with its principal offices located at 100 Wilshire Boulevard, Santa Monica, California 90401.

Pursuant to the Sub-Advisory Agreement, the Sub-Adviser, under the supervision of the Fund’s Board of Trustees, is responsible for the management of the Fund’s portfolio of securities and provides certain facilities and personnel related to such management. As compensation for the Sub-Adviser’s 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.

A discussion regarding the basis for the most recent approval of the Sub-Advisory Agreement by the Board of Trustees is available in the Fund’s annual report to shareholders for the period ending May 31, 2021.

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Portfolio Management

The Sub-Adviser’s investment process 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.

The Sub-Adviser’s personnel are primarily responsible for the day-to-day management of the Fund’s portfolio are:

B. Scott Minerd, Chairman, Global Chief Investment Officer, Managing Partner and Portfolio Manager of the Sub-Adviser. Mr. Minerd joined Guggenheim Partners (or its affiliate or predecessor) in May 1998. Mr. Minerd leads Guggenheim Partners’ research on global macroeconomics and guides the firm’s investment strategies. Previously, Mr. Minerd was a Managing Director with Credit Suisse First Boston in charge of trading and risk management for the Fixed Income Credit Trading Group. He was responsible for the corporate bond, preferred stock, money markets, U.S. government agency and sovereign debt, derivatives securities, structured debt and interest rate swaps trading business units. Mr. Minerd is a member of the Federal Reserve Bank of New York’s Investor Advisory Committee on Financial Markets, helping advise the NY Fed President about financial market developments, risks to the financial system and steps that can be taken to understand and mitigate these risks. He is an advisor to the Organization for Economic Cooperation and Development (OECD) on long-term investments and is a contributing member of the World Economic Forum (WEF) and their Global Agenda Council on the Arctic.

Anne B. Walsh, Chief Investment Officer, Fixed Income, Senior Managing Director and Portfolio Manager of the Sub-Adviser. Ms. Walsh joined Guggenheim Partners (or its affiliate or predecessor) in 2007 is also the head of the Portfolio Construction Group and Portfolio Management. She oversees more than $185 billion in fixed-income investments including Agencies, Credit, Municipals, and Structured Securities. She is responsible for portfolio design, strategy, sector allocation and risk management, as well as conveying Guggenheim Partners’ macroeconomic outlook to Portfolio Managers and fixed income Sector Specialists. Ms. Walsh specializes in liability-driven portfolio management. Prior to joining Guggenheim Partners, she served as Chief Investment Officer at Reinsurance Group of America, and also held roles at Zurich Scudder Investments, Lincoln Investment Management and American Bankers Insurance Group. She has earned the right to use the Chartered Financial Analyst® designation and is a member of the CFA Institute.

Steven H. Brown, Senior Managing Director and Portfolio Manager of the Sub-Adviser. Mr. Brown joined Guggenheim Partners (or its affiliate or predecessor) in 2010 and is a Portfolio Manager for Guggenheim Partners’ Active Fixed Income and Total Return mandates. He works with the Chief Investment Officers and other members of the Portfolio Management team to develop and execute portfolio strategy. Additionally, he works closely with the Sector Teams and Portfolio Construction Group. Prior to joining Portfolio Management in 2012, Brown worked in Guggenheim Partners’ Asset Backed Securities group. His responsibilities on that team included trading and evaluating investment opportunities and monitoring credit performance. Prior to joining Guggenheim Partners in 2010, Mr. Brown held roles within structured products at ABN AMRO and Bank of America in Chicago and London. Mr. Brown earned a BS in Finance from Indiana University’s Kelley School of Business. He has earned the right to use the Chartered Financial Analyst® designation and is a member of the CFA Institute.

Adam J. Bloch, Managing Director and Portfolio Manager of the Sub-Adviser. Mr. Bloch joined Guggenheim Partners in 2012 and is a Portfolio Manager for the firm’s Active Fixed Income and Total Return mandates. Mr. Bloch works with the Chief Investment Officers and other Portfolio Managers to develop portfolio strategy that is in line with the firm’s views. He oversees strategy implementation, working with research analysts and traders to generate trade ideas, hedge portfolios, and manage day-to-day risk. Prior to joining Guggenheim Partners, he worked in Leveraged Finance at Bank of America Merrill Lynch in New York where he structured high-yield bonds and leveraged loans for leveraged buyouts, restructurings, and corporate refinancings across multiple industries. Mr. Bloch graduated from the University of Pennsylvania.

The SAI provides additional information about the portfolio managers’ compensation, other accounts managed by the portfolio managers and the portfolio managers’ ownership of securities of the Fund.

NET ASSET VALUE

The NAV of the Common Shares is calculated by subtracting the Fund’s total liabilities (including from Borrowings) and the liquidation preference of any outstanding Preferred Shares from total assets (the market value of the securities the Fund holds plus cash and other assets). The per share NAV is calculated by dividing its NAV by the number of Common Shares

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outstanding and rounding the result to the nearest full cent. The Fund generally calculates its NAV once each day on which there is a regular trading session on the New York Stock Exchange (“NYSE”) as of the scheduled close of normal trading on the “NYSE” (normally 4:00 p.m., Eastern time). The NYSE is open Monday through Friday, except on observation of the following holidays: New Year’s Day, Martin Luther King, Jr. Day, President’s Day, Good Friday, Memorial Day, Independence Day, Labor Day, Thanksgiving Day and Christmas Day. If the NYSE has an earlier closing time (scheduled or unscheduled), such as on days in advance of holidays generally observed by the NYSE, the Fund may calculate its NAV as of the earlier closing time or calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day, so long as the Sub-Adviser believes there generally remains an adequate market to obtain reliable and accurate market quotations. The Fund generally does not calculate its NAV on any day that the NYSE is not open for business. However, if the NYSE is closed for any other reason on a day it would normally be open for business, the Fund may calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day, so long as the Sub-Adviser believes there generally remains an adequate market to obtain reliable and accurate market quotations. The Fund discloses its NAV on a daily basis. Information that becomes known to the Fund or its agent after the Fund’s NAV has been calculated on a particular day will not be used to retroactively adjust the price of a security or the Fund’s previously determined NAV.

The Board of Trustees has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.

In general, portfolio securities and assets of the Fund will be valued on the basis of readily available market quotations at their current market value. With respect to portfolio securities and assets of the Fund for which market quotations are not readily available, or are deemed not reliable, the Fund will fair value those securities and assets in good faith using methods approved by the Board of Trustees. The Valuation Procedures permit the Fund to use a variety of valuation methodologies in connection with valuing the Fund’s investments. The methodology used for a specific type of investment may vary based on the market data available or other considerations. As a general matter, valuing securities and assets accurately is difficult and can be based on inputs and assumptions which may not always be correct.

Valuations of the Fund’s securities and other assets are supplied primarily by independent third party pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services. Valuations provided by pricing services are generally based on methods that the Valuation Committee believes are reasonably designed to approximate the amount that the Fund would receive upon the sale of the portfolio security or asset. When providing valuations to the Fund, pricing services use various inputs, methods, models and assumptions, which may include information provided by broker-dealers and other market makers. Pricing services face the same challenges as the Fund in valuing securities and assets and may rely on limited available information. If the pricing service cannot or does not provide a valuation for a particular investment, or such valuation is deemed unreliable, such investment is fair valued.

Quotes from broker-dealers (i.e., prices provided by a broker-dealer or other market participant, which may or may not be committed to trade at that price), adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s securities and assets. Quotes from broker-dealers vary in terms of depth (e.g., provided by a single broker-dealer) and frequency (e.g., provided on a daily, weekly, or monthly basis, or any other regular or irregular interval). Although quotes from broker-dealers are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support such quotes. Significant changes in a quote from a broker-dealer would generally result in significant changes in the fair value of the security.

U.S. Government securities are valued by pricing services, the last traded fill price, or at the reported bid price at the close of business.

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.

CLOs, CDOs, MBS, ABS, and other structured finance securities are generally valued using a pricing service. Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.

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Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange- traded U.S. equity securities will be valued on the basis of the last bid price.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.

The Fund values exchange-traded options and other exchange-traded derivative contracts at the mean of the bid and ask prices on the principal exchange on which they are traded. OTC options are valued using a price provided by a pricing service.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying security.

The value of an interest rate swap agreement entered into by the Fund is determined using the prior day’s Chicago Mercantile Exchange closing price, adjusted for the current day's spreads. The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying positions that the swaps pertain to at the close of the New York Stock Exchange (“NYSE”).

Typically, loans are valued using information provided by pricing services that use broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee. The Fund may invest in loans or asset-backed securities as part of its investment strategies which may have a significant amount of these instruments that are fair valued.

The Fund’s securities that are traded primarily in foreign markets may be traded in such markets on days that the NYSE is closed. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. As a result, the NAV of the Fund may be significantly affected on days when Common Shareholders have no ability to trade the Common Shares on the NYSE. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and the Sub-Adviser are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Investments for which market quotations are not readily available are fair valued as determined in good faith by the Sub-Adviser, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. The Valuation Committee convenes regularly to review the valuation of all portfolio securities and assets which have been fair valued for reasonableness. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value.” Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. The Fund values derivatives transactions in accordance with the Valuation Procedures. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market. Accrued payments to the Fund under such transactions will be assets of the Fund and accrued payments by the Fund will be liabilities of the Fund.

The Fund may also fair value securities and assets when a significant event is deemed to have occurred after the time of a market quotation including for securities and assets traded on foreign markets and securities and assets for which market quotations are provided by pricing services as of a time that is prior to the time when the Fund determine its NAV. There can be no assurance in each case that significant events will be identified.

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Proportions of the Fund’s investments that are fair valued vary from time to time and the Fund may fair value a significant amount of its portfolio securities and assets. The Fund’s shareholder report contain more information about the Fund’s holdings that are fair valued. Investors should consult these reports for additional information. Fair value represents a good faith approximation of the value of a security. Fair value determinations may be based on limited inputs and involve the consideration of a number of subjective factors, an analysis of applicable facts and circumstances, and the exercise of judgment. As a result, it is possible that the fair value for a security determined in good faith in accordance with the Fund’s valuation procedures may differ from valuations for the same security determined by other funds using their own valuation procedures. Although the Fund’s valuation procedures are designed to value a portfolio security or asset at the price the Fund may reasonably expect to receive upon its sale in an orderly transaction, there can be no assurance that any fair value determination thereunder would, in fact, approximate the amount that the Fund would receive upon the sale of the portfolio security or asset or the price at which the portfolio security or asset would trade if a reliable market quotation were readily available.

DISTRIBUTIONS

The Fund intends to pay substantially all of its net investment income, if any, 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 taxed as ordinary 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. Qualified dividend income and long-term capital gains of certain non-corporate U.S. Common Shareholders (including individuals) will be taxable at reduced maximum rates. 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.

Pursuant to the requirements of the 1940 Act, in the event the Fund makes distributions from sources other than income, a notice will accompany each monthly distribution with respect to the estimated source of the distribution made. Such notices will describe the portion, if any, of the monthly dividend which, in the Fund’s good faith judgment, constitutes long-term capital gain, short-term capital gain, investment company taxable income or a return of capital. The actual character of such dividend distributions for U.S. federal income tax purposes, however, will only be determined finally by the Fund at the close of its fiscal year, based on the Fund’s full year performance and its actual net investment company taxable income and net capital gains for the year, which may result in a recharacterization of amounts distributed during such fiscal year from the characterization in the monthly estimates.

The Fund expects that over time it will distribute all of its investment company taxable income. The investment company taxable income of the Fund will consist of all dividend and interest income accrued on portfolio assets, short-term capital gain and income from certain hedging and interest rate transactions, less all expenses of the Fund. Expenses of the Fund will be accrued each day.

To permit the Fund to maintain more stable monthly distributions, the Fund may distribute more or less than the entire amount of the net investment income earned in a particular period. As a result, the distributions paid by the Fund for any particular monthly period may be more or less than the amount of net investment income actually earned by the Fund during the period, and the Fund may have to sell a portion of its investment portfolio to make a distribution at a time when independent investment judgment might not dictate such action. Any undistributed net investment income may be available to supplement future distributions. Undistributed net investment income is included in the Common Shares’ net asset value, and, correspondingly, distributions from net investment income will reduce the Common Shares’ net asset value. 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. If the Fund’s total distributions in any year exceed the amount of its investment company taxable income and net capital gain for the year, any such excess would generally be characterized as a return of capital for U.S. federal income tax purposes, to the extent such amounts exceed the Fund’s current and accumulated earnings and profits. The amount by which the Fund’s total distributions exceed investment company taxable income and net capital gain would generally be treated as a return of capital up to the amount of the Common Shareholder’s tax basis in their Common Shares, which would reduce such tax basis, with any amounts exceeding such

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basis treated as a gain from the sale of their Common Shares. Consequently, 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. A return of capital distribution is in effect a partial return of the amount a Common Shareholder invested in the Fund. 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.

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.”

DIVIDEND REINVESTMENT PLAN

Under the Fund’s Dividend Reinvestment Plan, a shareholder whose Common Shares are registered in his or her own name will have all distributions reinvested automatically by Computershare Trust Company, N.A., which is agent under the Plan (the “Plan Agent”), unless the shareholder elects to receive cash. Distributions with respect to Common Shares registered in the name of a broker-dealer or other nominee (that is, in “street name”) will be reinvested by the broker or nominee in additional Common Shares under the Plan, unless the service is not provided by the broker or nominee or the shareholder elects to receive distributions in cash. Investors who own Common Shares registered in street name should consult their broker-dealers for details regarding reinvestment. All distributions to investors who do not participate in the Plan will be paid by check mailed directly to the record holder by Computershare Inc. as dividend disbursing agent.

Under the Plan, whenever the market price of the Common Shares is equal to or exceeds net asset value at the time Common Shares are valued for purposes of determining the number of Common Shares equivalent to the cash dividend or capital gains distribution, participants in the Plan are issued new Common Shares from the Fund, valued at the greater of (i) the net asset value as most recently determined or (ii) 95% of the then-current market price of the Common Shares. The valuation date is the dividend or distribution payment date or, if that date is not a NYSE trading day, the next preceding trading day. If the net asset value of the Common Shares at the time of valuation exceeds the market price of the Common Shares, the Plan Agent will buy the Common Shares for such Plan in the open market, on the NYSE or elsewhere, for the participants’ accounts, except that the Plan Agent will endeavor to terminate purchases in the open market and cause the Fund to issue Common Shares at the greater of net asset value or 95% of market value if, following the commencement of such purchases, the market value of the Common Shares exceeds net asset value. If the Fund should declare a distribution or capital gains distribution payable only in cash, the Plan Agent will buy the Common Shares for such Plan in the open market, on the NYSE or elsewhere, for the participants’ accounts. There is no charge from the Fund for reinvestment of dividends or distributions in Common Shares pursuant to the Plan; however, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open-market purchases.

The Plan Agent maintains all shareholder accounts in the Plan and furnishes written confirmations of all transactions in the account, including information needed by shareholders for personal and tax records. Common Shares in the account of each Plan participant will be held by the Plan Agent in noncertificated form in the name of the participant.

In the case of shareholders such as banks, brokers or nominees, which hold Common Shares for others who are the beneficial owners, the Plan Agent will administer the Plan on the basis of the number of Common Shares certified from time to time by the shareholder as representing the total amount registered in the shareholder’s name and held for the account of beneficial owners who participate in the Plan.

The automatic reinvestment of dividends and other distributions will not relieve participants of an income tax that may be payable or required to be withheld on such dividends or distributions.

Experience under the Plan may indicate that changes are desirable. Accordingly, the Fund reserves the right to amend or terminate its Plan as applied to any voluntary cash payments made and any dividend or distribution paid subsequent to written notice of the change sent to the members of such Plan at least 90 days before the record date for such dividend or distribution. The Plan also may be amended or terminated by the Plan Agent on at least 90 days written notice to the participants in such Plan. All correspondence concerning the Plan should be directed to Computershare Trust Company N.A., P.O. Box 30170, College Station, TX 77842-3170, Attention: Shareholder Services Department. Participants may also contact Computershare Trust Company, N.A. online at www.computershare.com/investor or by telephone at: (866) 488-3559.

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DESCRIPTION OF CAPITAL STRUCTURE

The following is a brief description of the terms of the Common Shares, Borrowings and Preferred Shares which may be issued by the Fund. This description does not purport to be complete and is qualified by reference to the Fund’s Governing Documents.

Common Shares

The Fund is an unincorporated statutory trust organized under the laws of Delaware pursuant to a Certificate of Trust, dated as of November 13, 2006. Pursuant to the Fund’s Agreement and Declaration of Trust, dated as of November 13, 2006, and as amended and restated through the date hereof, the Fund is authorized to issue an unlimited number of common shares of beneficial interest, par value $0.01 per share. Each Common Share, when issued and paid for in accordance with the terms of this offering, will be fully paid and non-assessable, except that the Board of Trustees shall have the power to cause shareholders to pay expenses of the Fund by setting off charges due from shareholders from declared but unpaid dividends or distributions owed the shareholders and/or by reducing the number of Common Shares owned by each respective shareholder. All Common Shares are equal as to dividends, assets and voting privileges and have no conversion, preemptive or other subscription rights. The Fund will send annual and semi-annual reports, including financial statements, to all holders of its shares, as required by applicable law.

Listing and Symbol. The Fund’s Common Shares are listed on the NYSE under the symbol “GOF.”

Voting Rights. Until any Preferred Shares are issued, holders of the Common Shares will vote as a single class to elect the Fund’s Board of Trustees and on additional matters with respect to which the 1940 Act mandates a vote by the Fund’s shareholders. If Preferred Shares are issued, holders of Preferred Shares will have a right to elect two of the Fund’s Trustees, and will have certain other voting rights. See “Anti-Takeover Provisions in the Fund’s Governing Documents.”

Issuance of Additional Common Shares. The provisions of the 1940 Act generally require that the public offering price (less underwriting commissions and discounts) of common shares sold by a closed-end investment company must equal or exceed the net asset value of such company’s common shares (calculated within 48 hours of the pricing of such offering), unless such sale is made with the consent of a majority of its common shareholders and under certain other enumerated circumstances. 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. If such consent is obtained, the Fund may, contemporaneous with and in no event more than one year following the receipt of such consent, sell Common Shares at a price below net asset value in accordance with any conditions adopted in connection with the giving of such consent. Additional information regarding any consent of Common Shareholders obtained by the Fund and the applicable conditions imposed on the issuance and sale by the Fund of Common Shares at a price below net asset value will be disclosed in the Prospectus Supplement relating to any such offering of Common Shares at a price below net asset value. Until such consent of Common Shareholders, if any, is obtained, the Fund may not sell Common Shares at a price below net asset value. Because the Fund’s advisory fee and sub-advisory fee are based upon average Managed Assets, the Investment Adviser’s and the Sub-Adviser’s interests in recommending the issuance and sale of Common Shares at a price below net asset value may conflict with the interests of the Fund and its Common Shareholders.

Borrowings

The Fund is permitted, without prior approval of the Common Shareholders, to borrow money. The Fund may issue notes or other evidence of indebtedness (including bank borrowings or commercial paper) and may secure any such Borrowings by mortgaging, pledging or otherwise subjecting the Fund’s assets as security. In connection with such Borrowings, the Fund may be required to maintain minimum average balances with the lender or to pay a commitment or other fee to maintain a line of credit. Any such requirements will increase the cost of borrowing over the stated interest rate.

Limitations. Borrowings by the Fund are subject to certain limitations under the 1940 Act, including the amount of asset coverage required. In addition, agreements related to the Borrowings may also impose certain requirements, which may be more stringent than those imposed by the 1940 Act. See “Use of Financial Leverage” and “Risks—Financial Leverage and Leveraged Transactions Risk.”

Distribution Preference. The rights of lenders to the Fund to receive interest on, and repayment of, principal of any such Borrowings will be senior to those of the Common Shareholders, and the terms of any such Borrowings may contain provisions which limit certain activities of the Fund, including the payment of dividends to Common Shareholders in certain circumstances.

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Voting Rights. The 1940 Act does (in certain circumstances) grant to the lenders to the Fund certain voting rights in the event of default in the payment of interest on, or repayment of, principal. Any Borrowings will likely be ranked senior or equal to all other existing and future borrowings of the Fund.

Preferred Shares

The Fund’s Governing Documents provide that the Board of Trustees may authorize and issue preferred shares with rights as determined by the Board of Trustees, by action of the Board of Trustees without prior approval of the holders of the Common Shares. Common Shareholders have no preemptive right to purchase any preferred shares that might be issued. 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%, calculated as the ratio of the Fund’s total assets (less all liabilities and indebtedness not represented by senior securities) over the aggregate amount of the Fund’s outstanding senior securities representing indebtedness plus the aggregate liquidation preference of any outstanding shares of preferred stock. In addition, the Fund generally is not permitted to declare any cash dividend or other distribution on the Fund’s Common Shares, or purchase any such Common Shares, unless, at the time of such declaration, the Fund would have asset coverage (as described above) of at least 200% after deducting the amount of such dividend or other distribution. The 1940 Act grants to the holders of senior securities representing stock issued by the Fund certain voting rights. Failure to maintain certain asset coverage requirements under the 1940 Act could entitle the holders of Preferred Shares to elect a majority of the Board. If the Fund issues and has preferred shares outstanding, the Common Shareholders will generally not be entitled to receive any distributions from the Fund unless all accrued dividends on preferred shares have been paid. Issuance of preferred shares would constitute financial leverage and would entail special risks to the Common Shareholders. The Fund has no present intention to issue preferred shares.

Capitalization

The following table provides information about the outstanding securities of the Fund as of May 31, 2021: 

Title of Class	Amount Authorized	Amount Held by the Fund or for its Account	Amount Outstanding
Common shares of beneficial interest, par value $0.01 per share	Unlimited	—	51,503,912

ANTI-TAKEOVER AND OTHER PROVISIONS IN THE FUND’S GOVERNING DOCUMENTS

The Fund presently has provisions in its Governing Documents which could have the effect of limiting, in each case, (i) the ability of other entities or persons to acquire control of the Fund, (ii) the Fund’s freedom to engage in certain transactions or (iii) the ability of the Fund’s Trustees or shareholders to amend the Governing Documents or effectuate changes in the Fund’s management. These provisions of the Governing Documents of the Fund may be regarded as “anti-takeover” provisions. The Board of Trustees is divided into two classes, with the terms of one class expiring at each annual meeting of shareholders. At each annual meeting, one class of Trustees is elected to a two-year term. This provision could delay for up to one year the replacement of a majority of the Board of Trustees. A Trustee may be removed from office by the action of a majority of the remaining Trustees followed by a vote of the holders of at least 75% of the shares then entitled to vote for the election of the respective Trustee.

In addition, the Fund’s Agreement and Declaration of Trust requires the favorable vote of a majority of the Fund’s Board of Trustees followed by the favorable vote of the holders of at least 75% of the outstanding shares of each affected class or series of the Fund, voting separately as a class or series, to approve, adopt or authorize certain transactions with 5% or greater holders of a class or series of shares and their associates, unless the transaction has been approved by at least 80% of the Trustees, in which case “a majority of the outstanding voting securities” (as defined in the 1940 Act) of the Fund shall be required. For purposes of these provisions, a 5% or greater holder of a class or series of shares (a “Principal Shareholder”) refers to any person who, whether directly or indirectly and whether alone or together with its affiliates and associates, beneficially owns 5% or more of the outstanding shares of any class or series of shares of beneficial interest of the Fund.

The 5% holder transactions subject to these special approval requirements are:

•

the merger or consolidation of the Fund or any subsidiary of the Fund with or into any Principal Shareholder;

•

the issuance of any securities of the Fund to any Principal Shareholder for cash (other than pursuant of any automatic dividend reinvestment plan);

•

the sale, lease or exchange of all or any substantial part of the assets of the Fund to any Principal Shareholder, except assets having an aggregate fair market value of less than $1,000,000, aggregating for the purpose of such computation all assets sold, leased or exchanged in any series of similar transactions within a twelve-month period; or

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•

the sale, lease or exchange to the Fund or any subsidiary of the Fund, in exchange for securities of the Fund, of any assets of any Principal Shareholder, except assets having an aggregate fair market value of less than $1,000,000, aggregating for purposes of such computation all assets sold, leased or exchanged in any series of similar transactions within a twelve-month period.

To convert the Fund to an open-end investment company, the Fund’s Agreement and Declaration of Trust requires the favorable vote of a majority of the Board of the Trustees followed by the favorable vote of the holders of at least 75% of the outstanding shares of each affected class or series of shares of the Fund, voting separately as a class or series, unless such amendment has been approved by at least 80% of the Trustees, in which case “a majority of the outstanding voting securities” (as defined in the 1940 Act) of the Fund shall be required. The foregoing vote would satisfy a separate requirement in the 1940 Act that any conversion of the Fund to an open-end investment company be approved by the shareholders. If approved in the foregoing manner, conversion of the Fund to an open-end investment company could not occur until 90 days after the shareholders’ meeting at which such conversion was approved and would also require at least 30 days’ prior notice to all shareholders.

To liquidate the Fund, the Fund’s Agreement and Declaration of Trust requires the favorable vote of a majority of the Board of Trustees followed by the favorable vote of the holders of at least 75% of the outstanding shares of each affected class or series of the Fund, voting separately as a class or series, unless such liquidation has been approved by at least 80% of Trustees, in which case “a majority of the outstanding voting securities” (as defined in the 1940 Act) of the Fund shall be required.

For the purposes of calculating “a majority of the outstanding voting securities” under the Fund’s Agreement and Declaration of Trust, each class and series of the Fund shall vote together as a single class, except to the extent required by the 1940 Act or the Fund’s Agreement and Declaration of Trust with respect to any class or series of shares. If a separate vote is required, the applicable proportion of shares of the class or series, voting as a separate class or series, also will be required.

The Board of Trustees has determined that provisions with respect to the Board of Trustees and the shareholder voting requirements described above, which voting requirements are greater than the minimum requirements under Delaware law or the 1940 Act, are in the best interest of shareholders generally. Reference should be made to the Fund’s Agreement and Declaration of Trust on file with the SEC for the full text of these provisions. See “Additional Information.”

CLOSED-END FUND STRUCTURE

Closed-end funds differ from open-end management investment companies (commonly referred to as mutual funds) in that closed-end funds generally list their shares for trading on a securities exchange and do not redeem their shares at the option of the shareholder. By comparison, mutual funds issue securities redeemable at net asset value at the option of the shareholder and typically engage in a continuous offering of their shares. Mutual funds are subject to continuous asset in-flows and out-flows that can complicate portfolio management, whereas closed-end funds generally can stay more fully invested in securities consistent with the closed-end fund’s investment objective and policies. In addition, in comparison to open-end funds, closed-end funds have greater flexibility in their ability to make certain types of investments, including investments in illiquid securities.

However, shares of closed-end investment companies listed for trading on a securities exchange frequently trade at a discount from net asset value, but in some cases trade at a premium. The market price may be affected by trading volume of the shares, general market and economic conditions and other factors beyond the control of the closed-end fund. The foregoing factors may result in the market price of the Common Shares being greater than, less than or equal to net asset value.

The Fund reserves the right to merge or reorganize with another fund, liquidate or convert into an open-end fund, in each case subject to applicable approvals by shareholders and the Fund’s Board as required by law and the Fund’s governing documents. The Board of Trustees has reviewed the structure of the Fund in light of its investment objective and policies and has determined that the closed-end structure is in the best interests of the shareholders. Investors should assume that it is unlikely that the Board would vote to convert the Fund to an open-end investment company.

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REPURCHASE OF COMMON SHARES; CONVERSION TO OPEN-END FUND

Repurchase of Common Shares

The Board of Trustees will review periodically the trading range and activity of the Fund’s shares with respect to its net asset value and the Board may take certain actions to seek to reduce or eliminate any such discount. Such actions may include open market repurchases or tender offers for the Common Shares at net asset value. There can be no assurance that the Board will decide to undertake any of these actions or that, if undertaken, such actions would result in the Common Shares trading at a price equal to or close to net asset value per Common Share.

Conversion to Open-End Fund

To convert the Fund to an open-end investment company, the Declaration of Trust requires the favorable vote of a majority of the Board of Trustees followed by the favorable vote of the holders of at least 75% of the outstanding shares of each affected class or series of shares of the Fund, voting separately as a class or series, unless such amendment has been approved by at least 80% of the Trustees, in which case “a majority of the outstanding voting securities” (as defined in the 1940 Act) of the Fund shall be required. The foregoing vote would satisfy a separate requirement in the 1940 Act that any conversion of the Fund to an open-end investment company be approved by the shareholders. If approved in the foregoing manner, conversion of the Fund to an open-end investment company could not occur until 90 days after the shareholders’ meeting at which such conversion was approved and would also require at least 30 days’ prior notice to all shareholders.

In the event of conversion, the Common Shares would cease to be listed on the NYSE or other national securities exchange or market system. The Board of Trustees believes, however, that the closed-end structure is desirable, given the Fund’s investment objectives and policies. Investors should assume, therefore, that it is unlikely that the Board of Trustees would vote to convert the Fund to an open-end investment company. Shareholders of an open-end investment company may require the company to redeem their shares at any time (except in certain circumstances as authorized by or under the 1940 Act) at their net asset value, less such redemption charge, if any, as might be in effect at the time of a redemption. The Fund would expect to pay all such redemption requests in cash, but intends to reserve the right to pay redemption requests in a combination of cash or securities. If such partial payment in securities were made, investors may incur brokerage costs in converting such securities to cash. If the Fund were converted to an open-end fund, it is likely that new Common Shares would be sold at net asset value plus a sales load.

U.S. FEDERAL INCOME TAX CONSIDERATIONS

The following discussion is a brief summary of certain U.S. federal income tax considerations affecting the Fund and the ownership and disposition of the Fund’s Common Shares. A more complete discussion of the tax rules applicable to the Fund and its Common Shareholders can be found in the SAI that is incorporated by reference into this Prospectus. Except as otherwise noted, this discussion assumes you are a taxable U.S. person and that you hold your Common Shares as capital assets for U.S. federal income tax purposes (generally, assets held for investments). This discussion is based upon current provisions of the Internal Revenue Code of 1986, as amended (the “Code”), the regulations promulgated thereunder and judicial and administrative authorities, all of which are subject to change or differing interpretations by the courts or the Internal Revenue Service (the “IRS”), possibly with retroactive effect. No attempt is made to present a detailed explanation of all U.S. federal tax concerns affecting the Fund and its Common Shareholders (including Common Shareholders subject to special treatment under U.S. federal income tax law). No assurance can be given that the IRS would not assert, or that a court would not sustain, a position contrary to any of the tax aspects set forth below.

The discussion set forth herein does not constitute tax advice and potential investors are urged to consult their own tax advisers to determine the specific U.S. federal, state, local and foreign tax consequences to them of investing in the Fund.

Taxation of the Fund

The Fund has elected and intends to continue to be treated and to qualify annually as a regulated investment company (a “RIC”) under Subchapter M of the Code. Accordingly, the Fund must, among other things, meet certain income, asset diversification and distribution requirements.

(i)

The Fund must derive in each taxable year at least 90% of its gross income from the following sources: (a) dividends, interest (including tax-exempt interest), payments with respect to certain securities loans, and gains from the sale or other disposition of stock, securities or foreign currencies, or other income (including gain from options, futures and forward contracts) derived with respect to its business of investing in such stock,

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securities or foreign currencies; and (b) interests in “qualified publicly traded partnerships” (as defined in the Code). Generally, a qualified publicly traded partnership includes a partnership the interests of which are traded on an established securities market or readily tradable on a secondary market (or the substantial equivalent thereof).

(ii)

The Fund must diversify its holdings so that, at the end of each quarter of each taxable year (a) at least 50% of the market value of the Fund’s total assets is represented by cash and cash items, U.S. government securities, the securities of other RICs and other securities, with such other securities limited, in respect of any one issuer, to an amount not greater than 5% of the value of the Fund’s total assets and not more than 10% of the outstanding voting securities of such issuer and (b) not more than 25% of the market value of the Fund’s total assets is invested in the securities (other than U.S. government securities and the securities of other RICs) of (I) any one issuer, (II) any two or more issuers that the Fund controls and that are determined to be engaged in the same business or similar or related trades or businesses or (III) any one or more “qualified publicly traded partnerships” (as defined in the Code).

(iii)

The Fund must distribute in each taxable year at least 90% of its investment company taxable income (generally, its ordinary income and the excess of any net short-term capital gain over net long-term capital loss).

As long as the Fund qualifies as a RIC, the Fund generally will not be subject to U.S. federal income tax to the extent that it distributes its investment company taxable income and net realized capital gains. The Fund intends to distribute substantially all of its investment company taxable income each year. The Fund will be subject to income tax at regular corporate rates on any taxable income or gains that it does not distribute to its Common Shareholders.

The Fund will either distribute or retain for reinvestment all or part of its net capital gain (which consists of the excess of its net long-term capital gain over its net short-term capital loss). If any such gain is retained, the Fund will be subject to a corporate income tax on such retained amount. In that event, the Fund expects to designate the retained amount as undistributed capital gain in a notice to its Common Shareholders, each of whom, if subject to U.S. federal income tax on long-term capital gains, (i) will be required to include in income for U.S. federal income tax purposes as long-term capital gain its share of such undistributed amounts, (ii) will be entitled to credit its proportionate share of the tax paid by the Fund against its U.S. federal income tax liability and to claim refunds to the extent that the credit exceeds such liability and (iii) will increase its basis in its Common Shares by the amount of undistributed capital gain included in such Common Shareholder’s gross income net of the tax deemed paid by the shareholder under clause (ii).

The Code imposes a 4% nondeductible excise tax on the Fund to the extent the Fund does not distribute by the end of any calendar year at least the sum of (i) 98% of its ordinary income (not taking into account any capital gain or loss) for the calendar year and (ii) 98.2% of its capital gain in excess of its capital loss (adjusted for certain ordinary losses) for a one-year period generally ending on October 31 of the calendar year. In addition, the minimum amounts that must be distributed in any year to avoid the excise tax will be increased or decreased to reflect any under-distribution or over-distribution, as the case may be, from the previous year. While the Fund intends to distribute any income and capital gain in the manner necessary to minimize imposition of the 4% nondeductible excise tax, there can be no assurance that sufficient amounts of the Fund’s taxable income and capital gain will be distributed to entirely avoid the imposition of the excise tax. In that event, the Fund will be liable for the excise tax only on the amount by which it does not meet the foregoing distribution requirement.

Certain of the Fund’s investment practices are subject to special and complex U.S. federal income tax provisions that may, among other things, (i) disallow, suspend or otherwise limit the allowance of certain losses or deductions, (ii) convert lower taxed long-term capital gains or “qualified dividend income” into higher taxed short-term capital gains or ordinary income, (iii) convert an ordinary loss or a deduction into a capital loss (the deductibility of which is more limited), (iv) cause the Fund to recognize income or gain without a corresponding receipt of cash, (v) adversely affect the time as to when a purchase or sale of stock or securities is deemed to occur, (vi) adversely alter the characterization of certain complex financial transactions and (vii) produce income that will not be “qualified” income for purposes of the 90% gross income requirement described above. These U.S. federal income tax provisions could therefore affect the amount, timing and character of distributions to Common Shareholders. The Fund intends to structure and monitor its transactions and may make certain tax elections and may be required to dispose of securities to mitigate the effect of these provisions and prevent disqualification of the Fund as a RIC (which may adversely affect the net after-tax return to the Fund).

If for any taxable year the Fund does not qualify as a RIC, all of its taxable income (including its net capital gain) will be subject to tax at regular corporate rates without any deduction for distributions to Common Shareholders, and such distributions will be taxable to the Common Shareholders as ordinary dividends to the extent of the Fund’s current or accumulated earnings and profits. Provided that certain holding period and other requirements are met, such dividends, however, would generally be

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eligible (i) to be treated as qualified dividend income in the case of certain non-corporate U.S. Common Shareholders (including individuals) and (ii) for the dividends-received deduction in the case of U.S. Common Shareholders taxed as corporations. The Fund could be required to recognize unrealized gains, pay taxes and make distributions (which could be subject to interest charges) before requalifying for taxation as a RIC.

Taxation of Common Shareholders

Distributions. Distributions paid to you by the Fund from its net capital gain, which is the excess of net long-term capital gain over net short-term capital loss, if any, that the Fund properly reports as capital gains dividends (“capital gain dividends”) are taxable as long-term capital gains, regardless of how long you have held your Common Shares. All other dividends paid to you by the Fund (including dividends from short-term capital gains) from its current or accumulated earnings and profits (“ordinary income dividends”) are generally subject to tax as ordinary income.

In the case of corporate shareholders, properly reported ordinary income dividends paid by the Fund generally will be eligible for the dividends received deduction to the extent that the Fund’s income consists of dividend income from U.S. corporations and certain holding period requirements are satisfied. If you are a non-corporate shareholder (including a shareholder who is an individual), any such ordinary income dividend that you receive from the Fund generally will be eligible for taxation at reduced maximum rates to the extent that (i) the ordinary income dividend is attributable to “qualified dividend income” (i.e., generally dividends paid by U.S. corporations and certain foreign corporations) received by the Fund, (ii) the Fund satisfies certain holding period and other requirements with respect to the stock on which such qualified dividend income was paid and (iii) you satisfy certain holding period and other requirements with respect to your Common Shares. Qualified dividend income eligible for these special rules is not actually treated as capital gains, however, and thus will not be included in the computation of your net capital gain and generally cannot be used to offset any capital losses. In general, you may include as qualified dividend income only that portion of the dividends that may be and are so reported by the Fund as qualified dividend income. Dividend income from passive foreign investment companies and, in general, dividend income from REITs is not eligible for the reduced rate for qualified dividend income and is taxed as ordinary income. There can be no assurance as to what portion of the Fund’s distributions will qualify for favorable treatment as qualified dividend income.

Any distributions you receive that are in excess of the Fund’s current and accumulated earnings and profits will be treated as a tax-free return of capital to the extent of your adjusted tax basis in your Common Shares, and thereafter as capital gain from the sale of Common Shares. The amount of any Fund distribution that is treated as a tax-free return of capital will reduce your adjusted tax basis in your Common Shares, thereby increasing your potential gain or reducing your potential loss on any subsequent sale or other disposition of your Common Shares.

Dividends and other taxable distributions are taxable to you even if they are reinvested in additional Common Shares of the Fund. Dividends and other distributions paid by the Fund are generally treated as received by you at the time the dividend or distribution is made. If, however, the Fund pays you a dividend in January that was declared in the previous October, November or December and you were the Common Shareholder of record on a specified date in one of such months, then such dividend will be treated for U.S. federal income tax purposes as being paid by the Fund and received by you on December 31 of the year in which the dividend was declared.

The Fund will send you information after the end of each year setting forth the amount and tax status of any distributions paid to you by the Fund.

Sale of Common Shares. The sale or other disposition of Common Shares of the Fund will generally result in capital gain or loss to you and will be long-term capital gain or loss if you have held such Common Shares for more than one year. Any loss upon the sale or other disposition of Common Shares held for six months or less will be treated as long-term capital loss to the extent of any capital gain dividends received (including amounts credited as an undistributed capital gain) by you with respect to such Common Shares. Any loss you recognize on a sale or other disposition of Common Shares will be disallowed if you acquire other Common Shares (whether through the automatic reinvestment of dividends or otherwise) within a 61-day period beginning 30 days before and ending 30 days after your sale or exchange of the Common Shares. In such case, your tax basis in the Common Shares acquired will be adjusted to reflect the disallowed loss.

Current U.S. federal income tax law taxes both long-term and short-term capital gain of corporations at the rates applicable to ordinary income. For non-corporate taxpayers, short-term capital gain is currently taxed at rates applicable to ordinary income while long-term capital gain generally is taxed at reduced maximum rates.

Backup Withholding. The Fund may be required to withhold, for U.S. federal backup withholding tax purposes, a portion of the dividends, distributions and redemption proceeds payable to non-corporate Common Shareholders who fail to provide the Fund (or its agent) with their correct taxpayer identification number (in the case of individuals, generally, their social security

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number) or to make required certifications, or who are otherwise subject to backup withholding. Backup withholding is not an additional tax and any amount withheld may be refunded or credited against your U.S. federal income tax liability, if any, provided that you furnish the required information to the IRS.

The foregoing is a general and abbreviated summary of the provisions of the Code and the Treasury regulations in effect as they directly govern the taxation of the Fund and its Common Shareholders. These provisions are subject to change by legislative or administrative action, and any such change may be retroactive. A more complete discussion of the tax rules applicable to the Fund and its Common Shareholders can be found in the Statement of Additional Information that is incorporated by reference into this Prospectus. Common Shareholders are urged to consult their tax advisers regarding specific questions as to U.S. federal, state, local and foreign income or other taxes.

PLAN OF DISTRIBUTION

The Fund may sell up to $700,000,000 in aggregate initial offering price of Common Shares from time to time under this Prospectus and any related Prospectus Supplement (1) directly to one or more purchases; (2) through agents; (3) through underwriters; (4) through dealers; or (5) pursuant to the Plan. Each Prospectus Supplement relating to an offering of Common Shares will state the terms of the offering, including:

•

the names of any agents, underwriters or dealers;

•

any sales loads or other items constituting underwriters’ compensation;

•

any discounts, commissions, or fees allowed or paid to dealers or agents;

•

the public offering or purchase price of the offered Common Shares and the net proceeds the Fund will receive from the sale; and

•

any securities exchange on which the offered Common Shares may be listed.

Direct Sales

The Fund may sell Common Shares directly to, and solicit offers from, institutional investors or others who may be deemed to be underwriters as defined in the Securities Act for any resales of the securities. In this case, no underwriters or agents would be involved. The Fund may use electronic media, including the Internet, to sell offered securities directly. The Fund will describe the terms of any of those sales in a Prospectus Supplement.

By Agents

The Fund may offer Common Shares through agents that the Fund may designate. The Fund will name any agent involved in the offer and sale and describe any commissions payable by the Fund in the Prospectus Supplement. Unless otherwise indicated in the Prospectus Supplement, the agents will be acting on a best efforts basis for the period of their appointment.

By Underwriters

The Fund may offer and sell Common Shares from time to time to one or more underwriters who would purchase the Common Shares as principal for resale to the public, either on a firm commitment or best efforts basis. If the Fund sells Common Shares to underwriters, the Fund will execute an underwriting agreement with them at the time of the sale and will name them in the Prospectus Supplement. In connection with these sales, the underwriters may be deemed to have received compensation from the Fund in the form of underwriting discounts and commissions. The underwriters also may receive commissions from purchasers of Common Shares for whom they may act as agent. Unless otherwise stated in the Prospectus Supplement, the underwriters will not be obligated to purchase the Common Shares unless the conditions set forth in the underwriting agreement are satisfied, and if the underwriters purchase any of the Common Shares, they will be required to purchase all of the offered Common Shares. The underwriters may sell the offered Common Shares to or through dealers, and those dealers may receive discounts, concessions or commissions from the underwriters as well as from the purchasers for whom they may act as agent. Any public offering price and any discounts or concessions allowed or reallowed or paid to dealers may be changed from time to time.

If a Prospectus Supplement so indicates, the Fund may grant the underwriters an option to purchase additional Common Shares at the public offering price, less the underwriting discounts and commissions, within 45 days from the date of the Prospectus Supplement, to cover any overallotments.

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By Dealers

The Fund may offer and sell Common Shares from time to time to one or more dealers who would purchase the securities as principal. The dealers then may resell the offered Common Shares to the public at fixed or varying prices to be determined by those dealers at the time of resale. The Fund will set forth the names of the dealers and the terms of the transaction in the Prospectus Supplement.

General Information

Agents, underwriters, or dealers participating in an offering of Common Shares may be deemed to be underwriters, and any discounts and commission received by them and any profit realized by them on resale of the offered Common Shares for whom they act as agent, may be deemed to be underwriting discounts and commissions under the Securities Act.

The Fund may offer to sell securities either at a fixed price or at prices that may vary, at market prices prevailing at the time of sale, at prices related to prevailing market prices or at negotiated prices.

To facilitate an offering of Common Shares in an underwritten transaction and in accordance with industry practice, the underwriters may engage in transactions that stabilize, maintain, or otherwise affect the market price of the Common Shares or any other security. Those transactions may include overallotment, entering stabilizing bids, effecting syndicate covering transactions, and reclaiming selling concessions allowed to an underwriter or a dealer.

•

An overallotment in connection with an offering creates a short position in the common stock for the underwriter’s own account.

•

An underwriter may place a stabilizing bid to purchase the Common Shares for the purpose of pegging, fixing, or maintaining the price of the Common Shares.

•

Underwriters may engage in syndicate covering transactions to cover overallotments or to stabilize the price of the Common Shares by bidding for, and purchasing, the Common Shares or any other securities in the open market in order to reduce a short position created in connection with the offering.

•

The managing underwriter may impose a penalty bid on a syndicate member to reclaim a selling concession in connection with an offering when the Common Shares originally sold by the syndicate member is purchased in syndicate covering transactions or otherwise.

Any of these activities may stabilize or maintain the market price of the Common Shares above independent market levels. The underwriters are not required to engage in these activities, and may end any of these activities at any time.

Any underwriters to whom the offered Common Shares are sold for offering and sale may make a market in the offered Common Shares, but the underwriters will not be obligated to do so and may discontinue any market-making at any time without notice. There can be no assurance that there will be a liquid trading market for the offered Common Shares.

Under agreements entered into with the Fund, underwriters and agents may be entitled to indemnification by us against certain civil liabilities, including liabilities under the Securities Act, or to contribution for payments the underwriters or agents may be required to make.

The underwriters, agents, and their affiliates may engage in financial or other business transactions with the Fund in the ordinary course of business.

Pursuant to a requirement of the Financial Industry Regulatory Authority, Inc., or FINRA, the maximum compensation to be received by any FINRA member or independent broker-dealer may not be greater than eight percent (8%) of the gross proceeds received by the Fund for the sale of any securities being registered pursuant to SEC Rule 415 under the Securities Act.

The aggregate offering price specified on the cover of this Prospectus relates to the offering of the Common Shares not yet issued as of the date of this Prospectus.

To the extent permitted under the 1940 Act and the rules and regulations promulgated thereunder, the underwriters may from time to time act as a broker or dealer and receive fees in connection with the execution of portfolio transactions on behalf of the Fund after the underwriters have ceased to be underwriters and, subject to certain restrictions, each may act as a broker while it is an underwriter.

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A Prospectus and accompanying Prospectus Supplement in electronic form may be made available on the websites maintained by underwriters. The underwriters may agree to allocate a number of Common Shares for sale to their online brokerage account holders. Such allocations of Common Shares for internet distributions will be made on the same basis as other allocations. In addition, Common Shares may be sold by the underwriters to securities dealers who resell Common Shares to online brokerage account holders.

Dividend Reinvestment Plan

The Fund may issue and sell Common Shares pursuant to the Plan.

CUSTODIAN, ADMINISTRATOR, TRANSFER AGENT AND DIVIDEND DISBURSING AGENT

The Bank of New York Mellon serves as the custodian of the Fund’s assets pursuant to a custody agreement. Under the custody agreement, the custodian holds the Fund’s assets in compliance with the 1940 Act. For its services, the custodian will receive a monthly fee based upon, among other things, the average value of the total assets of the Fund, plus certain charges for securities transactions. The Bank of New York Mellon is located at 101 Barclay Street, New York, New York 10286.

Computershare Inc. serves as the Fund’s dividend disbursing agent, transfer agent and registrar for the Common Shares of the Fund. Computershare Inc. is located at 250 Royall Street, Canton, MA 02021. Computershare Trust Company, N.A. serves as Plan Agent under the Fund’s Dividend Reinvestment Plan.

MUFG Investor Services (US) LLC (“MUFG”), serves as administrator to the Fund. Pursuant to an administration agreement, MUFG is responsible for providing administrative services to the Fund. For the services, the Fund pays MUFG a fee, accrued daily and paid monthly, at the annual rate equal to 0.0275% of the first $200 million in average daily Managed Assets, 0.0200% of the next $300 million in average daily Managed Assets, 0.0150% of the next $500 million in average daily Managed Assets, and 0.0100% of average daily Managed Assets above $1 billion.

MUFG also serves as fund accounting agent to the Fund. Pursuant to a fund accounting agreement, MUFG performs certain accounting services. For the services, the Fund pays MUFG a fee, accrued daily and paid monthly, at the annual rate equal to 0.0300% of the first $200 million in average daily Managed Assets, 0.0150% of the next $300 million in average daily Managed Assets, 0.0100% of the next $500 million in average daily Managed Assets, and 0.0075% of average daily Managed Assets above $1 billion, subject to a minimum fee of $50,000 per year, and reimburses MUFG for certain out-of-pocket expenses.

LEGAL MATTERS

Certain legal matters will be passed on by Dechert LLP as counsel to the Fund in connection with the offering of the Common Shares. If certain legal matters in connection with an offering of Common Shares are passed upon by counsel for the underwriters of such offering, that counsel will be named in the Prospectus Supplement related to that offering.

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Ernst & Young LLP, 1775 Tysons Blvd, Tysons, Virginia 22102, has been engaged as the Fund’s Independent Registered Public Accounting Firm.

ADDITIONAL INFORMATION

This Prospectus constitutes part of a Registration Statement filed by the Fund with the SEC under the Securities Act, and the 1940 Act. This Prospectus omits 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 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 web site (http://www.sec.gov).

PRIVACY PRINCIPLES OF THE FUND

The Fund is committed to maintaining the privacy of its shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Fund collects, how the Fund protects that information and why, in certain cases, the Fund may share information with select other parties.

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Generally, the Fund does not receive any non-public personal information relating to its shareholders, although certain non-public personal information of its shareholders may become available to the Fund. The Fund does not disclose any non-public personal information about its shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).

The Fund restricts access to non-public personal information about its shareholders to employees of the Fund’s Investment Adviser and its delegates and affiliates with a legitimate business need for the information. The Fund maintains physical, electronic and procedural safeguards designed to protect the non-public personal information of its shareholders.

INCORPORATION BY REFERENCE

As noted above, this Prospectus is part of a Registration Statement that has been filed with the SEC. Pursuant to the final rule and form amendments adopted by the SEC on April 8, 2020 to implement certain provisions of the Economic Growth, Regulatory Relief, and Consumer Protection Act, the Fund may “incorporate by reference” the information that it files with the SEC, which means that the Fund can disclose important information by referring to those documents. The information incorporated by reference is considered to be part of this Prospectus, and later information that the Fund files with the SEC will automatically update and supersede this information.

The Fund incorporates by reference any future filings (including those made after the date of the filing of the Registration Statement of which this Prospectus is a part) it will make with the SEC under Sections 13(a), 13(c), 14, or 15(d) of the Securities Exchange Act of 1934 or pursuant to Rule 30b2-1 under the 1940 Act until the termination of the offering of the securities covered by this Prospectus. To obtain copies of these filings, see “Additional Information.”

SUPPLEMENTAL SUMMARY OF FUND EXPENSES

The section “Summary of Fund Expenses” above contains information about the costs and expenses that Common Shareholders will bear directly or indirectly and illustrates the expenses that you would pay on a $1,000 investment in Common Shares. As described above, shareholders approved the mergers of Guggenheim Enhanced Equity Income Fund (“GPM”) and Guggenheim Credit Allocation Fund (“GGM”), each a closed-end fund, with and into the Fund (the “Fund Mergers”). Subject to the satisfaction of certain customary closing conditions, the Fund Mergers are expected to be effective with the open of the New York Stock Exchange on October 25, 2021.

The following table sets forth (i) the annual expenses for the Fund for the fiscal year ended May 31, 2021 (without giving effect to the Fund Mergers); (ii) the annualized expenses for GPM based on the six months ended June 30, 2021; (iii) the annual expenses for GGM for the fiscal year ended May 31, 2021; and (iv) the pro forma annual expenses for the Fund, after giving effect to the Fund Mergers, as of June 30, 2021. 

	The Fund	GPM	GGM	Pro Forma the Fund (Both GPM and GGM into the Fund)(2)
Shareholder Transaction Expenses(1)
Maximum Sales Load (as a percentage of the offering price) imposed on purchases of common shares(3)	None	None	None	None
Dividend Reinvestment and Cash Purchase Plan Fees(4)	None	None	None	None
Annual Expenses (as a percentage of average net assets attributable to common shares)(5)
Advisory Fees(6)	1.36%	1.16%	1.41%	1.40%
Interest Expense	0.28%	0.40%	0.45%	0.34%
Acquired Fund Fees and Expenses(7)	0.09%	0.07%	0.00%	0.07%
Other Expenses(8)	0.19%	0.22%	0.39%	0.16%
Total Annual Fund Operating Expenses(9)	1.92%	1.85%	2.25%	1.97%

(1)

As described above in “Summary of Fund Expenses,” if Common Shares to which this Prospectus relates are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses borne by the Fund. Also as described above, the 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 Adviser for offering expenses incurred by the 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

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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. The expense limitation agreement will be in effect for the life of the registration statement with respect to all Common Shares sold pursuant to the registration statement and may only be terminated by the Board of Trustees of the Fund.

(2)

Assumes the Fund Mergers had taken place on June 30, 2021.

(3)

No sales load will be charged in connection with the issuance of the Fund Common Shares as part of the Fund Mergers. Common Shares are not available for purchase from the Fund but may be purchased on the NYSE through a broker-dealer subject to individually negotiated commission rates. Common Shares purchased in the secondary market may be subject to brokerage commissions or other charges.

(4)

Common Shareholders of the Fund will pay brokerage charges if they direct the Plan Agent to sell their Common Shares of the Fund held in a dividend reinvestment account. See “Dividend Reinvestment Plan.”

(5)

Based on average leverage of approximately 26.6% of Managed Assets for the Fund (without giving effect to the Fund Mergers) for the fiscal year ended May 31, 2021; 31.1% of Managed Assets for GPM for the six-month period ended June 30, 2021, 29.0% of Managed Assets for GGM for the fiscal year ended May 31, 2021, and 28.3% of Managed Assets for the Fund, giving effect to the Fund Mergers. A fund that utilizes greater leverage will incur more interest expense and will pay a greater advisory fee, as a percentage of net assets attributable to common shares, because the advisory fee is calculated as a percentage of Managed Assets, but is borne by common shareholders.

(6)

Each Fund pays an investment advisory fee to the Investment Adviser in an annual amount equal to a percentage of the Fund’s average daily Managed Assets, as follows GPM: 0.80%; GGM: 1.00%; and the Fund (both before and after giving effect to the Fund Mergers): 1.00%. Common Shareholders bear the portion of the investment advisory fee attributable to the assets purchased with the proceeds of leverage, which means that Common Shareholders effectively bear the entire advisory fee.

(7)

Acquired Fund Fees and Expenses are based on estimated amounts for the current fiscal year.

(8)

Other expenses are estimated based upon those incurred during the following periods: (i) during the fiscal year ended May 31, 2021 for the Fund (before giving effect to the Fund Mergers); (ii) during the six months ended June 30, 2021 for the GPM; and (iii) during the fiscal year ended May 31, 2021 for GGM.

(9)

The Fund and GPM currently invest in instruments or funds that result in the incurrence of Acquired Fund Fees and Expenses. Although not direct expenses of the Fund, Acquired Fund Fees and Expenses reflect fees and expenses incurred indirectly by the Fund as a result of investment in shares of one or more other investment companies or other pooled investment vehicles, which under applicable SEC rules must be reflected in the Fund’s Total Expense Ratio. As a result, the Total Expense Ratio shown above, which includes Acquired Fund Fees and Expenses, differs from the ratio of expenses to average net assets included in the Funds’ financial statements, which reflects the operating expenses of the Fund and does not include Acquired Fund Fees and Expenses.

The following example is intended to help you compare the costs of investing in the Common Shares of the Fund on a pro forma basis, giving effect to the Fund Mergers, with the costs of separately investing in the common shares of each of the Fund, GPM and GGM without the Fund Mergers. An investor in common shares would pay the following expenses on a $1,000 investment, assuming (1) the Total Annual Fund Operating Expenses (including interest expenses) for each of GPM, GGM and the Fund (both before and after giving effect to the Fund Mergers) set forth in the total expenses table above and (2) a 5% annual return throughout the period: 

	1 Year	3 Years	5 Years	10 Years
The Fund	$20	$60	$104	$225
GPM	$19	$58	$100	$217
GGM	$23	$70	$120	$258
Pro Forma the Fund (Both GPM and GGM into the Fund)	$20	$62	$106	$230

The examples set forth above assume common shares of GPM, GGM and the Fund were owned as of the completion of the Fund Mergers and the reinvestment of all dividends and distributions and uses a 5% annual rate of return as mandated by SEC regulations. The examples should not be considered a representation of past or future expenses or annual rates of return. Actual expenses or annual rates of return may be more or less than those assumed for purposes of the examples.

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