Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Shares | Value | ||
COMMON STOCKS† - 6.0% | |||
Financial - 5.7% | |||
Pershing Square Tontine Holdings, Ltd. — Class A*,1 | 1,042,740 | $30,604,419 | |
Gores Holdings VI, Inc. ‒ Class A* | 453,180 | 8,048,477 | |
Aequi Acquisition Corp.* | 430,000 | 4,622,500 | |
Aequi Acquisition Corp. — Class A*,1 | 308,900 | 3,156,958 | |
Soaring Eagle Acquisition Corp.* | 84,800 | 920,080 | |
Colicity, Inc.* | 27,000 | 279,180 | |
Total Financial | 47,631,614 | ||
Utilities - 0.1% | |||
TexGen Power LLC*,†† | 22,219 | 866,541 | |
Consumer, Non-cyclical - 0.1% | |||
ATD New Holdings, Inc.*,†† | 13,571 | 560,482 | |
Cengage Learning Holdings II, Inc.*,†† | 11,126 | 150,201 | |
Save-A-Lot*,††† | 15,565 | 77,827 | |
Targus Group International Equity, Inc.*,†††,2 | 12,989 | 26,705 | |
Chef Holdings, Inc.*,††† | 31 | 1,987 | |
Total Consumer, Non-cyclical | 817,202 | ||
Consumer, Cyclical - 0.1% | |||
Exide Technologies*,††† | 342 | 341,710 | |
Energy - 0.0% | |||
SandRidge Energy, Inc.* | 39,565 | 198,221 | |
Unit Corp.* | 5,556 | 75,006 | |
Titan Energy LLC*,1 | 9,603 | 768 | |
Permian Production Partners LLC*,††† | 86,684 | – | |
Total Energy | 273,995 | ||
Technology - 0.0% | |||
Qlik Technologies, Inc. - Class A*,††† | 56 | 70,772 | |
Qlik Technologies, Inc. - Class B*,††† | 13,812 | – | |
Total Technology | 70,772 | ||
Industrial - 0.0% | |||
BP Holdco LLC*,†††,2 | 55,076 | 19,419 | |
Vector Phoenix Holdings, LP*,††† | 55,076 | 6,234 | |
Total Industrial | 25,653 | ||
Total Common Stocks | |||
(Cost $37,044,276) | 50,027,487 | ||
PREFERRED STOCKS†† - 4.7% | |||
Financial - 4.2% | |||
Bank of America Corp., | |||
4.38% | 240,000 | 5,928,000 | |
W R Berkley Corp., | |||
4.13% due 03/30/61 | 126,000 | 3,176,460 | |
4.25% due 09/30/60 | 36,800 | 925,520 | |
Public Storage | |||
4.63% | 144,400 | 3,667,760 | |
4.13% | 16,400 | 412,132 | |
First Republic Bank, | |||
4.25%* | 158,000 | 4,011,620 |
Wells Fargo & Co., | |||
4.70% | 148,000 | 3,620,080 | |
Prudential Financial, Inc., | |||
4.13% due 09/01/60 | 140,000 | 3,463,600 | |
American Financial Group, Inc., | |||
4.50% due 09/15/60 | 100,000 | 2,516,000 | |
Equitable Holdings, Inc., | |||
4.30% | 82,000 | 2,024,580 | |
CNO Financial Group, Inc., | |||
5.13% due 11/25/60 | 80,000 | 1,996,000 | |
First Republic Bank, | |||
4.13% | 54,800 | 1,338,216 | |
Assurant, Inc., | |||
5.25% due 01/15/61* | 40,000 | 1,004,000 | |
Selective Insurance Group, Inc. | |||
4.60% | 36,000 | 857,520 | |
Total Financial | 34,941,488 | ||
Government - 0.4% | |||
Farmer Mac, | |||
5.75% | 112,000 | 3,011,680 | |
AgriBank FCB, | |||
6.88%4 | 4,000 | 436,000 | |
Total Government | 3,447,680 | ||
Consumer, Cyclical - 0.1% | |||
Exide Technologies*,††† | 761 | 761,240 | |
Total Preferred Stocks | |||
(Cost $38,979,724) | 39,150,408 | ||
WARRANTS† - 0.3% | |||
Pershing Square Tontine Holdings, Ltd. | |||
Expiring 07/24/25 | 115,860 | 1,503,863 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Shares | Value | ||
WARRANTS† - 0.3% (continued) | |||
Gores Holdings VI Inc. | |||
Expiring 08/24/27* | 135,954 | $813,005 | |
Aequi Acquisition Corp. | |||
Expiring 11/30/27 | 102,966 | 164,745 | |
Total Warrants | |||
(Cost $1,559,876) | 2,481,613 | ||
CLOSED-END FUNDS† - 5.0% | |||
BlackRock Taxable Municipal Bond Trust | 285,768 | 7,118,481 | |
Nuveen Taxable Municipal Income Fund | 287,097 | 6,430,973 | |
Nuveen AMT-Free Municipal Credit Income Fund | 288,379 | 4,720,764 | |
BlackRock Corporate High Yield Fund, Inc.1 | 361,116 | 4,127,556 | |
Invesco Municipal Opportunity Trust1 | 224,602 | 2,922,072 | |
Invesco Trust for Investment Grade Municipals | 204,113 | 2,700,415 | |
Invesco Municipal Trust1 | 180,695 | 2,316,510 | |
Invesco Advantage Municipal Income Trust II1 | 158,726 | 1,823,762 | |
Blackstone Strategic Credit Fund1 | 131,619 | 1,732,106 | |
BlackRock Credit Allocation Income Trust1 | 120,109 | 1,727,167 | |
BlackRock Municipal Income Trust1 | 107,502 | 1,612,530 | |
Eaton Vance Limited Duration Income Fund1 | 101,243 | 1,268,575 | |
Ares Dynamic Credit Allocation Fund, Inc.1 | 65,906 | 972,773 | |
BlackRock Debt Strategies Fund, Inc.1 | 59,520 | 639,840 | |
Nuveen AMT-Free Quality Municipal Income Fund | 29,667 | 430,171 | |
Nuveen Quality Municipal Income Fund | 24,504 | 367,560 | |
Western Asset High Income Opportunity Fund, Inc.1 | 58,776 | 289,178 | |
BlackRock MuniVest Fund, Inc.1 | 23,747 | 212,773 | |
Total Closed-End Funds | |||
(Cost $38,205,978) | 41,413,206 | ||
MONEY MARKET FUND† - 1.0% | |||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%5 | 8,069,136 | 8,069,136 | |
Total Money Market Fund | |||
(Cost $8,069,136) | 8,069,136 | ||
Face Amount~ | |||
CORPORATE BONDS†† - 51.9% | |||
Financial - 18.9% | |||
Morgan Stanley Finance LLC | |||
0.50% due 10/23/296 | 13,500,000 | 13,883,400 | |
Dyal Capital Partners III | |||
4.40% due 06/15/40††† | 10,000,000 | 10,145,184 | |
Kuvare US Holdings, Inc. | |||
7.00% due 02/17/514,7 | 6,400,000 | 6,575,232 | |
Liberty Mutual Group, Inc. | |||
4.30% due 02/01/611,7 | 6,800,000 | 6,220,516 | |
Wilton RE Ltd. | |||
6.00%†††,1,3,4,7 | 6,300,000 | 6,191,262 | |
NFP Corp. | |||
6.88% due 08/15/281,7 | 4,075,000 | 4,208,171 | |
7.00% due 05/15/251,7 | 1,600,000 | 1,708,000 | |
Citigroup, Inc. | |||
3.88%3,4 | 4,000,000 | 3,977,500 | |
4.00%3,4 | 1,750,000 | 1,763,125 | |
Charles Schwab Corp. | |||
5.38%1,3,4 | 3,000,000 | 3,270,000 | |
4.00%3,4 | 2,350,000 | 2,358,813 | |
Iron Mountain, Inc. | |||
5.63% due 07/15/321,7 | 5,000,000 | 5,292,613 | |
Markel Corp. | |||
6.00%1,3,4 | 4,770,000 | 5,235,886 | |
Hampton Roads PPV LLC | |||
6.62% due 06/15/537 | 4,500,000 | 4,988,987 | |
GLP Capital Limited Partnership / GLP Financing II, Inc. | |||
4.00% due 01/15/311 | 3,410,000 | 3,630,252 | |
5.30% due 01/15/291 | 1,050,000 | 1,200,160 | |
QBE Insurance Group Ltd. | |||
7.50% due 11/24/431,4,7 | 3,000,000 | 3,360,000 | |
5.88%1,3,4,7 | 950,000 | 1,027,187 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 51.9% (continued) | |||
Financial - 18.9% (continued) |
RXR Realty LLC | |||
5.25% due 07/17/25††† | 4,200,000 | $4,343,856 | |
Home Point Capital, Inc. | |||
5.00% due 02/01/261,7 | 4,050,000 | 4,029,750 | |
Equitable Holdings, Inc. | |||
4.95%3,4 | 3,650,000 | 3,916,450 | |
United Wholesale Mortgage LLC | |||
5.50% due 11/15/251,7 | 3,650,000 | 3,823,375 |
Host Hotels & Resorts, LP | |||
3.50% due 09/15/301 | 3,610,000 | 3,648,092 | |
OneMain Finance Corp. | |||
4.00% due 09/15/30 | 1,700,000 | 1,649,221 | |
6.13% due 03/15/241 | 1,500,000 | 1,612,500 | |
6.63% due 01/15/281 | 250,000 | 284,300 | |
Cushman & Wakefield US Borrower LLC | |||
6.75% due 05/15/281,7 | 3,150,000 | 3,405,307 | |
Bank of America Corp. | |||
6.50%1,3,4 | 2,000,000 | 2,225,600 | |
6.30%1,3,4 | 1,000,000 | 1,148,129 | |
American Equity Investment Life Holding Co. | |||
5.00% due 06/15/271 | 2,950,000 | 3,310,967 | |
BBC Military Housing-Navy Northeast LLC | |||
6.30% due 10/15/49 | 2,800,000 | 3,201,284 | |
Hunt Companies, Inc. | |||
6.25% due 02/15/261,7 | 3,000,000 | 3,075,000 | |
Lincoln National Corp. | |||
4.38% due 06/15/501 | 2,560,000 | 3,014,421 | |
Citizens Financial Group, Inc. | |||
4.20% (3 Month USD LIBOR + 3.96%, Rate Floor: 0.00%)3,8 | 2,500,000 | 2,492,200 | |
Assurant, Inc. | |||
4.90% due 03/27/281 | 1,950,000 | 2,272,595 | |
Wells Fargo & Co. | |||
3.90%4,5 | 2,250,000 | 2,241,337 | |
Fort Knox Military Housing Privatization Project | |||
5.82% due 02/15/527 | 1,892,801 | 2,164,091 | |
Kennedy-Wilson, Inc. | |||
5.00% due 03/01/31 | 2,000,000 | 2,065,000 | |
First American Financial Corp. | |||
4.00% due 05/15/301 | 1,740,000 | 1,954,669 | |
MetLife, Inc. | |||
3.85%1,3,4 | 1,820,000 | 1,860,950 | |
OneAmerica Financial Partners, Inc. | |||
4.25% due 10/15/501,7 | 1,730,000 | 1,730,028 | |
Newmark Group, Inc. | |||
6.13% due 11/15/231 | 1,450,000 | 1,570,898 | |
Weyerhaeuser Co. | |||
6.88% due 12/15/331 | 1,100,000 | 1,521,388 | |
Allianz SE | |||
3.50%3,4,7 | 1,400,000 | 1,421,336 | |
Atlas Mara Ltd. | |||
8.00% due 02/20/21†††,9 | 2,200,000 | 1,063,260 | |
Reinsurance Group of America, Inc. | |||
3.15% due 06/15/301 | 1,000,000 | 1,059,341 | |
AmWINS Group, Inc. | |||
7.75% due 07/01/261,7 | 950,000 | 1,012,937 | |
PartnerRe Finance B LLC | |||
4.50% due 10/01/501,4 | 950,000 | 985,829 | |
Fort Benning Family Communities LLC | |||
6.09% due 01/15/517 | 713,391 | 878,043 | |
Pacific Beacon LLC | |||
5.63% due 07/15/517 | 684,275 | 734,948 | |
Bank of New York Mellon Corp. | |||
4.70%1,3,4 | 670,000 | 721,925 | |
Macquarie Bank Ltd. | |||
3.62% due 06/03/301,7 | 640,000 | 674,928 | |
Greystar Real Estate Partners LLC | |||
5.75% due 12/01/251,7 | 450,000 | 462,937 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 51.9% (continued) | |||
Financial - 18.9% (continued) | |||
Fort Gordon Housing LLC | |||
6.32% due 05/15/517 | 200,000 | $235,988 | |
USI, Inc. | |||
6.88% due 05/01/251,7 | 150,000 | 152,812 | |
Total Financial | 157,001,980 | ||
Consumer, Cyclical - 8.8% | |||
Delta Air Lines, Inc. | |||
7.00% due 05/01/251,7 | 9,635,000 | 11,190,990 | |
Air Canada 2020-2 Class A Pass Through Trust | |||
5.25% due 04/01/291,7 | 5,400,000 | 5,771,160 | |
Marriott International, Inc. | |||
4.63% due 06/15/301 | 2,320,000 | 2,628,663 | |
3.50% due 10/15/321 | 1,400,000 | 1,469,409 | |
5.75% due 05/01/251 | 490,000 | 564,558 | |
Delta Air Lines Inc. / SkyMiles IP Ltd. | |||
4.75% due 10/20/281,7 | 3,600,000 | 3,981,462 | |
Walgreens Boots Alliance, Inc. | |||
4.10% due 04/15/501 | 3,800,000 | 3,949,349 | |
JB Poindexter & Company, Inc. | |||
7.13% due 04/15/261,7 | 3,500,000 | 3,692,500 | |
Williams Scotsman International, Inc. | |||
4.63% due 08/15/281,7 | 3,550,000 | 3,647,625 | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | |||
6.50% due 06/20/271,7 | 2,950,000 | 3,222,875 | |
Live Nation Entertainment, Inc. | |||
6.50% due 05/15/271,7 | 2,550,000 | 2,814,690 | |
HP Communities LLC | |||
6.16% due 09/15/537 | 1,000,000 | 1,223,902 | |
6.82% due 09/15/537 | 949,275 | 1,095,768 | |
Wolverine World Wide, Inc. | |||
6.38% due 05/15/251,7 | 2,075,000 | 2,217,656 | |
PetSmart Inc. | |||
4.75% due 02/15/287 | 2,000,000 | 2,071,900 | |
Hyatt Hotels Corp. | |||
5.75% due 04/23/301 | 1,690,000 | 2,000,209 | |
Aramark Services, Inc. | |||
6.38% due 05/01/251,7 | 1,750,000 | 1,848,437 | |
5.00% due 02/01/281,7 | 110,000 | 112,750 | |
Powdr Corp. | |||
6.00% due 08/01/251,7 | 1,825,000 | 1,907,125 | |
JetBlue Class A Pass Through Trust | |||
4.00% due 11/15/321 | 1,710,000 | 1,870,840 | |
LBC Tank Terminals Holding Netherlands BV | |||
6.88% due 05/15/231,7 | 1,875,000 | 1,870,312 | |
Picasso Finance Sub, Inc. | |||
6.13% due 06/15/251,7 | 1,650,000 | 1,753,125 | |
Hawaiian Brand Intellectual Property Limited / HawaiianMiles Loyalty Ltd | |||
5.75% due 01/20/261,7 | 1,650,000 | 1,739,727 | |
Six Flags Theme Parks, Inc. | |||
7.00% due 07/01/251,7 | 1,575,000 | 1,697,897 | |
Wyndham Hotels & Resorts, Inc. | |||
4.38% due 08/15/281,7 | 1,625,000 | 1,659,710 | |
Boyne USA, Inc. | |||
7.25% due 05/01/251,7 | 1,225,000 | 1,274,270 | |
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | |||
5.88% due 03/01/271 | 610,000 | 637,313 | |
5.75% due 03/01/251 | 575,000 | 580,152 | |
CD&R Smokey Buyer, Inc. | |||
6.75% due 07/15/251,7 | 1,025,000 | 1,089,063 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 51.9% (continued) | |||
Consumer, Cyclical - 8.8% (continued) | |||
Vail Resorts, Inc. | |||
6.25% due 05/15/251,7 | 600,000 | $640,740 | |
Ferguson Finance plc | |||
3.25% due 06/02/301,7 | 490,000 | 525,522 | |
United Airlines Class AA Pass Through Trust | |||
3.45% due 12/01/271 | 498,397 | 506,081 | |
Lithia Motors, Inc. | |||
4.38% due 01/15/311,7 | 475,000 | 498,750 | |
Performance Food Group, Inc. | |||
6.88% due 05/01/251,7 | 450,000 | 480,375 | |
Superior Plus Limited Partnership / Superior General Partner, Inc. | |||
7.00% due 07/15/261,7 | 395,000 | 421,536 | |
Boyd Gaming Corp. | |||
8.63% due 06/01/251,7 | 250,000 | 275,000 | |
Yum! Brands, Inc. | |||
7.75% due 04/01/251,7 | 200,000 | 218,750 | |
Wabash National Corp. | |||
5.50% due 10/01/251,7 | 100,000 | 101,875 | |
Total Consumer, Cyclical | 73,252,066 | ||
Consumer, Non-cyclical - 6.4% | |||
Altria Group, Inc. | |||
3.70% due 02/04/511 | 6,000,000 | 5,552,220 | |
Acadia Healthcare Company, Inc. | |||
5.00% due 04/15/291,7 | 2,400,000 | 2,496,000 | |
5.63% due 02/15/231 | 600,000 | 600,000 | |
5.50% due 07/01/281,7 | 550,000 | 580,250 | |
US Foods, Inc. | |||
6.25% due 04/15/251,7 | 1,950,000 | 2,079,188 | |
4.75% due 02/15/297 | 1,400,000 | 1,424,500 | |
Sotheby’s | |||
7.38% due 10/15/271,7 | 3,200,000 | 3,456,000 | |
Sabre GLBL, Inc. | |||
7.38% due 09/01/251,7 | 2,225,000 | 2,391,875 | |
9.25% due 04/15/251,7 | 750,000 | 889,688 | |
Nielsen Finance LLC / Nielsen Finance Co. | |||
5.63% due 10/01/281,7 | 1,900,000 | 2,009,250 | |
5.00% due 04/15/221,7 | 592,000 | 593,231 | |
Kraft Heinz Foods Co. | |||
5.20% due 07/15/451 | 1,250,000 | 1,501,673 | |
4.38% due 06/01/461 | 850,000 | 919,775 | |
Post Holdings, Inc. | |||
4.50% due 09/15/317 | 2,300,000 | 2,297,263 | |
Nathan’s Famous, Inc. | |||
6.63% due 11/01/251,7 | 2,050,000 | 2,101,250 | |
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | |||
5.00% due 02/01/267 | 2,000,000 | 2,035,000 | |
Royalty Pharma plc | |||
3.55% due 09/02/501,7 | 2,100,000 | 2,032,814 | |
Cheplapharm Arzneimittel GmbH | |||
5.50% due 01/15/281,7 | 1,950,000 | 1,989,000 | |
DaVita, Inc. | |||
4.63% due 06/01/307 | 1,900,000 | 1,930,875 | |
Spectrum Brands, Inc. | |||
5.50% due 07/15/301,7 | 1,700,000 | 1,831,937 | |
Gartner, Inc. | |||
4.50% due 07/01/281,7 | 1,700,000 | 1,785,000 | |
Avantor Funding, Inc. | |||
4.63% due 07/15/281,7 | 1,700,000 | 1,772,284 | |
Kronos Acquisition Holdings Incorporated / KIK Custom Products Inc | |||
7.00% due 12/31/271,7 | 1,500,000 | 1,484,625 | |
AMN Healthcare, Inc. | |||
4.63% due 10/01/271,7 | 1,200,000 | 1,245,000 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 51.9% (continued) | |||
Consumer, Cyclical - 8.8% (continued) | |||
TreeHouse Foods, Inc. | |||
4.00% due 09/01/281 | 1,150,000 | $1,181,855 | |
Rent-A-Center, Inc. | |||
6.38% due 02/15/297 | 1,000,000 | 1,040,110 | |
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | |||
5.63% due 08/15/261,7 | 900,000 | 928,125 | |
Prestige Brands, Inc. | |||
3.75% due 04/01/317 | 900,000 | 882,045 | |
Par Pharmaceutical, Inc. | |||
7.50% due 04/01/271,7 | 798,000 | 857,850 | |
Endo Finance LLC / Endo Finco, Inc. | |||
7.25% due 01/15/227 | 800,000 | 760,000 | |
Jaguar Holding Company II / PPD Development, LP | |||
5.00% due 06/15/281,7 | 700,000 | 738,500 | |
Carriage Services, Inc. | |||
6.63% due 06/01/261,7 | 650,000 | 682,500 | |
Central Garden & Pet Co. | |||
4.13% due 10/15/301 | 625,000 | 648,991 | |
KeHE Distributors LLC / KeHE Finance Corp. | |||
8.63% due 10/15/261,7 | 494,000 | 549,575 | |
Total Consumer, Non-cyclical | 53,268,249 | ||
Industrial - 4.6% | |||
Boeing Co. | |||
5.81% due 05/01/501 | 9,400,000 | 11,994,779 | |
PowerTeam Services LLC | |||
9.03% due 12/04/251,7 | 3,440,000 | 3,809,800 | |
New Enterprise Stone & Lime Company, Inc. | |||
9.75% due 07/15/281,7 | 2,200,000 | 2,464,000 | |
Great Lakes Dredge & Dock Corp. | |||
8.00% due 05/15/221 | 1,776,000 | 1,791,984 | |
Harsco Corp. | |||
5.75% due 07/31/271,7 | 1,625,000 | 1,694,063 | |
Intertape Polymer Group, Inc. | |||
7.00% due 10/15/261,7 | 1,500,000 | 1,578,750 | |
Summit Materials LLC / Summit Materials Finance Corp. | |||
5.25% due 01/15/291,7 | 1,450,000 | 1,538,813 | |
Howmet Aerospace, Inc. | |||
6.88% due 05/01/251 | 800,000 | 925,960 | |
5.95% due 02/01/371 | 500,000 | 596,000 | |
GrafTech Finance, Inc. | |||
4.63% due 12/15/281,7 | 1,450,000 | 1,479,290 | |
JELD-WEN, Inc. | |||
6.25% due 05/15/251,7 | 1,350,000 | 1,441,125 | |
Cleaver-Brooks, Inc. | |||
7.88% due 03/01/231,7 | 1,425,000 | 1,400,063 | |
Grinding Media Inc. / MC Grinding Media Canada Inc. | |||
7.38% due 12/15/231,7 | 1,330,000 | 1,354,937 | |
Princess Juliana International Airport Operating Company N.V. | |||
5.50% due 12/20/271,9 | 1,278,333 | 1,149,119 | |
PGT Innovations, Inc. | |||
6.75% due 08/01/267 | 1,000,000 | 1,060,000 | |
Mauser Packaging Solutions Holding Co. | |||
8.50% due 04/15/241,7 | 950,000 | 978,500 | |
5.50% due 04/15/241,7 | 75,000 | 75,281 | |
Vertical US Newco, Inc. | |||
5.25% due 07/15/271,7 | 950,000 | 990,375 | |
GATX Corp. | |||
4.00% due 06/30/301 | 560,000 | 636,564 | |
Hillenbrand, Inc. | |||
5.75% due 06/15/251 | 325,000 | 345,312 | |
TransDigm, Inc. | |||
8.00% due 12/15/251,7 | 300,000 | 326,625 | |
EnPro Industries, Inc. | |||
5.75% due 10/15/261 | 115,000 | 121,469 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 51.9% (continued) | |||
Industrial - 4.6% (continued) | |||
Glenn Pool Oil & Gas Trust | |||
6.00% due 08/02/21††† | 56,242 | $54,651 | |
Hillman Group, Inc. | |||
6.38% due 07/15/227 | 40,000 | 40,126 | |
Total Industrial | 37,847,586 | ||
Energy - 3.7% | |||
BP Capital Markets plc | |||
4.88%1,3,4 | 6,750,000 | 7,246,125 | |
Occidental Petroleum Corp. | |||
6.20% due 03/15/40 | 2,100,000 | 2,268,000 | |
4.30% due 08/15/39 | 2,100,000 | 1,863,750 | |
NuStar Logistics, LP | |||
6.38% due 10/01/301 | 3,600,000 | 3,978,756 | |
Hess Corp. | |||
5.60% due 02/15/411 | 1,550,000 | 1,843,806 | |
6.00% due 01/15/401 | 1,000,000 | 1,220,567 | |
7.13% due 03/15/331 | 500,000 | 653,691 | |
Global Partners Limited Partnership / GLP Finance Corp. | |||
7.00% due 08/01/271 | 1,625,000 | 1,722,500 | |
6.88% due 01/15/291 | 1,025,000 | 1,109,114 | |
Midwest Connector Capital Company LLC | |||
4.63% due 04/01/291,7 | 1,809,000 | 1,820,469 | |
CVR Energy, Inc. | |||
5.25% due 02/15/251,7 | 1,750,000 | 1,727,250 | |
Husky Energy, Inc. | |||
4.00% due 04/15/241 | 900,000 | 961,781 | |
3.95% due 04/15/221 | 600,000 | 615,353 | |
Rattler Midstream, LP | |||
5.63% due 07/15/251,7 | 1,250,000 | 1,303,125 | |
Sunoco Logistics Partners Operations, LP | |||
4.25% due 04/01/241 | 1,000,000 | 1,081,914 | |
Buckeye Partners, LP | |||
4.35% due 10/15/241 | 750,000 | 772,500 | |
FLNG Liquefaction 2 LLC | |||
4.13% due 03/31/381,9 | 262,460 | 265,636 | |
TransMontaigne Partners Limited Partnership / TLP Finance Corp. | |||
6.13% due 02/15/26 | 250,000 | 251,658 | |
Basic Energy Services, Inc. | |||
10.75% due 10/15/231,9 | 500,000 | 98,750 | |
Schahin II Finance Co. SPV Ltd. | |||
due 09/25/227,10 | 1,216,133 | 79,049 | |
Total Energy | 30,883,794 | ||
Communications - 3.1% | |||
ViacomCBS, Inc. | |||
4.95% due 05/19/501 | 6,390,000 | 7,623,364 | |
Altice France S.A. | |||
5.13% due 01/15/291,7 | 1,850,000 | 1,860,203 | |
7.38% due 05/01/261,7 | 1,660,000 | 1,731,712 | |
Walt Disney Co. | |||
3.80% due 05/13/601 | 2,820,000 | 3,125,352 | |
AMC Networks, Inc. | |||
4.25% due 02/15/291 | 2,650,000 | 2,601,505 | |
Radiate Holdco LLC / Radiate Finance, Inc. | |||
4.50% due 09/15/261,7 | 1,800,000 | 1,822,500 | |
McGraw Hill LLC / McGraw-Hill Global Education Finance, Inc. | |||
8.00% due 11/30/241,7 | 1,532,000 | 1,537,745 | |
TripAdvisor, Inc. | |||
7.00% due 07/15/251,7 | 1,350,000 | 1,452,937 | |
Cengage Learning, Inc. | |||
9.50% due 06/15/241,7 | 1,416,000 | 1,405,380 | |
LCPR Senior Secured Financing DAC | |||
6.75% due 10/15/271,7 | 750,000 | 805,313 | |
CSC Holdings LLC | |||
4.63% due 12/01/301,7 | 788,000 | 784,832 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 51.9% (continued) | |||
Communications - 3.1% (continued) | |||
Houghton Mifflin Harcourt Publishers, Inc. | |||
9.00% due 02/15/251,7 | 700,000 | $742,000 | |
Ziggo Bond Company BV | |||
5.13% due 02/28/301,7 | 500,000 | 521,310 | |
Total Communications | 26,014,153 | ||
Basic Materials - 2.9% | |||
United States Steel Corp. | |||
12.00% due 06/01/251,7 | 4,780,000 | 5,741,139 | |
Alcoa Nederland Holding BV | |||
5.50% due 12/15/271,7 | 3,625,000 | 3,842,500 | |
6.13% due 05/15/281,7 | 1,475,000 | 1,600,375 | |
Carpenter Technology Corp. | |||
6.38% due 07/15/281 | 3,375,000 | 3,711,508 | |
WR Grace & Company-Conn | |||
4.88% due 06/15/271,7 | 1,975,000 | 2,047,680 | |
Clearwater Paper Corp. | |||
4.75% due 08/15/281,7 | 1,975,000 | 2,022,558 | |
HB Fuller Co. | |||
4.25% due 10/15/281 | 1,150,000 | 1,172,655 | |
Compass Minerals International, Inc. | |||
6.75% due 12/01/271,7 | 1,075,000 | 1,155,625 | |
Kaiser Aluminum Corp. | |||
6.50% due 05/01/251,7 | 1,050,000 | 1,123,500 | |
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | |||
9.00% due 07/01/281,7 | 875,000 | 973,437 | |
Arconic Corp. | |||
6.00% due 05/15/251,7 | 350,000 | 371,875 | |
Mirabela Nickel Ltd. | |||
due 06/24/199,10 | 1,388,176 | 55,527 | |
Total Basic Materials | 23,818,379 | ||
Utilities - 2.5% | |||
Midcap Funding XLVI Trust | |||
5.61% due 10/29/24††† | 9,250,000 | 9,250,891 | |
Cheniere Corpus Christi Holdings LLC | |||
3.52% due 12/31/39††† | 6,200,000 | 6,048,455 | |
Terraform Global Operating LLC | |||
6.13% due 03/01/261,7 | 2,180,000 | 2,239,416 | |
AES Corp. | |||
3.95% due 07/15/301,7 | 1,430,000 | 1,562,261 | |
Petershill II Senior Secured Notes | |||
5.00% due 12/02/39††† | 1,000,000 | 1,065,052 | |
Pattern Energy Operations Limited Partnership / Pattern Energy Operations, Inc. | |||
4.50% due 08/15/281,7 | 825,000 | 858,423 | |
Total Utilities | 21,024,498 | ||
Technology - 1.0% | |||
NCR Corp. | |||
5.25% due 10/01/301,7 | 2,125,000 | 2,210,000 | |
6.13% due 09/01/291,7 | 800,000 | 856,000 | |
8.13% due 04/15/251,7 | 525,000 | 573,562 | |
TeamSystem SpA | |||
3.75% (3 Month Euribor + 3.75%, Rate Floor 3.75%) due 02/15/287,8 | EUR 1,700,000 | 2,052,892 | |
BY Crown Parent LLC / BY Bond Finance, Inc. | |||
4.25% due 01/31/261,7 | 1,175,000 | 1,210,250 | |
Boxer Parent Company, Inc. | |||
7.13% due 10/02/251,7 | 1,100,000 | 1,190,750 | |
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. | |||
5.75% due 03/01/251,7 | 400,000 | 409,792 | |
Total Technology | 8,503,246 | ||
Total Corporate Bonds | |||
(Cost $412,036,809) | 431,613,951 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% | |||
Consumer, Cyclical - 10.1% | |||
SP PF Buyer LLC | |||
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 | 4,240,055 | $4,086,353 | |
Truck Hero, Inc. | |||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 01/31/28 | 4,000,000 | 4,002,840 | |
BCPE Empire Holdings, Inc. | |||
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/11/26 | 2,000,000 | 2,003,760 | |
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26 | 1,877,416 | 1,876,252 | |
Mavis Tire Express Services Corp. | |||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 03/20/25 | 3,300,000 | 3,310,329 | |
3.50% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/20/25 | 492,868 | 489,294 | |
Alterra Mountain Co. | |||
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 07/31/26 | 3,336,845 | 3,357,700 | |
Accuride Corp. | |||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23 | 3,333,299 | 3,099,968 | |
Samsonite IP Holdings SARL | |||
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/25/25 | 3,034,750 | 3,057,511 | |
MB2 Dental Solutions LLC | |||
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/26/27 | 2,987,406 | 2,927,658 | |
WIRB - Copernicus Group, Inc. | |||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 01/08/27 | 2,888,492 | 2,896,927 | |
CD&R Firefly Bidco Ltd. | |||
due 06/23/25 | GBP 2,000,000 | 2,779,880 | |
BGIS (BIFM CA Buyer, Inc.) | |||
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | 2,718,700 | 2,717,014 | |
American Trailer World Corp. | |||
due 02/16/28 | 2,450,000 | 2,437,750 | |
EnTrans International, LLC | |||
6.11% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24 | 2,111,092 | 2,047,759 | |
PetSmart LLC | |||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/11/28 | 2,000,000 | 2,013,120 | |
Rent-A-Center, Inc. | |||
due 02/17/28 | 2,000,000 | 2,012,500 | |
CPI Acquisition, Inc. | |||
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/17/22 | 2,021,782 | 2,001,564 | |
Eyemart Express | |||
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 08/05/24 | 1,989,717 | 1,983,907 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Consumer, Cyclical - 10.1% (continued) | |||
Cast & Crew Payroll LLC | |||
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26††† | 1,976,056 | $1,958,766 | |
Packers Sanitation Services, Inc. | |||
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 12/04/24 | 1,676,372 | 1,676,020 | |
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/04/24 | 250,000 | 250,000 | |
BBB Industries, LLC | |||
4.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 08/01/25 | 1,962,962 | 1,911,022 | |
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | |||
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | 1,956,670 | 1,861,282 | |
CNT Holdings I Corp. | |||
4.50% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/08/27 | 1,850,000 | 1,857,234 | |
K & N Parent, Inc. | |||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/20/23 | 1,913,027 | 1,772,745 | |
Shields Health Solutions Holdings LLC | |||
5.11% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 08/19/26††† | 1,728,125 | 1,728,125 | |
Apro LLC | |||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/14/26 | 1,683,943 | 1,687,445 | |
OEConnection LLC | |||
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 09/25/26 | 1,674,401 | 1,666,029 | |
PT Intermediate Holdings III LLC | |||
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 10/15/25 | 1,683,000 | 1,653,547 | |
Situs AMC Holdings Corp. | |||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/30/25 | 1,684,162 | 1,652,584 | |
Power Solutions (Panther) | |||
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/30/26 | 1,599,911 | 1,600,919 | |
Blue Nile, Inc. | |||
7.50% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23 | 1,650,000 | 1,449,244 | |
IBC Capital Ltd. | |||
3.99% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 | 1,211,423 | 1,209,909 | |
Alexander Mann | |||
5.52% (6 Month USD LIBOR + 5.25%, Rate Floor: 5.25%) due 06/16/25 | 1,300,000 | 1,190,319 | |
SHO Holding I Corp. | |||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/29/24††† | 1,285,713 | 1,144,284 | |
6.23% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24††† | 21,520 | 19,156 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Consumer, Cyclical - 10.1% (continued) | |||
Checkers Drive-In Restaurants, Inc. | |||
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24 | 1,288,490 | $1,159,641 | |
WESCO | |||
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24††† | 1,146,914 | 1,143,784 | |
Galls LLC | |||
7.25% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/25††† | 988,171 | 978,466 | |
7.71% (1 Month USD LIBOR + 6.25% and 3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/24††† | 98,931 | 92,647 | |
CHG Healthcare Services, Inc. | |||
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/07/23 | 743,072 | 742,805 | |
NES Global Talent | |||
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23††† | 710,798 | 653,934 | |
Sovos Brands Intermediate, Inc. | |||
4.98% (3 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 11/20/25††† | 598,473 | 601,466 | |
EG Finco Ltd. | |||
8.75% (3 Month EURIBOR + 7.75%, Rate Floor: 8.75%) due 04/20/26 | EUR 249,505 | 299,942 | |
4.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 | 291,043 | 289,692 | |
Drive Chassis (DCLI) | |||
8.48% (3 Month USD LIBOR + 8.25%, Rate Floor: 8.25%) due 04/10/26 | 500,000 | 506,250 | |
American Tire Distributors, Inc. | |||
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23 | 425,232 | 416,464 | |
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24 | 81,825 | 79,729 | |
Zephyr Bidco Ltd. | |||
7.54% (1 Month GBP LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26 | GBP 360,000 | 488,689 | |
Sotheby’s | |||
6.50% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 01/15/27††† | 344,897 | 347,627 | |
Intrawest Resorts Holdings, Inc. | |||
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/24 | 296,939 | 294,712 | |
Belk, Inc. | |||
9.75% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 07/31/25 | 560,219 | 213,197 | |
due 07/31/25 | 53,032 | 47,729 | |
Landrys, Inc. | |||
13.00% (3 Month USD LIBOR + 12.00%, Rate Floor: 13.00%) due 10/04/23††† | 200,000 | 228,000 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Consumer, Cyclical - 10.1% (continued) | |||
Atlantic Aviation FBO, Inc. | |||
3.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/08/25 | 99,241 | $99,323 | |
Total Consumer, Cyclical | 84,074,813 | ||
Consumer, Non-cyclical - 9.1% | |||
Valeo F1 Company Ltd. | |||
due 08/27/27 | GBP 4,500,000 | 6,252,786 | |
Diamond (BC) BV | |||
6.00% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 09/06/24††† | 3,142,125 | 3,134,270 | |
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 09/06/24 | 1,725,866 | 1,715,165 | |
Women’s Care Holdings, Inc. | |||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/15/28 | 4,050,000 | 4,050,000 | |
National Mentor Holdings, Inc. | |||
due 02/18/28 | 3,800,000 | 3,792,400 | |
WellSky Corp. | |||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 02/09/24 | 1,900,000 | 1,896,447 | |
9.25% (1 Month USD LIBOR + 8.25%, Rate Floor: 9.25%) due 02/10/25††† | 1,850,000 | 1,850,000 | |
Quirch Foods Holdings LLC | |||
6.25% (2 Month USD LIBOR + 5.25% and 6 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 10/27/27 | 3,700,000 | 3,738,554 | |
HAH Group Holding Co LLC | |||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | 3,290,000 | 3,294,113 | |
Southern Veterinary Partners LLC | |||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 3,163,636 | 3,173,539 | |
Bellis Acquisition Company PLC | |||
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/31/26 | EUR 2,400,000 | 2,911,996 | |
Kronos Acquisition Holdings, Inc. | |||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 2,552,042 | 2,548,316 | |
Civitas Solutions, Inc. | |||
4.41% (1 Month USD LIBOR + 4.25% and 3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 03/09/26 | 2,280,659 | 2,277,444 | |
4.51% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 03/09/26 | 102,022 | 101,878 | |
Springs Window Fashions | |||
8.61% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26 | 1,350,000 | 1,333,125 | |
4.36% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/16/25 | 885,526 | 881,284 | |
Endo Luxembourg Finance Co. | |||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/29/24 | 2,227,345 | 2,211,576 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Consumer, Non-cyclical - 9.1% (continued) | |||
Arctic Glacier Group Holdings, Inc. | |||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24 | 2,290,740 | $2,146,607 | |
MDVIP LLC | |||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/14/24 | 2,084,349 | 2,076,533 | |
Zep, Inc. | |||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24 | 1,972,897 | 1,951,767 | |
PHM SF Dutch Bidco BV | |||
due 01/29/28 | EUR 1,500,000 | 1,807,608 | |
Packaging Coordinators Midco, Inc. | |||
4.50% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27 | 1,800,000 | 1,805,400 | |
PlayPower, Inc. | |||
5.74% (3 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 05/08/26 | 1,768,521 | 1,737,572 | |
EyeCare Partners LLC | |||
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27 | 1,739,358 | 1,711,528 | |
Cambrex Corporation | |||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 12/04/26 | 1,687,250 | 1,693,577 | |
Snacking Investments US LLC (Arnott’s) | |||
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 12/18/26 | 1,683,000 | 1,691,415 | |
Confluent Health LLC | |||
5.11% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 06/24/26 | 1,576,000 | 1,562,210 | |
California Cryobank | |||
4.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/06/25 | 1,517,716 | 1,520,569 | |
BCPE Eagle Buyer LLC | |||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/18/24 | 1,445,201 | 1,433,755 | |
Hearthside Group Holdings LLC | |||
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25 | 1,421,000 | 1,420,119 | |
Sierra Acquisition, Inc. | |||
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/11/24††† | 1,410,345 | 1,382,138 | |
Tecbid US, Inc. | |||
4.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 07/25/24††† | 988,890 | 979,001 | |
Atkins Nutritionals, Inc. | |||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/07/24 | 848,970 | 854,276 | |
Pearl Intermediate Parent LLC | |||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 | 800,000 | 799,752 | |
Certara, Inc. | |||
3.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/15/24††† | 603,362 | 603,362 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Consumer, Non-cyclical - 9.1% (continued) | |||
Moran Foods LLC | |||
8.00% (3 Month USD LIBOR + 1.00%, Rate Floor: 2.00%) (in-kind rate was 7.00%) due 04/01/24†††,11 | 265,811 | $284,417 | |
11.75% (3 Month USD LIBOR + 1.00%, Rate Floor 2.00%) (in-kind rate was 10.75%) due 10/01/2411 | 322,953 | 275,318 | |
Examworks Group, Inc. | |||
4.25% (1 Week USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/27/23 | 547,041 | 547,955 | |
Outcomes Group Holdings, Inc. | |||
3.50% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/24/25 | 491,969 | 485,819 | |
Blue Ribbon LLC | |||
5.00% (1 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/15/21 | 420,000 | 412,726 | |
Kar Nut Products Company LLC | |||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/31/23††† | 361,697 | 359,808 | |
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/24/24††† | 20,613 | 20,505 | |
Chefs’ Warehouse, Inc., The | |||
5.61% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 06/23/25 | 298,496 | 298,496 | |
Recess Holdings, Inc. | |||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24 | 295,420 | 292,220 | |
Hayward Industries, Inc. | |||
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/05/24 | 154,405 | 154,245 | |
Total Consumer, Non-cyclical | 75,471,591 | ||
Technology - 8.2% | |||
Project Boost Purchaser LLC | |||
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/01/26 | 5,336,625 | 5,367,738 | |
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | 1,678,750 | 1,672,723 | |
Transact Holdings, Inc. | |||
4.86% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26 | 4,101,768 | 3,991,020 | |
Provation Software Group, Inc. | |||
5.50% (6 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 12/16/27 | 3,900,000 | 3,861,000 | |
Sportradar Capital S.A.R.L. | |||
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 11/22/27 | EUR 3,100,000 | 3,754,740 | |
Ascend Learning LLC | |||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24 | 3,690,750 | 3,696,914 | |
Valkyr Purchaser, LLC | |||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27 | 3,650,000 | 3,668,250 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Technology - 8.2% (continued) | |||
Planview Parent, Inc. | |||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27 | 3,350,000 | $3,358,375 | |
Cologix Holdings, Inc. | |||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/20/24 | 3,150,000 | 3,142,629 | |
Concorde Lux | |||
due 02/18/28 | EUR 2,000,000 | 2,418,186 | |
Datix Bidco Ltd. | |||
4.74% (6 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25††† | 2,001,644 | 1,989,808 | |
7.99% (6 Month USD LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26††† | 300,111 | 298,018 | |
RealPage, Inc. | |||
due 02/18/28 | 2,100,000 | 2,100,882 | |
Emerald TopCo, Inc. (Press Ganey) | |||
3.71% (1 Month USD LIBOR + 3.50% and 3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | 2,069,208 | 2,066,621 | |
Ministry Brands LLC | |||
5.00% (2 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 12/02/22 | 2,145,847 | 2,006,366 | |
Upland Software, Inc. | |||
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26 | 1,975,000 | 1,973,143 | |
Misys Ltd. | |||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 | 1,923,344 | 1,902,514 | |
Brave Parent Holdings, Inc. | |||
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25 | 1,852,500 | 1,859,447 | |
Wrench Group LLC | |||
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/30/26††† | 1,800,000 | 1,804,500 | |
Dun & Bradstreet | |||
3.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 | 1,736,875 | 1,739,046 | |
TIBCO Software, Inc. | |||
3.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26 | 1,736,875 | 1,732,099 | |
Aston FinCo SARL | |||
4.36% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26 | 1,687,250 | 1,675,119 | |
Aspect Software, Inc. | |||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24 | 1,600,227 | 1,595,234 | |
Navicure, Inc. | |||
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26 | 1,530,104 | 1,534,894 | |
Peraton Corp. | |||
due 02/22/28 | 1,521,791 | 1,527,497 | |
24-7 Intouch, Inc. | |||
4.86% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25 | 1,466,250 | 1,407,600 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Technology - 8.2% (continued) | |||
1A Smart Start LLC | |||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 08/19/27 | 1,246,875 | $1,250,778 | |
Informatica LLC | |||
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27 | 1,191,000 | 1,187,999 | |
Greenway Health LLC | |||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24 | 972,292 | 921,247 | |
Sabre GLBL, Inc. | |||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/10/27 | 800,000 | 808,504 | |
Solera LLC | |||
4.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/02/22††† | 700,000 | 690,402 | |
Epicor Software | |||
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 07/30/27 | 498,750 | 501,099 | |
Apttus Corp. | |||
2.99% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/02/21††† | 425,000 | 421,674 | |
EXC Holdings III Corp. | |||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24 | 98,728 | 98,152 | |
Total Technology | 68,024,218 | ||
Industrial - 7.6% | |||
CapStone Acquisition Holdings, Inc. | |||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27 | 4,621,600 | 4,653,397 | |
TricorBraun Holdings, Inc. | |||
6.00% (Commercial Prime Lending Rate + 2.75%, Rate Floor: 3.75%) due 11/30/23 | 2,070,163 | 2,067,244 | |
due 02/03/28 | 1,959,296 | 1,956,240 | |
DXP Enterprises, Inc. | |||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27 | 3,900,000 | 3,890,250 | |
Charter Nex US Holdings, Inc. | |||
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/01/27 | 3,800,000 | 3,828,500 | |
American Bath Group LLC | |||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 11/23/27††† | 3,750,000 | 3,766,430 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Industrial - 7.6% (continued) | |||
Tank Holdings Corp. | |||
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/26/26 | 1,975,000 | $1,949,088 | |
5.75% (2 Month USD LIBOR + 5.00% and 3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/26/26 | 1,700,000 | 1,708,500 | |
StandardAero | |||
3.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/06/26 | 2,715,625 | 2,621,800 | |
Mileage Plus Holdings LLC | |||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 2,250,000 | 2,399,197 | |
Diversitech Holdings, Inc. | |||
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 12/03/24 | 1,396,404 | 1,397,102 | |
8.50% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25††† | 1,000,000 | 1,000,000 | |
ILPEA Parent, Inc. | |||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 03/02/23 | 2,408,101 | 2,393,050 | |
WP CPP Holdings LLC | |||
4.75% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/30/25 | 2,327,749 | 2,239,876 | |
STS Operating, Inc. (SunSource) | |||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 | 2,027,367 | 1,961,478 | |
Pelican Products, Inc. | |||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25 | 1,864,850 | 1,844,654 | |
YAK MAT (YAK ACCESS LLC) | |||
10.24% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | 2,500,000 | 1,750,000 | |
Anchor Packaging LLC | |||
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26††† | 1,631,709 | 1,635,788 | |
Avison Young (Canada), Inc. | |||
5.22% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 01/31/26 | 1,572,477 | 1,572,477 | |
API Holdings III Corp. | |||
4.36% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 05/11/26 | 1,576,000 | 1,553,353 | |
Service Logic Acquisition, Inc. | |||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | 1,485,522 | 1,492,029 | |
AI Convoy Luxembourg S.A.R.L. | |||
4.50% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 01/18/27 | 1,488,750 | 1,486,353 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Industrial - 7.6% (continued) | |||
Transcendia Holdings, Inc. | |||
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24 | 1,751,048 | $1,448,117 | |
JetBlue Airways Corp. | |||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/17/24 | 1,170,000 | 1,202,362 | |
TransDigm, Inc. | |||
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | 1,091,729 | 1,077,209 | |
SLR Consulting Ltd. | |||
4.27% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25††† | 793,980 | 780,800 | |
6.48% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25††† | 207,744 | 204,296 | |
4.24% (6 Month USD LIBOR + 4.00% and 6 Month GBP LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25††† | GBP 39,120 | 53,589 | |
MI Windows And Doors LLC | |||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/18/27 | 1,000,000 | 1,006,670 | |
Vertical (TK Elevator) | |||
4.48% (6 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 07/30/27 | 997,500 | 1,005,231 | |
Protective Industrial Products, Inc. | |||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27 | 1,000,000 | 1,000,000 | |
Bhi Investments LLC | |||
9.75% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25††† | 1,000,000 | 980,000 | |
Fortis Solutions Group LLC | |||
6.00% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 12/15/23††† | 973,584 | 965,795 | |
LTI Holdings, Inc. | |||
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/06/25 | 977,500 | 957,256 | |
Duran, Inc. | |||
5.00% (6 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/29/24 | 491,140 | 470,267 | |
4.25% (6 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 12/20/24 | 307,387 | 294,323 | |
BWAY Holding Co. | |||
3.44% (2 Month USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | 690,436 | 678,160 | |
Thermon Group Holdings, Inc. | |||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/30/24††† | 614,123 | 611,052 | |
Pro Mach Group, Inc. | |||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/07/25 | 523,982 | 518,418 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Industrial - 7.6% (continued) | |||
CPM Holdings, Inc. | |||
3.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/17/25 | 418,039 | $413,649 | |
Titan Acquisition Ltd. (Husky) | |||
3.27% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 294,945 | 289,683 | |
Sundyne (Star US Bidco) | |||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/17/27 | 124,375 | 123,520 | |
Total Industrial | 63,247,203 | ||
Financial - 4.4% | |||
Franchise Group, Inc. | |||
due 02/18/26 | 4,200,000 | 4,200,000 | |
Jefferies Finance LLC | |||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/30/27††† | 3,940,125 | 3,940,125 | |
Teneo Holdings LLC | |||
6.25% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 07/11/25 | 3,660,362 | 3,664,938 | |
Higginbotham | |||
6.50% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.50%) due 11/25/26††† | 2,926,301 | 2,884,403 | |
Alter Domus | |||
due 02/17/28 | 2,800,000 | 2,800,000 | |
AmeriLife Holdings LLC | |||
4.12% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/18/27 | 1,064,433 | 1,062,656 | |
4.75% (1 Month USD LIBOR + 4.00% and 6 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 03/18/27 | 997,500 | 995,006 | |
Duff & Phelps | |||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27 | 1,990,000 | 2,000,308 | |
PAI Holdco, Inc. | |||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/22/27 | 1,850,000 | 1,863,875 | |
Cross Financial Corp. | |||
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 09/15/27 | 1,750,000 | 1,754,375 | |
GT Polaris, Inc. | |||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 09/24/27 | 1,745,625 | 1,752,712 | |
Nexus Buyer LLC | |||
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | 1,683,000 | 1,678,271 | |
NFP Corp. | |||
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 | 1,682,152 | 1,665,852 | |
Aretec Group, Inc. | |||
4.36% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25 | 1,666,000 | 1,661,319 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Financial - 4.4% (continued) | |||
Claros Mortgage Trust, Inc. | |||
6.00% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 08/10/26 | 1,481,250 | $1,484,953 | |
HUB International Ltd. | |||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25 | 990,000 | 993,218 | |
2.97% (2 Month USD LIBOR + 2.75% and 3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 | 98,485 | 97,399 | |
Alliant Holdings Intermediate LLC | |||
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | 985,000 | 978,026 | |
USI, Inc. | |||
6.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 6.00%) due 12/02/26 | 594,000 | 590,394 | |
3.25% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | 245,558 | 243,584 | |
Situs AMC Holdings Corp. | |||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/30/25 | 129,730 | 127,297 | |
Total Financial | 36,438,711 | ||
Communications - 3.5% | |||
Syndigo LLC | |||
5.25% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27 | 4,000,000 | 3,980,000 | |
Xplornet Communications Inc. | |||
4.86% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27 | 3,632,747 | 3,649,204 | |
Trader Interactive | |||
7.25% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 06/17/24††† | 2,676,654 | 2,589,662 | |
Conterra Ultra Broadband Holdings, Inc. | |||
4.62% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/30/26 | 1,970,000 | 1,979,850 | |
Market Track LLC | |||
5.25% (2 Month USD LIBOR + 4.25% and 3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/05/24 | 2,074,750 | 1,971,013 | |
Cengage Learning Acquisitions, Inc. | |||
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23 | 1,824,637 | 1,796,501 | |
Titan US Finco LLC | |||
4.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/01/26 | 1,682,395 | 1,680,293 | |
Flight Bidco, Inc. | |||
7.61% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26 | 1,300,000 | 1,173,250 | |
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25 | 442,085 | 439,048 | |
ProQuest, LLC | |||
3.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26 | 1,556,956 | 1,556,956 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Communications - 3.5% (continued) | |||
McGraw Hill LLC | |||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/01/24 | 1,355,686 | $1,352,635 | |
Authentic Brands | |||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 09/27/24††† | 1,245,876 | 1,248,019 | |
Liberty Cablevision of Puerto Rico LLC | |||
5.11% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 10/15/26 | 1,200,000 | 1,209,900 | |
Resource Label Group LLC | |||
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 05/26/23 | 1,294,949 | 1,201,065 | |
Internet Brands, Inc. | |||
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24 | 1,033,784 | 1,029,762 | |
Recorded Books, Inc. | |||
4.11% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25 | 846,831 | 847,364 | |
Houghton Mifflin Co. | |||
7.25% (1 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 11/22/24 | 665,000 | 655,497 | |
GTT Communications, Inc. | |||
3.00% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/31/25 | 585,000 | 454,680 | |
Total Communications | 28,814,699 | ||
Basic Materials - 3.1% | |||
LSF11 Skyscraper HoldCo SARL | |||
5.74% (3 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 09/29/27 | 3,052,256 | 3,036,995 | |
Barentz Midco BV | |||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 11/30/27 | 2,000,000 | 1,995,000 | |
Invictus MD Strategies Corp. | |||
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 1,989,772 | 1,983,564 | |
DCG Acquisition Corp. | |||
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26 | 1,978,102 | 1,945,127 | |
PetroChoice Holdings | |||
6.00% (2 Month USD LIBOR + 5.00% and 3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 08/19/22 | 1,998,116 | 1,936,514 | |
American Rock Salt Company LLC | |||
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/21/25 | 1,882,122 | 1,883,684 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Basic Materials - 3.1% (continued) | |||
Illuminate Buyer LLC | |||
4.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/30/27††† | 1,820,438 | $1,827,264 | |
Pregis TopCo Corp. | |||
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 07/31/26 | 1,633,500 | 1,633,500 | |
Ascend Performance Materials Operations LLC | |||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 08/27/26††† | 1,583,227 | 1,604,997 | |
Niacet Corp. | |||
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 02/01/24††† | 1,530,465 | 1,507,509 | |
GrafTech Finance, Inc. | |||
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/12/25 | 1,272,109 | 1,272,504 | |
NIC Acquisition Corp. | |||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | 1,200,000 | 1,199,004 | |
Niacet BV | |||
5.50% (1 Month EURIBOR + 4.50%, Rate Floor: 5.50%) due 02/01/24††† | EUR 706,037 | 839,809 | |
Pregis TopCo LLC | |||
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 07/31/26 | 550,000 | 550,000 | |
PQ Corp. | |||
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/08/27 | 540,915 | 541,320 | |
Vectra Co. | |||
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/08/25 | 540,924 | 535,007 | |
ASP Chromaflo Dutch I BV | |||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/20/23††† | 444,308 | 444,308 | |
Alpha 3 BV | |||
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 01/31/24 | 396,551 | 396,976 | |
ASP Chromaflo Intermediate Holdings, Inc. | |||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/20/23††† | 341,692 | 341,692 | |
Noranda Aluminum Acquisition Corp. | |||
8.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 8.25%) due 02/28/19††† | 468,781 | 703 | |
Total Basic Materials | 25,475,477 | ||
Utilities - 2.2% | |||
Hamilton Projects Acquiror LLC | |||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27 | 5,427,488 | 5,472,265 | |
RS Ivy Holdco, Inc. | |||
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 12/23/27††† | 3,900,000 | 3,929,250 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,8 - 48.6% (continued) | |||
Utilities - 2.2% (continued) | |||
Oregon Clean Energy LLC | |||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/02/26 | 2,376,767 | $2,377,956 | |
Panda Stonewall | |||
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 11/13/21 | 974,693 | 906,465 | |
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 11/12/21 | 814,461 | 757,448 | |
UGI Energy Services, Inc. | |||
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/13/26 | 1,625,250 | 1,631,345 | |
Franklin Energy (KAMC Holdings, Inc.) | |||
4.19% (1 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/14/26 | 1,629,375 | 1,547,906 | |
Panda Hummel | |||
3.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 04/27/22††† | 1,284,639 | 1,220,407 | |
7.00% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 10/27/22 | 179,082 | 170,958 | |
EIF Channelview Cogeneration LLC | |||
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 05/03/25 | 775,767 | 776,737 | |
Total Utilities | 18,790,737 | ||
Energy - 0.4% | |||
Venture Global Calcasieu Pass LLC | |||
2.48% (1 Month USD LIBOR + 2.38% and 3 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26††† | 2,125,075 | 2,008,196 | |
SeaPort Financing LLC | |||
5.62% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/31/25††† | 1,465,346 | 1,436,039 | |
Centurion Pipe | |||
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 09/29/25 | 200,000 | 199,500 | |
Permian Production Partners LLC | |||
9.00% (1 Month USD LIBOR + 6.00%, Rate Floor: 1.00%) (in-kind rate was 2.00%) due 11/23/25†††,11 | 572,982 | 80,217 | |
Total Energy | 3,723,952 | ||
Total Senior Floating Rate Interests | |||
(Cost $402,390,624) | 404,061,401 | ||
ASSET-BACKED SECURITIES†† - 19.8% | |||
Collateralized Loan Obligations - 9.8% | |||
Golub Capital Partners CLO Ltd. | |||
2018-36A, 2.30% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/311,7,8 | 5,000,000 | 4,844,240 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
ASSET-BACKED SECURITIES†† - 19.8% (continued) | |||
Collateralized Loan Obligations - 9.8% (continued) | |||
2018-39A, 2.42% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 10/20/281,7,8 | 2,500,000 | $2,492,490 | |
2018-25A, 2.10% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 05/05/301,7,8 | 2,500,000 | 2,471,557 | |
2017-16A, 3.21% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 07/25/291,7,8 | 1,500,000 | 1,500,468 | |
Diamond CLO Ltd. | |||
2018-1A, 3.92% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/301,7,8 | 3,000,000 | 2,989,570 | |
2018-1A, 2.82% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/301,7,8 | 2,500,000 | 2,493,829 | |
2019-1A, 3.82% (3 Month USD LIBOR + 3.60%, Rate Floor: 3.60%) due 04/25/291,7,8 | 1,000,000 | 990,912 | |
LoanCore 2019-CRE2 Issuer Ltd. | |||
2019-CRE2, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/361,7,8 | 4,750,000 | 4,746,319 | |
Mountain Hawk II CLO Ltd. | |||
2018-2A, 2.57% (3 Month USD LIBOR + 2.35%, Rate Floor: 0.00%) due 07/20/241,7,8 | 3,000,000 | 2,994,300 | |
2013-2A, 3.37% (3 Month USD LIBOR + 3.15%, Rate Floor: 0.00%) due 07/22/247,8 | 1,750,000 | 1,684,879 | |
Fortress Credit Opportunities IX CLO Ltd. | |||
2017-9A, 2.84% (3 Month USD LIBOR + 2.65%, Rate Floor: 0.00%) due 11/15/291,7,8 | 4,000,000 | 3,848,559 | |
Lake Shore MM CLO III LLC | |||
2020-1A, 4.98% (3 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 10/15/291,7,8 | 3,000,000 | 3,000,734 | |
ABPCI Direct Lending Fund CLO I LLC | |||
2021-1A, 4.69% (3 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/20/327,8 | 3,000,000 | 3,000,000 | |
FDF II Ltd. | |||
2016-2A, 7.70% due 05/12/311,9 | 3,000,000 | 2,989,293 | |
Monroe Capital CLO Ltd. | |||
2017-1A, 3.82% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/261,7,8 | 1,750,000 | 1,732,653 | |
2017-1A, 2.62% (3 Month USD LIBOR + 2.40%, Rate Floor: 0.00%) due 10/22/261,7,8 | 1,250,000 | 1,245,114 | |
Marathon CRE Ltd. | |||
2018-FL1, 3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/15/281,7,8 | 3,000,000 | 2,952,487 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
ASSET-BACKED SECURITIES†† - 19.8% (continued) | |||
Collateralized Loan Obligations - 9.8% (continued) |
Dryden 50 Senior Loan Fund | |||
2017-50A, due 07/15/307,12 | 3,555,000 | $2,461,596 | |
Denali Capital CLO XI Ltd. | |||
2018-1A, 2.37% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/281,7,8 | 2,400,000 | 2,393,084 | |
Newstar Commercial Loan Funding LLC | |||
2017-1A, 5.34% (3 Month USD LIBOR + 5.10%, Rate Floor: 0.00%) due 03/20/271,7,8 | 2,000,000 | 2,001,890 | |
2017-1A, 3.74% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/271,7,8 | 250,000 | 249,429 |
BXMT Ltd. | |||
2020-FL3, 2.91% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 03/15/371,7,8 | 2,200,000 | 2,203,995 | |
Hull Street CLO Ltd. | |||
2017-1A, 2.93% (3 Month USD LIBOR + 2.70%, Rate Floor: 0.00%) due 10/18/261,7,8 | 2,200,000 | 2,189,185 | |
Marathon CLO V Ltd. | |||
2017-5A, 2.03% (3 Month USD LIBOR + 1.85%) due 11/21/271,7,8 | 2,017,730 | 1,942,998 | |
2013-5A, due 11/21/277,12 | 3,566,667 | 160,143 | |
NewStar Clarendon Fund CLO LLC | |||
2015-1A, 4.57% (3 Month USD LIBOR + 4.35%, Rate Floor: 0.00%) due 01/25/271,7,8 | 1,500,000 | 1,498,753 | |
2019-1A, 3.27% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/271,7,8 | 550,000 | 541,937 | |
Cerberus Loan Funding XXX, LP | |||
2020-3A, 3.88% (3 Month USD LIBOR + 3.65%, Rate Floor: 3.65%) due 01/15/337,8 | 2,000,000 | 1,999,998 | |
MP CLO VIII Ltd. | |||
2018-2A, 2.12% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 10/28/271,7,8 | 2,000,000 | 1,990,467 | |
Hunt CRE Ltd. | |||
2017-FL1, 3.41% (1 Month USD LIBOR + 3.30%, Rate Floor: 0.00%) due 08/15/341,7,8 | 1,800,000 | 1,789,546 | |
Cent CLO 19 Ltd. | |||
2013-19A, 3.51% (3 Month USD LIBOR + 3.30%, Rate Floor: 0.00%) due 10/29/251,7,8 | 1,750,000 | 1,748,923 | |
Treman Park CLO Ltd. | |||
2015-1A, due 10/20/281,7,12 | 2,000,000 | 1,583,059 | |
Dryden Senior Loan Fund | |||
due 01/15/3112 | 2,998,799 | 1,476,452 | |
Carlyle Global Market Strategies CLO Ltd. | |||
2012-3A, due 01/14/327,12 | 2,600,000 | 1,072,817 | |
Atlas Senior Loan Fund IX Ltd. | |||
2018-9A, 2.02% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/281,7,8 | 700,000 | 691,720 | |
2018-9A, due 04/20/281,7,12 | 2,600,000 | 300,560 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
ASSET-BACKED SECURITIES†† - 19.8% (continued) | |||
Collateralized Loan Obligations - 9.8% (continued) | |||
Jackson Mill CLO Ltd. | |||
2018-1A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/271,7,8 | 1,000,000 | $991,522 | |
Voya CLO Ltd. | |||
2013-1A, due 10/15/307,12 | 3,000,000 | 965,667 | |
MMCF CLO LLC | |||
2019-2A, 2.64% (3 Month USD LIBOR + 2.40%, Rate Floor: 0.00%) due 04/15/291,7,8 | 950,000 | 947,958 | |
Avery Point II CLO Ltd. | |||
2013-3X COM, due 01/18/2512 | 1,585,974 | 934,014 | |
Dryden 41 Senior Loan Fund | |||
2015-41A, due 04/15/317,12 | 1,250,000 | 669,904 | |
KVK CLO Ltd. | |||
2013-1A, due 01/14/281,7,12 | 2,300,000 | 549,447 | |
Dryden 37 Senior Loan Fund | |||
2015-37A, due 01/15/317,12 | 1,050,000 | 516,965 | |
Great Lakes CLO Ltd. | |||
2014-1A, due 10/15/297,12 | 1,153,846 | 497,525 | |
Venture XIII CLO Ltd. | |||
2013-13A, due 09/10/297,12 | 1,500,000 | 485,533 | |
Babson CLO Ltd. | |||
2014-IA, due 07/20/257,12 | 3,000,000 | 309,600 | |
A10 Permanent Asset Financing LLC | |||
2017-II, 6.24% (WAC) due 06/15/51†††,1,7,8 | 250,000 | 270,480 | |
West CLO Ltd. | |||
2013-1A, due 11/07/257,12 | 1,350,000 | 145,395 | |
OHA Credit Partners IX Ltd. | |||
2013-9A, due 10/20/257,12 | 602,740 | 1,338 | |
Total Collateralized Loan Obligations | 81,559,304 | ||
Transport-Aircraft - 4.6% | |||
Castlelake Aircraft Securitization Trust | |||
2017-1, 5.93% due 07/15/42 | 4,382,751 | 4,348,363 | |
2018-1, 4.13% due 06/15/431,7 | 3,422,880 | 3,448,143 | |
2016-1, 4.45% due 08/15/41 | 2,177,562 | 2,181,520 | |
2019-1A, 3.97% due 04/15/391,7 | 1,590,021 | 1,593,127 | |
due 12/31/30††† | 3,054,105 | 260,875 | |
AASET Trust | |||
2019-2, 4.46% due 10/16/391,7 | 3,701,126 | 3,486,734 | |
2020-1A, 4.34% due 01/16/401,7 | 1,959,012 | 1,842,870 | |
2019-1, 3.84% due 05/15/391,7 | 1,359,700 | 1,372,359 | |
GAIA Aviation Ltd. | |||
2019-1, 3.97% due 12/15/447,13 | 4,959,531 | 4,847,162 | |
WAVE LLC | |||
2019-1, 3.60% due 09/15/441,7 | 2,548,471 | 2,540,089 | |
Falcon Aerospace Ltd. | |||
2019-1, 3.60% due 09/15/391,7 | 1,321,533 | 1,318,686 | |
2017-1, 6.30% due 02/15/427 | 1,125,009 | 1,093,927 | |
Castlelake Aircraft Structured Trust | |||
2021-1A, 6.66% due 01/15/467 | 1,988,999 | 1,995,604 | |
JOL Air Ltd. | |||
2019-1, 3.97% due 04/15/441,7 | 1,870,242 | 1,867,671 | |
Sapphire Aviation Finance II Ltd. | |||
2020-1A, 4.34% due 03/15/401,7 | 1,870,268 | 1,684,999 | |
KDAC Aviation Finance Ltd. | |||
2017-1A, 4.21% due 12/15/421,7 | 1,507,522 | 1,483,616 | |
MAPS Ltd. | |||
2019-1A, 4.46% due 03/15/441,7 | 1,314,632 | 1,334,845 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
ASSET-BACKED SECURITIES†† - 19.8% (continued) | |||
Transport-Aircraft - 4.6% (continued) | |||
Sapphire Aviation Finance I Ltd. | |||
2018-1A, 4.25% due 03/15/401,7 | 851,405 | $855,045 | |
Stripes Aircraft Ltd. | |||
2013-1 A1, 3.63% due 03/20/23††† | 648,228 | 605,426 | |
Turbine Engines Securitization Ltd. | |||
2013-1A, 6.38% due 12/13/489 | 455,390 | 314,369 | |
Airplanes Pass Through Trust | |||
2001-1A, 1.26% (1 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 03/15/19†††,8,9,10 | 6,677,317 | 668 | |
Total Transport-Aircraft | 38,476,098 | ||
Whole Business - 1.7% | |||
Applebee’s Funding LLC / IHOP Funding LLC | |||
2019-1A, 4.19% due 06/07/491,7 | 7,431,375 | 7,644,656 | |
TSGE | |||
2017-1, 6.25% due 09/25/31††† | 5,000,000 | 5,207,396 | |
Taco Bell Funding LLC | |||
2018-1A, 4.32% due 11/25/481,7 | 977,500 | 985,867 | |
Total Whole Business | 13,837,919 | ||
Financial - 1.6% | |||
Aesf Vi Verdi LP | |||
2.15% due 11/25/24††† | EUR 9,000,000 | 10,868,324 | |
Nassau LLC | |||
2019-1, 3.98% due 08/15/341,7 | 1,749,985 | 1,775,772 | |
NCBJ | |||
2015-1A, 5.88% due 07/08/22††† | 496,752 | 507,724 | |
Total Financial | 13,151,820 | ||
Infrastructure - 1.4% | |||
VB-S1 Issuer LLC | |||
2020-1A, 6.66% due 06/15/507 | 6,300,000 | 6,819,285 | |
Diamond Issuer LLC | |||
2020-1A, 5.93% due 07/20/507 | 2,700,000 | 2,702,357 | |
Secured Tenant Site Contract Revenue Notes Series | |||
2018-1A, 5.92% due 06/15/487 | 1,903,683 | 1,885,617 | |
Total Infrastructure | 11,407,259 | ||
Net Lease - 0.3% | |||
CARS-DB4, LP | |||
2020-1A, 4.95% due 02/15/501,7 | 2,750,000 | 2,760,163 | |
Automotive - 0.2% | |||
Hertz Vehicle Financing II, LP | |||
2019-3A, 2.67% due 12/26/251,7 | 380,586 | 382,559 | |
2017-1A, 2.96% due 10/25/211,7 | 364,577 | 366,472 | |
2018-1A, 3.29% due 02/25/241,7 | 182,000 | 182,954 | |
Hertz Vehicle Financing LLC | |||
2016-2A, 2.95% due 03/25/221,7 | 283,028 | 284,505 | |
2018-2A, 3.65% due 06/27/221,7 | 45,698 | 45,935 | |
Total Automotive | 1,262,425 | ||
Diversified Payment Rights - 0.1% | |||
Bib Merchant Voucher Receivables Ltd. | |||
4.18% due 04/07/28††† | 1,100,000 | 1,190,119 | |
Collateralized Debt Obligations - 0.1% | |||
Anchorage Credit Funding 4 Ltd. | |||
2021-4A, 3.52% due 04/27/397 | 1,000,000 | 1,000,000 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
ASSET-BACKED SECURITIES†† - 19.8% (continued) | |||
Insurance - 0.0% | |||
CBC Insurance Revenue Securitization LLC | |||
2016-1, 5.25% due 07/15/461,9 | 324,868 | $298,010 | |
Transport-Rail - 0.0% | |||
Trinity Rail Leasing, LP | |||
2009-1A, 6.66% due 11/16/391,7 | 144,796 | 159,884 | |
Total Asset-Backed Securities | |||
(Cost $168,680,953) | 165,103,001 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 7.7% | |||
Residential Mortgage Backed Securities - 5.7% | |||
Lehman XS Trust Series | |||
2006-18N, 0.30% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 12/25/368 | 3,590,152 | 3,680,320 | |
2006-16N, 0.33% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 11/25/468 | 1,649,120 | 1,683,202 | |
Ameriquest Mortgage Securities Trust | |||
2006-M3, 0.29% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/368 | 4,178,563 | 2,949,118 | |
2006-M3, 0.22% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/368 | 2,145,962 | 965,926 | |
Morgan Stanley ABS Capital I Incorporated Trust | |||
2006-HE8, 0.34% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/368 | 3,189,847 | 1,932,650 | |
2007-HE4, 0.35% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/378 | 3,519,523 | 1,491,717 | |
LSTAR Securities Investment Limited | |||
2019-5, 1.62% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 11/01/247,8 | 3,450,445 | 3,420,665 | |
WaMu Asset-Backed Certificates WaMu Series | |||
2007-HE4, 0.29% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/478 | 1,982,639 | 1,663,720 | |
2007-HE4, 0.37% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/478 | 1,178,504 | 890,299 | |
2007-HE2, 0.31% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/378 | 1,543,080 | 765,039 | |
ACE Securities Corporation Home Equity Loan Trust Series | |||
2005-HE2, 1.14% (1 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 04/25/358 | 2,000,000 | 2,000,158 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 7.7% (continued) | |||
Residential Mortgage Backed Securities - 5.7% (continued) | |||
2007-ASP1, 0.32% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/378 | 1,476,386 | $910,894 | |
Long Beach Mortgage Loan Trust | |||
2006-8, 0.21% (1 Month USD LIBOR + 0.09%, Rate Floor: 0.09%) due 09/25/368 | 4,420,055 | 1,742,128 | |
2006-1, 0.50% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 02/25/368 | 1,264,180 | 1,140,924 | |
RALI Series Trust | |||
2006-QO6, 0.48% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/468 | 6,141,336 | 2,091,214 | |
2006-QO6, 0.58% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 06/25/468 | 1,943,010 | 681,565 | |
Home Equity Mortgage Loan Asset-Backed Trust Series INABS | |||
2006-E, 0.33% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 04/25/378 | 2,928,694 | 2,445,422 | |
Argent Securities Trust 2006-W5 | |||
2006-W5, 0.42% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/368 | 2,661,252 | 2,039,754 | |
JP Morgan Mortgage Acquisition Trust | |||
2006-WMC3, 0.36% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 08/25/368 | 2,400,323 | 1,947,777 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2007-AMC3, 0.47% (1 Month USD LIBOR + 0.35%, Rate Floor: 0.35%) due 03/25/378 | 2,083,485 | 1,902,896 | |
GSAA Home Equity Trust | |||
2006-16, 0.46% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 10/25/368 | 4,531,855 | 1,783,304 | |
American Home Mortgage Assets Trust | |||
2006-6, 0.33% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/468 | 2,033,442 | 1,738,586 | |
IXIS Real Estate Capital Trust | |||
2007-HE1, 0.23% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/378 | 2,454,414 | 870,322 | |
2007-HE1, 0.18% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/378 | 2,468,820 | 867,459 | |
Master Asset Backed Securities Trust | |||
2006-WMC3, 0.28% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/368 | 3,550,996 | 1,693,650 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Face Amount~ | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 7.7% (continued) | |||
Residential Mortgage Backed Securities - 5.7% (continued) | |||
Morgan Stanley IXIS Real Estate Capital Trust | |||
2006-2, 0.34% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/368 | 3,044,359 | $1,421,176 | |
Morgan Stanley Mortgage Loan Trust | |||
2006-9AR, 0.42% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/368 | 3,386,986 | 1,398,993 | |
First NLC Trust | |||
2007-1, 0.40% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/377,8 | 1,402,286 | 911,720 | |
GSAA Trust | |||
2007-3, 0.29% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 03/25/478 | 1,672,554 | 683,458 | |
Total Residential Mortgage Backed Securities | 47,714,056 | ||
Military Housing - 1.8% | |||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | |||
2015-R1, 5.50% (WAC) due 11/25/528,9 | 3,616,515 | 3,492,139 | |
2015-R1, 0.91% (WAC) due 11/25/557,8,14 | 41,458,609 | 2,757,988 | |
2015-R1, 0.65% (WAC) due 11/25/527,8,14 | 33,902,676 | 1,907,673 | |
GMAC Commercial Mortgage Asset Corp. | |||
2004-POKA, 6.36% due 09/10/44†††,7 | 3,500,000 | 4,394,090 | |
Capmark Military Housing Trust | |||
2007-AETC, 5.75% due 02/10/527 | 1,566,337 | 1,658,687 | |
2007-AET2, 6.06% due 10/10/527 | 469,278 | 500,876 | |
Total Military Housing | 14,711,453 | ||
Commercial Mortgage Backed Securities - 0.2% | |||
GS Mortgage Securities Corporation Trust | |||
2020-DUNE, 2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/367,8 | 2,000,000 | 1,838,705 | |
Total Collateralized Mortgage Obligations | |||
(Cost $68,655,376) | 64,264,214 | ||
U.S. TREASURY BILLS†† - 2.8% | |||
U.S. Treasury Bills | |||
0.03% due 06/03/211,15 | 7,000,000 | 6,999,000 | |
0.03% due 05/27/211,15 | 4,700,000 | 4,699,546 | |
0.09% due 03/18/211,15 | 4,000,000 | 3,999,948 | |
0.08% due 03/25/211,15 | 3,000,000 | 2,999,925 | |
0.03% due 04/06/211,15 | 2,500,000 | 2,499,894 | |
0.03% due 03/04/211,15 | 1,000,000 | 999,997 | |
0.08% due 05/13/211,15 | 1,000,000 | 999,904 | |
Total U.S. Treasury Bills | |||
(Cost $23,198,141) | 23,198,214 | ||
MUNICIPAL BONDS†† - 0.1% | |||
Oklahoma - 0.1% | |||
Oklahoma Development Finance Authority Revenue Bonds | |||
5.45% due 08/15/28 | 400,000 | 452,232 | |
Total Municipal Bonds | |||
(Cost $400,000) | 452,232 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Notional | |||
Value/Contracts | Value | ||
OTC OPTIONS PURCHASED†† - 0.4% | |||
Call options on: | |||
Citibank, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | $345,300,000 | $2,569,032 | |
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | 115,500,000 | 654,885 | |
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | 5,000,000 | 37,200 | |
Total OTC Options Purchased | |||
(Cost $984,715) | 3,261,117 | ||
Total Investments - 148.3% | |||
(Cost $1,200,205,608) | $1,233,095,980 | ||
LISTED OPTIONS WRITTEN† - (0.1)% | |||
Call options on: | |||
S&P 500 Index Expiring March 2021 with strike price of $3,925.00 | |||
(Notional Value $59,072,825) | 155 | (357,275) | |
Total Listed Options Written | |||
(Premiums received $1,045,911) | (357,275) | ||
OTC OPTIONS WRITTEN† - 0.0% | |||
Call options on: | |||
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $30.00 | |||
(Notional Value $84,000) | 28 | (25,060) | |
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $40.00 | |||
(Notional Value $164,000) | 41 | (28,700) | |
Total OTC Options Written | |||
(Premiums received $41,552) | (53,760) | ||
Total Securities Sold Short - (0.1)% | |||
(Premiums received $1,087,463) | (411,035) | ||
Other Assets & Liabilities, net - (48.2)% | (400,947,761) | ||
Total Net Assets - 100.0% | $831,737,184 |
Futures Contracts | ||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation** |
Equity Futures Contracts Purchased† | ||||
S&P 500 Index Mini Futures Contracts | 310 | Mar 2021 | $58,989,125 | $1,836,480 |
Centrally Cleared Credit Default Swap Agreements Protection Sold†† | |||||||||
Counterparty | Exchange | Index | Protection Premium Rate | Payment Frequency | Maturity Date | Notional Amount | Value | Upfront Premiums Paid | Unrealized Appreciation** |
BofA Securities, Inc. | ICE | CDX.NA.HY.35.V1 | 5.00% | Quarterly | 12/20/25 | $41,700,000 | $3,445,004 | $1,626,732 | $1,818,272 |
Total Return Swap Agreements | |||||||
Counterparty | Reference Obligation | Financing Rate Pay | Payment Frequency | Maturity Date | Units | Notional Amount | Value and Unrealized Appreciation |
OTC Credit Index Swap Agreements†† | |||||||
Citibank, N.A. | iShares iBoxx $ High Yield Corporate Bond ETF | 0.32% (1 Month USD LIBOR + 0.20%) | Monthly | 05/12/21 | 130,000 | $11,237,200 | $72,800 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Counterparty | Reference Obligation | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Amount | Value and Unrealized Appreciation (Depreciation) |
Bank of America, N.A. | iShares iBoxx $ High Yield Corporate Bond ETF | (0.14)% (1 Month USD LIBOR - 0.25%) | Monthly | 05/26/21 | 451,630 | 39,038,897 | (356,788) |
Goldman Sachs International | iShares iBoxx $ High Yield Corporate Bond ETF | (0.63)% (1 Month USD LIBOR - 0.75%) | Monthly | 03/08/21 | 11,450 | 989,738 | (8,015) |
Goldman Sachs International | iShares iBoxx $ High Yield Corporate Bond ETF | (0.64)% (1 Month USD LIBOR - 0.75%) | Monthly | 03/10/21 | 11,450 | 989,738 | (8,817) |
$52,255,573 | $(300,820) | ||||||
OTC Credit Index Swap Agreements Sold Short†† | |||||||
BNP Paribas | iShares iBoxx $ High Yield Corporate Bond ETF | 0.49% (1 Month USD LIBOR - 0.60%) | Monthly | 03/10/21 | 11,450 | $ 989,738 | $ 8,817 |
BNP Paribas | iShares iBoxx $ High Yield Corporate Bond ETF | 0.48% (1 Month USD LIBOR - 0.60%) | Monthly | 03/08/21 | 11,450 | 989,738 | 8,015 |
$1,979,476 | $16,832 |
Forward Foreign Currency Exchange Contracts†† | ||||||
Counterparty | Contracts to Sell | Currency | Settlement Date | Settlement Value | Value at February 28, 2021 | Unrealized Appreciation (Depreciation) |
Citibank, N.A. | 11,240,000 | BRL | 07/01/21 | $2,716,438 | $1,996,532 | $719,906 |
Goldman Sachs International | 5,700,000 | BRL | 07/01/21 | 1,335,364 | 1,012,476 | 322,888 |
JPMorgan Chase Bank, N.A. | 3,000,000 | BRL | 07/01/21 | 712,674 | 532,882 | 179,792 |
Morgan Stanley Capital Services LLC | 8,990,000 | EUR | 03/30/21 | 11,007,716 | 10,864,602 | 143,114 |
Bank of America, N.A. | 5,830,000 | EUR | 03/16/21 | 7,075,095 | 7,042,944 | 32,151 |
Goldman Sachs International | 414,000 | GBP | 03/16/21 | 571,696 | 576,759 | (5,063) |
Bank of America, N.A. | 4,363,200 | ILS | 04/30/21 | 1,293,950 | 1,321,809 | (27,859) |
Goldman Sachs International | 5,707,550 | ILS | 01/31/22 | 1,691,892 | 1,740,909 | (49,017) |
Goldman Sachs International | 16,654,900 | ILS | 04/30/21 | 4,882,148 | 5,045,516 | (163,368) |
$1,152,544 | ||||||
Counterparty | Contracts to Buy | Currency | Settlement Date | Settlement Value | Value at February 28, 2021 | Unrealized Appreciation (Depreciation) |
Goldman Sachs International | 21,018,100 | ILS | 04/30/21 | $5,892,376 | $6,367,324 | $474,948 |
Goldman Sachs International | 5,707,550 | ILS | 01/31/22 | 1,554,800 | 1,740,910 | 186,110 |
Citibank, N.A. | 19,940,000 | BRL | 07/01/21 | 3,831,371 | 3,541,890 | (289,481) |
$371,577 |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or a portion of these securities have been physically segregated in connection with futures contracts, options, borrowings, reverse repurchase agreements and unfunded loan commitments. As of February 28, 2021, the total value of securities segregated was $334,795,989. |
2 | Affiliated issuer. |
3 | Perpetual maturity. |
4 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
5 | Rate indicated is the 7-day yield as of February 28, 2021. |
6 | Variable rate security. Rate indicated is the rate effective at February 28, 2021. The rate is linked to the volatility-adjusted performance of the series 1 securities due 2069 of the underlying company, Alphas Managed Accounts Platform LXXIX Limited. |
7 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $386,461,137 (cost $374,409,713), or 46.5% of total net assets. |
8 | Variable rate security. Rate indicated is the rate effective at February 28, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
9 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $9,726,771 (cost $17,846,366), or 1.2% of total net assets — See Note 7. |
10 | Security is in default of interest and/or principal obligations. |
11 | Payment-in-kind security. |
12 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
13 | Security is a step down bond, with a 3.97% coupon rate until December 15, 2044. Future rate is 2.00% with a reset date of November 15, 2026. |
14 | Security is an interest-only strip. |
15 | Rate indicated is the effective yield at the time of purchase. |
BofA — Bank of America | |
BRL — Brazilian Real | |
CDX.NA.HY.35.V1 — Credit Default Swap North American High Yield Series 35 Index Version 1 | |
CMS — Constant Maturity Swap | |
EURIBOR — European Interbank Offered Rate | |
EUR — Euro | |
GBP — British Pound | |
ICE — Intercontinental Exchange | |
ILS — Israeli New Shekel | |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
PPV — Public-Private Venture | |
SARL — Société à Responsabilité Limitée | |
WAC — Weighted Average Coupon | |
See Sector Classification in Other Information section. | |
The following table summarizes the inputs used to value the Fund’s investments at February 28, 2021 (See Note 4 in the Notes to Schedule of Investments): | ||||||||||||||||
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 47,905,609 | $ | 1,577,224 | $ | 544,654 | $ | 50,027,487 | ||||||||
Preferred Stocks | — | 38,389,168 | 761,240 | 39,150,408 | ||||||||||||
Warrants | 2,481,613 | — | — | 2,481,613 | ||||||||||||
Closed-End Funds | 41,413,206 | — | — | 41,413,206 | ||||||||||||
Money Market Fund | 8,069,136 | — | — | 8,069,136 | ||||||||||||
Corporate Bonds | — | 393,451,340 | 38,162,611 | 431,613,951 | ||||||||||||
Senior Floating Rate Interests | — | 345,446,893 | 58,614,508 | 404,061,401 | ||||||||||||
Asset-Backed Securities | — | 146,191,989 | 18,911,012 | 165,103,001 | ||||||||||||
Collateralized Mortgage Obligations | — | 59,870,124 | 4,394,090 | 64,264,214 | ||||||||||||
U.S. Treasury Bills | — | 23,198,214 | — | 23,198,214 | ||||||||||||
Municipal Bonds | — | 452,232 | — | 452,232 | ||||||||||||
Options Purchased | — | 3,261,117 | — | 3,261,117 | ||||||||||||
Equity Futures Contracts* | 1,836,480 | — | — | 1,836,480 | ||||||||||||
Credit Default Swap Agreements* | — | 1,818,272 | — | 1,818,272 | ||||||||||||
Credit Index Swap Agreements* | — | 89,632 | — | 89,632 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 2,058,909 | — | 2,058,909 | ||||||||||||
Total Assets | $ | 101,706,044 | $ | 1,015,805,114 | $ | 121,388,115 | $ | 1,238,899,273 |
Guggenheim Strategic Opportunities Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Options Written | $ | 411,035 | $ | — | $ | — | $ | 411,035 | ||||||||
Forward Foreign Currency Exchange Contracts* | — | 534,788 | — | 534,788 | ||||||||||||
Credit Index Swap Agreements* | — | 373,620 | — | 373,620 | ||||||||||||
Unfunded Loan Commitments (Note 6) | — | — | 613,776 | 613,776 | ||||||||||||
Total Liabilities | $ | 411,035 | $ | 908,408 | $ | 613,776 | $ | 1,933,219 |
* This derivative is reported as unrealized appreciation/depreciation at period end. | |
Please refer to the detailed Schedule of Investments for a breakdown of investment type by industry category. | |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $320,072,542 are categorized as Level 2 within the disclosure hierarchy — See Note 3. The following is a summary of significant unobservable inputs used in the fair valuation of assets and liaiblities categorized within Level 3 of the fair value hierarchy: |
Category | Ending Balance at February 28, 2021 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||||
Assets: | ||||||||||||||
Asset-Backed Securities | $ | 18,304,918 | Yield Analysis | Yield | 2.2%-13.0 | % | 2.9 | % | ||||||
Asset-Backed Securities | 606,094 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||
Collateralized Mortgage Obligations | 4,394,090 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||
Common Stocks | 341,710 | Model Price | Purchase Price | — | — | |||||||||
Common Stocks | 125,117 | Enterprise Value | Valuation Multiple | 2.8x-15.8 | x | 11.5 | x | |||||||
Common Stocks | 77,827 | Third Party Pricing | Broker Quote | — | — | |||||||||
Corporate Bonds | 29,788,386 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||
Corporate Bonds | 6,191,262 | Third Party Pricing | Vendor Price | — | — | |||||||||
Corporate Bonds | 1,117,911 | Model Price | Purchase Price | — | — | |||||||||
Corporate Bonds | 1,065,052 | Yield Analysis | Yield | 4.0 | % | — | ||||||||
Preferred Stocks | 761,240 | Model Price | Purchase Price | — | — | |||||||||
Senior Floating Rate Interests | 35,365,520 | Third Party Pricing | Broker Quote | — | — | |||||||||
Senior Floating Rate Interests | 9,341,338 | Yield Analysis | Yield | 4.0%-8.1 | % | 6.0 | % | |||||||
Senior Floating Rate Interests | 8,794,337 | Third Party Pricing | Vendor Price | — | — | |||||||||
Senior Floating Rate Interests | 4,329,270 | Model Price | Market Comparable Yields | 6.3%-10.3 | % | 8.5 | % | |||||||
Senior Floating Rate Interests | 783,340 | Model Price | Purchase Price | — | — | |||||||||
Senior Floating Rate Interests | 703 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||
Total Assets | $ | 121,388,115 | ||||||||||||
Liabilities: | ||||||||||||||
Unfunded Loan Commitments | $ | 613,776 | Model Price | Purchase Price | — | — | ||||||||
* Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield, market comparable yields or valuation multiples would generally result in significant changes in the fair value of the security.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended February 28, 2021, the Fund had securities with a total value of $13,724,485 transfer into Level 3 from Level 2 due to lack of observable inputs and has securities with a total value of $33,223,525 transfer into Level 2 from Level 3 due to the availability of current reliable market-based data provided by a third-party pricing service witch utilizes significant observable inputs.
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Asset-Backed Securities | Collateralized Mortgage Obligations | Corporate Bonds | Senior Floating Rate Interests | Common Stocks | Preferred Stocks | Senior Fixed Rate Interests | Total Assets | Unfunded Loan Commitments | ||||||||||||||||||||||||||||
Beginning Balance | $ | 21,167,927 | $ | 4,210,076 | $ | 7,533,032 | $ | 58,004,230 | $ | 1,179,186 | $ | - | $ | 584,338 | $ | 92,678,789 | $ | (266,911 | ) | |||||||||||||||||
Purchases/(Receipts) | – | – | 35,773,768 | 36,009,536 | 1,791,391 | 719,724 | 253,125 | 74,547,544 | (1,385,048 | ) | ||||||||||||||||||||||||||
(Sales, maturities and paydowns)/Fundings | (3,747,123 | ) | – | (6,510,460 | ) | (21,515,408 | ) | (404,430 | ) | – | (592,023 | ) | (32,769,444 | ) | 420,949 | |||||||||||||||||||||
Amortization of premiums/discounts | 323,305 | (5,945 | ) | (2,986 | ) | 300,423 | – | - | 1,314 | 616,111 | (5,025 | ) | ||||||||||||||||||||||||
Total realized gains (losses) included in earnings | – | – | 320,305 | (1,503,531 | ) | (194,317 | ) | – | (147,952 | ) | (1,525,495 | ) | 179,883 | |||||||||||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | 1,166,903 | 189,959 | 1,134,811 | 5,085,626 | (960,635 | ) | 41,516 | 681,470 | 7,339,650 | 442,376 | ||||||||||||||||||||||||||
Transfers into Level 3 | – | – | 1,063,260 | 11,903,754 | - | – | 757,471 | 13,724,485 | – | |||||||||||||||||||||||||||
Transfers out of Level 3 | – | – | (1,149,119 | ) | (29,670,122 | ) | (866,541 | ) | – | (1,537,743 | ) | (33,223,525 | ) | – | ||||||||||||||||||||||
Ending Balance | $ | 18,911,012 | $ | 4,394,090 | $ | 38,162,611 | $ | 58,614,508 | $ | 544,654 | $ | 761,240 | $ | - | $ | 121,388,115 | $ | (613,776 | ) | |||||||||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at February 28, 2021 | $ | 1,166,903 | $ | 189,959 | $ | 135,496 | $ | 1,510,365 | $ | (1,160,607 | ) | $ | 41,516 | $ | - | $ | 1,883,632 | $ | 390,350 |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Security Name | Value 05/31/20 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 02/28/21 | Shares 02/28/21 | |||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||
BP Holdco LLC* | $ | 16,061 | $ | – | $ | – | $ | – | $ | 3,358 | $ | 19,419 | 55,076 | |||||||||||||||
Targus Group International Equity, Inc.* | 23,091 | – | – | – | 3,614 | 26,705 | 12,989 | |||||||||||||||||||||
$ | 39,152 | $ | – | $ | – | $ | – | $ | 6,972 | $ | 46,124 |
* | Non-income producing security. |
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
Tax Cost | Tax Unrealized Appreciation | Tax Unrealized Depreciation | Net Tax Unrealized Appreciation (Depreciation) |
$ 1,199,124,572 | $ 68,779,187 | $ (30,323,929) | $ 38,455,258 |
The unfunded loan commitments as of February 28, 2021, were as follows: | |||||
Borrower | Maturity Date | Face Amount* | Value | ||
Alexander Mann | 12/16/24 | GBP | 1,250,000 | $167,520 | |
Aspect Software, Inc. | 07/15/23 | 211,650 | 1,705 | ||
CapStone Acquisition Holdings, Inc. | 10/29/27 | 828,400 | 7,907 | ||
CCC Information Services, Inc. | 04/27/22 | 1,250,000 | – | ||
Examworks Group, Inc. | 01/27/23 | 1,500,000 | 96,804 | ||
Fortis Solutions Group LLC | 12/15/23 | 163,320 | 1,307 | ||
Galls LLC | 01/31/24 | 41,770 | 2,653 | ||
HAH Group Holding Co LLC | 10/29/27 | 410,000 | 5,844 | ||
Higginbotham | 11/25/22 | 823,699 | 5,347 | ||
MB2 Dental Solutions LLC | 01/26/27 | 1,062,594 | 10,490 | ||
National Mentor Holdings, Inc. | 02/18/28 | 400,000 | 1,994 | ||
OEConnection LLC | 09/25/26 | 6,071 | 30 | ||
Peraton Corp. | 02/22/28 | 2,678,209 | 11,699 | ||
Pro Mach Group, Inc. | 03/07/25 | 173,385 | 1,841 | ||
SeaPort Financing LLC | 10/31/23 | 2,650,000 | 101,432 | ||
Service Logic Acquisition, Inc. | 10/22/27 | 364,478 | 3,466 | ||
SHO Holding I Corp. | 04/29/24 | 500,000 | 55,000 | ||
Solera LLC | 12/02/22 | 1,992,914 | 27,326 | ||
Southern Veterinary Partners LLC | 10/05/27 | 436,364 | 4,118 | ||
Trader Interactive | 06/15/23 | 115,385 | 1,989 | ||
TricorBraun Holdings, Inc. | 02/03/28 | 440,704 | 2,183 | ||
Venture Global Calcasieu Pass LLC | 08/19/26 | 1,874,925 | 103,121 | ||
Zephyr Bidco Ltd. | 04/08/22 | GBP | 3,000,000 | – | |
$613,776 | |||||
* The face amount is denominated in U.S. dollars unless otherwise indicated. |
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | February 28, 2021 |
Restricted Securities | Acquisition Date | Cost | Value | |
Airplanes Pass Through Trust | ||||
2001-1A, 1.26% (1 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 03/15/191,2 | 10/14/09 | $5,384,675 | $668 | |
Atlas Mara Ltd. | ||||
8.00% due 02/20/21 | 10/01/15 | 1,832,400 | 1,063,260 | |
Basic Energy Services, Inc. | ||||
10.75% due 10/15/233 | 09/25/18 | 496,721 | 98,750 | |
CBC Insurance Revenue Securitization LLC | ||||
2016-1, 5.25% due 07/15/463 | 08/09/19 | 316,515 | 298,010 | |
FDF II Ltd. | ||||
2016-2A, 7.70% due 05/12/313 | 04/15/16 | 2,986,456 | 2,989,293 | |
FLNG Liquefaction 2 LLC | ||||
4.13% due 03/31/383 | 07/23/19 | 228,406 | 265,636 | |
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | ||||
2015-R1, 5.50% (WAC), due 11/25/521 | 09/10/19 | 3,616,515 | 3,492,139 | |
Mirabela Nickel Ltd. | ||||
due 06/24/192 | 12/31/13 | 1,259,370 | 55,527 | |
Princess Juliana International Airport Operating Company N.V. | ||||
5.50% due 12/20/273 | 12/17/12 | 1,273,924 | 1,149,119 | |
Turbine Engines Securitization Ltd. | ||||
2013-1A, 6.38% due 12/13/48 | 11/27/13 | 451,384 | 314,369 | |
$17,846,366 | $9,726,771 | |||
1 | Variable rate security. Rate indicated is the rate effective at February 28, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
2 | Security is in default of interest and/or principal obligations. |
3 | All or a portion of these securities have been physically segregated in connection with borrowings. |
OTHER INFORMATION (Unaudited) | February 28, 2021 |