| Guggenheim Energy & Income Fund | |
| SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2023 |
| Shares | Value | ||
| COMMON STOCKS††† - 0.0% | |||
| Energy - 0.0% | |||
| Permian Production Partners LLC* | 79,840 | $ 4,163 | |
| Bruin E&P Partnership Units* | 31,358 | 702 | |
| Total Energy | 4,865 | ||
| Industrial - 0.0% | |||
| YAK BLOCKER 2 LLC* | 3,350 | 33 | |
| YAK BLOCKER 2 LLC* | 3,096 | 31 | |
| Total Industrial | 64 | ||
| Total Common Stocks | |||
| (Cost $18,737) | 4,929 | ||
| PREFERRED STOCKS††† - 0.1% | |||
| Industrial - 0.1% | |||
| YAK BLOCKER 2 LLC* | 184,027 | 43,432 | |
| Total Preferred Stocks | |||
| (Cost $504,252) | 43,432 | ||
| MONEY MARKET FUND† - 86.6% | |||
| Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 4.96%1 | 23,834,224 | 23,834,224 | |
| Total Money Market Fund | |||
| (Cost $23,834,224) | 23,834,224 | ||
| Face Amount~ | |||
| SENIOR FLOATING RATE INTERESTS†††,◊ - 1.3% | |||
| Technology - 0.7% | |||
| Datix Bidco Ltd. | |||
| 11.93% (6 Month GBP SONIA + 7.75%, Rate Floor: 7.75%) due 04/27/26 | GBP 150,000 | 186,593 | |
| Energy - 0.6% | |||
| Permian Production Partners LLC | |||
| 11.22% (1 Month Term SOFR + 6.00%, Rate Floor: 9.22%) (in-kind rate was 2.00%) due 11/24/252 | 162,872 | 162,058 | |
| Total Senior Floating Rate Interests | |||
| (Cost $308,249) | 348,651 | ||
| CORPORATE BONDS†† - 0.0% | |||
| Energy - 0.0% | |||
| Basic Energy Services, Inc. | |||
| 10.75% due 10/15/233 | 623,000 | 3,115 | |
| Total Corporate Bonds | |||
| (Cost $617,032) | 3,115 | ||
| Total Investments - 88.0% | |||
| (Cost $25,282,494) | $ 24,234,351 | ||
| Other Assets & Liabilities, net - 12.0% | 3,298,974 | ||
| Total Net Assets - 100.0% | $ 27,533,325 | ||
| Forward Foreign Currency Exchange Contracts†† | ||||||
| Counterparty | Currency | Type | Quantity | Contract Amount | Settlement Date | Unrealized Depreciation |
| Barclays Bank plc | GBP | Sell | 150,000 | 189,100 USD | 07/14/23 | $(1,412) |
| Goldman Sachs International | CAD | Sell | 744,000 | 559,489 USD | 07/14/23 | (2,391) |
| Citibank, N.A. | CAD | Buy | 744,000 | 564,568 USD | 07/14/23 | (2,688) |
| $(6,491) | ||||||
| ~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 3. |
| †† | Value determined based on Level 2 inputs — See Note 3. |
| ††† | Value determined based on Level 3 inputs — See Note 3. |
| ◊ | Variable rate security. Rate indicated is the rate effective at June 30, 2023. 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. |
| 1 | Rate indicated is the 7-day yield as of June 30, 2023. |
| 2 | Payment-in-kind security. |
| 3 | Security is in default of interest and/or principal obligations. |
| CAD — Canadian Dollar | |
| GBP — British Pound | |
| LLC — Limited Liability Company | |
| plc — Public Limited Company | |
| SOFR — Secured Overnight Financing Rate | |
| SONIA — Sterling Overnight Index Average | |
| See Sector Classification in Other Information section. | |
| Guggenheim Energy & Income Fund | |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | June 30, 2023 |
The following table summarizes the inputs used to value the Fund's investments at June 30, 2023 (See Note 3 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 | $ — | $ — | $ 4,929 | $ 4,929 | |
| Preferred Stocks | — | — | 43,432 | 43,432 | |
| Money Market Fund | 23,834,224 | — | — | 23,834,224 | |
| Senior Floating Rate Interests | — | — | 348,651 | 348,651 | |
| Corporate Bonds | — | 3,115 | — | 3,115 | |
| Total Assets | $ 23,834,224 | $ 3,115 | $ 397,012 | $ 24,234,351 |
| Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |
| Forward Foreign Currency Exchange Contracts** | $ — | $ 6,491 | $ — | $ 6,491 |
| ** 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 following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
| Category | Ending Balance at June 30, 2023 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* |
| Assets: | |||||
| Common Stocks | $ 4,227 | Enterprise Value | Valuation Multiple | 3.0x-4.9x | 3.0x |
| Common Stocks | 702 | Model Price | Liquidation Value | — | — |
| Preferred Stocks | 43,432 | Enterprise Value | Valuation Multiple | 4.9x | — |
| Senior Floating Rate Interests | 186,593 | Yield Analysis | Yield | 14.2% | — |
| Senior Floating Rate Interests | 162,058 | Third Party Pricing | Broker Quote | — | — |
| Total Assets | $ 397,012 |
* Inputs are weighted by the fair value of the instruments.
Significant changes in a quote, yield, liquidation value or valuation multiple 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 June 30, 2023, the Fund had securities with a total value of $3,115 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2023:
| Assets | |||||
| Corporate Bonds | Senior Floating Rate Interests | Common Stocks | Preferred Stocks | Total Assets | |
| Beginning Balance | $ 531,160 | $ 811,563 | $ 66,171 | $ - | $ 1,408,894 |
| Purchases/(Receipts) | - | 2,449 | - | - | 2,449 |
| (Sales, maturities and paydowns)/Fundings | (551,116) | (326,177) | - | - | (877,293) |
| Amortization of premiums/discounts | - | (11,492) | - | - | (11,492) |
| Corporate Actions | - | (43,496) | 64 | 43,432 | - |
| Total realized gains (losses) included in earnings | (106,557) | (17,909) | - | - | (124,466) |
| Total change in unrealized appreciation (depreciation) included in earnings | 129,628 | (66,287) | (61,306) | - | 2,035 |
| Transfers out of Level 3 | (3,115) | - | - | - | (3,115) |
| Ending Balance | $ - | $ 348,651 | $ 4,929 | $ 43,432 | $ 397,012 |
| Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2023 | $ - | $ 11,966 | $ (61,306) | $ - | $ (49,340) |
| NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Energy & Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 28, 2015, and commenced investment operations on August 13, 2015. The Fund is registered as a non-diversified, non-traded, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).
The Fund’s primary investment objective is to provide high income. As a secondary investment objective, the Fund will seek capital appreciation.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual shareholder report.
Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) adopted policies and procedures for the valuation of the Fund's investments (the “Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated Guggenheim Funds Investment Advisors, LLC (“GFIA” or the “Adviser”) as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund's securities and other assets.
Valuations of the Fund's securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.
Open-end investment companies are valued at their net asset value (“NAV”) as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally valued at the last quoted sale price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange ("NYSE"). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity,
| NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (continued) | |
and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.
Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, the investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser.
Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value". Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
Note 2 – Derivatives
As part of its investment strategies, the Fund utilizes forward foreign currency exchange contracts. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Fund utilized derivatives for the following purposes:
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.
The Fund has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade orbetter. The Fund monitors the counterparty credit risk.
| NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (continued) | |
Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Fund agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have the economic effect of borrowings. The Fund may enter into such agreements when it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Fund's assets. As a result, such transactions may increase fluctuations in the market value of the Fund's assets.
Note 3 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may 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.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
| NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (continued) | |
Note 4 – Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
The liquidation and dissolution are not expected to result in income tax liability for the Fund. The Fund may pay more than one liquidating distribution in more than one instalment. The liquidation of the Fund is expected to result in one or more taxable events for the shareholders that are subject to federal income tax. Any liquidation proceeds paid to the shareholders should generally be treated as received by them in exchange for their common shares and will therefore generally give rise to a capital gain or loss depending on their tax basis. If a liquidating trust is created, the liquidating trust is currently expected to constitute a liquidating trust for U.S. federal income tax purposes that is owned by the shareholders. Shareholders should consult their personal tax advisors about the potential tax consequences.
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than- not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
At June 30, 2023, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
| Tax Cost | Tax Unrealized Appreciation | Tax Unrealized Depreciation | Net Tax Unrealized Appreciation (Depreciation) |
| $ 25,338,065 | $ 56,769 | $ (1,166,974) | $ (1,110,205) |
Note 5 – Market Risks
The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.
Note 6 –Subsequent Events
As previously announced, the Fund entered into a Plan of Liquidation and Dissolution intended to provide liquidity to shareholders. On August 11, 2023, the Fund paid a liquidating distribution to shareholders of $609.719355 per share. The liquidating distribution to shareholders is treated as payment in redemption of shares. The liquidation of the Fund will generally result in a taxable event for shareholders and would be expected to give rise to capital gain or loss to shareholders, depending on the basis of their shares and their individual situations. Shareholders should contact their tax advisers to discuss the income tax consequences of the liquidation.
| OTHER INFORMATION (Unaudited) (continued) | June 30, 2023 |
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications used by Bloomberg Industry Classification System, a widely recognized industry classification system provider. In the Fund’s registration statement, the Fund has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Fund usually classifies industries based on industry-level classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
