Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Shares | Value | ||
COMMON STOCKS† - 6.0% | |||
Technology - 1.5% | |||
Teradyne, Inc.1 | 6,613 | $ 713,344 | |
ANSYS, Inc.*,1 | 2,022 | 644,755 | |
Intuit, Inc.1 | 1,181 | 639,878 | |
Advanced Micro Devices, Inc.*,1 | 5,788 | 611,907 | |
Paycom Software, Inc.1 | 1,974 | 582,014 | |
Qorvo, Inc.*,1 | 5,008 | 537,809 | |
Skyworks Solutions, Inc.1 | 4,710 | 512,165 | |
IPG Photonics Corp.*,1 | 4,423 | 479,276 | |
QUALCOMM, Inc.1 | 3,717 | 425,708 | |
Zebra Technologies Corp. — Class A*,1 | 1,317 | 362,188 | |
Micron Technology, Inc. | 4,612 | 322,563 | |
Ceridian HCM Holding, Inc.*,1 | 4,165 | 302,046 | |
Salesforce, Inc.*,1 | 1,292 | 286,126 | |
Tyler Technologies, Inc.*,1 | 642 | 255,792 | |
Seagate Technology Holdings plc | 2,826 | 200,053 | |
Silicon Laboratories, Inc.* | 444 | 59,878 | |
Power Integrations, Inc. | 691 | 58,058 | |
Workiva, Inc.* | 501 | 56,037 | |
Diodes, Inc.* | 510 | 41,744 | |
Synaptics, Inc.* | 463 | 40,531 | |
Varonis Systems, Inc.* | 1,250 | 39,913 | |
MicroStrategy, Inc. — Class A* | 108 | 38,613 | |
Blackline, Inc.* | 633 | 38,018 | |
Envestnet, Inc.* | 635 | 34,690 | |
Rapid7, Inc.* | 659 | 33,207 | |
Sprout Social, Inc. — Class A* | 530 | 28,376 | |
Ambarella, Inc.* | 412 | 25,606 | |
SiTime Corp.* | 188 | 24,946 | |
PagerDuty, Inc.* | 967 | 24,910 | |
Appian Corp. — Class A* | 461 | 22,451 | |
Semtech Corp.* | 756 | 19,770 | |
MaxLinear, Inc. — Class A* | 829 | 19,482 | |
Asana, Inc. — Class A* | 853 | 18,331 | |
Ultra Clean Holdings, Inc.* | 521 | 18,318 | |
JFrog Ltd.* | 632 | 18,132 | |
Apollo Medical Holdings, Inc.* | 442 | 16,734 | |
Phreesia, Inc.* | 584 | 16,627 | |
DigitalOcean Holdings, Inc.* | 593 | 16,041 | |
Zuora, Inc. — Class A* | 1,333 | 12,144 | |
Cerence, Inc.* | 454 | 11,849 | |
Digital Turbine, Inc.* | 1,060 | 9,445 | |
3D Systems Corp.* | 1,453 | 9,168 | |
Outset Medical, Inc.* | 548 | 7,458 | |
Health Catalyst, Inc.* | 609 | 7,119 | |
PAR Technology Corp.* | 147 | 6,392 | |
Cardlytics, Inc.* | 382 | 6,364 | |
Grid Dynamics Holdings, Inc.* | 530 | 6,164 | |
BigCommerce Holdings, Inc.* | 567 | 6,010 | |
Sapiens International Corporation N.V. | 184 | 5,500 | |
8x8, Inc.* | 1,327 | 4,313 | |
Desktop Metal, Inc. — Class A* | 2,196 | 3,953 | |
Bandwidth, Inc. — Class A* | 275 | 3,952 | |
Domo, Inc. — Class B* | 330 | 3,518 | |
Pitney Bowes, Inc. | 1,031 | 3,392 | |
LivePerson, Inc.* | 775 | 3,255 | |
TTEC Holdings, Inc. | 108 | 3,214 | |
CEVA, Inc.* | 132 | 3,065 | |
Mitek Systems, Inc.* | 255 | 2,848 | |
Corsair Gaming, Inc.* | 163 | 2,562 | |
Digimarc Corp.* | 76 | 2,488 | |
American Software, Inc. — Class A | 187 | 2,156 | |
Daily Journal Corp.* | 7 | 2,064 | |
Unisys Corp.* | 384 | 1,548 | |
AvidXchange Holdings, Inc.* | 147 | 1,511 | |
Vuzix Corp.* | 349 | 1,396 | |
Tabula Rasa HealthCare, Inc.* | 134 | 1,376 | |
ON24, Inc. | 161 | 1,104 | |
Enfusion, Inc. — Class A* | 126 | 1,076 | |
Brightcove, Inc.* | 242 | 932 | |
CoreCard Corp.* | 43 | 913 | |
Rackspace Technology, Inc.* | 324 | 810 | |
CS Disco, Inc.* | 84 | 798 | |
Atomera, Inc.* | 120 | 763 | |
Porch Group, Inc.* | 894 | 755 | |
Outbrain, Inc.* | 127 | 725 | |
Ouster, Inc.* | 112 | 630 | |
Telos Corp.* | 238 | 621 | |
Upland Software, Inc.* | 172 | 611 | |
Veritone, Inc.* | 169 | 519 | |
Smith Micro Software, Inc.* | 275 | 470 | |
Viant Technology, Inc. — Class A* | 68 | 426 | |
SecureWorks Corp. — Class A* | 58 | 400 | |
iCAD, Inc.* | 130 | 296 | |
Weave Communications, Inc.* | 27 | 276 | |
Meta Materials, Inc.* | 1,187 | 273 | |
Forian, Inc.* | 112 | 270 | |
DarioHealth Corp.* | 80 | 250 | |
Arteris, Inc.* | 29 | 196 | |
EMCORE Corp.* | 218 | 131 | |
Ryvyl, Inc.* | 109 | 130 | |
Society Pass, Inc.* | 19 | 8 | |
NantHealth, Inc.* | 10 | 4 | |
Total Technology | 7,733,648 | ||
Consumer, Cyclical - 1.3% | |||
Tesla, Inc.*,1 | 2,487 | 641,845 | |
PVH Corp.1 | 6,676 | 558,114 | |
Aptiv plc*,1 | 4,627 | 469,409 | |
Carnival Corp.*,1 | 29,371 | 464,649 | |
Caesars Entertainment, Inc.*,1 | 8,165 | 451,198 | |
Bath & Body Works, Inc.1 | 10,922 | 402,694 | |
Copart, Inc.*,1 | 8,852 | 396,835 | |
Penn Entertainment, Inc.*,1 | 15,035 | 356,179 | |
Home Depot, Inc.1 | 807 | 266,552 | |
Domino's Pizza, Inc.1 | 662 | 256,459 | |
NIKE, Inc. — Class B1 | 2,085 | 212,065 | |
Pool Corp.1 | 578 | 211,317 | |
CarMax, Inc.*,1 | 2,577 | 210,489 | |
Best Buy Company, Inc.1 | 2,703 | 206,644 | |
General Motors Co.1 | 6,159 | 206,388 | |
Ford Motor Co.1 | 15,940 | 193,352 | |
Whirlpool Corp.1 | 1,379 | 193,005 | |
Target Corp.1 | 1,235 | 156,289 | |
VF Corp.1 | 4,779 | 94,433 | |
Advance Auto Parts, Inc.1 | 1,253 | 86,231 | |
Crocs, Inc.* | 683 | 66,483 | |
Under Armour, Inc. — Class C*,1 | 9,303 | 64,098 | |
Under Armour, Inc. — Class A*,1 | 8,161 | 62,350 | |
Fox Factory Holding Corp.* | 493 | 54,629 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Shares | Value | ||
COMMON STOCKS† - 6.0% | |||
Consumer, Cyclical - 1.3% (continued) | |||
Signet Jewelers Ltd. | 620 | $46,500 | |
Skyline Champion Corp.* | 613 | 43,689 | |
Macy's, Inc. | 3,538 | 43,270 | |
Goodyear Tire & Rubber Co.* | 3,229 | 41,687 | |
LCI Industries | 289 | 36,206 | |
Steven Madden Ltd. | 944 | 32,568 | |
Boot Barn Holdings, Inc.* | 342 | 31,378 | |
LGI Homes, Inc.* | 252 | 31,021 | |
American Eagle Outfitters, Inc. | 1,778 | 30,155 | |
Papa John's International, Inc. | 387 | 29,296 | |
Kontoor Brands, Inc. | 608 | 27,840 | |
Dana, Inc. | 1,698 | 27,355 | |
Topgolf Callaway Brands Corp.* | 1,357 | 23,666 | |
Gentherm, Inc.* | 390 | 23,482 | |
Cracker Barrel Old Country Store, Inc. | 278 | 22,915 | |
Sonos, Inc.* | 1,488 | 20,505 | |
National Vision Holdings, Inc.* | 969 | 17,742 | |
MillerKnoll, Inc. | 872 | 16,655 | |
AMC Entertainment Holdings, Inc. — Class A* | 1,286 | 16,144 | |
Sally Beauty Holdings, Inc.* | 1,288 | 13,086 | |
iRobot Corp.* | 315 | 12,250 | |
Camping World Holdings, Inc. — Class A | 489 | 12,093 | |
Fisker, Inc.* | 1,915 | 11,241 | |
Lions Gate Entertainment Corp. — Class B* | 1,385 | 10,318 | |
Vista Outdoor, Inc.* | 330 | 9,653 | |
Cheesecake Factory, Inc. | 270 | 8,599 | |
Allegiant Travel Co. — Class A | 90 | 7,996 | |
Wolverine World Wide, Inc. | 954 | 7,708 | |
Sleep Number Corp.* | 260 | 6,651 | |
Shyft Group, Inc. | 406 | 6,366 | |
Malibu Boats, Inc. — Class A* | 121 | 5,876 | |
Standard Motor Products, Inc. | 124 | 4,592 | |
Children's Place, Inc.* | 161 | 4,268 | |
MarineMax, Inc.* | 123 | 4,092 | |
Douglas Dynamics, Inc. | 134 | 4,056 | |
Hibbett, Inc. | 80 | 3,705 | |
Denny's Corp.* | 362 | 3,450 | |
Nikola Corp.* | 2,697 | 3,182 | |
Bally's Corp.* | 191 | 3,170 | |
Rush Street Interactive, Inc.* | 616 | 2,834 | |
Sun Country Airlines Holdings, Inc.* | 187 | 2,784 | |
Lions Gate Entertainment Corp. — Class A* | 341 | 2,701 | |
Global Industrial Co. | 76 | 2,572 | |
Portillo's, Inc. — Class A* | 136 | 2,494 | |
Movado Group, Inc. | 91 | 2,489 | |
Shoe Carnival, Inc. | 105 | 2,429 | |
Big Lots, Inc. | 354 | 2,195 | |
Zumiez, Inc.* | 114 | 2,165 | |
GrowGeneration Corp.* | 647 | 2,103 | |
Marcus Corp. | 136 | 2,066 | |
Lovesac Co.* | 76 | 1,742 | |
Johnson Outdoors, Inc. — Class A | 31 | 1,733 | |
OneWater Marine, Inc. — Class A* | 61 | 1,593 | |
Cooper-Standard Holdings, Inc.* | 100 | 1,494 | |
Hooker Furnishings Corp. | 69 | 1,486 | |
PetMed Express, Inc. | 118 | 1,330 | |
Sportsman's Warehouse Holdings, Inc.* | 259 | 1,246 | |
Tilly's, Inc. — Class A* | 135 | 1,214 | |
Aeva Technologies, Inc.* | 1,231 | 1,160 | |
Vera Bradley, Inc.* | 155 | 1,111 | |
El Pollo Loco Holdings, Inc. | 113 | 1,075 | |
Citi Trends, Inc.* | 47 | 1,017 | |
Big 5 Sporting Goods Corp. | 123 | 975 | |
Snap One Holdings Corp.* | 100 | 915 | |
Cato Corp. — Class A | 117 | 907 | |
Escalade, Inc. | 60 | 899 | |
Flexsteel Industries, Inc. | 39 | 881 | |
Sweetgreen, Inc. — Class A* | 60 | 862 | |
Hyliion Holdings Corp.* | 698 | 852 | |
ONE Group Hospitality, Inc.* | 123 | 843 | |
American Outdoor Brands, Inc.* | 84 | 825 | |
Traeger, Inc.* | 177 | 791 | |
Canoo, Inc.* | 1,268 | 751 | |
Purple Innovation, Inc. | 343 | 744 | |
EVI Industries, Inc.* | 27 | 713 | |
Tupperware Brands Corp.* | 286 | 712 | |
Workhorse Group, Inc.* | 875 | 690 | |
Noodles & Co.* | 242 | 673 | |
Universal Electronics, Inc.* | 74 | 659 | |
Fossil Group, Inc.* | 284 | 602 | |
LL Flooring Holdings, Inc.* | 170 | 586 | |
Superior Group of Companies, Inc. | 69 | 545 | |
Lazydays Holdings, Inc.* | 44 | 518 | |
Hamilton Beach Brands Holding Co. — Class A | 44 | 516 | |
Lifetime Brands, Inc. | 75 | 472 | |
Duluth Holdings, Inc. — Class B* | 72 | 458 | |
Conn's, Inc.* | 106 | 443 | |
Container Store Group, Inc.* | 189 | 442 | |
PLBY Group, Inc.* | 337 | 438 | |
GAN Ltd.* | 239 | 337 | |
Barnes & Noble Education, Inc.* | 263 | 334 | |
Mesa Air Group, Inc.* | 204 | 279 | |
Regis Corp.* | 248 | 268 | |
Rite Aid Corp.* | 328 | 253 | |
Liberty TripAdvisor Holdings, Inc. — Class A* | 434 | 245 | |
Lordstown Motors Corp. — Class A* | 60 | 240 | |
Torrid Holdings, Inc.* | 103 | 233 | |
Kirkland's, Inc.* | 74 | 185 | |
Nautilus, Inc.* | 179 | 179 | |
Shift Technologies, Inc.* | 102 | 122 | |
Ideanomics, Inc.* | 22 | 67 | |
Aterian, Inc.* | 154 | 55 | |
Arcimoto, Inc.* | 9 | 9 | |
F45 Training Holdings, Inc.* | 176 | 8 | |
Party City Holdco, Inc.* | 658 | 7 | |
EBET, Inc.* | 68 | 3 | |
Total Consumer, Cyclical | 7,050,702 | ||
Financial - 1.3% | |||
BlackRock, Inc. — Class A1 | 735 | 514,897 | |
Invesco Ltd.1 | 29,197 | 464,816 | |
T. Rowe Price Group, Inc.1 | 3,987 | 447,461 | |
Goldman Sachs Group, Inc.1 | 782 | 256,269 | |
Franklin Resources, Inc.1 | 9,379 | 250,794 | |
CBRE Group, Inc. — Class A*,1 | 2,920 | 248,346 | |
Nasdaq, Inc.1 | 4,653 | 244,189 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Shares | Value | ||
COMMON STOCKS† - 6.0% | |||
Financial - 1.3% (continued) |
Synchrony Financial1 | 7,297 | $235,547 | |
Bank of New York Mellon Corp.1 | 5,113 | 229,420 | |
Simon Property Group, Inc. REIT1 | 1,966 | 223,121 | |
Lincoln National Corp.1 | 8,597 | 220,599 | |
State Street Corp.1 | 3,115 | 214,125 | |
Capital One Financial Corp.1 | 1,965 | 201,196 | |
Citigroup, Inc.1 | 4,721 | 194,930 | |
Charles Schwab Corp.1 | 3,186 | 188,452 | |
Bank of America Corp.1 | 6,340 | 181,768 | |
Essex Property Trust, Inc. REIT1 | 761 | 181,415 | |
Healthpeak Properties, Inc. REIT1 | 7,889 | 162,356 | |
Alexandria Real Estate Equities, Inc. REIT1 | 1,357 | 157,873 | |
Citizens Financial Group, Inc.1 | 5,454 | 153,421 | |
Truist Financial Corp.1 | 4,474 | 136,681 | |
Vornado Realty Trust REIT1 | 5,532 | 132,879 | |
KeyCorp1 | 11,155 | 126,386 | |
STAG Industrial, Inc. REIT | 2,043 | 74,631 | |
Terreno Realty Corp. REIT | 863 | 52,548 | |
First Financial Bankshares, Inc. | 1,517 | 43,568 | |
Valley National Bancorp | 4,679 | 42,953 | |
Focus Financial Partners, Inc. — Class A* | 751 | 39,803 | |
Glacier Bancorp, Inc. | 1,288 | 38,911 | |
Hamilton Lane, Inc. — Class A | 407 | 37,766 | |
Essential Properties Realty Trust, Inc. REIT | 1,411 | 33,892 | |
Moelis & Co. — Class A | 714 | 33,851 | |
LXP Industrial Trust REIT | 3,282 | 32,229 | |
National Storage Affiliates Trust REIT | 949 | 31,886 | |
Piper Sandler Cos. | 204 | 30,392 | |
Broadstone Net Lease, Inc. REIT | 1,850 | 29,914 | |
WSFS Financial Corp. | 760 | 29,868 | |
Macerich Co. REIT | 2,498 | 29,202 | |
Walker & Dunlop, Inc. | 341 | 29,101 | |
Axos Financial, Inc.* | 669 | 28,827 | |
Artisan Partners Asset Management, Inc. — Class A | 687 | 26,395 | |
Innovative Industrial Properties, Inc. REIT | 292 | 25,486 | |
Pacific Premier Bancorp, Inc. | 1,095 | 25,207 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | 896 | 20,044 | |
Cannae Holdings, Inc.* | 994 | 19,512 | |
Outfront Media, Inc. REIT | 1,700 | 19,295 | |
Cohen & Steers, Inc. | 291 | 18,967 | |
Triumph Financial, Inc.* | 281 | 18,049 | |
Virtus Investment Partners, Inc. | 85 | 17,604 | |
Pathward Financial, Inc. | 345 | 16,998 | |
Chimera Investment Corp. REIT | 2,752 | 16,650 | |
StepStone Group, Inc. — Class A | 527 | 16,268 | |
BRP Group, Inc. — Class A* | 559 | 14,864 | |
Goosehead Insurance, Inc. — Class A* | 211 | 14,740 | |
Stewart Information Services Corp. | 313 | 14,498 | |
eXp World Holdings, Inc. | 736 | 14,146 | |
Newmark Group, Inc. — Class A | 1,942 | 13,769 | |
Trupanion, Inc.* | 446 | 13,260 | |
Customers Bancorp, Inc.* | 357 | 12,545 | |
Live Oak Bancshares, Inc. | 376 | 12,160 | |
Redfin Corp.* | 1,216 | 11,576 | |
Argo Group International Holdings Ltd. | 371 | 11,037 | |
Hilltop Holdings, Inc. | 362 | 11,001 | |
Brandywine Realty Trust REIT | 1,990 | 9,950 | |
Bank of NT Butterfield & Son Ltd. | 294 | 8,561 | |
LendingClub Corp.* | 1,171 | 8,150 | |
Empire State Realty Trust, Inc. — Class A REIT | 838 | 7,316 | |
Safehold, Inc. REIT | 335 | 7,126 | |
MFA Financial, Inc. REIT | 649 | 7,113 | |
Uniti Group, Inc. REIT | 1,153 | 6,192 | |
B Riley Financial, Inc. | 118 | 6,042 | |
Redwood Trust, Inc. REIT | 675 | 5,407 | |
Centerspace REIT | 83 | 5,373 | |
Veritex Holdings, Inc. | 278 | 5,229 | |
Piedmont Office Realty Trust, Inc. — Class A REIT | 727 | 4,994 | |
Community Healthcare Trust, Inc. REIT | 141 | 4,680 | |
Eagle Bancorp, Inc. | 185 | 4,451 | |
Anywhere Real Estate, Inc.* | 675 | 4,428 | |
Capitol Federal Financial, Inc. | 762 | 4,321 | |
Plymouth Industrial REIT, Inc. | 182 | 4,170 | |
ConnectOne Bancorp, Inc. | 218 | 4,168 | |
Brightsphere Investment Group, Inc. | 189 | 3,914 | |
Ready Capital Corp. REIT | 355 | 3,877 | |
First Bancshares, Inc. | 120 | 3,407 | |
Global Medical REIT, Inc. | 351 | 3,398 | |
World Acceptance Corp.* | 24 | 3,235 | |
Diamond Hill Investment Group, Inc. | 17 | 2,869 | |
Northfield Bancorp, Inc. | 258 | 2,719 | |
Central Pacific Financial Corp. | 160 | 2,715 | |
TPG RE Finance Trust, Inc. REIT | 358 | 2,692 | |
LendingTree, Inc.* | 136 | 2,572 | |
ARMOUR Residential REIT, Inc. | 518 | 2,543 | |
Business First Bancshares, Inc. | 114 | 2,331 | |
Metropolitan Bank Holding Corp.* | 57 | 2,269 | |
First Foundation, Inc. | 284 | 2,232 | |
Metrocity Bankshares, Inc. | 113 | 2,204 | |
Oppenheimer Holdings, Inc. — Class A | 55 | 2,095 | |
Office Properties Income Trust REIT | 281 | 2,079 | |
Invesco Mortgage Capital, Inc. REIT | 183 | 2,058 | |
HomeTrust Bancshares, Inc. | 87 | 1,988 | |
GCM Grosvenor, Inc. — Class A | 258 | 1,971 | |
Southern Missouri Bancorp, Inc. | 45 | 1,904 | |
One Liberty Properties, Inc. REIT | 95 | 1,867 | |
West BanCorp, Inc. | 95 | 1,759 | |
HCI Group, Inc. | 33 | 1,758 | |
Alerus Financial Corp. | 89 | 1,736 | |
Seritage Growth Properties REIT* | 222 | 1,676 | |
Sierra Bancorp | 83 | 1,650 | |
Hingham Institution For Savings | 8 | 1,594 | |
Enterprise Bancorp, Inc. | 55 | 1,592 | |
Waterstone Financial, Inc. | 128 | 1,588 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Shares | Value | ||
COMMON STOCKS† - 6.0% | |||
Financial - 1.3% (continued) |
Blue Foundry Bancorp* | 167 | $1,545 | |
Orchid Island Capital, Inc. REIT | 158 | 1,515 | |
Sculptor Capital Management, Inc. | 130 | 1,511 | |
Civista Bancshares, Inc. | 88 | 1,495 | |
Industrial Logistics Properties Trust REIT | 380 | 1,493 | |
City Office REIT, Inc. | 254 | 1,280 | |
Greenhill & Company, Inc. | 85 | 1,254 | |
Southern First Bancshares, Inc.* | 44 | 1,237 | |
Regional Management Corp. | 44 | 1,209 | |
Franklin Street Properties Corp. REIT | 595 | 1,142 | |
eHealth, Inc.* | 145 | 1,134 | |
RBB Bancorp | 83 | 1,131 | |
Douglas Elliman, Inc. | 450 | 1,131 | |
HomeStreet, Inc. | 114 | 1,077 | |
Legacy Housing Corp.* | 47 | 1,066 | |
Investors Title Co. | 7 | 1,007 | |
Atlanticus Holdings Corp.* | 28 | 977 | |
Citizens, Inc.* | 297 | 897 | |
Great Ajax Corp. REIT | 129 | 871 | |
Oportun Financial Corp.* | 124 | 868 | |
Star Holdings* | 60 | 819 | |
Heritage Insurance Holdings, Inc.* | 154 | 818 | |
Maiden Holdings Ltd.* | 414 | 708 | |
GAMCO Investors, Inc. — Class A | 30 | 627 | |
Pioneer Bancorp, Inc.* | 69 | 622 | |
Lemonade, Inc.* | 30 | 413 | |
Ashford Hospitality Trust, Inc. REIT* | 101 | 300 | |
Fathom Holdings, Inc.* | 36 | 222 | |
First Republic Bank1 | 1,594 | 207 | |
Finance of America Companies, Inc. — Class A* | 106 | 151 | |
Curo Group Holdings Corp.* | 125 | 135 | |
Rafael Holdings, Inc. — Class B* | 60 | 131 | |
SouthState Corp. | 2 | 116 | |
Signature Bank1 | 1,846 | 102 | |
SVB Financial Group*,1 | 1,156 | 92 | |
Pershing Square Tontine Holdings, Ltd. — Class A*,†††,2 | 329,701 | 80 | |
Silvergate Capital Corp. — Class A* | 327 | 33 | |
Total Financial | 6,597,733 | ||
Consumer, Non-cyclical - 1.0% | |||
Align Technology, Inc.*,1 | 1,380 | 510,793 | |
Bio-Techne Corp.1 | 5,648 | 442,803 | |
PayPal Holdings, Inc.*,1 | 5,816 | 363,558 | |
Illumina, Inc.*,1 | 1,645 | 271,787 | |
Dexcom, Inc.*,1 | 2,620 | 264,568 | |
Zoetis, Inc.1 | 1,380 | 262,904 | |
IDEXX Laboratories, Inc.*,1 | 513 | 262,353 | |
Equifax, Inc.1 | 1,142 | 236,051 | |
Moderna, Inc.*,1 | 1,850 | 209,179 | |
Charles River Laboratories International, Inc.*,1 | 985 | 203,718 | |
Dentsply Sirona, Inc.1 | 5,242 | 194,426 | |
Bio-Rad Laboratories, Inc. — Class A*,1 | 482 | 192,896 | |
MarketAxess Holdings, Inc.1 | 746 | 179,734 | |
Robert Half, Inc.1 | 2,350 | 173,806 | |
Avis Budget Group, Inc.* | 484 | 103,281 | |
TriNet Group, Inc.* | 474 | 52,581 | |
ASGN, Inc.* | 596 | 48,967 | |
Herc Holdings, Inc. | 292 | 38,001 | |
CONMED Corp. | 339 | 37,785 | |
Bridgebio Pharma, Inc.* | 1,241 | 37,118 | |
LivaNova plc* | 625 | 34,719 | |
Helen of Troy Ltd.* | 281 | 34,541 | |
Blueprint Medicines Corp.* | 683 | 34,054 | |
Arrowhead Pharmaceuticals, Inc.* | 1,200 | 33,168 | |
Alarm.com Holdings, Inc.* | 552 | 32,331 | |
Korn Ferry | 630 | 32,117 | |
Intellia Therapeutics, Inc.* | 814 | 30,509 | |
Insmed, Inc.* | 1,377 | 30,142 | |
Omnicell, Inc.* | 513 | 29,169 | |
Neogen Corp.* | 1,258 | 29,085 | |
Primo Water Corp. | 1,845 | 28,155 | |
Progyny, Inc.* | 754 | 28,154 | |
Pacific Biosciences of California, Inc.* | 2,271 | 25,617 | |
LiveRamp Holdings, Inc.* | 775 | 25,063 | |
Denali Therapeutics, Inc.* | 1,062 | 24,522 | |
AtriCure, Inc.* | 525 | 23,704 | |
Upbound Group, Inc. | 773 | 23,669 | |
PROG Holdings, Inc.* | 663 | 22,741 | |
Veracyte, Inc.* | 791 | 20,882 | |
NeoGenomics, Inc.* | 1,325 | 19,915 | |
Vericel Corp.* | 545 | 17,892 | |
Agios Pharmaceuticals, Inc.* | 640 | 17,555 | |
Arvinas, Inc.* | 548 | 15,459 | |
Coursera, Inc.* | 851 | 14,799 | |
Marathon Digital Holdings, Inc.* | 1,115 | 14,016 | |
Twist Bioscience Corp.* | 633 | 13,920 | |
Riot Platforms, Inc.* | 1,226 | 13,915 | |
Beam Therapeutics, Inc.* | 596 | 13,815 | |
Cimpress plc* | 205 | 13,245 | |
Owens & Minor, Inc.* | 718 | 12,134 | |
Recursion Pharmaceuticals, Inc. — Class A* | 1,343 | 11,684 | |
Ligand Pharmaceuticals, Inc. — Class B* | 177 | 11,641 | |
Zentalis Pharmaceuticals, Inc.* | 428 | 11,368 | |
Arcus Biosciences, Inc.* | 526 | 10,783 | |
Protagonist Therapeutics, Inc.* | 524 | 10,386 | |
Deluxe Corp. | 503 | 10,171 | |
Quanterix Corp.* | 361 | 9,675 | |
SpringWorks Therapeutics, Inc.* | 342 | 9,638 | |
Cassava Sciences, Inc.* | 448 | 9,395 | |
Avid Bioservices, Inc.* | 708 | 8,354 | |
Nevro Corp.* | 405 | 8,116 | |
Accolade, Inc.* | 601 | 8,107 | |
Fulgent Genetics, Inc.* | 246 | 8,059 | |
Kymera Therapeutics, Inc.* | 403 | 7,689 | |
Rocket Pharmaceuticals, Inc.* | 486 | 7,606 | |
Editas Medicine, Inc.* | 801 | 7,137 | |
Inhibrx, Inc.* | 332 | 7,105 | |
Monro, Inc. | 194 | 6,352 | |
Beauty Health Co.* | 1,022 | 6,295 | |
WW International, Inc.* | 627 | 6,088 | |
CareDx, Inc.* | 593 | 5,521 | |
Sana Biotechnology, Inc.* | 1,029 | 5,505 | |
OmniAb, Inc.* | 867 | 5,029 | |
Travere Therapeutics, Inc.* | 348 | 4,969 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Shares | Value | ||
COMMON STOCKS† - 6.0% | |||
Consumer, Non-cyclical - 1.0% (continued) |
Community Health Systems, Inc.* | 1,457 | $4,925 | |
B&G Foods, Inc. | 375 | 4,796 | |
Repay Holdings Corp.* | 507 | 4,674 | |
ModivCare, Inc.* | 145 | 4,654 | |
Green Dot Corp. — Class A* | 313 | 4,645 | |
USANA Health Sciences, Inc.* | 70 | 4,500 | |
First Advantage Corp. | 320 | 4,464 | |
Varex Imaging Corp.* | 224 | 4,406 | |
OPKO Health, Inc.* | 2,343 | 4,288 | |
Coherus Biosciences, Inc.* | 766 | 4,083 | |
Alector, Inc.* | 695 | 3,788 | |
Atrion Corp. | 8 | 3,721 | |
Custom Truck One Source, Inc.* | 540 | 3,623 | |
Replimune Group, Inc.* | 177 | 3,614 | |
Enanta Pharmaceuticals, Inc.* | 230 | 3,416 | |
Viad Corp.* | 120 | 3,407 | |
MacroGenics, Inc.* | 716 | 3,337 | |
Nurix Therapeutics, Inc.* | 373 | 3,170 | |
Allogene Therapeutics, Inc.* | 811 | 3,155 | |
TrueBlue, Inc.* | 205 | 3,102 | |
American Well Corp. — Class A* | 2,183 | 3,100 | |
OrthoPediatrics Corp.* | 80 | 3,058 | |
Heidrick & Struggles International, Inc. | 115 | 3,046 | |
Nuvation Bio, Inc.* | 1,852 | 3,037 | |
Surmodics, Inc.* | 80 | 2,946 | |
Carriage Services, Inc. — Class A | 90 | 2,774 | |
OraSure Technologies, Inc.* | 426 | 2,752 | |
2U, Inc.* | 857 | 2,717 | |
Senseonics Holdings, Inc.* | 5,152 | 2,618 | |
European Wax Center, Inc. — Class A* | 150 | 2,604 | |
Generation Bio Co.* | 522 | 2,495 | |
Castle Biosciences, Inc.* | 124 | 2,471 | |
Sutro Biopharma, Inc.* | 517 | 2,456 | |
Fate Therapeutics, Inc.* | 948 | 2,379 | |
Aaron's Company, Inc. | 183 | 2,209 | |
Invitae Corp.* | 2,340 | 2,162 | |
Turning Point Brands, Inc. | 86 | 2,117 | |
Mission Produce, Inc.* | 220 | 2,094 | |
Scholar Rock Holding Corp.* | 330 | 2,062 | |
MaxCyte, Inc.* | 563 | 2,061 | |
Cerus Corp.* | 986 | 1,864 | |
Utah Medical Products, Inc. | 20 | 1,832 | |
Pennant Group, Inc.* | 152 | 1,821 | |
Heron Therapeutics, Inc.* | 1,100 | 1,804 | |
AngioDynamics, Inc.* | 220 | 1,767 | |
Phathom Pharmaceuticals, Inc.* | 120 | 1,727 | |
Vital Farms, Inc.* | 146 | 1,720 | |
Vanda Pharmaceuticals, Inc.* | 326 | 1,692 | |
ORIC Pharmaceuticals, Inc.* | 188 | 1,685 | |
Orthofix Medical, Inc.* | 78 | 1,650 | |
Pulmonx Corp.* | 155 | 1,621 | |
Cullinan Oncology, Inc.* | 154 | 1,594 | |
Willdan Group, Inc.* | 66 | 1,593 | |
Accuray, Inc.* | 550 | 1,567 | |
Marinus Pharmaceuticals, Inc.* | 220 | 1,564 | |
Anika Therapeutics, Inc.* | 86 | 1,535 | |
Joint Corp.* | 165 | 1,533 | |
Olema Pharmaceuticals, Inc.* | 150 | 1,522 | |
Bluebird Bio, Inc.* | 402 | 1,515 | |
Atara Biotherapeutics, Inc.* | 1,012 | 1,477 | |
iTeos Therapeutics, Inc.* | 120 | 1,448 | |
Akebia Therapeutics, Inc.* | 1,039 | 1,444 | |
Seres Therapeutics, Inc.* | 414 | 1,428 | |
Scilex Holding Co.* | 491 | 1,409 | |
Edgewise Therapeutics, Inc.* | 225 | 1,406 | |
Sangamo Therapeutics, Inc.* | 1,415 | 1,372 | |
NanoString Technologies, Inc.* | 532 | 1,362 | |
Emergent BioSolutions, Inc.* | 287 | 1,346 | |
Vera Therapeutics, Inc.* | 76 | 1,344 | |
C4 Therapeutics, Inc.* | 460 | 1,334 | |
Seer, Inc.* | 495 | 1,302 | |
Allakos, Inc.* | 417 | 1,201 | |
Rigel Pharmaceuticals, Inc.* | 1,018 | 1,160 | |
PMV Pharmaceuticals, Inc.* | 156 | 1,126 | |
MeiraGTx Holdings plc* | 177 | 1,113 | |
InfuSystem Holdings, Inc.* | 108 | 1,110 | |
Inovio Pharmaceuticals, Inc.* | 2,464 | 1,109 | |
Organogenesis Holdings, Inc.* | 379 | 1,061 | |
Harvard Bioscience, Inc.* | 234 | 1,032 | |
HF Foods Group, Inc.* | 217 | 1,027 | |
Ginkgo Bioworks Holdings, Inc.* | 428 | 1,002 | |
Precigen, Inc.* | 565 | 989 | |
Lineage Cell Therapeutics, Inc.* | 747 | 986 | |
Ocugen, Inc.* | 2,201 | 949 | |
Kodiak Sciences, Inc.* | 399 | 878 | |
Tarsus Pharmaceuticals, Inc.* | 50 | 875 | |
Zevra Therapeutics, Inc.* | 172 | 872 | |
Erasca, Inc.* | 335 | 868 | |
Apyx Medical Corp.* | 185 | 862 | |
Whole Earth Brands, Inc.* | 222 | 846 | |
Udemy, Inc.* | 81 | 839 | |
Verastem, Inc.* | 85 | 830 | |
BioLife Solutions, Inc.* | 61 | 806 | |
Ikena Oncology, Inc.* | 161 | 747 | |
Honest Company, Inc.* | 495 | 733 | |
Inogen, Inc.* | 116 | 720 | |
Lexicon Pharmaceuticals, Inc.* | 408 | 702 | |
2seventy bio, Inc.* | 135 | 701 | |
Oramed Pharmaceuticals, Inc.* | 212 | 695 | |
Cara Therapeutics, Inc.* | 264 | 678 | |
Selecta Biosciences, Inc.* | 542 | 667 | |
Seelos Therapeutics, Inc.* | 585 | 638 | |
Stoke Therapeutics, Inc.* | 113 | 635 | |
CytoSorbents Corp.* | 245 | 632 | |
Paratek Pharmaceuticals, Inc.* | 285 | 630 | |
Tenaya Therapeutics, Inc.* | 153 | 592 | |
Bioventus, Inc. — Class A* | 164 | 590 | |
Vaxart, Inc.* | 715 | 588 | |
CytomX Therapeutics, Inc.* | 386 | 579 | |
PhenomeX, Inc.* | 607 | 577 | |
Assertio Holdings, Inc.* | 173 | 567 | |
Atossa Therapeutics, Inc.* | 697 | 551 | |
Allovir, Inc.* | 175 | 548 | |
Celcuity, Inc.* | 57 | 543 | |
Mind Medicine MindMed, Inc.* | 125 | 519 | |
Absci Corp.* | 287 | 514 | |
Annexon, Inc.* | 185 | 509 | |
Stereotaxis, Inc.* | 295 | 502 | |
Cue Biopharma, Inc.* | 183 | 496 | |
Chimerix, Inc.* | 435 | 496 | |
Sorrento Therapeutics, Inc.* | 3,481 | 460 | |
Gritstone bio, Inc.* | 249 | 453 | |
ALX Oncology Holdings, Inc.* | 105 | 447 | |
ChromaDex Corp.* | 279 | 444 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Shares | Value | ||
COMMON STOCKS† - 6.0% | |||
Consumer, Non-cyclical - 1.0% (continued) |
XBiotech, Inc.* | 90 | $443 | |
Athira Pharma, Inc.* | 192 | 428 | |
Taysha Gene Therapies, Inc.* | 133 | 426 | |
Werewolf Therapeutics, Inc.* | 153 | 419 | |
Inozyme Pharma, Inc.* | 85 | 416 | |
Cardiff Oncology, Inc.* | 226 | 416 | |
Asensus Surgical, Inc.* | 1,394 | 414 | |
Durect Corp.* | 134 | 410 | |
Carisma Therapeutics, Inc. | 59 | 408 | |
NeuroPace, Inc.* | 42 | 394 | |
Pulse Biosciences, Inc.* | 83 | 391 | |
Personalis, Inc.* | 214 | 389 | |
Affimed N.V.* | 691 | 376 | |
Inotiv, Inc.* | 99 | 370 | |
Talaris Therapeutics, Inc.* | 124 | 357 | |
Graphite Bio, Inc.* | 160 | 355 | |
Verrica Pharmaceuticals, Inc.* | 78 | 355 | |
NGM Biopharmaceuticals, Inc.* | 187 | 353 | |
IGM Biosciences, Inc.* | 48 | 343 | |
Avrobio, Inc.* | 225 | 342 | |
Shattuck Labs, Inc.* | 158 | 341 | |
Kinnate Biopharma, Inc.* | 153 | 341 | |
Aveanna Healthcare Holdings, Inc.* | 235 | 338 | |
DermTech, Inc.* | 144 | 331 | |
Kezar Life Sciences, Inc.* | 219 | 326 | |
Kronos Bio, Inc.* | 231 | 321 | |
Homology Medicines, Inc.* | 249 | 299 | |
CEL-SCI Corp.* | 214 | 297 | |
AirSculpt Technologies, Inc.* | 38 | 292 | |
Curis, Inc.* | 516 | 289 | |
Praxis Precision Medicines, Inc.* | 194 | 285 | |
Instil Bio, Inc.* | 629 | 284 | |
Vor BioPharma, Inc.* | 113 | 282 | |
Cyteir Therapeutics, Inc.* | 99 | 272 | |
Prelude Therapeutics, Inc.* | 64 | 239 | |
Century Therapeutics, Inc.* | 96 | 238 | |
BioAtla, Inc.* | 92 | 231 | |
Surface Oncology, Inc.* | 208 | 223 | |
Greenwich Lifesciences, Inc.* | 24 | 220 | |
Spero Therapeutics, Inc.* | 144 | 216 | |
Adaptimmune Therapeutics plc ADR* | 273 | 213 | |
Vistagen Therapeutics, Inc.* | 38 | 203 | |
MEI Pharma, Inc.* | 33 | 176 | |
TherapeuticsMD, Inc.* | 46 | 174 | |
Passage Bio, Inc.* | 220 | 172 | |
Neoleukin Therapeutics, Inc.* | 209 | 157 | |
Zevia PBC — Class A* | 61 | 157 | |
Quince Therapeutics, Inc.* | 118 | 155 | |
Exagen, Inc.* | 61 | 154 | |
Fortress Biotech, Inc.* | 432 | 151 | |
Bolt Biotherapeutics, Inc.* | 136 | 150 | |
Applied Therapeutics, Inc.* | 105 | 140 | |
Aeglea BioTherapeutics, Inc.* | 240 | 138 | |
Precision BioSciences, Inc.* | 296 | 137 | |
Rent the Runway, Inc. — Class A* | 99 | 137 | |
Pyxis Oncology, Inc.* | 62 | 135 | |
PAVmed, Inc.* | 429 | 134 | |
Magenta Therapeutics, Inc.* | 178 | 133 | |
Accelerate Diagnostics, Inc.* | 19 | 133 | |
Syros Pharmaceuticals, Inc.* | 34 | 133 | |
Aspira Women's Health, Inc.* | 28 | 128 | |
Sensei Biotherapeutics, Inc.* | 124 | 124 | |
Xilio Therapeutics, Inc.* | 43 | 123 | |
Retractable Technologies, Inc.* | 103 | 122 | |
Beyondspring, Inc.* | 133 | 120 | |
Molecular Templates, Inc.* | 14 | 119 | |
Biodesix, Inc.* | 75 | 118 | |
Harpoon Therapeutics, Inc.* | 111 | 115 | |
Singular Genomics Systems, Inc.* | 244 | 115 | |
Eliem Therapeutics, Inc.* | 41 | 109 | |
Aligos Therapeutics, Inc.* | 125 | 108 | |
Elicio Therapeutics, Inc.* | 12 | 99 | |
Frequency Therapeutics, Inc.* | 191 | 92 | |
22nd Century Group, Inc.* | 64 | 90 | |
AquaBounty Technologies, Inc.* | 326 | 89 | |
Mustang Bio, Inc.* | 28 | 89 | |
Solid Biosciences, Inc.* | 23 | 83 | |
Rapid Micro Biosystems, Inc. — Class A* | 86 | 83 | |
KALA BIO, Inc.* | 6 | 81 | |
Alpha Teknova, Inc.* | 41 | 80 | |
Oncternal Therapeutics, Inc.* | 263 | 79 | |
Hookipa Pharma, Inc.* | 114 | 75 | |
Portage Biotech, Inc.* | 29 | 74 | |
Vincerx Pharma, Inc.* | 95 | 63 | |
Telesis Bio, Inc.* | 47 | 62 | |
Oncocyte Corp.* | 17 | 61 | |
Atreca, Inc. — Class A* | 154 | 57 | |
Forte Biosciences, Inc.* | 67 | 56 | |
Sera Prognostics, Inc. — Class A* | 31 | 55 | |
Acutus Medical, Inc.* | 113 | 54 | |
Vapotherm, Inc.* | 16 | 51 | |
Infinity Pharmaceuticals, Inc.* | 521 | 47 | |
Cue Health, Inc.* | 85 | 46 | |
VBI Vaccines, Inc.* | 37 | 45 | |
Lucid Diagnostics, Inc.* | 29 | 45 | |
Laird Superfood, Inc.* | 37 | 38 | |
Talis Biomedical Corp.* | 6 | 36 | |
Trevena, Inc.* | 38 | 33 | |
Applied Molecular Transport, Inc.* | 148 | 32 | |
GT Biopharma, Inc.* | 105 | 27 | |
Endo International plc* | 2,732 | 27 | |
Athersys, Inc.* | 49 | 24 | |
NexImmune, Inc.* | 105 | 23 | |
AppHarvest, Inc.* | 415 | 23 | |
Eargo, Inc.* | 8 | 22 | |
Eterna Therapeutics, Inc.* | 8 | 19 | |
MiNK Therapeutics, Inc.* | 11 | 16 | |
iBio, Inc.* | 51 | 15 | |
Ampio Pharmaceuticals, Inc.* | 78 | 15 | |
Tonix Pharmaceuticals Holding Corp.* | 13 | 13 | |
Tattooed Chef, Inc.* | 281 | 11 | |
ViewRay, Inc.* | 837 | 11 | |
Rubius Therapeutics, Inc.* | 547 | 10 | |
Ontrak, Inc.* | 9 | 9 | |
Landos Biopharma, Inc.* | 2 | 7 | |
Finch Therapeutics Group, Inc.* | 1 | 6 | |
SQZ Biotechnologies Co.* | 135 | 6 | |
Humanigen, Inc.* | 284 | 4 | |
Oncorus, Inc.* | 121 | 4 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Shares | Value | ||
COMMON STOCKS† - 6.0% | |||
Consumer, Non-cyclical - 1.0% (continued) |
Avalo Therapeutics, Inc.* | 30 | $3 | |
9 Meters Biopharma, Inc.* | 67 | 1 | |
Athenex, Inc.* | 26 | – | |
Codiak Biosciences, Inc.*,††† | 94 | – | |
Ligand Pharmaceuticals, Inc.*,†† | 67 | – | |
Ligand Pharmaceuticals, Inc.*,†† | 67 | – | |
Total Consumer, Non-cyclical | 5,230,831 | ||
Communications - 0.5% | |||
Etsy, Inc.*,1 | 4,899 | 360,419 | |
Netflix, Inc.*,1 | 751 | 325,694 | |
Expedia Group, Inc.*,1 | 2,988 | 323,869 | |
Match Group, Inc.*,1 | 5,697 | 267,018 | |
Amazon.com, Inc.*,1 | 1,757 | 242,484 | |
eBay, Inc.1 | 5,107 | 228,691 | |
F5, Inc.*,1 | 1,315 | 215,213 | |
Charter Communications, Inc. — Class A*,1 | 457 | 200,221 | |
Walt Disney Co.*,1 | 1,941 | 162,423 | |
Warner Bros Discovery, Inc.*,1 | 10,664 | 140,125 | |
DISH Network Corp. — Class A*,1 | 8,508 | 51,048 | |
Ziff Davis, Inc.* | 508 | 33,858 | |
DigitalBridge Group, Inc. | 1,417 | 24,684 | |
Perficient, Inc.* | 380 | 24,240 | |
Q2 Holdings, Inc.* | 638 | 21,954 | |
Upwork, Inc.* | 1,378 | 20,408 | |
Cargurus, Inc.* | 1,120 | 20,283 | |
Overstock.com, Inc.* | 504 | 13,159 | |
Magnite, Inc.* | 1,523 | 12,565 | |
Shutterstock, Inc. | 274 | 11,538 | |
Open Lending Corp. — Class A* | 1,223 | 10,090 | |
TechTarget, Inc.* | 305 | 8,769 | |
Liberty Latin America Ltd. — Class C* | 906 | 8,118 | |
Clear Channel Outdoor Holdings, Inc.* | 4,259 | 6,175 | |
Revolve Group, Inc.* | 420 | 6,153 | |
Infinera Corp.* | 1,081 | 5,059 | |
iHeartMedia, Inc. — Class A* | 1,313 | 4,740 | |
Eventbrite, Inc. — Class A* | 448 | 4,538 | |
Stitch Fix, Inc. — Class A* | 949 | 4,166 | |
EchoStar Corp. — Class A* | 219 | 3,806 | |
EW Scripps Co. — Class A* | 335 | 2,559 | |
RealReal, Inc.* | 940 | 2,472 | |
Liquidity Services, Inc.* | 135 | 2,464 | |
Gannett Company, Inc.* | 838 | 2,439 | |
1-800-Flowers.com, Inc. — Class A* | 317 | 2,387 | |
Anterix, Inc.* | 68 | 2,250 | |
NETGEAR, Inc.* | 169 | 2,228 | |
Liberty Latin America Ltd. — Class A* | 237 | 2,119 | |
Quotient Technology, Inc.* | 531 | 2,119 | |
Boston Omaha Corp. — Class A* | 118 | 2,086 | |
IDT Corp. — Class B* | 85 | 1,987 | |
Thryv Holdings, Inc.* | 90 | 1,835 | |
Ooma, Inc.* | 130 | 1,832 | |
OptimizeRx Corp.* | 205 | 1,747 | |
Groupon, Inc.* | 140 | 1,732 | |
CarParts.com, Inc.* | 291 | 1,405 | |
Tucows, Inc. — Class A* | 58 | 1,372 | |
Entravision Communications Corp. — Class A | 358 | 1,371 | |
Advantage Solutions, Inc.* | 455 | 1,274 | |
Ribbon Communications, Inc.* | 419 | 1,240 | |
Telesat Corp.* | 41 | 817 | |
Lands' End, Inc.* | 85 | 654 | |
Cambium Networks Corp.* | 63 | 580 | |
1stdibs.com, Inc.* | 106 | 475 | |
Solo Brands, Inc. — Class A* | 71 | 397 | |
Inseego Corp.* | 498 | 317 | |
comScore, Inc.* | 417 | 292 | |
Fluent, Inc.* | 258 | 166 | |
National CineMedia, Inc.* | 35 | 159 | |
CuriosityStream, Inc.* | 155 | 128 | |
CalAmp Corp.* | 208 | 128 | |
VirnetX Holding Corp. | 378 | 122 | |
aka Brands Holding Corp.* | 55 | 28 | |
Audacy, Inc.* | 23 | 16 | |
Digital Media Solutions, Inc. — Class A* | 1 | 4 | |
HyreCar, Inc.* | 104 | – | |
Total Communications | 2,804,709 | ||
Industrial - 0.4% | |||
Dover Corp.1 | 1,697 | 251,665 | |
Johnson Controls International plc1 | 4,227 | 249,647 | |
Garmin Ltd.1 | 2,328 | 246,815 | |
Generac Holdings, Inc.*,1 | 2,048 | 243,323 | |
Keysight Technologies, Inc.*,1 | 1,753 | 233,675 | |
Fortune Brands Innovations, Inc.1 | 3,048 | 210,373 | |
Mohawk Industries, Inc.* | 2,047 | 207,545 | |
Stanley Black & Decker, Inc.1 | 1,746 | 164,787 | |
Ball Corp.1 | 2,988 | 162,697 | |
Exponent, Inc. | 606 | 54,455 | |
Zurn Elkay Water Solutions Corp. | 1,417 | 41,972 | |
John Bean Technologies Corp. | 366 | 40,227 | |
Kennametal, Inc. | 980 | 25,941 | |
Kratos Defense & Security Solutions, Inc.* | 1,438 | 23,137 | |
Helios Technologies, Inc. | 378 | 21,879 | |
Vicor Corp.* | 247 | 16,739 | |
Ichor Holdings Ltd.* | 331 | 12,125 | |
Montrose Environmental Group, Inc.* | 305 | 11,724 | |
GrafTech International Ltd. | 2,345 | 8,301 | |
Astec Industries, Inc. | 133 | 7,291 | |
CryoPort, Inc.* | 476 | 6,711 | |
TriMas Corp. | 253 | 6,629 | |
Columbus McKinnon Corp. | 163 | 6,140 | |
nLight, Inc.* | 509 | 5,808 | |
Gorman-Rupp Co. | 135 | 4,339 | |
Mesa Laboratories, Inc. | 29 | 4,158 | |
Triumph Group, Inc.* | 373 | 3,510 | |
Manitowoc Company, Inc.* | 204 | 3,452 | |
Enviri Corp.* | 459 | 3,420 | |
FARO Technologies, Inc.* | 212 | 3,362 | |
Smith & Wesson Brands, Inc. | 285 | 3,346 | |
Ranpak Holdings Corp.* | 447 | 2,829 | |
GoPro, Inc. — Class A* | 755 | 2,744 | |
Tutor Perini Corp.* | 245 | 2,178 | |
Pactiv Evergreen, Inc. | 256 | 2,104 | |
Luxfer Holdings plc | 164 | 1,973 | |
Blink Charging Co.* | 428 | 1,686 | |
Aspen Aerogels, Inc.* | 263 | 1,602 | |
Comtech Telecommunications Corp. | 152 | 1,528 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Shares | Value | ||
COMMON STOCKS† - 6.0% | |||
Industrial - 0.4% (continued) |
Standard BioTools, Inc.* | 454 | $1,362 | |
Daseke, Inc.* | 239 | 1,267 | |
Pure Cycle Corp.* | 114 | 1,253 | |
AMMO, Inc.* | 515 | 1,179 | |
Identiv, Inc.* | 127 | 1,049 | |
Turtle Beach Corp.* | 90 | 978 | |
Latham Group, Inc.* | 240 | 888 | |
Kopin Corp.* | 462 | 675 | |
Hydrofarm Holdings Group, Inc.* | 465 | 581 | |
Yellow Corp.* | 300 | 558 | |
Caesarstone Ltd.* | 134 | 557 | |
INNOVATE Corp.* | 282 | 451 | |
Akoustis Technologies, Inc.* | 287 | 433 | |
Byrna Technologies, Inc.* | 109 | 376 | |
View, Inc.* | 9 | 122 | |
AgEagle Aerial Systems, Inc.* | 406 | 68 | |
Total Industrial | 2,313,634 | ||
Basic Materials - 0.0% | |||
Balchem Corp. | 377 | 52,969 | |
Quaker Chemical Corp. | 157 | 27,864 | |
Tronox Holdings plc — Class A | 1,344 | 18,332 | |
Energy Fuels, Inc.* | 900 | 6,417 | |
Compass Minerals International, Inc. | 200 | 6,030 | |
Novagold Resources, Inc.* | 1,390 | 5,727 | |
Schnitzer Steel Industries, Inc. — Class A | 154 | 5,113 | |
Coeur Mining, Inc.* | 1,501 | 3,618 | |
Centrus Energy Corp. — Class A* | 57 | 2,705 | |
Mativ Holdings, Inc. | 136 | 2,227 | |
Danimer Scientific, Inc.* | 1,055 | 2,057 | |
Gatos Silver, Inc.* | 276 | 1,261 | |
Codexis, Inc.* | 706 | 1,229 | |
Unifi, Inc.* | 81 | 562 | |
Glatfelter Corp.* | 261 | 522 | |
Amyris, Inc.* | 2,060 | 82 | |
Total Basic Materials | 136,715 | ||
Energy - 0.0% | |||
Sunnova Energy International, Inc.* | 1,009 | 14,035 | |
Stem, Inc.* | 1,328 | 6,760 | |
SunPower Corp. — Class A* | 937 | 6,709 | |
DMC Global, Inc.* | 111 | 2,666 | |
Gevo, Inc.* | 1,167 | 1,529 | |
Matrix Service Co.* | 155 | 1,288 | |
Cleanspark, Inc.* | 228 | 1,124 | |
National Energy Services Reunited Corp.* | 226 | 1,028 | |
Eos Energy Enterprises, Inc.* | 259 | 842 | |
Aemetis, Inc.* | 161 | 807 | |
Spruce Power Holding Corp.* | 625 | 494 | |
Beam Global* | 52 | 452 | |
Total Energy | 37,734 | ||
Utilities - 0.0% | |||
Ameresco, Inc. — Class A* | 362 | 15,743 | |
Middlesex Water Co. | 101 | 7,602 | |
Global Water Resources, Inc. | 75 | 836 | |
Via Renewables, Inc. | 15 | 132 | |
Stronghold Digital Mining, Inc. — Class A* | 4 | 24 | |
Total Utilities | 24,337 | ||
Total Common Stocks | |||
(Cost $54,665,773) | 31,930,043 | ||
PREFERRED STOCKS†† - 6.6% | |||
Financial - 6.1% | |||
Markel Group, Inc. | |||
6.00%3 | 5,000,000 | 4,848,652 | |
Goldman Sachs Group, Inc. | |||
3.80%3 | 5,000,000 | 4,197,350 | |
Citigroup, Inc. | |||
4.15%3 | 5,000,000 | 4,168,950 | |
Bank of New York Mellon Corp. | |||
3.75%3 | 5,000,000 | 4,075,200 | |
Wells Fargo & Co. | |||
4.38% | 139,386 | 2,475,495 | |
4.75% | 61,250 | 1,163,138 | |
3.90%3 | 400,000 | 354,600 | |
Bank of America Corp. | |||
4.38%3 | 1,781,500 | 3,800,323 | |
Reinsurance Group of America, Inc. | |||
7.13% due 10/15/52 | 110,000 | 2,860,000 | |
Selective Insurance Group, Inc. | |||
4.60% | 85,536 | 1,411,344 | |
Public Storage Operating Co. | |||
4.10% | 58,000 | 1,046,900 | |
Lincoln National Corp. | |||
9.25%3 | 750,000 | 779,906 | |
Jackson Financial, Inc. | |||
8.00% | 26,000 | 648,700 | |
RenaissanceRe Holdings Ltd. | |||
4.20% | 38,000 | 629,660 | |
First Republic Bank | |||
4.50% | 200,000 | 60 | |
Total Financial | 32,460,278 | ||
Government - 0.5% | |||
CoBank ACB | |||
4.25%3 | 3,000,000 | 2,370,000 | |
Total Preferred Stocks | |||
(Cost $46,898,142) | 34,830,278 | ||
WARRANTS† - 0.0% | |||
Acropolis Infrastructure Acquisition Corp. | |||
Expiring 03/31/262 | 4,204 | 525 | |
Waverley Capital Acquisition Corp. | |||
Expiring 04/30/27*,2 | 5,084 | – | |
Total Warrants | |||
(Cost $896) | 525 | ||
RIGHTS††† - 0.0% | |||
Consumer, Non-cyclical - 0.0% | |||
Aeglea BioTherapeutics, Inc. * | 240 | – | |
Assertio Holdings Inc | 971 | – | |
Carisma Therapeutics, Inc. | 1,182 | – | |
Epizyme, Inc. | 793 | – | |
Disc Medicine, Inc. | 130 | – | |
Jounce Therapeutics, Inc. | 196 | – | |
Eli Lilly & Co | 6 | – |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Shares | Value | ||
RIGHTS††† - 0.0% |
Radius Health, Inc. | 558 | $– | |
Total Consumer, Non-cyclical | – | ||
Total Rights | |||
(Cost $60) | – | ||
EXCHANGE-TRADED FUND† - 0.9% | |||
VanEck Gold Miners ETF1 | 162,400 | 4,751,824 | |
Total Exchange-Traded Fund | |||
(Cost $5,249,824) | 4,751,824 | ||
MUTUAL FUND† - 1.1% | |||
Guggenheim Risk Managed Real Estate Fund — Institutional Class4 | 190,437 | 5,709,301 | |
Total Mutual Fund | |||
(Cost $7,311,649) | 5,709,301 | ||
CLOSED-END FUNDS† - 2.3% | |||
BlackRock Credit Allocation Income Trust1 | 283,098 | 2,876,276 | |
Eaton Vance Limited Duration Income Fund1 | 309,597 | 2,863,772 | |
Western Asset High Income Opportunity Fund, Inc. | 744,627 | 2,859,368 | |
BlackRock Debt Strategies Fund, Inc.1 | 193,981 | 1,980,546 | |
Blackstone Strategic Credit Fund1 | 88,264 | 975,317 | |
Ares Dynamic Credit Allocation Fund, Inc.1 | 51,928 | 662,601 | |
Total Closed-End Funds | |||
(Cost $16,126,613) | 12,217,880 | ||
MONEY MARKET FUNDS† - 2.5% | |||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.22%5 | 12,506,390 | 12,506,390 | |
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.23%5 | 765,212 | 765,212 | |
Total Money Market Funds | |||
(Cost $13,271,602) | 13,271,602 | ||
Face Amount~ | |||
CORPORATE BONDS†† - 49.5% | |||
Financial - 11.4% | |||
NFP Corp. | |||
6.88% due 08/15/286 | 3,250,000 | 2,861,864 | |
7.50% due 10/01/306 | 1,400,000 | 1,358,848 | |
United Wholesale Mortgage LLC | |||
5.50% due 04/15/291,6 | 4,300,000 | 3,730,250 | |
Jefferies Finance LLC / JFIN Company-Issuer Corp. | |||
5.00% due 08/15/281,6 | 3,810,000 | 3,253,249 | |
Liberty Mutual Group, Inc. | |||
4.30% due 02/01/611,6 | 5,250,000 | 3,213,047 | |
FS KKR Capital Corp. | |||
3.25% due 07/15/271 | 3,300,000 | 2,864,082 | |
Iron Mountain, Inc. | |||
5.25% due 07/15/306 | 2,940,000 | 2,652,839 | |
Kennedy-Wilson, Inc. | |||
5.00% due 03/01/311 | 3,500,000 | 2,647,559 | |
GLP Capital Limited Partnership / GLP Financing II, Inc. | |||
3.25% due 01/15/321 | 3,250,000 | 2,620,421 | |
OneMain Finance Corp. | |||
4.00% due 09/15/30 | 3,300,000 | 2,569,512 | |
Accident Fund Insurance Company of America | |||
8.50% due 08/01/326 | 2,550,000 | 2,559,430 | |
AmWINS Group, Inc. | |||
4.88% due 06/30/291,6 | 2,320,000 | 2,081,615 | |
Atlantic Marine Corporations Communities LLC | |||
5.38% due 02/15/481 | 2,073,044 | 1,559,035 | |
Starwood Property Trust, Inc. | |||
4.38% due 01/15/276 | 1,700,000 | 1,518,202 | |
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | |||
4.00% due 10/15/336 | 1,800,000 | 1,423,179 | |
3.88% due 03/01/316 | 100,000 | 81,396 | |
Cushman & Wakefield US Borrower LLC | |||
6.75% due 05/15/286 | 1,500,000 | 1,427,977 | |
Hunt Companies, Inc. | |||
5.25% due 04/15/296 | 1,850,000 | 1,413,103 | |
Sherwood Financing plc | |||
4.50% due 11/15/26 | EUR 1,500,000 | 1,401,861 | |
Prudential Financial, Inc. | |||
5.13% due 03/01/521,3 | 1,550,000 | 1,384,755 | |
Iron Mountain Information Management Services, Inc. | |||
5.00% due 07/15/326 | 1,600,000 | 1,381,542 | |
Credit Suisse AG NY | |||
7.95% due 01/09/251 | 1,300,000 | 1,325,416 | |
Swiss Re Finance Luxembourg S.A. | |||
5.00% due 04/02/491,3,6 | 1,400,000 | 1,323,000 | |
USI, Inc. | |||
6.88% due 05/01/251,6 | 1,300,000 | 1,297,894 | |
Global Atlantic Finance Co. | |||
3.13% due 06/15/316 | 1,750,000 | 1,297,061 | |
NatWest Group plc | |||
7.47% due 11/10/261,3 | 1,250,000 | 1,286,975 | |
Jones Deslauriers Insurance Management, Inc. | |||
8.50% due 03/15/301,6 | 750,000 | 765,450 | |
10.50% due 12/15/306 | 500,000 | 508,109 | |
Standard Chartered plc | |||
7.78% due 11/16/251,3,6 | 1,150,000 | 1,175,932 | |
Toronto-Dominion Bank | |||
8.13% due 10/31/823 | 1,050,000 | 1,055,273 | |
Ares Finance Company IV LLC | |||
3.65% due 02/01/526 | 1,650,000 | 1,046,758 | |
KKR Group Finance Company X LLC | |||
3.25% due 12/15/516 | 1,600,000 | 1,008,678 | |
PHM Group Holding Oy | |||
4.75% due 06/18/266 | EUR 1,000,000 | 987,520 | |
Corebridge Financial, Inc. | |||
6.88% due 12/15/523 | 900,000 | 875,041 | |
Bank of Nova Scotia | |||
8.63% due 10/27/821,3 | 750,000 | 764,531 | |
Home Point Capital, Inc. | |||
5.00% due 02/01/266 | 790,000 | 741,781 | |
Kane Bidco Ltd. | |||
5.00% due 02/15/27 | EUR 700,000 | 717,855 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 49.5% | |||
Financial - 11.4% (continued) |
Ryan Specialty LLC | |||
4.38% due 02/01/301,6 | 450,000 | $402,206 | |
Total Financial | 60,583,246 | ||
Consumer, Non-cyclical - 8.1% | |||
DaVita, Inc. | |||
4.63% due 06/01/301,6 | 5,200,000 | 4,460,317 | |
US Foods, Inc. | |||
4.63% due 06/01/301,6 | 4,250,000 | 3,777,496 | |
Sotheby's/Bidfair Holdings, Inc. | |||
5.88% due 06/01/291,6 | 4,400,000 | 3,410,000 | |
Upbound Group, Inc. | |||
6.38% due 02/15/291,6 | 3,412,000 | 3,099,802 | |
ADT Security Corp. | |||
4.88% due 07/15/321,6 | 3,300,000 | 2,846,580 | |
Cheplapharm Arzneimittel GmbH | |||
5.50% due 01/15/286 | 3,125,000 | 2,829,047 | |
BCP V Modular Services Finance II plc | |||
4.75% due 11/30/28 | EUR 3,000,000 | 2,743,625 | |
Carriage Services, Inc. | |||
4.25% due 05/15/291,6 | 3,150,000 | 2,733,570 | |
CPI CG, Inc. | |||
8.63% due 03/15/261,6 | 2,290,000 | 2,221,300 | |
Bausch Health Companies, Inc. | |||
4.88% due 06/01/281,6 | 3,300,000 | 1,958,197 | |
TreeHouse Foods, Inc. | |||
4.00% due 09/01/28 | 2,000,000 | 1,711,860 | |
Post Holdings, Inc. | |||
5.50% due 12/15/296 | 1,700,000 | 1,572,592 | |
Medline Borrower, LP | |||
5.25% due 10/01/291,6 | 1,750,000 | 1,554,045 | |
Reynolds American, Inc. | |||
5.70% due 08/15/35 | 1,550,000 | 1,433,628 | |
Castor S.p.A. | |||
8.78% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29◊,6 | EUR 1,400,000 | 1,428,592 | |
WW International, Inc. | |||
4.50% due 04/15/296 | 1,750,000 | 1,211,875 | |
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | |||
4.38% due 02/02/52 | 1,750,000 | 1,209,523 | |
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | |||
5.00% due 02/01/261,6 | 1,075,000 | 1,010,178 | |
Garden Spinco Corp. | |||
8.63% due 07/20/301,6 | 900,000 | 960,858 | |
Catalent Pharma Solutions, Inc. | |||
3.13% due 02/15/296 | 300,000 | 252,474 | |
APi Group DE, Inc. | |||
4.75% due 10/15/296 | 250,000 | 226,557 | |
Fortrea Holdings, Inc. | |||
7.50% due 07/01/306 | 100,000 | 97,875 | |
Grifols Escrow Issuer, S.A.U. | |||
3.88% due 10/15/28 | EUR 100,000 | 94,215 | |
Endo Dac / Endo Finance LLC / Endo Finco, Inc. | |||
due 07/31/276,7 | 1,750,000 | 78,750 | |
HealthEquity, Inc. | |||
4.50% due 10/01/296 | 75,000 | 66,508 | |
Total Consumer, Non-cyclical | 42,989,464 | ||
Communications - 7.8% | |||
Altice France S.A. | |||
5.13% due 01/15/291,6 | 5,260,000 | 3,749,421 | |
5.13% due 07/15/291,6 | 2,000,000 | 1,413,854 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | |||
4.50% due 06/01/331,6 | 6,500,000 | 5,130,906 | |
British Telecommunications plc | |||
4.88% due 11/23/813,6 | 5,000,000 | 4,101,596 | |
Level 3 Financing, Inc. | |||
3.75% due 07/15/296 | 6,100,000 | 3,638,712 | |
Ziggo Bond Company BV | |||
5.13% due 02/28/301,6 | 4,361,000 | 3,384,679 | |
Vodafone Group plc | |||
5.13% due 06/04/811,3 | 4,750,000 | 3,311,489 | |
McGraw-Hill Education, Inc. | |||
5.75% due 08/01/281,6 | 1,800,000 | 1,597,500 | |
8.00% due 08/01/291,6 | 1,700,000 | 1,513,561 | |
Vmed O2 UK Financing I plc | |||
4.25% due 01/31/311,6 | 3,250,000 | 2,658,252 | |
Zayo Group Holdings, Inc. | |||
4.00% due 03/01/271,6 | 3,250,000 | 2,435,672 | |
LCPR Senior Secured Financing DAC | |||
6.75% due 10/15/271,6 | 1,750,000 | 1,647,187 | |
5.13% due 07/15/291,6 | 445,000 | 375,135 | |
Rogers Communications, Inc. | |||
5.25% due 03/15/821,3,6 | 1,600,000 | 1,450,362 | |
CSC Holdings LLC | |||
11.25% due 05/15/286 | 1,000,000 | 986,324 | |
4.50% due 11/15/316 | 300,000 | 213,320 | |
6.50% due 02/01/296 | 100,000 | 82,666 | |
Radiate Holdco LLC / Radiate Finance, Inc. | |||
4.50% due 09/15/266 | 1,500,000 | 1,169,073 | |
Ciena Corp. | |||
4.00% due 01/31/306 | 850,000 | 733,125 | |
UPC Broadband Finco BV | |||
4.88% due 07/15/311,6 | 750,000 | 619,013 | |
Cogent Communications Group, Inc. | |||
7.00% due 06/15/276 | 500,000 | 485,350 | |
VZ Secured Financing BV | |||
5.00% due 01/15/321,6 | 500,000 | 407,628 | |
Outfront Media Capital LLC / Outfront Media Capital Corp. | |||
4.25% due 01/15/296 | 325,000 | 266,557 | |
Total Communications | 41,371,382 | ||
Consumer, Cyclical - 6.1% | |||
1011778 BC ULC / New Red Finance, Inc. | |||
4.00% due 10/15/301,6 | 4,500,000 | 3,812,180 | |
Penn Entertainment, Inc. | |||
4.13% due 07/01/291,6 | 3,350,000 | 2,739,731 | |
Station Casinos LLC | |||
4.63% due 12/01/311,6 | 3,250,000 | 2,679,203 | |
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | |||
5.00% due 06/01/311,6 | 2,200,000 | 1,891,076 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 49.5% | |||
Consumer, Cyclical - 6.1% (continued) |
Aramark Services, Inc. | |||
5.00% due 02/01/286 | 2,000,000 | $1,865,832 | |
Air Canada | |||
4.63% due 08/15/296 | CAD 2,750,000 | 1,816,669 | |
Wabash National Corp. | |||
4.50% due 10/15/286 | 1,750,000 | 1,484,784 | |
Boyne USA, Inc. | |||
4.75% due 05/15/296 | 1,600,000 | 1,444,012 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc. | |||
4.63% due 01/15/296 | 1,650,000 | 1,427,366 | |
Allwyn Entertainment Financing UK plc | |||
7.88% due 04/30/296 | 1,400,000 | 1,422,750 | |
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc. | |||
6.63% due 03/01/306 | 1,600,000 | 1,410,416 | |
Crocs, Inc. | |||
4.25% due 03/15/291,6 | 1,625,000 | 1,370,232 | |
Deuce FinCo plc | |||
5.50% due 06/15/27 | GBP 1,200,000 | 1,305,514 | |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | |||
5.75% due 01/20/266 | 1,400,000 | 1,295,508 | |
Steelcase, Inc. | |||
5.13% due 01/18/291 | 1,450,000 | 1,282,265 | |
Evergreen Acqco 1 Limited Partnership / TVI, Inc. | |||
9.75% due 04/26/286 | 1,170,000 | 1,220,088 | |
CD&R Smokey Buyer, Inc. | |||
6.75% due 07/15/256 | 1,050,000 | 1,016,158 | |
Ritchie Bros Holdings, Inc. | |||
7.75% due 03/15/316 | 650,000 | 672,276 | |
Hanesbrands, Inc. | |||
9.00% due 02/15/311,6 | 550,000 | 552,150 | |
4.88% due 05/15/266 | 100,000 | 93,480 | |
Michaels Companies, Inc. | |||
5.25% due 05/01/281,6 | 600,000 | 500,250 | |
Tempur Sealy International, Inc. | |||
3.88% due 10/15/316 | 600,000 | 482,183 | |
JB Poindexter & Company, Inc. | |||
7.13% due 04/15/266 | 325,000 | 317,883 | |
Wolverine World Wide, Inc. | |||
4.00% due 08/15/296 | 300,000 | 224,703 | |
Total Consumer, Cyclical | 32,326,709 | ||
Industrial - 5.0% | |||
PGT Innovations, Inc. | |||
4.38% due 10/01/296 | 3,295,000 | 3,057,562 | |
Standard Industries, Inc. | |||
4.38% due 07/15/306 | 2,400,000 | 2,057,315 | |
3.38% due 01/15/311,6 | 1,000,000 | 797,385 | |
New Enterprise Stone & Lime Company, Inc. | |||
9.75% due 07/15/286 | 2,300,000 | 2,273,671 | |
5.25% due 07/15/286 | 450,000 | 415,205 | |
GrafTech Finance, Inc. | |||
4.63% due 12/15/286 | 3,200,000 | 2,512,000 | |
TK Elevator US Newco, Inc. | |||
5.25% due 07/15/271,6 | 2,630,000 | 2,465,363 | |
Enviri Corp. | |||
5.75% due 07/31/271,6 | 2,625,000 | 2,276,400 | |
MIWD Holdco II LLC / MIWD Finance Corp. | |||
5.50% due 02/01/301,6 | 2,600,000 | 2,203,812 | |
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC | |||
4.00% due 10/15/271,6 | 2,150,000 | 1,933,753 | |
Artera Services LLC | |||
9.03% due 12/04/251,6 | 1,600,000 | 1,488,589 | |
Builders FirstSource, Inc. | |||
6.38% due 06/15/326 | 1,500,000 | 1,462,404 | |
Clearwater Paper Corp. | |||
4.75% due 08/15/281,6 | 1,609,000 | 1,404,319 | |
Mauser Packaging Solutions Holding Co. | |||
7.88% due 08/15/266 | 700,000 | 689,322 | |
9.25% due 04/15/276 | 350,000 | 317,132 | |
Great Lakes Dredge & Dock Corp. | |||
5.25% due 06/01/296 | 1,025,000 | 877,841 | |
SCIL IV LLC / SCIL USA Holdings LLC | |||
9.50% due 07/15/28 | EUR 550,000 | 606,552 | |
Waste Pro USA, Inc. | |||
5.50% due 02/15/266 | 100,000 | 94,249 | |
Total Industrial | 26,932,874 | ||
Energy - 4.6% | |||
NuStar Logistics, LP | |||
6.38% due 10/01/301 | 6,000,000 | 5,775,000 | |
Occidental Petroleum Corp. | |||
7.95% due 06/15/391 | 3,190,000 | 3,578,259 | |
ITT Holdings LLC | |||
6.50% due 08/01/291,6 | 3,750,000 | 3,384,375 | |
CVR Energy, Inc. | |||
5.75% due 02/15/281,6 | 3,300,000 | 3,004,056 | |
Global Partners Limited Partnership / GLP Finance Corp. | |||
7.00% due 08/01/27 | 2,400,000 | 2,364,000 | |
6.88% due 01/15/291 | 675,000 | 637,875 | |
Valero Energy Corp. | |||
4.00% due 06/01/52 | 3,350,000 | 2,455,491 | |
TransMontaigne Partners Limited Partnership / TLP Finance Corp. | |||
6.13% due 02/15/261 | 1,750,000 | 1,502,813 | |
EnLink Midstream LLC | |||
6.50% due 09/01/301,6 | 975,000 | 977,492 | |
BP Capital Markets plc | |||
4.88% 1,3,8 | 500,000 | 452,807 | |
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp. | |||
5.75% due 04/01/25 | 150,000 | 148,729 | |
5.63% due 05/01/276 | 125,000 | 121,250 | |
Total Energy | 24,402,147 | ||
Basic Materials - 3.5% | |||
Kaiser Aluminum Corp. | |||
4.50% due 06/01/311,6 | 4,350,000 | 3,514,884 | |
SK Invictus Intermediate II SARL | |||
5.00% due 10/30/291,6 | 4,250,000 | 3,491,673 | |
Ingevity Corp. | |||
3.88% due 11/01/281,6 | 2,900,000 | 2,464,101 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Face Amount~ | Value | ||
CORPORATE BONDS†† - 49.5% | |||
Basic Materials - 3.5% (continued) |
SCIL IV LLC / SCIL USA Holdings LLC | |||
5.38% due 11/01/261,6 | 2,250,000 | $2,106,174 | |
Compass Minerals International, Inc. | |||
6.75% due 12/01/271,6 | 1,943,000 | 1,884,127 | |
Carpenter Technology Corp. | |||
7.63% due 03/15/301 | 1,600,000 | 1,619,536 | |
6.38% due 07/15/28 | 200,000 | 195,401 | |
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | |||
9.00% due 07/01/286 | 1,850,000 | 1,712,536 | |
Anglo American Capital plc | |||
5.63% due 04/01/306 | 1,050,000 | 1,036,165 | |
Valvoline, Inc. | |||
4.25% due 02/15/301,6 | 400,000 | 393,173 | |
Arsenal AIC Parent LLC | |||
8.00% due 10/01/301,6 | 350,000 | 357,434 | |
WR Grace Holdings LLC | |||
4.88% due 06/15/276 | 250,000 | 233,160 | |
Total Basic Materials | 19,008,364 | ||
Technology - 2.7% | |||
Dun & Bradstreet Corp. | |||
5.00% due 12/15/291,6 | 3,300,000 | 2,961,684 | |
NCR Corp. | |||
5.25% due 10/01/306 | 3,250,000 | 2,916,736 | |
AthenaHealth Group, Inc. | |||
6.50% due 02/15/306 | 3,200,000 | 2,779,107 | |
CDW LLC / CDW Finance Corp. | |||
3.57% due 12/01/311 | 1,900,000 | 1,606,586 | |
Cloud Software Group, Inc. | |||
6.50% due 03/31/296 | 1,660,000 | 1,484,794 | |
Central Parent Incorporated / CDK Global, Inc. | |||
7.25% due 06/15/291,6 | 1,350,000 | 1,331,462 | |
Broadcom, Inc. | |||
3.19% due 11/15/366 | 1,750,000 | 1,315,189 | |
Total Technology | 14,395,558 | ||
Utilities - 0.3% | |||
Terraform Global Operating, LP | |||
6.13% due 03/01/261,6 | 1,150,000 | 1,105,437 | |
NRG Energy, Inc. | |||
7.00% due 03/15/336 | 650,000 | 646,216 | |
Total Utilities | 1,751,653 | ||
Total Corporate Bonds | |||
(Cost $305,667,969) | 263,761,397 | ||
SENIOR FLOATING RATE INTERESTS††,◊ - 28.8% | |||
Consumer, Non-cyclical - 9.7% | |||
LaserAway Intermediate Holdings II LLC | |||
11.32% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 10/14/27 | 5,663,750 | 5,557,555 | |
Lyons Magnus | |||
7.87% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) (in-kind rate was 4.25%) due 05/10/279 | 5,886,201 | 4,762,937 | |
National Mentor Holdings, Inc. | |||
9.16% ((1 Month Term SOFR + 3.75%) and (3 Month Term SOFR + 3.75%), Rate Floor: 3.75%) due 03/02/28 | 5,240,312 | 4,575,474 | |
9.09% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/02/28 | 168,375 | 147,013 | |
Gibson Brands, Inc. | |||
10.57% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 08/11/28 | 5,663,750 | 4,710,371 | |
Kronos Acquisition Holdings, Inc. | |||
11.57% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 12/22/26 | 3,250,500 | 3,213,932 | |
Blue Ribbon LLC | |||
11.43% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 05/08/28 | 3,696,203 | 2,924,620 | |
Triton Water Holdings, Inc. | |||
8.75% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/31/28 | 2,947,374 | 2,893,761 | |
Florida Food Products LLC | |||
10.45% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/18/28 | 3,209,375 | 2,735,992 | |
Women's Care Holdings, Inc. | |||
10.05% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/17/28 | 2,947,368 | 2,601,053 | |
Southern Veterinary Partners LLC | |||
9.45% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/05/27 | 2,116,804 | 2,111,512 | |
HAH Group Holding Co. LLC | |||
10.44% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27 | 1,906,044 | 1,875,289 | |
Zep, Inc. | |||
9.54% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24 | 1,986,043 | 1,827,159 | |
PetIQ LLC | |||
9.84% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/13/28††† | 1,917,517 | 1,802,466 | |
Mission Veterinary Partners | |||
9.45% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/27/28 | 1,670,250 | 1,645,898 | |
Inception Holdco SARL | |||
9.35% (3 Month EURIBOR + 5.75%, Rate Floor: 5.75%) due 09/26/29††† | EUR 1,400,000 | 1,486,977 | |
Pimente Investissement S.A.S. | |||
7.35% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 12/29/28 | EUR 1,350,000 | 1,443,028 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,◊ - 28.8% | |||
Consumer, Non-cyclical - 9.7% (continued) | |||
Chefs' Warehouse, Inc. | |||
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/23/29 | 1,141,375 | $1,142,802 | |
Dhanani Group, Inc. | |||
11.41% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/10/27††† | 1,129,091 | 1,117,800 | |
Nidda Healthcare Holding GmbH | |||
due 08/21/26 | EUR 1,000,000 | 1,073,435 | |
Weber-Stephen Products LLC | |||
8.70% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 10/29/27 | 1,037,020 | 933,318 | |
Grifols Worldwide Operations USA, Inc. | |||
7.48% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 11/15/27 | 300,000 | 296,025 | |
Elanco Animal Health, Inc. | |||
7.17% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | 281,125 | 278,227 | |
Bombardier Recreational Products, Inc. | |||
7.43% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | 270,102 | 268,008 | |
TGP Holdings LLC | |||
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/29/28 | 188,432 | 169,642 | |
Total Consumer, Non-cyclical | 51,594,294 | ||
Industrial - 6.2% | |||
American Bath Group LLC | |||
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/23/27 | 5,651,517 | 5,421,557 | |
Pelican Products, Inc. | |||
9.64% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/29/28 | 5,663,750 | 5,309,766 | |
Protective Industrial Products, Inc. | |||
9.45% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/29/27 | 3,762,855 | 3,635,858 | |
Merlin Buyer, Inc. | |||
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28 | 3,258,750 | 3,188,133 | |
ASP Dream Acquisiton Co. LLC | |||
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/15/28 | 3,209,375 | 3,145,187 | |
Icebox Holdco III, Inc. | |||
9.25% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 12/22/28 | 3,162,743 | 3,131,115 | |
Rinchem Company LLC | |||
9.59% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/02/29††† | 3,168,000 | 3,017,520 | |
Arcline FM Holdings LLC | |||
10.25% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 06/23/28 | 2,210,625 | 2,180,914 | |
Saverglass | |||
7.62% (3 Month EURIBOR + 4.15%, Rate Floor: 4.15%) due 02/19/29 | EUR 1,500,000 | 1,614,889 | |
Dispatch Terra Acquisition LLC | |||
9.64% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/27/28 | 1,193,947 | 1,095,446 | |
Atlantic Aviation | |||
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 09/22/28 | 796,000 | 795,833 | |
PECF USS Intermediate Holding III Corp. | |||
9.88% ((1 Month Term SOFR + 4.25%) and (3 Month Term SOFR + 4.25%), Rate Floor: 4.25%) due 12/15/28 | 445,477 | 352,733 | |
LTI Holdings, Inc. | |||
8.95% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 09/08/25 | 173,633 | 168,301 | |
White Cap Supply Holdings LLC | |||
9.08% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 10/19/27 | 98,995 | 98,830 | |
Total Industrial | 33,156,082 | ||
Consumer, Cyclical - 6.0% | |||
Pacific Bells LLC | |||
10.00% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28 | 4,925,129 | 4,823,573 | |
Secretariat Advisors LLC | |||
10.25% (3 Month Term SOFR + 5.01%, Rate Floor: 5.01%) due 12/29/28††† | 4,340,000 | 4,209,800 | |
First Brands Group LLC | |||
10.88% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | 3,243,197 | 3,194,549 | |
BRE/Everbright M6 Borrower LLC | |||
10.42% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 09/09/26 | 2,452,000 | 2,435,155 | |
Cordobes Holdco SL | |||
8.12% (1 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 02/02/29 | EUR 2,400,000 | 2,384,373 | |
Breitling Financing SARL | |||
7.61% (6 Month EURIBOR + 3.68%, Rate Floor: 3.68%) due 10/25/28 | EUR 2,000,000 | 2,126,468 | |
FR Refuel LLC | |||
10.20% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/08/28††† | 1,968,833 | 1,895,002 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,◊ - 28.8% | |||
Consumer, Non-cyclical - 6.0% (continued) |
NFM & J LLC | |||
11.22% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/27††† | 1,836,261 | $1,799,484 | |
Alexander Mann | |||
11.37% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/29/27 | 1,800,000 | 1,755,000 | |
Fertitta Entertainment LLC | |||
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/29/29 | 1,678,750 | 1,660,804 | |
The Facilities Group | |||
11.27% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/27††† | 1,694,238 | 1,660,306 | |
Freshworld Holding IV GmbH | |||
7.49% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/26 | EUR 1,250,000 | 1,343,435 | |
Michaels Stores, Inc. | |||
9.75% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/15/28 | 1,012,091 | 936,528 | |
Congruex Group LLC | |||
11.27% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29 | 445,500 | 437,704 | |
American Tire Distributors, Inc. | |||
11.81% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 10/20/28 | 444,375 | 391,605 | |
New Trojan Parent, Inc. | |||
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/06/28 | 668,182 | 359,983 | |
Caesars Entertainment, Inc. | |||
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/06/30 | 199,500 | 199,476 | |
Outcomes Group Holdings, Inc. | |||
13.02% (1 Month Term SOFR + 7.50%, Rate Floor: 7.50%) due 10/26/26††† | 150,000 | 145,500 | |
Orion Group | |||
11.88% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 03/19/27 | 139,130 | 136,334 | |
CCRR Parent, Inc. | |||
9.20% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/06/28 | 24,446 | 23,427 | |
Total Consumer, Cyclical | 31,918,506 | ||
Technology - 3.5% | |||
Misys Ltd. | |||
9.23% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 | 5,625,974 | 5,618,379 | |
Project Ruby Ultimate Parent Corp. | |||
11.20% (1 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 03/10/28††† | 2,729,375 | 2,756,669 | |
Avalara, Inc. | |||
12.49% (3 Month Term SOFR + 7.25%, Rate Floor: 7.25%) due 10/19/28††† | 2,636,364 | 2,603,746 | |
Precise Midco BV | |||
7.28% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 05/13/26 | EUR 1,500,000 | 1,622,442 | |
Apttus Corp. | |||
9.45% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/08/28 | 1,390,438 | 1,356,024 | |
Park Place Technologies, LLC | |||
10.43% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 11/10/27 | 1,296,684 | 1,264,591 | |
Finastra | |||
due 08/01/29††† | 1,200,000 | 1,189,070 | |
due 05/31/26††† | 120,000 | 1,650 | |
Concorde Lux | |||
7.89% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/01/28 | EUR 1,000,000 | 1,072,979 | |
Atlas CC Acquisition Corp. | |||
9.93% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/25/28 | 890,909 | 815,627 | |
CoreLogic, Inc. | |||
8.95% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 06/02/28 | 494,962 | 460,493 | |
Total Technology | 18,761,670 | ||
Financial - 1.8% | |||
HighTower Holding LLC | |||
9.35% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/21/28 | 2,782,221 | 2,742,797 | |
Eisner Advisory Group | |||
due 07/28/28 | 1,897,824 | 1,893,080 | |
Franchise Group, Inc. | |||
10.38% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 03/10/26††† | 1,346,625 | 1,198,496 | |
Teneo Holdings LLC | |||
10.68% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25 | 1,196,891 | 1,192,774 | |
Jones Deslauriers Insurance Management, Inc. | |||
due 07/28/30 | 1,050,000 | 1,050,662 | |
Apex Group Treasury LLC | |||
10.31% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 07/27/28††† | 547,250 | 546,566 | |
Asurion LLC | |||
9.68% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/20/28 | 498,750 | 481,059 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Face Amount~ | Value | ||
SENIOR FLOATING RATE INTERESTS††,◊ - 28.8% | |||
Financial - 1.8% (continued) |
Claros Mortgage Trust, Inc. | |||
9.91% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/10/26††† | 344,724 | $327,487 | |
Total Financial | 9,432,921 | ||
Communications - 0.8% | |||
Cengage Learning Acquisitions, Inc. | |||
10.32% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/14/26 | 3,939,850 | 3,925,508 | |
McGraw Hill LLC | |||
10.20% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/28/28 | 393,985 | 385,778 | |
Flight Bidco, Inc. | |||
8.95% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/23/25 | 148,442 | 142,813 | |
Total Communications | 4,454,099 | ||
Basic Materials - 0.6% | |||
NIC Acquisition Corp. | |||
9.25% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 12/29/27 | 3,058,042 | 2,465,546 | |
LTI Holdings, Inc. | |||
10.20% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/24/26 | 494,274 | 479,139 | |
Arsenal AIC Parent LLC | |||
9.88% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 07/26/30 | 300,000 | 300,150 | |
Total Basic Materials | 3,244,835 | ||
Energy - 0.2% | |||
BANGL LLC | |||
9.82% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 02/01/29 | 900,000 | 887,625 | |
Utilities - 0.0% | |||
Hamilton Projects Acquiror LLC | |||
9.95% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 06/17/27 | 47,720 | 47,243 | |
Total Senior Floating Rate Interests | |||
(Cost $160,801,571) | 153,497,275 | ||
ASSET-BACKED SECURITIES†† - 17.9% | |||
Collateralized Loan Obligations - 8.1% | |||
CIFC Funding Ltd. | |||
2021-4RA DR, 12.57% (3 Month Term SOFR + 7.26%, Rate Floor: 7.00%) due 01/17/35◊,6 | 9,000,000 | 8,674,475 | |
2022-3A E, 12.60% (3 Month Term SOFR + 7.27%, Rate Floor: 7.27%) due 04/21/35◊,6 | 1,000,000 | 986,846 | |
Madison Park Funding LIII Ltd. | |||
2022-53A E, 11.33% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 04/21/35◊,6 | 7,500,000 | 7,253,843 | |
Boyce Park CLO Ltd. | |||
2022-1A E, 11.58% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 04/21/35◊,6 | 4,000,000 | 3,794,932 | |
ABPCI Direct Lending Fund IX LLC | |||
2021-9A BR, 8.12% (3 Month Term SOFR + 2.76%, Rate Floor: 2.50%) due 11/18/31◊,6 | 3,500,000 | 3,359,852 | |
Palmer Square Loan Funding Ltd. | |||
2022-1A D, 10.31% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 04/15/30◊,6 | 3,500,000 | 3,243,601 | |
ACRES Commercial Realty Ltd. | |||
2021-FL2 D, 8.53% (1 Month Term SOFR + 3.21%, Rate Floor: 3.21%) due 01/15/37◊,6 | 3,250,000 | 2,952,397 | |
Carlyle Global Market Strategies | |||
2022-1A E, 12.66% (3 Month Term SOFR + 7.35%, Rate Floor: 7.35%) due 04/15/35◊,6 | 2,250,000 | 2,182,970 | |
Cerberus Loan Funding XLII LLC | |||
2023-3A C, due 09/13/35◊,6 | 2,000,000 | 2,000,000 | |
Fontainbleau Vegas | |||
10.96% (1 Month Term SOFR + 5.65%, Rate Floor: 5.65%) due 01/31/26◊,††† | 1,842,679 | 1,842,679 | |
Neuberger Berman Loan Advisers CLO 47 Ltd. | |||
2022-47A E, 11.56% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 04/14/35◊,6 | 1,750,000 | 1,691,374 | |
Voya CLO Ltd. | |||
2022-1A SUB, due 04/20/356,10 | 1,750,000 | 1,429,174 | |
Cerberus Loan Funding XL LLC | |||
2023-1A D, 11.71% (3 Month Term SOFR + 6.40%, Rate Floor: 6.40%) due 03/22/35◊,6 | 1,000,000 | 1,000,833 | |
FS Rialto Issuer LLC | |||
2022-FL6 C, 9.54% (1 Month Term SOFR + 4.23%, Rate Floor: 4.23%) due 08/17/37◊,6 | 1,000,000 | 994,850 | |
Carlyle US CLO Ltd. | |||
2022-4A DR, 11.91% (3 Month Term SOFR + 6.60%, Rate Floor: 6.60%) due 04/15/35◊,6 | 1,000,000 | 920,836 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Face Amount~ | Value | ||
ASSET-BACKED SECURITIES†† - 17.9% | |||
Collateralized Loan Obligations - 8.1% (continued) | |||
LCCM Trust | |||
2021-FL2 C, 7.58% (1 Month Term SOFR + 2.26%, Rate Floor: 2.26%) due 12/13/38◊,6 | 1,000,000 | $910,753 | |
Total Collateralized Loan Obligations | 43,239,415 | ||
Transport-Aircraft - 3.2% | |||
GAIA Aviation Ltd. | |||
2019-1, 3.97% due 12/15/446,11 | 3,580,763 | 3,183,155 | |
JOL Air Ltd. | |||
2019-1, 3.97% due 04/15/446 | 3,270,104 | 2,937,829 | |
AASET Trust | |||
2021-1A, 2.95% due 11/16/416 | 944,803 | 832,390 | |
2021-2A, 2.80% due 01/15/476 | 830,473 | 717,654 | |
2019-1, 3.84% due 05/15/396 | 773,888 | 541,721 | |
2021-2A, 3.54% due 01/15/476 | 583,463 | 466,782 | |
2020-1A, 3.35% due 01/16/406 | 345,934 | 290,242 | |
Start Ltd. | |||
2018-1, 4.09% due 05/15/436 | 1,471,449 | 1,284,796 | |
2018-1, 5.32% due 05/15/436 | 1,280,252 | 981,697 | |
KDAC Aviation Finance Ltd. | |||
2017-1A, 4.21% due 12/15/426 | 2,489,453 | 2,063,782 | |
Project Silver | |||
2019-1, 3.97% due 07/15/446 | 1,707,353 | 1,447,391 | |
Labrador Aviation Finance Ltd. | |||
2016-1A, 4.30% due 01/15/426 | 1,642,508 | 1,364,957 | |
Start II Ltd. | |||
2019-1, 4.09% due 03/15/446 | 705,346 | 625,099 | |
Castlelake Aircraft Securitization Trust | |||
2019-1A, 3.97% due 04/15/396 | 405,252 | 360,375 | |
Total Transport-Aircraft | 17,097,870 | ||
Infrastructure - 2.3% | |||
Hotwire Funding LLC | |||
2021-1, 4.46% due 11/20/516 | 7,700,000 | 6,428,768 | |
VB-S1 Issuer LLC - VBTEL | |||
2022-1A, 5.27% due 02/15/526 | 5,000,000 | 4,181,832 | |
Blue Stream Issuer LLC | |||
2023-1A, 6.90% due 05/20/536 | 1,000,000 | 942,161 | |
Vault DI Issuer LLC | |||
2021-1A, 2.80% due 07/15/466 | 650,000 | 566,696 | |
Total Infrastructure | 12,119,457 | ||
Financial - 2.2% | |||
Lightning A | |||
5.50% due 03/01/37††† | 4,340,556 | 4,022,320 | |
Thunderbird A | |||
5.50% due 03/01/37††† | 4,278,333 | 3,964,660 | |
Ceamer Finance LLC | |||
6.92% due 11/15/37††† | 2,732,524 | 2,648,889 | |
Lightning B | |||
7.50% due 03/01/37††† | 561,719 | 513,052 | |
Thunderbird B | |||
7.50% due 03/01/37††† | 553,667 | 505,697 | |
Total Financial | 11,654,618 | ||
Net Lease - 1.2% | |||
Capital Automotive LLC | |||
2017-1A, 4.18% due 04/15/476 | 3,687,961 | 3,610,687 | |
CARS-DB4, LP | |||
2020-1A, 4.52% due 02/15/506 | 1,000,000 | 883,284 | |
2020-1A, 4.95% due 02/15/506 | 850,000 | 706,219 | |
SVC ABS LLC | |||
2023-1A, 5.55% due 02/20/536 | 998,750 | 919,020 | |
Total Net Lease | 6,119,210 | ||
Single Family Residence - 0.5% | |||
FirstKey Homes Trust | |||
2020-SFR2, 4.50% due 10/19/376 | 1,100,000 | 1,021,276 | |
2020-SFR2, 4.00% due 10/19/376 | 1,100,000 | 1,015,571 | |
2020-SFR2, 3.37% due 10/19/376 | 700,000 | 640,760 | |
Total Single Family Residence | 2,677,607 | ||
Whole Business - 0.3% | |||
Five Guys Funding LLC | |||
2017-1A, 4.60% due 07/25/476 | 1,723,750 | 1,689,608 | |
Insurance - 0.1% | |||
CHEST | |||
2023-1, 7.13% due 03/15/43††† | 500,000 | 495,188 | |
Total Asset-Backed Securities | |||
(Cost $100,738,071) | 95,092,973 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 4.6% | |||
Government Agency - 2.9% | |||
Fannie Mae | |||
4.00% due 06/01/521 | 3,421,454 | 3,182,300 | |
4.00% due 07/01/521 | 1,939,445 | 1,814,821 | |
4.00% due 05/01/521 | 1,641,434 | 1,520,592 | |
Uniform MBS 30 Year | |||
due 09/14/2315 | 5,550,000 | 5,381,008 | |
Freddie Mac | |||
4.00% due 06/01/521 | 2,401,005 | 2,231,626 | |
4.00% due 05/01/521 | 1,126,674 | 1,042,749 | |
Total Government Agency | 15,173,096 | ||
Residential Mortgage-Backed Securities - 1.5% | |||
LSTAR Securities Investment Ltd. | |||
2023-1, 8.81% (SOFR + 3.50%, Rate Floor: 0.00%) due 01/01/28◊,6 | 2,579,794 | 2,571,579 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Face Amount~ | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 4.6% | |||
Residential Mortgage-Backed Securities - 1.5% (continued) | |||
Finance of America HECM Buyout | |||
2022-HB2, 6.00% (WAC) due 08/01/32◊,6 | 1,450,000 | $1,325,593 | |
Carrington Mortgage Loan Trust Series | |||
2006-NC5, 5.58% (1 Month Term SOFR + 0.26%, Rate Cap/Floor: 14.50%/0.15%) due 01/25/37◊ | 1,482,735 | 1,309,141 | |
GCAT Trust | |||
2022-NQM5, 5.71% due 08/25/676,11 | 722,610 | 702,919 | |
CFMT LLC | |||
2022-HB9, 3.25% (WAC) due 09/25/37◊,12 | 700,000 | 579,707 | |
PRPM LLC | |||
2023-1, 6.88% (WAC) due 02/25/28◊,6 | 570,181 | 569,987 | |
OBX Trust | |||
2022-NQM8, 6.10% due 09/25/626,11 | 447,838 | 438,860 | |
Citigroup Mortgage Loan Trust | |||
2022-A, 6.17% due 09/25/626,11 | 415,762 | 413,258 | |
CSMC Trust | |||
2020-RPL5, 3.02% (WAC) due 08/25/60◊,6 | 292,400 | 289,058 | |
Total Residential Mortgage-Backed Securities | 8,200,102 | ||
Commercial Mortgage-Backed Securities - 0.2% | |||
BX Trust | |||
2023-DELC, 8.65% (1 Month Term SOFR + 3.34%, Rate Floor: 3.34%) due 05/15/38◊,6 | 1,000,000 | 997,493 | |
Total Collateralized Mortgage Obligations | |||
(Cost $25,162,230) | 24,370,691 | ||
U.S. GOVERNMENT SECURITIES†† - 1.3% | |||
U.S. Treasury Bonds | |||
due 08/15/511,13,14 | 12,650,000 | 3,997,608 | |
due 05/15/441,13,14 | 1,910,000 | 768,633 | |
due 11/15/4413,14 | 1,910,000 | 753,142 | |
due 02/15/461,13,14 | 1,920,000 | 717,016 | |
U.S. Treasury Notes | |||
4.13% due 11/15/321 | 903,000 | 902,577 | |
Total U.S. Government Securities | |||
(Cost $8,875,834) | 7,138,976 | ||
CONVERTIBLE BONDS†† - 0.2% | |||
Consumer, Non-cyclical - 0.2% | |||
Block, Inc. | |||
due 05/01/2613 | 1,090,000 | 915,055 | |
Communications - 0.0% | |||
Cable One, Inc. | |||
due 03/15/2613 | 450,000 | 369,900 | |
Total Convertible Bonds | |||
(Cost $1,349,736) | 1,284,955 | ||
FOREIGN GOVERNMENT DEBT†† - 0.2% | |||
Panama Government International Bond | |||
4.50% due 01/19/63 | 1,700,000 | 1,212,415 | |
Total Foreign Government Debt | |||
(Cost $1,689,526) | 1,212,415 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Notional Value | ~ | Value | |
OTC OPTIONS PURCHASED†† - 0.0% | |||
Call Options on: | |||
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | 15,700,000 | $26,925 | |
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | 14,900,000 | 25,553 | |
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | 14,750,000 | 25,296 | |
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10 | 7,400,000 | 12,691 | |
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20 | 15,700,000 | 6,657 | |
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.10 | 14,900,000 | 6,318 | |
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20 | 14,850,000 | 6,297 | |
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20 | 7,300,000 | 3,095 | |
Total OTC Options Purchased | |||
(Cost $450,970) | 112,832 | ||
OTC CREDIT DEFAULT SWAPTIONS PURCHASED†† - 0.0% | |||
Put Swaptions on: | |||
Barclays Bank plc 5-Year Credit Default Swap Expiring September 2023 with exercise rate of 0.90% | 13,900,000 | 1,072 | |
Total OTC Credit Default Swaptions Purchased | |||
(Cost $20,989) | 1,072 | ||
Total Investments - 121.9% | |||
(Cost $748,281,455) | $ 649,184,039 | ||
Other Assets & Liabilities, net - (21.9)% | (116,779,856) | ||
Total Net Assets - 100.0% | $ 532,404,183 |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Centrally Cleared Credit Default Swap Agreements††
Counterparty | Exchange | Index | Protection | Protection Premium Rate | Payment Frequency | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Depreciation** |
J.P. Morgan Securities LLC | ICE | CDX.NA.HY.37.V3 | Sold | 5.00% | Quarterly | 12/20/26 | $14,700,000 | $672,209 | $821,422 | $(149,213) |
J.P. Morgan Securities LLC | ICE | CDX.NA.HY.40.V1 | Purchased | 5.00% | Quarterly | 06/20/28 | 10,000,000 | (282,526) | (62,171) | (220,355) |
J.P. Morgan Securities LLC | ICE | ITRAXX.EUR.38.V1 | Purchased | 1.00% | Quarterly | 12/20/27 | 22,700,000 | (349,684) | (125,749) | (223,935) |
$39,999 | $633,502 | $(593,503) |
Centrally Cleared Interest Rate Swap Agreements†† | |||||||||||
Counterparty | Exchange | Floating Rate Type | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Value | Upfront Premiums Paid (Received) | Unrealized Depreciation** | |
J.P. Morgan Securities LLC | CME | Pay | U.S. Secured Overnight Financing Rate | 2.78% | Annually | 07/18/27 | $53,800,000 | $(2,723,529) | $381 | $(2,723,910) |
Forward Foreign Currency Exchange Contracts†† | ||||||
Counterparty | Currency | Type | Quantity | Contract Amount | Settlement Date | Unrealized Appreciation |
JPMorgan Chase Bank, N.A. | EUR | Sell | 19,420,000 | 21,293,739 USD | 09/18/23 | $206,124 |
JPMorgan Chase Bank, N.A. | CAD | Sell | 2,546,000 | 1,894,725 USD | 09/18/23 | 9,850 |
Barclays Bank plc | EUR | Sell | 990,000 | 1,082,020 USD | 09/18/23 | 7,007 |
JPMorgan Chase Bank, N.A. | GBP | Sell | 1,046,000 | 1,327,749 USD | 09/18/23 | 2,594 |
UBS AG | CAD | Buy | 60,000 | 44,294 USD | 09/18/23 | 126 |
$225,701 | ||||||
OTC Credit Default Swaptions Purchased | ||||||||
Counterparty/Description | Buy/Sell Protection | Index | Payment Frequency | Protection Premium Rate | Expiration Date | Exercise Rate | Swaption Notional Amount | Swaption Value |
Put | ||||||||
Barclays Bank plc 5-Year Credit Default Swap | Buy | CDX.NA.IG.40.V1 | Quarterly | 1.00% | 09/20/23 | 0.90% | $13,900,000 | $1,072 |
~ | 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 3. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 3. |
††† | Value determined based on Level 3 inputs — See Note 3. |
◊ | Variable rate security. Rate indicated is the rate effective at August 31, 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 | All or a portion of these securities have been physically segregated in connections with borrowings, options, reverse repurchase agreements and unfunded loan commitments. As of August 31, 2023, the total value of segregated securities was $189,901,704. |
2 | Special Purpose Acquisition Company (SPAC). |
3 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
4 | Affiliated issuer. |
5 | Rate indicated is the 7-day yield as of August 31, 2023. |
6 | 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 $297,063,148 (cost $334,912,266), or 55.8% of total net assets. |
7 | Security is in default of interest and/or principal obligations. |
8 | Perpetual maturity. |
9 | Payment-in-kind security. |
10 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
11 | Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at August 31, 2023. See table below for additional step information for each security. |
12 | 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 $579,707 (cost $612,165), or 0.1% of total net assets — See Note 6. |
13 | Zero coupon rate security. |
14 | Security is a principal-only strip. |
15 | Security is unsettled at period end and does not have a stated effective rate. |
ADR — American Depositary Receipt | |
CAD — Canadian Dollar |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
CDX.NA.HY.37.V3 — Credit Default Swap North American High Yield Series 37 Index Version 3 | |
CDX.NA.HY.40.V1 — Credit Default Swap North American High Yield Series 40 Index Version 1 CDX.NA.IG.40.V1 — Credit Default Swap North American Investment Grade Series 40 Index Version 1 | |
CME — Chicago Mercantile Exchange | |
CMS — Constant Maturity Swap | |
EUR — Euro | |
EURIBOR — European Interbank Offered Rate | |
GBP — British Pound | |
ICE — Intercontinental Exchange | |
ITRAXX.EUR.38.V1 — iTraxx Europe Series 38 Index Version 1 | |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
SARL — Société à Responsabilité Limitée | |
SOFR — Secured Overnight Financing Rate | |
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 August 31, 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 | $ 31,929,963 | $ — * | $ 80 | $ 31,930,043 | |
Preferred Stocks | — | 34,830,278 | — | 34,830,278 | |
Warrants | 525 | — | — | 525 | |
Rights | — | — | — * | — | |
Exchange-Traded Fund | 4,751,824 | — | — | 4,751,824 | |
Mutual Fund | 5,709,301 | — | — | 5,709,301 | |
Closed-End Funds | 12,217,880 | — | — | 12,217,880 | |
Money Market Funds | 13,271,602 | — | — | 13,271,602 | |
Corporate Bonds | — | 263,761,397 | — | 263,761,397 | |
Senior Floating Rate Interests | — | 127,738,736 | 25,758,539 | 153,497,275 | |
Asset-Backed Securities | — | 81,100,488 | 13,992,485 | 95,092,973 | |
Collateralized Mortgage Obligations | — | 24,370,691 | — | 24,370,691 | |
U.S. Government Securities | — | 7,138,976 | — | 7,138,976 | |
Convertible Bonds | — | 1,284,955 | — | 1,284,955 | |
Foreign Government Debt | — | 1,212,415 | — | 1,212,415 | |
Options Purchased | — | 112,832 | — | 112,832 | |
Credit Default Swaptions Purchased | — | 1,072 | — | 1,072 | |
Forward Foreign Currency Exchange Contracts** | — | 225,701 | — | 225,701 | |
Total Assets | $ 67,881,095 | $ 541,777,541 | $ 39,751,104 | $ 649,409,740 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |
Credit Default Swap Agreements** | $ — | $ 593,503 | $ — | $ 593,503 | |
Interest Rate Swap Agreements** | — | 2,723,910 | — | 2,723,910 | |
Unfunded Loan Commitments (Note 5) | — | — | 11,162 | 11,162 | |
Total Liabilities | $ — | $ 3,317,413 | $ 11,162 | $ 3,328,575 |
* Includes securities with a market value of $0. | |||||
** This derivative is reported as unrealized appreciation/depreciation at period end. | |||||
Please refer to the detailed Schedule of Investments for a breakdown of investments by industry category. |
Guggenheim Active Allocation Fund | |
SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
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 $89,718,441 are categorized as Level 2 within the disclosure hierarchy — See Note 2.
The following is a summary for 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 August 31, 2023 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* |
Assets: | |||||
Asset-Backed Securities | $ 11,343,596 | Yield Analysis | Yield | 6.2%-8.9% | 7.1% |
Asset-Backed Securities | 2,648,889 | Option adjusted spread off prior month end broker quote | Broker Quote | — | — |
Common Stocks | 80 | Model Price | Liquidation Value | — | — |
Senior Floating Rate Interests | 14,629,814 | Third Party Pricing | Broker Quote | — | — |
Senior Floating Rate Interests | 7,334,259 | Yield Analysis | Yield | 10.8%-11.9% | 11.5% |
Senior Floating Rate Interests | 3,794,466 | Model Price | Purchase Price | — | — |
Total Assets | $ 39,751,104 | ||||
Liabilities: | |||||
Unfunded Loan Commitments | $ 11,162 | Model Price | Purchase Price | — | — |
*Inputs are weighted by the fair value of the instruments.
Significant changes in a quote, yield or liquidation value would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
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 August 31, 2023, the Fund had securities with a total value of $1,525,983 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $4,115,857 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 August 31, 2023:
Assets | Liabilities | ||||
Asset-Backed Securities | Senior Floating Rate Interests | Common Stocks | Total Assets | Unfunded Loan Commitments | |
Beginning Balance | $ 13,522,526 | $ 26,680,624 | $ 80 | $ 40,203,230 | $ (7,057) |
Purchases/(Receipts) | 1,625,913 | 1,189,071 | - | 2,814,984 | (4,591) |
(Sales, maturities and paydowns)/Fundings | - | (682,546) | - | (682,546) | - |
Amortization of premiums/discounts | 1,069 | 20,585 | - | 21,654 | 1,863 |
Total realized gains (losses) included in earnings | - | (29,732) | - | (29,732) | - |
Total change in unrealized appreciation (depreciation) included in earnings | (214,862) | 228,250 | - | 13,388 | (1,377) |
Transfers into Level 3 | - | 1,525,983 | - | 1,525,983 | - |
Transfers out of Level 3 | (942,161) | (3,173,696) | - | (4,115,857) | - |
Ending Balance | $ 13,992,485 | $ 25,758,539 | $ 80 | $ 39,751,104 | $ (11,162) |
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at August 31, 2023 | $ (193,373) | $ 171,754 | $ - | $ (21,619) | $ (1,377) |
Step Coupon Bonds
The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, except GAIA Aviation Ltd. which is scheduled to decrease.
Name | Coupon Rate at Next Reset Date | Next Rate Reset Date | Future Reset Rate | Future Reset Date |
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62 | 9.17% | 09/25/25 | 10.17% | 09/25/26 |
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44 | 2.00% | 11/15/26 | — | — |
GCAT Trust 2022-NQM5, 5.71% due 08/25/67 | 6.71% | 10/01/26 | — | — |
OBX Trust 2022-NQM8, 6.10% due 09/25/62 | 7.10% | 10/01/26 | — | — |
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.
Transactions during the period ended August 31, 2023, in which the company is an affiliated issuer, were as follows: |
Security Name | Value 05/31/23 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 08/31/23 | Shares 08/31/23 | Investment Income |
Mutual Fund | ||||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class | $5,539,837 | $45,194 | $– | $– | $124,270 | $5,709,301 | 190,437 | $45,194 |
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Active Allocation Fund (the “Fund”) was organized as a Delaware statutory trust on May 20, 2021 and commenced investment operations on November 23, 2021. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).
The Fund’s investment objective is to maximize total return through a combination of current income and capital appreciation. There can be no assurance that the Fund will achieve its investment objective. The Fund's investment objective is considered non-fundamental and may be changed without shareholder approval.
For information on the Fund’s 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 “Fund Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 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” and collectively with the Fund Valuation Procedures, the “Valuation 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 service providers 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. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.
If the pricing service provider 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 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.
U.S. Government securities are valued by pricing service providers using the last traded fill price, or at the reported bid price at the close of business.
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
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
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 the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts (“ADR”) trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Adviser is authorized to use prices and other information supplied by a pricing service provider 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 pricing service providers, 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 a pricing service provider.
Typically, loans are valued using information provided by a pricing service provider which uses broker quotes, among other inputs. If the pricing service provider cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options are valued using a price provided by a pricing service.
Futures contracts are valued on the basis of the last sale price at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
Interest rate swap agreements entered into by the Fund are valued on the basis of the last sale price on the primary exchange on which the swap is traded. Other swap agreements entered into by the Fund will generally be valued using an evaluated price provided by a pricing service provider.
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 anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Note 2 – Derivatives
As part of its investment strategy, the Fund may utilize a variety of derivative instruments. 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 for investment purposes (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 seek 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 the 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:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
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.
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The risk in writing a call option is that the Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where the Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for over-the-counter (“OTC”) options, the Fund may be at risk because of the counterparty’s inability to perform.
Swap Agreements
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. If the Fund utilizes centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that the fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference assets as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.
Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
Credit default swaps are instruments which allow for the full or partial transfer of third-party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit default occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the Fund if it is selling the credit protection. If the Fund utilizes centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third-party issuer.
The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
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 or better. The Fund monitors the counterparty credit risk.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.
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 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.
Pricing service providers 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.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
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.
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.
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 for a period of three years after they are filed.
At August 31, 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) |
$ 748,528,281 | $ 1,347,874 | $ (103,783,828) | $ (102,435,954) |
Note 5 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of August 31, 2023. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of August 31, 2023, were as follows:
Borrower | Maturity Date | Face Amount | Value | |
Avalara, Inc. | 10/19/28 | $ 263,636 | $ 3,262 | |
Fontainbleau Vegas | 01/31/26 | 657,321 | – | |
Lightning A | 03/01/37 | 4,159,444 | – | |
Lightning B | 03/01/37 | 538,281 | – | |
Orion Group | 03/19/27 | 286,957 | 4,469 | |
The Facilities Group | 11/30/27 | 171,336 | 3,431 | |
Thunderbird A | 03/01/37 | 4,221,667 | – | |
Thunderbird B | 03/01/37 | 546,333 | – | |
$ 11,162 |
Note 6– Restricted Securities
The security below is considered illiquid and restricted under guidelines established by the Board:
Restricted Securities | Acquisition Date | Cost | Value |
CFMT LLC | |||
2022-HB9 3.25% (WAC) due 09/25/371 | 09/23/22 | $612,165 | $579,707 |
1 | Variable rate security. Rate indicated is the rate effective at August 31, 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. |
Note 7 – 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, changes in inflation rates or expectations about inflation rates, 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.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) | August 31, 2023 |
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.
OTHER INFORMATION (Unaudited) | August 31, 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.