SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Exact name of registrant as specified in charter)
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
805 King Farm Boulevard, Suite 600
Rockville, Maryland 20850
(Name and address of agent for service)
Item 1. | Reports to Stockholders. |
1. | The following replaces in its entirety the Fund’s holdings diversification chart presented in the section titled “Fund Profile (Unaudited)” on page 101 of the Semi-Annual Report. |
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 101 |
2. | The following replaces in its entirety the Fund’s schedule of investments presented in the section titled “Schedule of Investments (Unaudited)” beginning on page 102 of the Semi-Annual Report. |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2016 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
Shares | Value | |||||||
COMMON STOCKS† - 15.7% | ||||||||
Consumer, Non-cyclical - 5.7% | ||||||||
PepsiCo, Inc. | 1,436 | $ | 152,130 | |||||
UnitedHealth Group, Inc. | 958 | 135,270 | ||||||
Amgen, Inc. | 804 | 122,328 | ||||||
Gilead Sciences, Inc. | 1,456 | 121,460 | ||||||
AbbVie, Inc. | 1,875 | 116,082 | ||||||
Johnson & Johnson | 733 | 88,913 | ||||||
Express Scripts Holding Co.* | 1,089 | 82,546 | ||||||
Kroger Co. | 2,224 | 81,821 | ||||||
Becton Dickinson and Co. | 478 | 81,064 | ||||||
Kimberly-Clark Corp. | 541 | 74,377 | ||||||
McKesson Corp. | 390 | 72,794 | ||||||
Cardinal Health, Inc. | 929 | 72,471 | ||||||
Merck & Company, Inc. | 1,245 | 71,724 | ||||||
Thermo Fisher Scientific, Inc. | 469 | 69,299 | ||||||
Danaher Corp. | 673 | 67,973 | ||||||
Allergan plc* | 276 | 63,781 | ||||||
General Mills, Inc. | 890 | 63,475 | ||||||
Alexion Pharmaceuticals, Inc.* | 516 | 60,248 | ||||||
HCA Holdings, Inc.* | 775 | 59,683 | ||||||
Zimmer Biomet Holdings, Inc. | 494 | 59,468 | ||||||
Sysco Corp. | 1,100 | 55,814 | ||||||
Biogen, Inc.* | 220 | 53,200 | ||||||
Boston Scientific Corp.* | 2,255 | 52,699 | ||||||
Intuitive Surgical, Inc.* | 77 | 50,929 | ||||||
Altria Group, Inc. | 634 | 43,721 | ||||||
Tyson Foods, Inc. — Class A | 642 | 42,879 | ||||||
Coca-Cola Co. | 896 | 40,616 | ||||||
Celgene Corp.* | 274 | 27,025 | ||||||
Cigna Corp. | 170 | 21,758 | ||||||
Kraft Heinz Co. | 215 | 19,023 | ||||||
Bristol-Myers Squibb Co. | 246 | 18,093 | ||||||
Total Consumer, Non-cyclical | 2,142,664 | |||||||
Communications - 2.7% | ||||||||
Alphabet, Inc. — Class C* | 247 | 170,949 | ||||||
Comcast Corp. — Class A | 2,209 | 144,005 | ||||||
Verizon Communications, Inc. | 2,131 | 118,995 | ||||||
Amazon.com, Inc.* | 156 | 111,636 | ||||||
Walt Disney Co. | 901 | 88,135 | ||||||
AT&T, Inc. | 2,030 | 87,716 | ||||||
Facebook, Inc. — Class A* | 735 | 83,996 | ||||||
Time Warner, Inc. | 1,025 | 75,378 | ||||||
eBay, Inc.* | 2,716 | 63,582 | ||||||
Twenty-First Century Fox, Inc. — Class B | 2,226 | 60,659 | ||||||
Charter Communications, Inc. — Class A* | 81 | 18,520 | ||||||
Total Communications | 1,023,571 | |||||||
Technology - 2.7% | ||||||||
Apple, Inc. | 3,894 | 372,266 | ||||||
Microsoft Corp. | 3,682 | 188,408 | ||||||
Oracle Corp. | 2,560 | 104,781 | ||||||
International Business Machines Corp. | 672 | 101,996 | ||||||
Intel Corp. | 2,078 | 68,159 | ||||||
QUALCOMM, Inc. | 1,219 | 65,302 | ||||||
VMware, Inc. — Class A* | 733 | 41,942 | ||||||
Texas Instruments, Inc. | 616 | 38,592 | ||||||
Broadcom Ltd. | 130 | 20,202 | ||||||
Total Technology | 1,001,648 | |||||||
Industrial - 2.3% | ||||||||
Boeing Co. | 853 | 110,780 | ||||||
United Parcel Service, Inc. — Class B | 976 | 105,135 | ||||||
Union Pacific Corp. | 1,196 | 104,351 | ||||||
Lockheed Martin Corp. | 366 | 90,830 | ||||||
Emerson Electric Co. | 1,424 | 74,276 | ||||||
Caterpillar, Inc. | 887 | 67,243 | ||||||
Waste Management, Inc. | 1,001 | 66,336 | ||||||
FedEx Corp. | 416 | 63,140 | ||||||
CSX Corp. | 2,400 | 62,592 | ||||||
Honeywell International, Inc. | 472 | 54,903 | ||||||
Northrop Grumman Corp. | 142 | 31,564 | ||||||
General Dynamics Corp. | 207 | 28,823 | ||||||
3M Co. | 112 | 19,613 | ||||||
Total Industrial | 879,586 | |||||||
Consumer, Cyclical - 1.4% | ||||||||
CVS Health Corp. | 1,211 | 115,942 | ||||||
Lowe’s Companies, Inc. | 1,033 | 81,782 | ||||||
Walgreens Boots Alliance, Inc. | 844 | 70,280 | ||||||
Southwest Airlines Co. | 1,358 | 53,247 | ||||||
Delta Air Lines, Inc. | 1,393 | 50,747 | ||||||
Home Depot, Inc. | 394 | 50,310 | ||||||
Target Corp. | 636 | 44,406 | ||||||
American Airlines Group, Inc. | 1,122 | 31,764 | ||||||
DR Horton, Inc. | 586 | 18,447 | ||||||
McDonald’s Corp. | 136 | 16,366 | ||||||
Total Consumer, Cyclical | 533,291 | |||||||
Financial - 0.5% | ||||||||
Charles Schwab Corp. | 2,407 | 60,921 | ||||||
Bank of New York Mellon Corp. | 1,488 | 57,809 | ||||||
American Express Co. | 540 | 32,810 | ||||||
Visa, Inc. — Class A | 359 | 26,627 | ||||||
Total Financial | 178,167 | |||||||
Basic Materials - 0.3% | ||||||||
LyondellBasell Industries N.V. — Class A | 943 | 70,178 | ||||||
PPG Industries, Inc. | 166 | 17,289 | ||||||
Monsanto Co. | 159 | 16,442 | ||||||
Total Basic Materials | 103,909 | |||||||
Energy - 0.1% | ||||||||
Schlumberger Ltd. | 220 | 17,397 | ||||||
EOG Resources, Inc. | 183 | 15,266 |
102 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2016 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
Shares | Value | |||||||
Williams Companies, Inc.* | 673 | $ | 14,557 | |||||
Total Energy | 47,220 | |||||||
Total Common Stocks | ||||||||
(Cost $5,734,179) | 5,910,056 | |||||||
MUTUAL FUNDS† - 76.7% | ||||||||
Guggenheim Strategy Fund II1 | 376,131 | 9,331,818 | ||||||
Guggenheim Strategy Fund III1 | 367,680 | 9,114,779 | ||||||
Guggenheim Variable Insurance Strategy Fund III1 | 334,038 | 8,280,801 | ||||||
Guggenheim Strategy Fund I1 | 87,992 | 2,191,892 | ||||||
Total Mutual Funds | ||||||||
(Cost $29,022,605) | 28,919,290 | |||||||
SHORT TERM INVESTMENTS† - 4.9% | ||||||||
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.16%2 |
| 1,835,588 | ||||||
Total Short Term Investments | ||||||||
(Cost $1,835,588) | 1,835,588 | |||||||
Total Investments - 97.3% | ||||||||
(Cost $36,592,372) | $ | 36,664,934 | ||||||
Other Assets & Liabilities, net - 2.7% | 1,025,181 | |||||||
Total Net Assets - 100.0% | $ | 37,690,115 |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2016 S&P 500 Index | 8 | $ | 3,055 | |||||
September 2016 NASDAQ-100 Index | 4 | (510 | ) | |||||
(Total Aggregate Value of Contracts $1,187,660) | $ | 2,545 | ||||||
Units | ||||||||
OTC EQuity Index Swap Agreements†† | ||||||||
Bank of America October 2016 Russell 1000 Growth Index Swap 0.55%3, Terminating 10/05/16 (Notional Value $30,399,997) | 30,243 | — |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 8. |
2 | Rate indicated is the 7 day yield as of June 30, 2016. |
3 | Total Return based on Russell 1000 Growth Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2016. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 5,910,056 | $ | — | $ | — | $ | — | $ | 5,910,056 | ||||||||||
Equity Futures Contracts | — | 3,055 | — | — | 3,055 | |||||||||||||||
Equity Index Swap Agreements | — | — | — | — | — | |||||||||||||||
Mutual Funds | 28,919,290 | — | — | — | 28,919,290 | |||||||||||||||
Short Term Investments | 1,835,588 | — | — | — | 1,835,588 | |||||||||||||||
Total | $ | 36,664,934 | $ | 3,055 | $ | — | $ | — | $ | 36,667,989 |
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 3 | Total | |||||||||||||||
Equity Futures Contracts | $ | — | $ | 510 | $ | — | $ | — | $ | 510 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the period ended June 30, 2016, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 103 |
3. | The following replaces in its entirety the sub-section titled "swaps" presented in the section titled “Notes to Financial Statements (Unaudited)” on page 123 of the Semi-Annual Report. |
Swaps
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. A Fund utilizing OTC swaps 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. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. Additionally, there is no guarantee that a 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 index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value 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. A fund utilizing a total return index swap 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 index declines in value.
The following table represents the Funds’ use and volume of total return swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Series A (StylePlus—Large Core Series) | Index Exposure | $ | 176,542,440 | $ | — | ||||
Series J (StylePlus—Mid Growth Series) | Index Exposure | 118,384,324 | — | ||||||
Series M (Macro Opportunities Series) | Index Exposure, Speculation | 1,593,740 | 651,254 | ||||||
Series X (StylePlus—Small Growth Series) | Index Exposure | 26,883,420 | — | ||||||
Series Y (StylePlus—Large Growth Series) | Index Exposure | 30,609,649 | — | ||||||
Series Z (Alpha Opportunity Series) | Hedge, Leverage | 8,262,714 | 8,452,630 |
Please retain this supplement for future reference.
Item 12. | Exhibits. |
(a)(1) | Not applicable. |
(a)(2) | Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a‑2(a) under the Act (17 CFR 270.30a-2(a)) are attached. |
(b) | A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached. |
(Registrant) | Guggenheim Variable Funds Trust | |
By (Signature and Title)* | /s/ Donald C. Cacciapaglia | |
Donald C. Cacciapaglia, President and Chief Executive Officer | ||
Date | September 30, 2016 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||
By (Signature and Title)* | /s/ Donald C. Cacciapaglia | |
Donald C. Cacciapaglia, President and Chief Executive Officer | ||
Date | September 30, 2016 | |
By (Signature and Title)* | /s/ John L. Sullivan | |
John L. Sullivan, Chief Financial Officer and Treasurer | ||
Date | September 30, 2016 |