UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811- 01136
Guggenheim Funds Trust
(Exact name of registrant as specified in charter)
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
Amy J. Lee
Guggenheim Funds Trust
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-301-296-5100
Date of fiscal year end: September 30
Date of reporting period: October 1, 2020 - September 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.
Item 1. | Reports to Stockholders. |
The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
9.30.2021
Guggenheim Funds Annual Report
Guggenheim Funds Trust-Equity | ||
Guggenheim Alpha Opportunity Fund | ||
Guggenheim Large Cap Value Fund | ||
Guggenheim Market Neutral Real Estate Fund | ||
Guggenheim Risk Managed Real Estate Fund | ||
Guggenheim Small Cap Value Fund | ||
Guggenheim StylePlus—Large Core Fund | ||
Guggenheim StylePlus—Mid Growth Fund | ||
Guggenheim World Equity Income Fund |
GuggenheimInvestments.com | SBE-ANN-0921x0922 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
ALPHA OPPORTUNITY FUND | 10 |
LARGE CAP VALUE FUND | 30 |
MARKET NEUTRAL REAL ESTATE FUND | 41 |
RISK MANAGED REAL ESTATE FUND | 53 |
SMALL CAP VALUE FUND | 72 |
STYLEPLUS—LARGE CORE FUND | 83 |
STYLEPLUS—MID GROWTH FUND | 95 |
WORLD EQUITY INCOME FUND | 106 |
NOTES TO FINANCIAL STATEMENTS | 117 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 132 |
OTHER INFORMATION | 133 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 142 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 147 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 150 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2021 |
Dear Shareholder:
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the shareholder report for a selection of our Funds (the “Funds”) for the annual fiscal period ended September 30, 2021.
The Investment Advisers are part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Advisers.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC,
Guggenheim Partners Investment Management, LLC,
October 31, 2021
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.
COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2021 |
Alpha Opportunity Fund may not be suitable for all investors. ● Investments in securities and derivatives, in general, are subject to market risks that may cause their prices to fluctuate over time. An investment in the Fund may lose money. There can be no guarantee the Fund will achieve it investment objective. ●The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● Certain of the derivative instruments, such as swaps and structured notes, are also subject to the risks of counterparty default and adverse tax treatment. ●The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs, including paying more for a security than it received from its sale and the risk of unlimited losses. ●In certain circumstances the Fund may be subject to liquidity risk and it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. ●The Fund’s fixed income investments will change in value in response to interest rate changes and other factors. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. In general, bond prices rise when interest rates fall and vice versa. You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
Large Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means an investor could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. The Fund is subject to risk that large-capitalization stocks may underperform other segments of the equity market or the equity markets as a whole. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. The Fund’s investments in foreign securities carry additional risks when compared to U.S securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). In certain circumstances the Fund may be subject to liquidity risk and it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
Market Neutral Real Estate Fund may not be suitable for all investors. ● Investing involves risk, including the possible loss of principal. ● There are no assurances that any fund will achieve its objective and/or strategy. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s use of derivatives such as futures, options, and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs. The Fund risks paying more for a security than it received from its sale. This strategy may not be suitable for all investors. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the funds’ holdings in issuers of the same or similar offerings. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● In certain circumstances the Fund may be subject to liquidity risk and it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
Risk Managed Real Estate Fund may not be suitable for all investors. ● Investments in securities in general are subject to market risks that may cause their prices to fluctuate over time ● Investing involves risk, including the possible loss of principal. ● There are no assurances that any fund will achieve its objective and/or strategy. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs. The Fund risks paying more for a security than it received from its sale. This strategy may not be suitable for all investors. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the funds’ holdings in issuers of the same or similar offerings. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● In certain circumstances the Fund may be subject to liquidity risk and it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. ● You may have a gain or loss when you sell you shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
Small Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means investors could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. ● Investing in securities of small-capitalization companies may involve a greater risk of loss and more abrupt fluctuations in market price than investments in larger-capitalization companies. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
| September 30, 2021 |
economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). The Fund may invest in restricted securities which may involve financial and liquidity risk. You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
StylePlus—Large Core Fund may not be suitable for all investors. ● Investments in large capitalization stocks may underperform other segments of the equity market or the equity market as a whole. ● Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing companies. Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down.● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in bank loans and asset-backed securities, including mortgage backed, which involve special types of risks. ● The Fund may invest in restricted securities which may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
StylePlus—Mid Growth Fund may not be suitable for all investors. ● Investments in mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing companies. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions, among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in bank loans and asset-backed securities, including mortgage backed, which involve special types of risks. ● The Fund may invest in restricted securities which may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
World Equity Income Fund may not be suitable for all investors. ●Investments in securities in general are subject to market risks that may cause their prices to fluctuate over time. ●The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets are generally subject to an even greater level of risk). Additionally, the Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. Dollar. ● The Fund’s investments in derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. ●The Fund’s use of leverage, through instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ●The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ●The Fund may have significant exposure to securities in a particular capitalization range e.g., large-, mid- or small-cap securities. As a result, the Fund may be subject to the risk that the pre-denominate capitalization range may underperform other segments of the equity market or the equity market as a whole. ● The Fund may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions, among other factors. In general, bond prices rise when interest rates fall and vice versa. You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2021 |
In the 12 months ending September 30, 2021, the equity market experienced a relatively steady upward climb that reversed amid seasonal pressures, inflation worry, and market uncertainty about the economic damage brought about by the potential emergence of new COVID variants.
The ten-year Treasury climbed 83 basis points to 1.52% from 0.69% over the period. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.
Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.
As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.
As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.
Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.
For the 12-month period ended September 30, 2021, the S&P 500® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2021 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
FTSE NAREIT Equity REITs Total Return Index (“FNRE”) is one of the FTSE NAREIT U.S. Real Estate Index Series that contains all Equity REITs not designated as Timber REITs or Infrastructure REITs. FTSE NAREIT U.S. Real Estate Index Series is designed to present investors with a comprehensive family of REIT performance indexes that spans the commercial real estate space across the U.S. economy. The index series provides investors with exposure to all investment and property sectors. In addition, the more narrowly focused property sector and sub-sector indexes provide the facility to concentrate commercial real estate exposure in more selected markets. The National Association of Real Estate Investment Trusts (NAREIT) is the trade association for REITs and publicly traded real estate companies with an interest in the U.S. property and investment markets.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
Morningstar Long/Short Equity Category Average is the average return of funds Morningstar places in a given category based on their portfolio statistics and compositions over the past three years. Long-short portfolios hold sizeable stakes in both long and short positions in equities, exchange traded funds, and related derivatives. Some funds that fall into this category will shift their exposure to long and short positions depending on their macro outlook or the opportunities they uncover through bottom-up research. At least 75% of the assets are in equity securities or derivatives, and funds in the category will typically have beta values to relevant benchmarks of between 0.3 and 0.8 over a three-year period.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
MSCI World Index (Net) is calculated with net dividends reinvested. It is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.
Russell 1000® Value Index is a measure of the performance for the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values.
Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.
Russell Midcap Growth® Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap Index companies with higher price-to-book ratios and higher forecasted growth values.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
|
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 |
| ||||
Alpha Opportunity Fund | |||||
A-Class | 1.77% | (3.89%) | $ 1,000.00 | $ 961.10 | $ 8.70 |
C-Class | 2.52% | (4.25%) | 1,000.00 | 957.50 | 12.37 |
P-Class | 1.77% | (3.91%) | 1,000.00 | 960.90 | 8.70 |
Institutional Class | 1.52% | (3.75%) | 1,000.00 | 962.50 | 7.48 |
Large Cap Value Fund | |||||
A-Class | 1.14% | 3.73% | 1,000.00 | 1,037.30 | 5.82 |
C-Class | 1.89% | 3.34% | 1,000.00 | 1,033.40 | 9.63 |
P-Class | 1.14% | 3.74% | 1,000.00 | 1,037.40 | 5.82 |
Institutional Class | 0.89% | 3.85% | 1,000.00 | 1,038.50 | 4.55 |
Market Neutral Real Estate Fund | |||||
A-Class | 1.64% | 0.26% | 1,000.00 | 1,002.60 | 8.23 |
C-Class | 2.39% | (0.15%) | 1,000.00 | 998.50 | 11.97 |
P-Class | 1.64% | 0.26% | 1,000.00 | 1,002.60 | 8.23 |
Institutional Class | 1.39% | 0.40% | 1,000.00 | 1,004.00 | 6.98 |
Risk Managed Real Estate Fund | |||||
A-Class | 1.45% | 12.31% | 1,000.00 | 1,123.10 | 7.72 |
C-Class | 2.25% | 11.84% | 1,000.00 | 1,118.40 | 11.95 |
P-Class | 1.51% | 12.27% | 1,000.00 | 1,122.70 | 8.04 |
Institutional Class | 1.14% | 12.48% | 1,000.00 | 1,124.80 | 6.07 |
Small Cap Value Fund | |||||
A-Class | 1.31% | 0.38% | 1,000.00 | 1,003.80 | 6.58 |
C-Class | 2.06% | 0.00% | 1,000.00 | 1,000.00 | 10.33 |
P-Class | 1.31% | 0.38% | 1,000.00 | 1,003.80 | 6.58 |
Institutional Class | 1.06% | 0.49% | 1,000.00 | 1,004.90 | 5.33 |
StylePlus—Large Core Fund | |||||
A-Class | 1.14% | 8.62% | 1,000.00 | 1,086.20 | 5.96 |
C-Class | 2.07% | 8.09% | 1,000.00 | 1,080.90 | 10.80 |
P-Class | 1.29% | 8.54% | 1,000.00 | 1,085.40 | 6.74 |
Institutional Class | 0.95% | 8.70% | 1,000.00 | 1,087.00 | 4.97 |
StylePlus—Mid Growth Fund | |||||
A-Class | 1.26% | 8.12% | 1,000.00 | 1,081.20 | 6.57 |
C-Class | 2.22% | 7.62% | 1,000.00 | 1,076.20 | 11.55 |
P-Class | 1.36% | 8.05% | 1,000.00 | 1,080.50 | 7.09 |
Institutional Class | 1.12% | 8.17% | 1,000.00 | 1,081.70 | 5.84 |
World Equity Income Fund | |||||
A-Class | 1.21% | 2.43% | 1,000.00 | 1,024.30 | 6.14 |
C-Class | 1.96% | 2.13% | 1,000.00 | 1,021.30 | 9.93 |
P-Class | 1.21% | 2.45% | 1,000.00 | 1,024.50 | 6.14 |
Institutional Class | 0.96% | 2.57% | 1,000.00 | 1,025.70 | 4.87 |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Alpha Opportunity Fund | |||||
A-Class | 1.77% | 5.00% | $ 1,000.00 | $ 1,016.19 | $ 8.95 |
C-Class | 2.52% | 5.00% | 1,000.00 | 1,012.43 | 12.71 |
P-Class | 1.77% | 5.00% | 1,000.00 | 1,016.19 | 8.95 |
Institutional Class | 1.52% | 5.00% | 1,000.00 | 1,017.45 | 7.69 |
Large Cap Value Fund | |||||
A-Class | 1.14% | 5.00% | 1,000.00 | 1,019.35 | 5.77 |
C-Class | 1.89% | 5.00% | 1,000.00 | 1,015.59 | 9.55 |
P-Class | 1.14% | 5.00% | 1,000.00 | 1,019.35 | 5.77 |
Institutional Class | 0.89% | 5.00% | 1,000.00 | 1,020.61 | 4.51 |
Market Neutral Real Estate Fund | |||||
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
P-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Institutional Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
Risk Managed Real Estate Fund | |||||
A-Class | 1.45% | 5.00% | 1,000.00 | 1,017.80 | 7.33 |
C-Class | 2.25% | 5.00% | 1,000.00 | 1,013.79 | 11.36 |
P-Class | 1.51% | 5.00% | 1,000.00 | 1,017.50 | 7.64 |
Institutional Class | 1.14% | 5.00% | 1,000.00 | 1,019.35 | 5.77 |
Small Cap Value Fund | |||||
A-Class | 1.31% | 5.00% | 1,000.00 | 1,018.50 | 6.63 |
C-Class | 2.06% | 5.00% | 1,000.00 | 1,014.74 | 10.40 |
P-Class | 1.31% | 5.00% | 1,000.00 | 1,018.50 | 6.63 |
Institutional Class | 1.06% | 5.00% | 1,000.00 | 1,019.75 | 5.37 |
StylePlus—Large Core Fund | |||||
A-Class | 1.14% | 5.00% | 1,000.00 | 1,019.35 | 5.77 |
C-Class | 2.07% | 5.00% | 1,000.00 | 1,014.69 | 10.45 |
P-Class | 1.29% | 5.00% | 1,000.00 | 1,018.60 | 6.53 |
Institutional Class | 0.95% | 5.00% | 1,000.00 | 1,020.31 | 4.81 |
StylePlus—Mid Growth Fund | |||||
A-Class | 1.26% | 5.00% | 1,000.00 | 1,018.75 | 6.38 |
C-Class | 2.22% | 5.00% | 1,000.00 | 1,013.94 | 11.21 |
P-Class | 1.36% | 5.00% | 1,000.00 | 1,018.25 | 6.88 |
Institutional Class | 1.12% | 5.00% | 1,000.00 | 1,019.45 | 5.67 |
World Equity Income Fund | |||||
A-Class | 1.21% | 5.00% | 1,000.00 | 1,019.00 | 6.12 |
C-Class | 1.96% | 5.00% | 1,000.00 | 1,015.24 | 9.90 |
P-Class | 1.21% | 5.00% | 1,000.00 | 1,019.00 | 6.12 |
Institutional Class | 0.96% | 5.00% | 1,000.00 | 1,020.26 | 4.86 |
1 | This ratio represents annualized net expenses, which may include short dividend and interest expense. Excluding these expenses, the operating expense ratio for the Risk Managed Real Estate Fund would be 1.21%, 2.04%, 1.29% and 0.92% for the A-Class, C-Class, P-Class and Institutional Class, respectively. Excludes expenses of the underlying funds in which the Funds invest, if any. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
Dear Shareholder:
Guggenheim Alpha Opportunity Fund (the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Samir Sanghani, CFA, Managing Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the paragraphs below, the team discusses the performance of the Fund for the fiscal year period ended September 30, 2021.
For the one year period ended September 30, 2021, Guggenheim Alpha Opportunity Fund returned 8.17%1, compared with the 0.07% return of its benchmark, the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index.
Investment Approach
The Fund is managed as an opportunistic long/short strategy, looking to invest in areas of the market where stock prices look priced at a discount vis-à-vis their company fundamentals and risks, while shorting areas of the market that look overpriced or are not compensating for risks appropriately. The strategy philosophy is founded in part on the academic view that markets are primarily efficient–investors require higher compensation for characteristics that increase the riskiness of future cash flows (such as being very small, or having lots of economic sensitivity in the business). Academics have noted that companies exhibiting certain risk factors have on average outperformed safer firms as the ‘risk premium’ leads to better performance. However, unlike most academic research in this field, the Fund’s managers do not believe that those historic risk premia are constant. We believe that investors’ perceptions of what is risky can change substantially over time. Investors can harbor exaggerated fears about the latest economic crisis, or become exuberant about the latest hot technology while completely ignoring the risks involved.
The Fund’s strategy is to quantitatively compute what forward looking compensation level is embedded in a large universe of stocks and ascertain what broad groups are being overvalued or undervalued. The Fund’s portfolio is adaptive to changing market dynamics and aims to buy a highly diversified set of names with those undervalued factors, and short a highly diversified set of stocks with overvalued characteristics.
The Fund will ordinarily hold simultaneous long and short positions in equity securities or securities markets that provide exposure up to a level equal to 150% of the Fund’s net assets for both the long and short positions. The Fund intends to maintain a low overall net exposure (the difference between the notional value of long positions and the notional value of short positions), typically varying between 50% net long and 30% net short, in order to maintain low correlation to traditional equity markets and lower-than-market volatility, and seek to provide consistent absolute return. The overall net exposure will change as market opportunities change, and may, based on the Fund’s view of current market conditions, be outside this range.
Derivatives in form of swaps are used by the Fund to take short positions as well as long exposure above 100% of NAV (that is, to take leverage). The swaps detracted from performance for the period.
Performance Review
The Fund’s return was achieved during a strong post-COVID recovery period. Early in the fiscal year, the first COVID vaccine data was released with great efficacy results, unleashing a huge rebound in the worst hit pandemic shutdown impacted companies. The Presidential and Congressional election results also fueled the manic bullish environment. Despite the Democratic party win, typically considered the more unfriendly party for businesses, this year’s removal of erratic and unorthodox leadership seemed to stoke a collective sigh of relief. Further, a strong emphasis on COVID control and heavy stimulus on the Democratic platform fed the rally in beaten down cyclical industries.
In early 2021, the nature of the bull market shifted. Inflationary bottlenecks began expanding, driving interest rates to steadily climb from their rock-bottom levels. As the level of rates rose, particularly in longer maturity bonds, the shift in stock returns also began morphing. The ‘discount rate’ that investment analysts apply to far off profit streams began rising, which lowered the net present value of companies whose profits will come way in the future. That rate curve shift led to expensive growth names retracing while allowing value names with economic sensitivity to thrive. That environment was conducive to the Fund’s style positioning, leading to strong returns through April. After the point, the rate move stalled and then reversed in late spring and through the Delta-impacted summer, causing a partial reversal of those style moves.
When all was said and done, the bond markets ended the year flat or slightly negative, with the broad stock market (S&P 500 index) surging +30.0%.
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
At period end, the Fund held about 146% of assets in long securities, and 83% short, for a net-dollar exposure of 63%. The net exposure averaged 46% during the year. The current higher dollar exposure is achieved with a focus on low beta and low volatility stocks in the long side, offset by higher risk names on the short side. The realized net beta (sensitivity of daily Fund returns to the S&P 500 index) averaged around 0.26 during the year, a level far less than most long/short equity managers.
Fund long positions (on a standalone unlevered basis) averaged a return of 35.8% for the year, while short positions returned 41.2% on a standalone basis. Short positions outperformed the long names. While those names did part of their job in hedging out short term market fluctuation risks, they were not successful in providing additional alpha this year.
Digging deeper into the attribution for the year, the Fund’s net market and size bias added about 8.5% of attributable return. The Fund’s fundamental style tilts added about 2.4%. The Fund’s tilts towards value and high free cash flow names provided most of that alpha, with a focus on higher profitability names detracting from the total as so many risky and marginal companies recovered strongly during the bull rush. Sector positioning detracted by about 4.4%, with key pain points being net shorts in Energy and Real Estate as both those sectors have had robust recoveries tracking high expectations of improving fundamentals.
Stock selection, after controlling for the style and sector tilts described above, was a benefit of 4.3%. Selection within the Technology sector was a big contributor, with cheaper and more profitable longs in the hardware and semiconductor groups performing well while shorts some low profitable cloud/software names fell. Selection within REITs also were contributors, with names in the short book underperforming the sector peers.
Positioning
The Fund maintains its style bias towards cheaper valuation names, higher profitability companies, and firms with low leverage and low stock volatility. However, due to the quite-expensive valuations afforded high growth names, the Fund is slightly short the growth factor. In recent months the portfolio has shifted its size bias towards small caps (after years of being large cap focused). While small caps are generally more risky than their large cap brethren, the additional risk is now being compensated with a much wider expected return based on fundamentals and valuations.
From an industry perspective, the Fund’s largest net long sectors are Financials, Healthcare, Consumer Discretionary, and Technology. After being short the Financials sector for a few years, the Fund has flipped that view this year. The largest net short exposures are Real Estate, Energy, Transportation, and Commercial Services.
During 2020 and entering 2021, the portfolio managers had been keeping a close eye on the ‘COVID risk’ inherent in certain narrow industries that most directly suffered or benefited from the pandemic. This is known as a transient factor, which is a little more difficult for traditional quant techniques to identify due to the uniqueness of the risk factor and lack of historic precedent. Our goal was to avoid being inadvertently exposed to this unpredictable risk that was not part of our quant modeling. This approach played a role in the Fund avoiding substantial losses and volatility in 2020. As the world slowly moves past COVID closure periods, we are moving back toward more unconstrained exposures driven by the typical fundamentals driven process. Higher expectations are being built into businesses that were affected by the pandemic. Travel related names are a great example as their debt levels skyrocketed to fill big losses. Meanwhile, stock prices have recovered to almost pre-pandemic levels. This is leading to total enterprise values that exceed pre-pandemic levels, whereas actual overall sales and profitability will likely level out at lower levels due to a shift in business travel patterns.
We also observe markets that seem to be priced for ‘transitory’ inflation. If inflation instead persists at high rates–it will break a multi-decade trend of disinflation and cause dramatic impact across asset classes. Rates would need to rise substantially, leaving a more lasting impact on the Value style that would work in the Fund’s favor, not to mention the cascading impact across yield priced asset classes and highly leveraged companies.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
ALPHA OPPORTUNITY FUND
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | July 7, 2003 |
C-Class | July 7, 2003 |
P-Class | May 1, 2015 |
Institutional Class | November 7, 2008 |
Ten Largest Holdings (% of Total Net Assets) | |
Innoviva, Inc. | 1.1% |
Gentex Corp. | 1.1% |
Enstar Group Ltd. | 1.0% |
AutoZone, Inc. | 1.0% |
Synchrony Financial | 1.0% |
National Fuel Gas Co. | 1.0% |
CSG Systems International, Inc. | 1.0% |
Safety Insurance Group, Inc. | 1.0% |
Omnicom Group, Inc. | 1.0% |
Gilead Sciences, Inc. | 1.0% |
Top Ten Total | 10.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 8.17% | 0.93% | 7.36% |
A-Class Shares with sales charge‡ | 3.04% | (0.05%) | 6.84% |
C-Class Shares | 7.37% | 0.14% | 6.53% |
C-Class Shares with CDSC§ | 6.37% | 0.14% | 6.53% |
Institutional Class Shares | 8.46% | 1.34% | 7.79% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.07% | 1.16% | 0.63% |
S&P 500 Index | 30.00% | 16.90% | 16.63% |
S&P 500 Index Blended** | 0.07% | 3.18% | 9.57% |
Morningstar Long/Short Equity Category Average | 15.64% | 5.21% | 5.35% |
| 1 Year | 5 Year | Since |
P-Class Shares | 8.17% | 0.98% | 0.75% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.07% | 1.16% | 0.95% |
S&P 500 Index | 30.00% | 16.90% | 13.98% |
S&P 500 Index Blended** | 0.07% | 3.18% | 3.42% |
Morningstar Long/Short Equity Category Average | 15.64% | 5.21% | 3.31% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, S&P 500 Index, and the Morningstar Long/Short Equity Category Average are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
** | Effective March 13, 2017, the Fund changed its principal investment strategy. As a result of the investment strategy change, the Fund’s new benchmark is the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index. The Fund’s performance was previously compared to the S&P 500 Index. The S&P 500 Index-Blended uses performance data for the S&P 500 Index from 09/30/11 to 03/12/17, and the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill index from 03/13/17 to 09/30/21. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 93.7% | ||||||||
Consumer, Non-cyclical - 20.2% | ||||||||
Innoviva, Inc.* | 22,710 | $ | 379,484 | |||||
Gilead Sciences, Inc.1 | 4,866 | 339,890 | ||||||
John B Sanfilippo & Son, Inc.1 | 4,125 | 337,095 | ||||||
H&R Block, Inc.1 | 13,445 | 336,125 | ||||||
Quest Diagnostics, Inc. | 2,218 | 322,297 | ||||||
Bristol-Myers Squibb Co.1 | 5,323 | 314,962 | ||||||
USANA Health Sciences, Inc.* | 3,032 | 279,550 | ||||||
EVERTEC, Inc. | 5,801 | 265,222 | ||||||
Eagle Pharmaceuticals, Inc.*,1 | 4,679 | 260,995 | ||||||
Hologic, Inc.*,1 | 3,430 | 253,168 | ||||||
Amgen, Inc.1 | 1,148 | 244,122 | ||||||
Perdoceo Education Corp.* | 22,730 | 240,029 | ||||||
Bio-Rad Laboratories, Inc. — Class A*,1 | 310 | 231,245 | ||||||
Philip Morris International, Inc. | 2,343 | 222,093 | ||||||
United Therapeutics Corp.*,1 | 1,036 | 191,225 | ||||||
Merck & Company, Inc.1 | 2,488 | 186,874 | ||||||
Coherus Biosciences, Inc.* | 11,498 | 184,773 | ||||||
Vanda Pharmaceuticals, Inc.* | 10,485 | 179,713 | ||||||
Prestige Consumer Healthcare, Inc.*,1 | 3,117 | 174,895 | ||||||
PerkinElmer, Inc. | 958 | 166,012 | ||||||
Blueprint Medicines Corp.* | 1,543 | 158,636 | ||||||
Corcept Therapeutics, Inc.* | 8,030 | 158,030 | ||||||
Incyte Corp.*,1 | 2,183 | 150,147 | ||||||
Herbalife Nutrition Ltd.* | 3,283 | 139,134 | ||||||
Amphastar Pharmaceuticals, Inc.* | 6,966 | 132,424 | ||||||
Vector Group Ltd.1 | 9,136 | 116,484 | ||||||
Molson Coors Beverage Co. — Class B1 | 2,491 | 115,533 | ||||||
Exelixis, Inc.* | 5,403 | 114,219 | ||||||
McKesson Corp. | 567 | 113,048 | ||||||
Laboratory Corporation of America Holdings* | 370 | 104,133 | ||||||
Regeneron Pharmaceuticals, Inc.*,1 | 168 | 101,670 | ||||||
Pfizer, Inc. | 2,328 | 100,127 | ||||||
Vertex Pharmaceuticals, Inc.* | 533 | 96,681 | ||||||
Bruker Corp. | 1,191 | 93,017 | ||||||
Grand Canyon Education, Inc.* | 994 | 87,432 | ||||||
Sage Therapeutics, Inc.* | 1,904 | 84,366 | ||||||
Enanta Pharmaceuticals, Inc.* | 1,471 | 83,567 | ||||||
Total Consumer, Non-cyclical | 7,058,417 | |||||||
Financial - 19.1% | ||||||||
Enstar Group Ltd.* | 1,543 | 362,188 | ||||||
Synchrony Financial1 | 7,286 | 356,140 | ||||||
Safety Insurance Group, Inc.1 | 4,344 | 344,262 | ||||||
Mercury General Corp.1 | 6,037 | 336,080 | ||||||
Goldman Sachs Group, Inc.1 | 849 | 320,948 | ||||||
Old Republic International Corp.1 | 13,728 | 317,529 | ||||||
Evercore, Inc. — Class A1 | 2,302 | 307,708 | ||||||
Hanover Insurance Group, Inc.1 | 2,277 | 295,145 | ||||||
Raymond James Financial, Inc. | 3,170 | 292,481 | ||||||
Stewart Information Services Corp. | 4,497 | 284,480 | ||||||
AMERISAFE, Inc.1 | 4,579 | 257,157 | ||||||
OneMain Holdings, Inc. | 3,810 | 210,807 | ||||||
Piper Sandler Cos. | 1,468 | 203,259 | ||||||
BankUnited, Inc. | 4,731 | 197,850 | ||||||
Allstate Corp.1 | 1,531 | 194,912 | ||||||
Discover Financial Services1 | 1,569 | 192,752 | ||||||
Houlihan Lokey, Inc.1 | 1,992 | 183,463 | ||||||
Interactive Brokers Group, Inc. — Class A | 2,893 | 180,350 | ||||||
Brandywine Realty Trust REIT1 | 12,560 | 168,555 | ||||||
Arch Capital Group Ltd.*,1 | 4,329 | 165,281 | ||||||
Essent Group Ltd.1 | 3,644 | 160,372 | ||||||
Everest Re Group Ltd. | 562 | 140,938 | ||||||
Federated Hermes, Inc. — Class B | 4,301 | 139,783 | ||||||
Affiliated Managers Group, Inc. | 914 | 138,096 | ||||||
Radian Group, Inc. | 5,867 | 133,298 | ||||||
Janus Henderson Group plc | 3,220 | 133,083 | ||||||
SEI Investments Co. | 2,093 | 124,115 | ||||||
Markel Corp.* | 93 | 111,147 | ||||||
Jefferies Financial Group, Inc. | 2,953 | 109,645 | ||||||
First American Financial Corp. | 1,439 | 96,485 | ||||||
MGIC Investment Corp. | 5,884 | 88,025 | ||||||
Artisan Partners Asset Management, Inc. — Class A | 1,574 | 77,000 | ||||||
Industrial Logistics Properties Trust REIT | 2,527 | 64,211 | ||||||
Total Financial | 6,687,545 | |||||||
Consumer, Cyclical - 14.4% | ||||||||
Gentex Corp.1 | 11,329 | 373,630 | ||||||
AutoZone, Inc.*,1 | 213 | 361,672 | ||||||
Yum! Brands, Inc.1 | 2,561 | 313,236 | ||||||
Cummins, Inc.1 | 1,307 | 293,500 | ||||||
Allison Transmission Holdings, Inc.1 | 7,435 | 262,604 | ||||||
AutoNation, Inc.*,1 | 1,967 | 239,502 | ||||||
Brunswick Corp.1 | 2,456 | 233,983 | ||||||
Buckle, Inc. | 5,327 | 210,896 | ||||||
Whirlpool Corp. | 1,016 | 207,122 | ||||||
Polaris, Inc. | 1,694 | 202,704 | ||||||
Dolby Laboratories, Inc. — Class A1 | 2,251 | 198,088 | ||||||
Autoliv, Inc. | 2,158 | 184,984 | ||||||
Acushnet Holdings Corp. | 3,946 | 184,278 | ||||||
MSC Industrial Direct Company, Inc. — Class A1 | 2,115 | 169,602 | ||||||
Dick’s Sporting Goods, Inc.1 | 1,405 | 168,277 | ||||||
Carter’s, Inc. | 1,702 | 165,502 | ||||||
Gentherm, Inc.*,1 | 1,859 | 150,449 | ||||||
Foot Locker, Inc. | 3,112 | 142,094 | ||||||
Sleep Number Corp.* | 1,448 | 135,359 | ||||||
Big Lots, Inc. | 2,726 | 118,199 | ||||||
Zumiez, Inc.* | 2,920 | 116,099 | ||||||
NVR, Inc.* | 23 | 110,264 | ||||||
WW Grainger, Inc.1 | 244 | 95,907 | ||||||
Hibbett, Inc. | 1,265 | 89,486 | ||||||
Jack in the Box, Inc. | 892 | 86,818 | ||||||
MarineMax, Inc.* | 1,604 | 77,826 | ||||||
Williams-Sonoma, Inc. | 426 | 75,543 | ||||||
Tri Pointe Homes, Inc.* | 3,545 | 74,516 | ||||||
Total Consumer, Cyclical | 5,042,140 | |||||||
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
| Shares | Value | ||||||
Industrial - 13.3% | ||||||||
Snap-on, Inc.1 | 1,542 | $ | 322,201 | |||||
Toro Co.1 | 3,231 | 314,732 | ||||||
MDU Resources Group, Inc.1 | 10,077 | 298,985 | ||||||
Sturm Ruger & Company, Inc.1 | 3,839 | 283,241 | ||||||
Watts Water Technologies, Inc. — Class A1 | 1,560 | 262,220 | ||||||
Donaldson Company, Inc.1 | 4,521 | 259,551 | ||||||
Worthington Industries, Inc. | 4,885 | 257,439 | ||||||
Huntington Ingalls Industries, Inc. | 1,227 | 236,884 | ||||||
Eagle Materials, Inc.1 | 1,509 | 197,920 | ||||||
OSI Systems, Inc.*,1 | 1,955 | 185,334 | ||||||
Keysight Technologies, Inc.* | 1,124 | 184,662 | ||||||
Vishay Intertechnology, Inc.1 | 9,077 | 182,357 | ||||||
Owens Corning1 | 1,666 | 142,443 | ||||||
3M Co.1 | 756 | 132,617 | ||||||
Boise Cascade Co. | 2,337 | 126,151 | ||||||
A O Smith Corp. | 2,011 | 122,812 | ||||||
Louisiana-Pacific Corp. | 1,886 | 115,744 | ||||||
Mueller Industries, Inc. | 2,739 | 112,573 | ||||||
Lincoln Electric Holdings, Inc.1 | 853 | 109,858 | ||||||
Timken Co. | 1,561 | 102,121 | ||||||
Oshkosh Corp.1 | 918 | 93,976 | ||||||
Waters Corp.* | 263 | 93,970 | ||||||
Albany International Corp. — Class A | 1,163 | 89,400 | ||||||
Acuity Brands, Inc. | 510 | 88,419 | ||||||
Hillenbrand, Inc. | 1,992 | 84,959 | ||||||
Sanmina Corp.* | 2,185 | 84,210 | ||||||
Pentair plc | 1,156 | 83,960 | ||||||
AGCO Corp.1 | 660 | 80,870 | ||||||
Total Industrial | 4,649,609 | |||||||
Technology - 9.1% | ||||||||
CSG Systems International, Inc.1 | 7,208 | 347,426 | ||||||
Progress Software Corp. | 6,899 | 339,362 | ||||||
Cirrus Logic, Inc.* | 3,798 | 312,765 | ||||||
Rambus, Inc.*,1 | 13,923 | 309,091 | ||||||
NetApp, Inc.1 | 3,338 | 299,619 | ||||||
Oracle Corp. | 2,571 | 224,011 | ||||||
HP, Inc. | 6,348 | 173,681 | ||||||
Qorvo, Inc.* | 987 | 165,017 | ||||||
Lumentum Holdings, Inc.* | 1,876 | 156,721 | ||||||
Intel Corp. | 2,745 | 146,254 | ||||||
Seagate Technology Holdings plc | 1,593 | 131,454 | ||||||
Xperi Holding Corp. | 6,256 | 117,863 | ||||||
Dropbox, Inc. — Class A* | 3,796 | 110,919 | ||||||
Texas Instruments, Inc. | 549 | 105,523 | ||||||
Kulicke & Soffa Industries, Inc. | 1,487 | 86,662 | ||||||
ExlService Holdings, Inc.* | 692 | 85,199 | ||||||
CommVault Systems, Inc.* | 877 | 66,047 | ||||||
Total Technology | 3,177,614 | |||||||
Utilities - 7.8% | ||||||||
National Fuel Gas Co.1 | 6,715 | 352,672 | ||||||
IDACORP, Inc.1 | 3,057 | 316,033 | ||||||
Chesapeake Utilities Corp.1 | 2,484 | 298,204 | ||||||
UGI Corp.1 | 6,967 | 296,933 | ||||||
MGE Energy, Inc.1 | 4,027 | 295,984 | ||||||
American States Water Co.1 | 3,238 | 276,914 | ||||||
CMS Energy Corp.1 | 4,348 | 259,706 | ||||||
DTE Energy Co.1 | 2,070 | 231,240 | ||||||
Southern Co.1 | 2,485 | 153,995 | ||||||
Public Service Enterprise Group, Inc.1 | 2,505 | 152,554 | ||||||
Sempra Energy1 | 787 | 99,556 | ||||||
Total Utilities | 2,733,791 | |||||||
Communications - 7.7% | ||||||||
Omnicom Group, Inc.1 | 4,735 | 343,098 | ||||||
Viavi Solutions, Inc.*,1 | 20,706 | 325,912 | ||||||
Cisco Systems, Inc.1 | 5,913 | 321,845 | ||||||
TEGNA, Inc. | 15,104 | 297,851 | ||||||
Juniper Networks, Inc.1 | 5,519 | 151,883 | ||||||
Yelp, Inc. — Class A* | 4,036 | 150,301 | ||||||
Cogent Communications Holdings, Inc. | 1,978 | 140,121 | ||||||
InterDigital, Inc. | 2,025 | 137,335 | ||||||
VeriSign, Inc.*,1 | 600 | 123,006 | ||||||
F5 Networks, Inc.* | 578 | 114,895 | ||||||
Nexstar Media Group, Inc. — Class A | 754 | 114,578 | ||||||
World Wrestling Entertainment, Inc. — Class A | 1,971 | 110,888 | ||||||
Arista Networks, Inc.* | 287 | 98,625 | ||||||
Fox Corp. — Class A | 2,108 | 84,552 | ||||||
Telephone & Data Systems, Inc. | 4,303 | 83,909 | ||||||
Ciena Corp.* | 1,457 | 74,817 | ||||||
Total Communications | 2,673,616 | |||||||
Basic Materials - 1.6% | ||||||||
Nucor Corp. | 1,573 | 154,925 | ||||||
NewMarket Corp. | 426 | 144,316 | ||||||
Reliance Steel & Aluminum Co. | 747 | 106,387 | ||||||
Ingevity Corp.* | 1,111 | 79,292 | ||||||
Royal Gold, Inc. | 632 | 60,350 | ||||||
Total Basic Materials | 545,270 | |||||||
Energy - 0.5% | ||||||||
Equitrans Midstream Corp. | 9,581 | 97,151 | ||||||
Antero Midstream Corp. | 8,432 | 87,862 | ||||||
Total Energy | 185,013 | |||||||
Total Common Stocks | ||||||||
(Cost $32,196,155) | 32,753,015 | |||||||
MONEY MARKET FUND† - 9.1% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.01%2 | 3,173,294 | 3,173,294 | ||||||
Total Money Market Fund | ||||||||
(Cost $3,173,294) | 3,173,294 | |||||||
Total Investments - 102.8% | ||||||||
(Cost $35,369,449) | $ | 35,926,309 | ||||||
Other Assets & Liabilities, net - (2.8)% | (974,160 | ) | ||||||
Total Net Assets - 100.0% | $ | 34,952,149 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
Custom Basket Swap Agreements | |||||||||||||||||||
Counterparty | Reference Obligation | Type | Financing | Payment | Maturity | Notional | Value and | ||||||||||||
OTC Custom Basket Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | 0.53% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | $ | 8,995,067 | $ | (89,026 | ) | |||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | 0.48% (Federal Funds Rate + 0.40%) | At Maturity | 02/01/24 | 9,160,691 | (101,538 | ) | |||||||||||
$ | 18,155,758 | $ | (190,564 | ) | |||||||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | |||||||||||||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | (0.12)% (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | $ | 14,434,448 | $ | (36,530 | ) | |||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | (0.22)% (Federal Funds Rate - 0.30%) | At Maturity | 02/01/24 | 14,434,448 | (45,817 | ) | |||||||||||
$ | 28,868,896 | $ | (82,347 | ) |
| Shares | Percentage | Value and | |||||||||
MS EQUITY LONG CUSTOM BASKET | ||||||||||||
Industrial | ||||||||||||
Watts Water Technologies, Inc. — Class A | 438 | 0.77 | % | $ | 9,720 | |||||||
Acuity Brands, Inc. | 143 | 0.24 | % | 6,700 | ||||||||
Waters Corp. | 73 | 0.25 | % | 5,767 | ||||||||
AGCO Corp. | 185 | 0.22 | % | 3,115 | ||||||||
Lincoln Electric Holdings, Inc. | 240 | 0.34 | % | 2,199 | ||||||||
Pentair plc | 325 | 0.26 | % | 1,424 | ||||||||
Louisiana-Pacific Corp. | 530 | 0.36 | % | 494 | ||||||||
Owens Corning | 468 | 0.44 | % | 98 | ||||||||
Albany International Corp. — Class A | 327 | 0.27 | % | (166 | ) | |||||||
Oshkosh Corp. | 258 | 0.29 | % | (177 | ) | |||||||
Keysight Technologies, Inc. | 316 | 0.57 | % | (458 | ) | |||||||
Sanmina Corp. | 614 | 0.26 | % | (1,134 | ) | |||||||
Mueller Industries, Inc. | 770 | 0.35 | % | (1,453 | ) | |||||||
OSI Systems, Inc. | 550 | 0.57 | % | (1,607 | ) | |||||||
3M Co. | 212 | 0.41 | % | (2,153 | ) | |||||||
Snap-on, Inc. | 433 | 0.99 | % | (2,460 | ) | |||||||
Hillenbrand, Inc. | 560 | 0.26 | % | (2,777 | ) | |||||||
Sturm Ruger & Company, Inc. | 1,079 | 0.87 | % | (2,886 | ) | |||||||
Huntington Ingalls Industries, Inc. | 345 | 0.73 | % | (3,732 | ) | |||||||
Boise Cascade Co. | 657 | 0.39 | % | (3,953 | ) | |||||||
Timken Co. | 439 | 0.31 | % | (4,462 | ) | |||||||
Vishay Intertechnology, Inc. | 2,553 | 0.56 | % | (4,886 | ) | |||||||
A O Smith Corp. | 565 | 0.38 | % | (4,956 | ) | |||||||
Donaldson Company, Inc. | 1,271 | 0.80 | % | (5,770 | ) | |||||||
Worthington Industries, Inc. | 1,374 | 0.79 | % | (7,659 | ) | |||||||
Eagle Materials, Inc. | 424 | 0.61 | % | (8,091 | ) | |||||||
Toro Co. | 908 | 0.97 | % | (8,515 | ) | |||||||
MDU Resources Group, Inc. | 2,834 | 0.92 | % | (9,313 | ) | |||||||
Total Industrial | (47,091 | ) | ||||||||||
Financial | ||||||||||||
Synchrony Financial | 2,049 | 1.09 | % | 6,029 | ||||||||
Houlihan Lokey, Inc. | 560 | 0.56 | % | 5,563 | ||||||||
Allstate Corp. | 430 | 0.60 | % | 5,045 | ||||||||
Jefferies Financial Group, Inc. | 830 | 0.34 | % | 4,235 | ||||||||
Raymond James Financial, Inc. | 891 | 0.90 | % | 3,277 | ||||||||
Stewart Information Services Corp. | 1,264 | 0.87 | % | 2,407 | ||||||||
Janus Henderson Group plc | 905 | 0.41 | % | 1,596 | ||||||||
MGIC Investment Corp. | 1,655 | 0.27 | % | 925 | ||||||||
First American Financial Corp. | 404 | 0.30 | % | 370 | ||||||||
Enstar Group Ltd. | 373 | 0.96 | % | 232 | ||||||||
Federated Hermes, Inc. — Class B | 1,209 | 0.43 | % | 82 | ||||||||
Markel Corp. | 26 | 0.34 | % | (249 | ) | |||||||
Discover Financial Services | 441 | 0.59 | % | (264 | ) | |||||||
Safety Insurance Group, Inc. | 1,221 | 1.06 | % | (308 | ) | |||||||
Radian Group, Inc. | 1,650 | 0.41 | % | (389 | ) | |||||||
Everest Re Group Ltd. | 158 | 0.43 | % | (554 | ) |
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Arch Capital Group Ltd. | 1,217 | 0.51 | % | $ | (1,023 | ) | ||||||
Industrial Logistics Properties Trust | 710 | 0.20 | % | (1,126 | ) | |||||||
SEI Investments Co. | 588 | 0.38 | % | (1,400 | ) | |||||||
BankUnited, Inc. | 1,330 | 0.61 | % | (1,680 | ) | |||||||
Artisan Partners Asset Management, Inc. — Class A | 442 | 0.24 | % | (1,682 | ) | |||||||
Interactive Brokers Group, Inc. — Class A | 813 | 0.55 | % | (2,012 | ) | |||||||
Piper Sandler Cos. | 413 | 0.62 | % | (2,247 | ) | |||||||
AMERISAFE, Inc. | 1,287 | 0.79 | % | (2,558 | ) | |||||||
Essent Group Ltd. | 1,024 | 0.49 | % | (2,617 | ) | |||||||
OneMain Holdings, Inc. | 1,071 | 0.65 | % | (2,762 | ) | |||||||
Brandywine Realty Trust | 3,532 | 0.52 | % | (2,794 | ) | |||||||
Affiliated Managers Group, Inc. | 257 | 0.42 | % | (3,113 | ) | |||||||
Evercore, Inc. — Class A | 647 | 0.94 | % | (3,792 | ) | |||||||
Hanover Insurance Group, Inc. | 640 | 0.91 | % | (5,241 | ) | |||||||
Mercury General Corp. | 1,698 | 1.03 | % | (6,802 | ) | |||||||
Old Republic International Corp. | 3,861 | 0.97 | % | (9,801 | ) | |||||||
Goldman Sachs Group, Inc. | 476 | 1.96 | % | (15,987 | ) | |||||||
Total Financial | (38,640 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
AutoZone, Inc. | 60 | 1.11 | % | 20,036 | ||||||||
AutoNation, Inc. | 553 | 0.74 | % | 15,291 | ||||||||
Gentherm, Inc. | 523 | 0.46 | % | 9,309 | ||||||||
Dick’s Sporting Goods, Inc. | 395 | 0.52 | % | 3,707 | ||||||||
Brunswick Corp. | 691 | 0.72 | % | 1,354 | ||||||||
Yum! Brands, Inc. | 720 | 0.96 | % | 1,038 | ||||||||
Sleep Number Corp. | 407 | 0.42 | % | 524 | ||||||||
Gentex Corp. | 3,186 | 1.15 | % | 475 | ||||||||
MarineMax, Inc. | 451 | 0.24 | % | (157 | ) | |||||||
NVR, Inc. | 6 | 0.31 | % | (190 | ) | |||||||
Buckle, Inc. | 1,498 | 0.65 | % | (355 | ) | |||||||
Williams-Sonoma, Inc. | 119 | 0.23 | % | (478 | ) | |||||||
Zumiez, Inc. | 821 | 0.36 | % | (669 | ) | |||||||
Tri Pointe Homes, Inc. | 997 | 0.23 | % | (1,287 | ) | |||||||
Polaris, Inc. | 476 | 0.62 | % | (1,969 | ) | |||||||
WW Grainger, Inc. | 68 | 0.29 | % | (2,649 | ) | |||||||
Carter’s, Inc. | 478 | 0.51 | % | (2,692 | ) | |||||||
Jack in the Box, Inc. | 251 | 0.27 | % | (2,878 | ) | |||||||
MSC Industrial Direct Company, Inc. — Class A | 595 | 0.52 | % | (2,983 | ) | |||||||
Big Lots, Inc. | 766 | 0.36 | % | (3,342 | ) | |||||||
Autoliv, Inc. | 607 | 0.57 | % | (3,376 | ) | |||||||
Acushnet Holdings Corp. | 1,109 | 0.57 | % | (3,832 | ) | |||||||
Cummins, Inc. | 367 | 0.90 | % | (4,567 | ) | |||||||
Dolby Laboratories, Inc. — Class A | 633 | 0.61 | % | (5,575 | ) | |||||||
Whirlpool Corp. | 285 | 0.63 | % | (6,403 | ) | |||||||
Allison Transmission Holdings, Inc. | 2,091 | 0.81 | % | (8,034 | ) | |||||||
Hibbett, Inc. | 356 | 0.27 | % | (9,701 | ) | |||||||
Foot Locker, Inc. | 875 | 0.44 | % | (10,351 | ) | |||||||
Total Consumer, Cyclical | (19,754 | ) | ||||||||||
Energy | ||||||||||||
Equitrans Midstream Corp. | 2,694 | 0.30 | % | 2,629 | ||||||||
Antero Midstream Corp. | 2,371 | 0.27 | % | (40 | ) | |||||||
Total Energy | 2,589 | |||||||||||
Consumer, Non-cyclical | ||||||||||||
Innoviva, Inc. | 6,387 | 1.17 | % | 15,122 | ||||||||
Eagle Pharmaceuticals, Inc. | 1,316 | 0.80 | % | 13,352 | ||||||||
Bio-Rad Laboratories, Inc. — Class A | 87 | 0.71 | % | 11,002 | ||||||||
McKesson Corp. | 159 | 0.35 | % | 7,085 | ||||||||
Enanta Pharmaceuticals, Inc. | 413 | 0.26 | % | 6,165 | ||||||||
Blueprint Medicines Corp. | 434 | 0.49 | % | 5,891 | ||||||||
Regeneron Pharmaceuticals, Inc. | 47 | 0.31 | % | 5,577 | ||||||||
Prestige Consumer Healthcare, Inc. | 876 | 0.54 | % | 4,740 | ||||||||
Pfizer, Inc. | 654 | 0.31 | % | 4,593 | ||||||||
Coherus Biosciences, Inc. | 3,233 | 0.57 | % | 4,545 | ||||||||
United Therapeutics Corp. | 291 | 0.59 | % | 4,147 | ||||||||
Molson Coors Beverage Co. — Class B | 700 | 0.35 | % | 3,861 | ||||||||
H&R Block, Inc. | 3,781 | 1.03 | % | 2,568 | ||||||||
PerkinElmer, Inc. | 269 | 0.51 | % | 2,147 | ||||||||
Gilead Sciences, Inc. | 1,368 | 1.04 | % | 1,906 | ||||||||
Hologic, Inc. | 964 | 0.78 | % | 834 | ||||||||
Vector Group Ltd. | 761 | 0.11 | % | 790 | ||||||||
Exelixis, Inc. | 1,519 | 0.35 | % | 428 | ||||||||
Merck & Company, Inc. | 699 | 0.57 | % | 410 | ||||||||
Vanda Pharmaceuticals, Inc. | 2,949 | 0.55 | % | (850 | ) | |||||||
EVERTEC, Inc. | 1,631 | 0.81 | % | (976 | ) | |||||||
Quest Diagnostics, Inc. | 623 | 0.99 | % | (1,091 | ) | |||||||
Sage Therapeutics, Inc. | 535 | 0.26 | % | (1,140 | ) | |||||||
Grand Canyon Education, Inc. | 279 | 0.27 | % | (1,338 | ) | |||||||
Perdoceo Education Corp. | 6,393 | 0.74 | % | (1,688 | ) | |||||||
Bruker Corp. | 335 | 0.29 | % | (1,787 | ) | |||||||
Amphastar Pharmaceuticals, Inc. | 1,959 | 0.41 | % | (2,160 | ) | |||||||
Vertex Pharmaceuticals, Inc. | 149 | 0.30 | % | (2,327 | ) | |||||||
Laboratory Corporation of America Holdings | 104 | 0.32 | % | (2,535 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Corcept Therapeutics, Inc. | 2,258 | 0.49 | % | $ | (4,448 | ) | ||||||
USANA Health Sciences, Inc. | 852 | 0.86 | % | (5,469 | ) | |||||||
Amgen, Inc. | 322 | 0.75 | % | (5,550 | ) | |||||||
John B Sanfilippo & Son, Inc. | 1,160 | 1.03 | % | (5,578 | ) | |||||||
Philip Morris International, Inc. | 659 | 0.68 | % | (7,125 | ) | |||||||
Incyte Corp. | 614 | 0.46 | % | (7,202 | ) | |||||||
Bristol-Myers Squibb Co. | 1,497 | 0.97 | % | (7,857 | ) | |||||||
Herbalife Nutrition Ltd. | 923 | 0.43 | % | (9,080 | ) | |||||||
Total Consumer, Non-cyclical | 26,962 | |||||||||||
Communications | ||||||||||||
Juniper Networks, Inc. | 1,552 | 0.47 | % | 3,265 | ||||||||
Cisco Systems, Inc. | 1,663 | 0.99 | % | 2,545 | ||||||||
Fox Corp. — Class A | 593 | 0.26 | % | 1,478 | ||||||||
Ciena Corp. | 409 | 0.23 | % | 1,061 | ||||||||
F5 Networks, Inc. | 162 | 0.35 | % | 953 | ||||||||
VeriSign, Inc. | 168 | 0.38 | % | 642 | ||||||||
Nexstar Media Group, Inc. — Class A | 212 | 0.35 | % | 510 | ||||||||
World Wrestling Entertainment, Inc. — Class A | 554 | 0.34 | % | (579 | ) | |||||||
Arista Networks, Inc. | 80 | 0.30 | % | (1,611 | ) | |||||||
Yelp, Inc. — Class A | 1,135 | 0.46 | % | (1,842 | ) | |||||||
InterDigital, Inc. | 569 | 0.42 | % | (2,192 | ) | |||||||
Viavi Solutions, Inc. | 5,823 | 1.00 | % | (2,442 | ) | |||||||
Cogent Communications Holdings, Inc. | 556 | 0.43 | % | (3,108 | ) | |||||||
Telephone & Data Systems, Inc. | 1,210 | 0.26 | % | (4,616 | ) | |||||||
Omnicom Group, Inc. | 1,331 | 1.05 | % | (6,120 | ) | |||||||
Total Communications | (12,056 | ) | ||||||||||
Technology | ||||||||||||
NetApp, Inc. | 938 | 0.92 | % | 7,172 | ||||||||
Seagate Technology Holdings plc | 448 | 0.40 | % | 6,337 | ||||||||
CSG Systems International, Inc. | 2,027 | 1.07 | % | 5,115 | ||||||||
Texas Instruments, Inc. | 154 | 0.32 | % | 4,754 | ||||||||
Progress Software Corp. | 1,940 | 1.04 | % | 4,118 | ||||||||
ExlService Holdings, Inc. | 194 | 0.26 | % | 3,145 | ||||||||
Cirrus Logic, Inc. | 1,068 | 0.96 | % | 674 | ||||||||
HP, Inc. | 1,785 | 0.53 | % | (194 | ) | |||||||
Intel Corp. | 772 | 0.45 | % | (201 | ) | |||||||
Rambus, Inc. | 3,916 | 0.95 | % | (305 | ) | |||||||
Lumentum Holdings, Inc. | 527 | 0.48 | % | (425 | ) | |||||||
CommVault Systems, Inc. | 246 | 0.20 | % | (2,123 | ) | |||||||
Oracle Corp. | 723 | 0.69 | % | (2,167 | ) | |||||||
Dropbox, Inc. — Class A | 1,067 | 0.34 | % | (3,393 | ) | |||||||
Xperi Holding Corp. | 1,759 | 0.36 | % | (3,552 | ) | |||||||
Qorvo, Inc. | 277 | 0.51 | % | (5,386 | ) | |||||||
Kulicke & Soffa Industries, Inc. | 418 | 0.27 | % | (6,371 | ) | |||||||
Total Technology | 7,198 | |||||||||||
Utilities | ||||||||||||
IDACORP, Inc. | 859 | 0.97 | % | 3,657 | ||||||||
Public Service Enterprise Group, Inc. | 704 | 0.47 | % | 2,844 | ||||||||
American States Water Co. | 910 | 0.85 | % | 1,688 | ||||||||
Southern Co. | 698 | 0.47 | % | 1,613 | ||||||||
Sempra Energy | 221 | 0.31 | % | (426 | ) | |||||||
UGI Corp. | 1,959 | 0.91 | % | (589 | ) | |||||||
National Fuel Gas Co. | 1,888 | 1.08 | % | (1,143 | ) | |||||||
Chesapeake Utilities Corp. | 698 | 0.91 | % | (1,422 | ) | |||||||
CMS Energy Corp. | 1,223 | 0.80 | % | (1,559 | ) | |||||||
DTE Energy Co. | 487 | 0.59 | % | (1,664 | ) | |||||||
MGE Energy, Inc. | 1,132 | 0.91 | % | (3,903 | ) | |||||||
Total Utilities | (904 | ) | ||||||||||
Basic Materials | ||||||||||||
NewMarket Corp. | 119 | 0.44 | % | 576 | ||||||||
Royal Gold, Inc. | 177 | 0.18 | % | (3,178 | ) | |||||||
Ingevity Corp. | 312 | 0.24 | % | (3,605 | ) | |||||||
Reliance Steel & Aluminum Co. | 210 | 0.33 | % | (6,402 | ) | |||||||
Nucor Corp. | 442 | 0.48 | % | (7,233 | ) | |||||||
Total Basic Materials | (19,842 | ) | ||||||||||
Total MS Equity Long Custom Basket | $ | (101,538 | ) | |||||||||
MS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Americold Realty Trust | 7,330 | (1.47 | )% | $ | 65,754 | |||||||
Digital Realty Trust, Inc. | 1,556 | (1.56 | )% | 20,506 | ||||||||
JBG SMITH Properties | 5,348 | (1.10 | )% | 18,553 | ||||||||
Safehold, Inc. | 1,164 | (0.58 | )% | 15,610 | ||||||||
Crown Castle International Corp. | 413 | (0.50 | )% | 8,625 | ||||||||
CyrusOne, Inc. | 1,662 | (0.89 | )% | 6,054 | ||||||||
Ventas, Inc. | 1,215 | (0.46 | )% | 5,760 | ||||||||
Equitable Holdings, Inc. | 4,124 | (0.85 | )% | 4,892 | ||||||||
Welltower, Inc. | 3,134 | (1.79 | )% | 3,608 | ||||||||
Apartment Income REIT Corp. | 1,056 | (0.36 | )% | 3,300 | ||||||||
State Street Corp. | 2,967 | (1.74 | )% | 2,930 | ||||||||
Alexandria Real Estate Equities, Inc. | 893 | (1.18 | )% | 1,945 | ||||||||
Host Hotels & Resorts, Inc. | 16,657 | (1.88 | )% | 719 | ||||||||
Healthpeak Properties, Inc. | 4,632 | (1.07 | )% | 79 | ||||||||
Wells Fargo & Co. | 1,980 | (0.64 | )% | (1,868 | ) | |||||||
Lincoln National Corp. | 1,902 | (0.91 | )% | (2,101 | ) | |||||||
Sunstone Hotel Investors, Inc. | 16,180 | (1.34 | )% | (3,692 | ) | |||||||
Outfront Media, Inc. | 4,822 | (0.84 | )% | (3,863 | ) |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Pebblebrook Hotel Trust | 5,851 | (0.91 | )% | $ | (4,398 | ) | ||||||
Apple Hospitality REIT, Inc. | 5,126 | (0.56 | )% | (4,919 | ) | |||||||
Bank of America Corp. | 6,705 | (1.97 | )% | (5,889 | ) | |||||||
JPMorgan Chase & Co. | 1,714 | (1.94 | )% | (6,794 | ) | |||||||
Howard Hughes Corp. | 1,467 | (0.89 | )% | (8,627 | ) | |||||||
Comerica, Inc. | 1,285 | (0.72 | )% | (8,802 | ) | |||||||
Western Alliance Bancorporation | 1,334 | (1.01 | )% | (14,792 | ) | |||||||
UDR, Inc. | 4,443 | (1.63 | )% | (15,734 | ) | |||||||
Rayonier, Inc. | 3,354 | (0.83 | )% | (15,838 | ) | |||||||
Equinix, Inc. | 315 | (1.72 | )% | (23,040 | ) | |||||||
First Republic Bank | 783 | (1.05 | )% | (28,637 | ) | |||||||
Rexford Industrial Realty, Inc. | 2,834 | (1.11 | )% | (52,929 | ) | |||||||
Sun Communities, Inc. | 1,283 | (1.65 | )% | (64,913 | ) | |||||||
Total Financial | (108,501 | ) | ||||||||||
Industrial | ||||||||||||
Stericycle, Inc. | 3,902 | (1.84 | )% | 21,122 | ||||||||
Jacobs Engineering Group, Inc. | 2,018 | (1.85 | )% | 14,289 | ||||||||
US Ecology, Inc. | 2,290 | (0.51 | )% | 11,666 | ||||||||
Harsco Corp. | 6,485 | (0.76 | )% | 8,088 | ||||||||
Boeing Co. | 1,043 | (1.59 | )% | 5,962 | ||||||||
TransDigm Group, Inc. | 151 | (0.65 | )% | 1,165 | ||||||||
General Electric Co. | 646 | (0.46 | )% | (753 | ) | |||||||
Waste Management, Inc. | 1,766 | (1.83 | )% | (22,248 | ) | |||||||
Republic Services, Inc. — Class A | 2,181 | (1.81 | )% | (23,387 | ) | |||||||
Tetra Tech, Inc. | 689 | (0.71 | )% | (39,425 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 3,129 | (1.65 | )% | (63,068 | ) | |||||||
Total Industrial | (86,589 | ) | ||||||||||
Utilities | ||||||||||||
ONE Gas, Inc. | 3,038 | (1.33 | )% | 42,577 | ||||||||
Atmos Energy Corp. | 2,798 | (1.71 | )% | 34,985 | ||||||||
Edison International | 4,651 | (1.79 | )% | 11,443 | ||||||||
CenterPoint Energy, Inc. | 2,908 | (0.50 | )% | 3,700 | ||||||||
Total Utilities | 92,705 | |||||||||||
Consumer, Non-cyclical | ||||||||||||
Teladoc Health, Inc. | 1,282 | (1.13 | )% | 22,726 | ||||||||
ManpowerGroup, Inc. | 1,633 | (1.22 | )% | 18,045 | ||||||||
Brink’s Co. | 984 | (0.43 | )% | 12,660 | ||||||||
Guardant Health, Inc. | 1,307 | (1.13 | )% | 2,484 | ||||||||
CoStar Group, Inc. | 3,155 | (1.88 | )% | (5 | ) | |||||||
Sysco Corp. | 1,017 | (0.55 | )% | (1,075 | ) | |||||||
Total Consumer, Non-cyclical | 54,835 | |||||||||||
Energy | ||||||||||||
Schlumberger N.V. | 5,122 | (1.05 | )% | 27,217 | ||||||||
Sunrun, Inc. | 1,545 | (0.47 | )% | 2,582 | ||||||||
Helmerich & Payne, Inc. | 2,031 | (0.39 | )% | (1,257 | ) | |||||||
Phillips 66 | 3,934 | (1.91 | )% | (2,352 | ) | |||||||
NOV, Inc. | 4,152 | (0.38 | )% | (4,306 | ) | |||||||
Hess Corp. | 859 | (0.46 | )% | (7,017 | ) | |||||||
Patterson-UTI Energy, Inc. | 11,297 | (0.70 | )% | (14,116 | ) | |||||||
Pioneer Natural Resources Co. | 1,836 | (2.12 | )% | (18,474 | ) | |||||||
Valero Energy Corp. | 4,218 | (2.06 | )% | (25,534 | ) | |||||||
Devon Energy Corp. | 2,704 | (0.67 | )% | (27,593 | ) | |||||||
Diamondback Energy, Inc. | 1,530 | (1.00 | )% | (29,647 | ) | |||||||
Range Resources Corp. | 5,647 | (0.89 | )% | (30,322 | ) | |||||||
Halliburton Co. | 12,406 | (1.86 | )% | (30,887 | ) | |||||||
Total Energy | (161,706 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
United Airlines Holdings, Inc. | 5,882 | (1.94 | )% | 26,783 | ||||||||
JetBlue Airways Corp. | 15,403 | (1.63 | )% | 25,057 | ||||||||
Freshpet, Inc. | 832 | (0.82 | )% | 15,406 | ||||||||
DraftKings, Inc. — Class A | 1,081 | (0.36 | )% | 13,433 | ||||||||
Spirit Airlines, Inc. | 3,574 | (0.64 | )% | 6,642 | ||||||||
Alaska Air Group, Inc. | 3,264 | (1.33 | )% | 5,429 | ||||||||
Delta Air Lines, Inc. | 6,738 | (1.99 | )% | 1,730 | ||||||||
Southwest Airlines Co. | 4,436 | (1.58 | )% | (8,829 | ) | |||||||
American Airlines Group, Inc. | 13,918 | (1.98 | )% | (15,347 | ) | |||||||
Royal Caribbean Cruises Ltd. | 1,632 | (1.01 | )% | (16,117 | ) | |||||||
Total Consumer, Cyclical | 54,187 | |||||||||||
Communications | ||||||||||||
Okta, Inc. | 614 | (1.01 | )% | 13,131 | ||||||||
Uber Technologies, Inc. | 3,256 | (1.01 | )% | 8,746 | ||||||||
Chewy, Inc. — Class A | 730 | (0.34 | )% | 6,428 | ||||||||
Anaplan, Inc. | 1,246 | (0.53 | )% | 2,128 | ||||||||
Lyft, Inc. — Class A | 2,530 | (0.94 | )% | (14,350 | ) | |||||||
Total Communications | 16,083 | |||||||||||
Technology | ||||||||||||
Clarivate plc | 6,056 | (0.92 | )% | 28,354 | ||||||||
Coupa Software, Inc. | 477 | (0.72 | )% | 22,567 | ||||||||
DocuSign, Inc. | 233 | (0.42 | )% | 12,251 | ||||||||
Twilio, Inc. — Class A | 174 | (0.38 | )% | 8,386 | ||||||||
Splunk, Inc. | 610 | (0.61 | )% | 8,355 | ||||||||
Everbridge, Inc. | 479 | (0.50 | )% | 7,403 | ||||||||
KBR, Inc. | 6,877 | (1.88 | )% | 4,291 | ||||||||
Zscaler, Inc. | 285 | (0.52 | )% | (196 | ) | |||||||
Smartsheet, Inc. — Class A | 814 | (0.39 | )% | (4,660 | ) | |||||||
Ceridian HCM Holding, Inc. | 805 | (0.63 | )% | (18,514 | ) | |||||||
Total Technology | 68,237 | |||||||||||
Basic Materials | ||||||||||||
International Flavors & Fragrances, Inc. | 1,601 | (1.48 | )% | 24,932 | ||||||||
Total MS Equity Short Custom Basket | $ | (45,817 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
GS EQUITY LONG CUSTOM BASKET | ||||||||||||
Industrial | ||||||||||||
Watts Water Technologies, Inc. — Class A | 438 | 0.84 | % | $ | 9,775 | |||||||
Acuity Brands, Inc. | 143 | 0.29 | % | 6,742 | ||||||||
Waters Corp. | 73 | 0.29 | % | 5,762 | ||||||||
AGCO Corp. | 185 | 0.25 | % | 3,111 | ||||||||
Lincoln Electric Holdings, Inc. | 240 | 0.34 | % | 2,154 | ||||||||
Pentair plc | 325 | 0.26 | % | 1,407 | ||||||||
Louisiana-Pacific Corp. | 530 | 0.36 | % | 471 | ||||||||
Owens Corning | 468 | 0.44 | % | 109 | ||||||||
Albany International Corp. — Class A | 327 | 0.28 | % | (172 | ) | |||||||
Oshkosh Corp. | 258 | 0.29 | % | (176 | ) | |||||||
Keysight Technologies, Inc. | 316 | 0.58 | % | (452 | ) | |||||||
Sanmina Corp. | 614 | 0.26 | % | (1,133 | ) | |||||||
Mueller Industries, Inc. | 770 | 0.35 | % | (1,479 | ) | |||||||
OSI Systems, Inc. | 550 | 0.58 | % | (1,609 | ) | |||||||
3M Co. | 212 | 0.41 | % | (2,104 | ) | |||||||
Snap-on, Inc. | 433 | 1.01 | % | (2,656 | ) | |||||||
Hillenbrand, Inc. | 560 | 0.27 | % | (2,778 | ) | |||||||
Sturm Ruger & Company, Inc. | 1,079 | 0.89 | % | (2,909 | ) | |||||||
Huntington Ingalls Industries, Inc. | 345 | 0.74 | % | (3,769 | ) | |||||||
Boise Cascade Co. | 657 | 0.39 | % | (4,022 | ) | |||||||
Timken Co. | 439 | 0.32 | % | (4,397 | ) | |||||||
Vishay Intertechnology, Inc. | 2,553 | 0.57 | % | (4,917 | ) | |||||||
A O Smith Corp. | 565 | 0.38 | % | (4,977 | ) | |||||||
Donaldson Company, Inc. | 1,271 | 0.81 | % | (5,815 | ) | |||||||
Worthington Industries, Inc. | 1,374 | 0.80 | % | (7,837 | ) | |||||||
Eagle Materials, Inc. | 424 | 0.62 | % | (8,195 | ) | |||||||
Toro Co. | 908 | 0.98 | % | (8,595 | ) | |||||||
MDU Resources Group, Inc. | 2,834 | 0.93 | % | (9,332 | ) | |||||||
Total Industrial | (47,793 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
AutoZone, Inc. | 60 | 1.13 | % | 20,003 | ||||||||
AutoNation, Inc. | 553 | 0.75 | % | 15,288 | ||||||||
Gentherm, Inc. | 523 | 0.47 | % | 9,340 | ||||||||
Dick’s Sporting Goods, Inc. | 395 | 0.53 | % | 3,690 | ||||||||
Brunswick Corp. | 691 | 0.73 | % | 1,281 | ||||||||
Yum! Brands, Inc. | 720 | 0.98 | % | 1,097 | ||||||||
Sleep Number Corp. | 407 | 0.42 | % | 549 | ||||||||
Gentex Corp. | 3,186 | 1.17 | % | 455 | ||||||||
NVR, Inc. | 6 | 0.32 | % | (171 | ) | |||||||
MarineMax, Inc. | 451 | 0.24 | % | (176 | ) | |||||||
Buckle, Inc. | 1,498 | 0.66 | % | (462 | ) | |||||||
Williams-Sonoma, Inc. | 119 | 0.23 | % | (496 | ) | |||||||
Zumiez, Inc. | 821 | 0.36 | % | (1,084 | ) | |||||||
Tri Pointe Homes, Inc. | 997 | 0.23 | % | (1,312 | ) | |||||||
Polaris, Inc. | 476 | 0.63 | % | (1,947 | ) | |||||||
WW Grainger, Inc. | 68 | 0.30 | % | (2,612 | ) | |||||||
Carter’s, Inc. | 478 | 0.52 | % | (2,671 | ) | |||||||
Jack in the Box, Inc. | 251 | 0.27 | % | (2,744 | ) | |||||||
MSC Industrial Direct Company, Inc. — Class A | 595 | 0.53 | % | (3,002 | ) | |||||||
Autoliv, Inc. | 607 | 0.58 | % | (3,422 | ) | |||||||
Big Lots, Inc. | 766 | 0.37 | % | (3,482 | ) | |||||||
Acushnet Holdings Corp. | 1,109 | 0.58 | % | (3,808 | ) | |||||||
Cummins, Inc. | 367 | 0.92 | % | (4,538 | ) | |||||||
Dolby Laboratories, Inc. — Class A | 633 | 0.62 | % | (5,538 | ) | |||||||
Whirlpool Corp. | 285 | 0.65 | % | (6,387 | ) | |||||||
Allison Transmission Holdings, Inc. | 2,091 | 0.82 | % | (8,222 | ) | |||||||
Hibbett, Inc. | 356 | 0.28 | % | (9,741 | ) | |||||||
Foot Locker, Inc. | 875 | 0.44 | % | (10,365 | ) | |||||||
Total Consumer, Cyclical | (20,477 | ) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Innoviva, Inc. | 6,387 | 1.19 | % | 15,134 | ||||||||
Eagle Pharmaceuticals, Inc. | 1,316 | 0.82 | % | 13,092 | ||||||||
Bio-Rad Laboratories, Inc. — Class A | 87 | 0.72 | % | 10,968 | ||||||||
Enanta Pharmaceuticals, Inc. | 413 | 0.26 | % | 6,169 | ||||||||
Blueprint Medicines Corp. | 434 | 0.50 | % | 5,890 | ||||||||
McKesson Corp. | 159 | 0.35 | % | 5,873 | ||||||||
Regeneron Pharmaceuticals, Inc. | 47 | 0.32 | % | 5,572 | ||||||||
Prestige Consumer Healthcare, Inc. | 876 | 0.55 | % | 4,744 | ||||||||
Coherus Biosciences, Inc. | 3,233 | 0.58 | % | 4,599 | ||||||||
Pfizer, Inc. | 654 | 0.31 | % | 4,237 | ||||||||
United Therapeutics Corp. | 291 | 0.60 | % | 4,217 | ||||||||
Molson Coors Beverage Co. — Class B | 700 | 0.36 | % | 3,861 | ||||||||
H&R Block, Inc. | 3,781 | 1.05 | % | 2,619 | ||||||||
PerkinElmer, Inc. | 269 | 0.52 | % | 2,152 | ||||||||
Gilead Sciences, Inc. | 1,368 | 1.06 | % | 1,952 | ||||||||
Hologic, Inc. | 964 | 0.79 | % | 834 | ||||||||
Vector Group Ltd. | 761 | 0.11 | % | 787 | ||||||||
Exelixis, Inc. | 1,519 | 0.36 | % | 441 | ||||||||
Merck & Company, Inc. | 699 | 0.58 | % | 435 | ||||||||
Vanda Pharmaceuticals, Inc. | 2,949 | 0.56 | % | (951 | ) | |||||||
Quest Diagnostics, Inc. | 623 | 1.01 | % | (1,010 | ) | |||||||
EVERTEC, Inc. | 1,631 | 0.83 | % | (1,096 | ) | |||||||
Sage Therapeutics, Inc. | 535 | 0.26 | % | (1,321 | ) |
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Grand Canyon Education, Inc. | 279 | 0.27 | % | $ | (1,326 | ) | ||||||
Perdoceo Education Corp. | 6,393 | 0.75 | % | (1,778 | ) | |||||||
Bruker Corp. | 335 | 0.29 | % | (1,786 | ) | |||||||
Amphastar Pharmaceuticals, Inc. | 1,959 | 0.41 | % | (2,194 | ) | |||||||
Vertex Pharmaceuticals, Inc. | 149 | 0.30 | % | (2,233 | ) | |||||||
Laboratory Corporation of America Holdings | 104 | 0.33 | % | (2,439 | ) | |||||||
Corcept Therapeutics, Inc. | 2,258 | 0.49 | % | (4,569 | ) | |||||||
Amgen, Inc. | 322 | 0.76 | % | (4,995 | ) | |||||||
USANA Health Sciences, Inc. | 852 | 0.87 | % | (5,461 | ) | |||||||
John B Sanfilippo & Son, Inc. | 1,160 | 1.05 | % | (5,640 | ) | |||||||
Philip Morris International, Inc. | 659 | 0.69 | % | (7,042 | ) | |||||||
Incyte Corp. | 614 | 0.47 | % | (7,169 | ) | |||||||
Bristol-Myers Squibb Co. | 1,497 | 0.98 | % | (7,779 | ) | |||||||
Herbalife Nutrition Ltd. | 923 | 0.43 | % | (9,026 | ) | |||||||
Total Consumer, Non-cyclical | 25,761 | |||||||||||
Utilities | ||||||||||||
IDACORP, Inc. | 859 | 0.99 | % | 3,779 | ||||||||
Public Service Enterprise Group, Inc. | 704 | 0.48 | % | 2,847 | ||||||||
American States Water Co. | 910 | 0.87 | % | 1,621 | ||||||||
Southern Co. | 698 | 0.48 | % | 1,568 | ||||||||
Sempra Energy | 221 | 0.31 | % | (417 | ) | |||||||
UGI Corp. | 1,959 | 0.93 | % | (608 | ) | |||||||
National Fuel Gas Co. | 1,888 | 1.10 | % | (1,206 | ) | |||||||
CMS Energy Corp. | 1,223 | 0.81 | % | (1,381 | ) | |||||||
DTE Energy Co. | 487 | 0.60 | % | (1,463 | ) | |||||||
Chesapeake Utilities Corp. | 698 | 0.93 | % | (1,471 | ) | |||||||
MGE Energy, Inc. | 1,132 | 0.92 | % | (3,958 | ) | |||||||
Total Utilities | (689 | ) | ||||||||||
Communications | ||||||||||||
Juniper Networks, Inc. | 1,552 | 0.47 | % | 3,340 | ||||||||
Cisco Systems, Inc. | 1,663 | 1.01 | % | 2,560 | ||||||||
Fox Corp. — Class A | 593 | 0.26 | % | 1,467 | ||||||||
Ciena Corp. | 409 | 0.23 | % | 1,088 | ||||||||
F5 Networks, Inc. | 162 | 0.36 | % | 932 | ||||||||
VeriSign, Inc. | 168 | 0.38 | % | 650 | ||||||||
Nexstar Media Group, Inc. — Class A | 212 | 0.36 | % | 491 | ||||||||
World Wrestling Entertainment, Inc. — Class A | 554 | 0.35 | % | (561 | ) | |||||||
Arista Networks, Inc. | 80 | 0.31 | % | (1,631 | ) | |||||||
Yelp, Inc. — Class A | 1,135 | 0.47 | % | (1,754 | ) | |||||||
InterDigital, Inc. | 569 | 0.43 | % | (2,188 | ) | |||||||
Viavi Solutions, Inc. | 5,823 | 1.02 | % | (2,547 | ) | |||||||
Cogent Communications Holdings, Inc. | 556 | 0.44 | % | (3,089 | ) | |||||||
Telephone & Data Systems, Inc. | 1,210 | 0.26 | % | (4,654 | ) | |||||||
Omnicom Group, Inc. | 1,331 | 1.07 | % | (6,090 | ) | |||||||
Total Communications | (11,986 | ) | ||||||||||
Financial | ||||||||||||
Synchrony Financial | 2,049 | 1.11 | % | 5,974 | ||||||||
Houlihan Lokey, Inc. | 560 | 0.57 | % | 5,657 | ||||||||
Allstate Corp. | 430 | 0.61 | % | 5,043 | ||||||||
Jefferies Financial Group, Inc. | 830 | 0.34 | % | 4,154 | ||||||||
Raymond James Financial, Inc. | 891 | 0.91 | % | 3,201 | ||||||||
Stewart Information Services Corp. | 1,264 | 0.89 | % | 2,424 | ||||||||
Janus Henderson Group plc | 905 | 0.42 | % | 1,606 | ||||||||
MGIC Investment Corp. | 1,655 | 0.28 | % | 856 | ||||||||
Enstar Group Ltd. | 434 | 1.13 | % | 831 | ||||||||
First American Financial Corp. | 404 | 0.30 | % | 371 | ||||||||
Federated Hermes, Inc. — Class B | 1,209 | 0.44 | % | 140 | ||||||||
Markel Corp. | 26 | 0.35 | % | (283 | ) | |||||||
Safety Insurance Group, Inc. | 1,221 | 1.08 | % | (305 | ) | |||||||
Discover Financial Services | 441 | 0.60 | % | (325 | ) | |||||||
Radian Group, Inc. | 1,650 | 0.42 | % | (453 | ) | |||||||
Everest Re Group Ltd. | 158 | 0.44 | % | (566 | ) | |||||||
Arch Capital Group Ltd. | 1,217 | 0.52 | % | (1,052 | ) | |||||||
Industrial Logistics Properties Trust | 710 | 0.20 | % | (1,119 | ) | |||||||
SEI Investments Co. | 588 | 0.39 | % | (1,406 | ) | |||||||
Artisan Partners Asset Management, Inc. — Class A | 442 | 0.24 | % | (1,691 | ) | |||||||
BankUnited, Inc. | 1,330 | 0.62 | % | (1,796 | ) | |||||||
Interactive Brokers Group, Inc. — Class A | 813 | 0.56 | % | (2,057 | ) | |||||||
Piper Sandler Cos. | 413 | 0.64 | % | (2,220 | ) | |||||||
AMERISAFE, Inc. | 1,287 | 0.80 | % | (2,563 | ) | |||||||
Essent Group Ltd. | 1,024 | 0.50 | % | (2,708 | ) | |||||||
OneMain Holdings, Inc. | 1,071 | 0.66 | % | (2,784 | ) | |||||||
Brandywine Realty Trust | 3,532 | 0.53 | % | (2,818 | ) | |||||||
Affiliated Managers Group, Inc. | 257 | 0.43 | % | (3,143 | ) | |||||||
Evercore, Inc. — Class A | 647 | 0.96 | % | (3,906 | ) | |||||||
Hanover Insurance Group, Inc. | 640 | 0.92 | % | (5,275 | ) | |||||||
Mercury General Corp. | 1,698 | 1.05 | % | (6,970 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Old Republic International Corp. | 3,861 | 0.99 | % | $ | (9,808 | ) | ||||||
Total Financial | (22,991 | ) | ||||||||||
Basic Materials | ||||||||||||
NewMarket Corp. | 119 | 0.45 | % | 576 | ||||||||
Royal Gold, Inc. | 177 | 0.19 | % | (3,182 | ) | |||||||
Ingevity Corp. | 312 | 0.25 | % | (3,596 | ) | |||||||
Reliance Steel & Aluminum Co. | 210 | 0.33 | % | (6,393 | ) | |||||||
Nucor Corp. | 442 | 0.48 | % | (7,268 | ) | |||||||
Total Basic Materials | (19,863 | ) | ||||||||||
Technology | ||||||||||||
NetApp, Inc. | 938 | 0.94 | % | 7,175 | ||||||||
Seagate Technology Holdings plc | 448 | 0.41 | % | 6,352 | ||||||||
CSG Systems International, Inc. | 2,027 | 1.09 | % | 4,994 | ||||||||
Texas Instruments, Inc. | 154 | 0.33 | % | 4,752 | ||||||||
Progress Software Corp. | 1,940 | 1.06 | % | 4,146 | ||||||||
ExlService Holdings, Inc. | 194 | 0.27 | % | 3,116 | ||||||||
Cirrus Logic, Inc. | 1,068 | 0.98 | % | 513 | ||||||||
HP, Inc. | 1,785 | 0.54 | % | (189 | ) | |||||||
Intel Corp. | 772 | 0.46 | % | (249 | ) | |||||||
Lumentum Holdings, Inc. | 527 | 0.49 | % | (421 | ) | |||||||
Rambus, Inc. | 3,916 | 0.97 | % | (423 | ) | |||||||
CommVault Systems, Inc. | 246 | 0.21 | % | (2,168 | ) | |||||||
Oracle Corp. | 723 | 0.70 | % | (2,198 | ) | |||||||
Dropbox, Inc. — Class A | 1,067 | 0.35 | % | (3,399 | ) | |||||||
Xperi Holding Corp. | 1,759 | 0.37 | % | (3,750 | ) | |||||||
Qorvo, Inc. | 277 | 0.51 | % | (5,508 | ) | |||||||
Kulicke & Soffa Industries, Inc. | 418 | 0.27 | % | (6,330 | ) | |||||||
Total Technology | 6,413 | |||||||||||
Energy | ||||||||||||
Equitrans Midstream Corp. | 2,694 | 0.30 | % | 2,613 | ||||||||
Antero Midstream Corp. | 2,371 | 0.27 | % | (14 | ) | |||||||
Total Energy | 2,599 | |||||||||||
Total GS Equity Long Custom Basket | $ | (89,026 | ) | |||||||||
GS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Americold Realty Trust | 7,330 | (1.47 | )% | $ | 63,517 | |||||||
Digital Realty Trust, Inc. | 1,556 | (1.56 | )% | 20,531 | ||||||||
JBG SMITH Properties | 5,348 | (1.10 | )% | 18,573 | ||||||||
Safehold, Inc. | 1,164 | (0.58 | )% | 15,356 | ||||||||
Crown Castle International Corp. | 413 | (0.50 | )% | 8,642 | ||||||||
CyrusOne, Inc. | 1,662 | (0.89 | )% | 5,885 | ||||||||
Ventas, Inc. | 1,215 | (0.46 | )% | 5,707 | ||||||||
Equitable Holdings, Inc. | 4,124 | (0.85 | )% | 4,965 | ||||||||
Welltower, Inc. | 3,134 | (1.79 | )% | 3,568 | ||||||||
Apartment Income REIT Corp. | 1,056 | (0.36 | )% | 3,305 | ||||||||
State Street Corp. | 2,967 | (1.74 | )% | 3,053 | ||||||||
Alexandria Real Estate Equities, Inc. | 893 | (1.18 | )% | 1,866 | ||||||||
Host Hotels & Resorts, Inc. | 16,657 | (1.88 | )% | 604 | ||||||||
Healthpeak Properties, Inc. | 4,632 | (1.07 | )% | 91 | ||||||||
Lincoln National Corp. | 1,902 | (0.91 | )% | (1,724 | ) | |||||||
Wells Fargo & Co. | 1,980 | (0.64 | )% | (1,849 | ) | |||||||
Outfront Media, Inc. | 4,822 | (0.84 | )% | (3,829 | ) | |||||||
Sunstone Hotel Investors, Inc. | 16,180 | (1.34 | )% | (4,210 | ) | |||||||
Pebblebrook Hotel Trust | 5,851 | (0.91 | )% | (4,546 | ) | |||||||
Apple Hospitality REIT, Inc. | 5,126 | (0.56 | )% | (4,897 | ) | |||||||
Bank of America Corp. | 6,705 | (1.97 | )% | (5,858 | ) | |||||||
JPMorgan Chase & Co. | 1,714 | (1.94 | )% | (7,157 | ) | |||||||
Howard Hughes Corp. | 1,467 | (0.89 | )% | (8,377 | ) | |||||||
Comerica, Inc. | 1,285 | (0.72 | )% | (8,557 | ) | |||||||
Western Alliance Bancorporation | 1,334 | (1.01 | )% | (14,850 | ) | |||||||
UDR, Inc. | 4,443 | (1.63 | )% | (15,666 | ) | |||||||
Rayonier, Inc. | 3,354 | (0.83 | )% | (15,748 | ) | |||||||
Equinix, Inc. | 315 | (1.72 | )% | (20,381 | ) | |||||||
First Republic Bank | 783 | (1.05 | )% | (28,695 | ) | |||||||
Rexford Industrial Realty, Inc. | 2,834 | (1.11 | )% | (45,269 | ) | |||||||
Sun Communities, Inc. | 1,283 | (1.65 | )% | (56,442 | ) | |||||||
Total Financial | (92,392 | ) | ||||||||||
Technology | ||||||||||||
Clarivate plc | 6,056 | (0.92 | )% | 28,319 | ||||||||
Coupa Software, Inc. | 477 | (0.72 | )% | 22,437 | ||||||||
DocuSign, Inc. | 233 | (0.42 | )% | 12,092 | ||||||||
Twilio, Inc. — Class A | 174 | (0.38 | )% | 8,317 | ||||||||
Splunk, Inc. | 610 | (0.61 | )% | 8,302 | ||||||||
Everbridge, Inc. | 479 | (0.50 | )% | 7,368 | ||||||||
KBR, Inc. | 6,877 | (1.88 | )% | 4,002 | ||||||||
Zscaler, Inc. | 285 | (0.52 | )% | (224 | ) | |||||||
Smartsheet, Inc. — Class A | 814 | (0.39 | )% | (4,731 | ) | |||||||
Ceridian HCM Holding, Inc. | 805 | (0.63 | )% | (18,607 | ) | |||||||
Total Technology | 67,275 | |||||||||||
Consumer, Non-cyclical | ||||||||||||
Teladoc Health, Inc. | 1,282 | (1.13 | )% | 22,643 | ||||||||
ManpowerGroup, Inc. | 1,633 | (1.22 | )% | 17,944 | ||||||||
Brink’s Co. | 984 | (0.43 | )% | 12,592 | ||||||||
Guardant Health, Inc. | 1,307 | (1.13 | )% | 2,469 | ||||||||
CoStar Group, Inc. | 3,155 | (1.88 | )% | (309 | ) | |||||||
Sysco Corp. | 1,017 | (0.55 | )% | (1,011 | ) | |||||||
Total Consumer, Non-cyclical | 54,328 | |||||||||||
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
| Shares | Percentage | Value and | |||||||||
Energy | ||||||||||||
Schlumberger N.V. | 5,122 | (1.05 | )% | $ | 27,388 | |||||||
Sunrun, Inc. | 1,545 | (0.47 | )% | 2,693 | ||||||||
Helmerich & Payne, Inc. | 2,031 | (0.39 | )% | (1,285 | ) | |||||||
Phillips 66 | 3,934 | (1.91 | )% | (3,249 | ) | |||||||
NOV, Inc. | 4,152 | (0.38 | )% | (4,329 | ) | |||||||
Hess Corp. | 859 | (0.46 | )% | (7,164 | ) | |||||||
Patterson-UTI Energy, Inc. | 11,297 | (0.70 | )% | (14,059 | ) | |||||||
Pioneer Natural Resources Co. | 1,836 | (2.12 | )% | (18,661 | ) | |||||||
Valero Energy Corp. | 4,218 | (2.06 | )% | (26,654 | ) | |||||||
Devon Energy Corp. | 2,704 | (0.67 | )% | (27,783 | ) | |||||||
Range Resources Corp. | 5,647 | (0.89 | )% | (29,819 | ) | |||||||
Diamondback Energy, Inc. | 1,530 | (1.00 | )% | (30,275 | ) | |||||||
Halliburton Co. | 12,406 | (1.86 | )% | (31,050 | ) | |||||||
Total Energy | (164,247 | ) | ||||||||||
Utilities | ||||||||||||
ONE Gas, Inc. | 3,038 | (1.33 | )% | 42,501 | ||||||||
Atmos Energy Corp. | 2,798 | (1.71 | )% | 34,789 | ||||||||
Edison International | 4,651 | (1.79 | )% | 10,935 | ||||||||
CenterPoint Energy, Inc. | 2,908 | (0.50 | )% | 3,698 | ||||||||
Total Utilities | 91,923 | |||||||||||
Consumer, Cyclical | ||||||||||||
United Airlines Holdings, Inc. | 5,882 | (1.94 | )% | 26,762 | ||||||||
JetBlue Airways Corp. | 15,403 | (1.63 | )% | 25,013 | ||||||||
Freshpet, Inc. | 832 | (0.82 | )% | 15,457 | ||||||||
DraftKings, Inc. — Class A | 1,081 | (0.36 | )% | 13,471 | ||||||||
Spirit Airlines, Inc. | 3,574 | (0.64 | )% | 6,365 | ||||||||
Alaska Air Group, Inc. | 3,264 | (1.33 | )% | 5,307 | ||||||||
Delta Air Lines, Inc. | 6,738 | (1.99 | )% | 1,730 | ||||||||
Southwest Airlines Co. | 4,436 | (1.58 | )% | (8,820 | ) | |||||||
American Airlines Group, Inc. | 13,918 | (1.98 | )% | (15,649 | ) | |||||||
Royal Caribbean Cruises Ltd. | 1,632 | (1.01 | )% | (16,107 | ) | |||||||
Total Consumer, Cyclical | 53,529 | |||||||||||
Industrial | ||||||||||||
Stericycle, Inc. | 3,902 | (1.84 | )% | 21,263 | ||||||||
Jacobs Engineering Group, Inc. | 2,018 | (1.85 | )% | 14,313 | ||||||||
US Ecology, Inc. | 2,290 | (0.51 | )% | 11,673 | ||||||||
Harsco Corp. | 6,485 | (0.76 | )% | 8,025 | ||||||||
Boeing Co. | 1,043 | (1.59 | )% | 5,762 | ||||||||
TransDigm Group, Inc. | 151 | (0.65 | )% | 1,172 | ||||||||
General Electric Co. | 646 | (0.46 | )% | (780 | ) | |||||||
Waste Management, Inc. | 1,766 | (1.83 | )% | (22,269 | ) | |||||||
Republic Services, Inc. — Class A | 2,181 | (1.81 | )% | (23,848 | ) | |||||||
Tetra Tech, Inc. | 689 | (0.71 | )% | (39,453 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 3,129 | (1.65 | )% | (63,196 | ) | |||||||
Total Industrial | (87,338 | ) | ||||||||||
Communications | ||||||||||||
Okta, Inc. | 614 | (1.01 | )% | 13,080 | ||||||||
Uber Technologies, Inc. | 3,256 | (1.01 | )% | 8,795 | ||||||||
Chewy, Inc. — Class A | 730 | (0.34 | )% | 6,370 | ||||||||
Anaplan, Inc. | 1,246 | (0.53 | )% | 2,087 | ||||||||
Lyft, Inc. — Class A | 2,530 | (0.94 | )% | (14,512 | ) | |||||||
Total Communications | 15,820 | |||||||||||
Basic Materials | ||||||||||||
International Flavors & Fragrances, Inc. | 1,601 | (1.48 | )% | 24,572 | ||||||||
Total GS Equity Short Custom Basket | $ | (36,530 | ) |
* | 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 | All or a portion of this security is pledged as custom basket swap collateral at September 30, 2021. |
2 | Rate indicated is the 7-day yield as of September 30, 2021. |
GS — Goldman Sachs International | |
MS — Morgan Stanley Capital Services LLC | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
ALPHA OPPORTUNITY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 32,753,015 | $ | — | $ | — | $ | 32,753,015 | ||||||||
Money Market Fund | 3,173,294 | — | — | 3,173,294 | ||||||||||||
Total Assets | $ | 35,926,309 | $ | — | $ | — | $ | 35,926,309 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Custom Basket Swap Agreements** | $ | — | $ | 272,911 | $ | — | $ | 272,911 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ALPHA OPPORTUNITY FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments, at value (cost $35,369,449) | $ | 35,926,309 | ||
Cash | 297 | |||
Prepaid expenses | 24,624 | |||
Receivables: | ||||
Dividends | 54,416 | |||
Fund shares sold | 89 | |||
Interest | 14 | |||
Total assets | 36,005,749 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 272,911 | |||
Payable for: | ||||
Swap settlement | 670,379 | |||
Management fees | 25,797 | |||
Fund accounting/administration fees | 5,832 | |||
Trustees’ fees* | 5,450 | |||
Transfer agent/maintenance fees | 5,012 | |||
Due to Investment Adviser | 3,500 | |||
Distribution and service fees | 1,275 | |||
Fund shares redeemed | 27 | |||
Miscellaneous | 63,417 | |||
Total liabilities | 1,053,600 | |||
Net assets | $ | 34,952,149 | ||
Net assets consist of: | ||||
Paid in capital | $ | 62,385,783 | ||
Total distributable earnings (loss) | (27,433,634 | ) | ||
Net assets | $ | 34,952,149 | ||
A-Class: | ||||
Net assets | $ | 3,041,598 | ||
Capital shares outstanding | 168,466 | |||
Net asset value per share | $ | 18.05 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 18.95 | ||
C-Class: | ||||
Net assets | $ | 277,491 | ||
Capital shares outstanding | 17,606 | |||
Net asset value per share | $ | 15.76 | ||
P-Class: | ||||
Net assets | $ | 1,855,080 | ||
Capital shares outstanding | 101,864 | |||
Net asset value per share | $ | 18.21 | ||
Institutional Class: | ||||
Net assets | $ | 29,777,980 | ||
Capital shares outstanding | 1,126,102 | |||
Net asset value per share | $ | 26.44 |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends | $ | 847,124 | ||
Interest | 108 | |||
Total investment income | 847,232 | |||
Expenses: | ||||
Management fees | 328,770 | |||
Distribution and service fees: | ||||
A-Class | 8,130 | |||
C-Class | 3,055 | |||
P-Class | 4,223 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 5,698 | |||
C-Class | 761 | |||
P-Class | 3,358 | |||
Institutional Class | 21,516 | |||
Registration fees | 79,513 | |||
Professional fees | 46,574 | |||
Fund accounting/administration fees | 32,934 | |||
Custodian fees | 23,054 | |||
Trustees’ fees* | 20,312 | |||
Line of credit fees | 1,642 | |||
Interest expense | 78 | |||
Miscellaneous | 14,518 | |||
Recoupment of previously waived fees: | ||||
A-Class | 483 | |||
C-Class | 22 | |||
P-Class | 120 | |||
Institutional Class | 4,893 | |||
Total expenses | 599,654 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (4,508 | ) | ||
C-Class | (626 | ) | ||
P-Class | (2,682 | ) | ||
Institutional Class | (13,216 | ) | ||
Expenses waived by Adviser | (13,704 | ) | ||
Total waived/reimbursed expenses | (34,736 | ) | ||
Net expenses | 564,918 | |||
Net investment income | 282,314 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 10,029,762 | |||
Swap agreements | (9,106,066 | ) | ||
Net realized gain | 923,696 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,093,710 | |||
Swap agreements | 733,262 | |||
Net change in unrealized appreciation (depreciation) | 1,826,972 | |||
Net realized and unrealized gain | 2,750,668 | |||
Net increase in net assets resulting from operations | $ | 3,032,982 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
ALPHA OPPORTUNITY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 282,314 | $ | 560,342 | ||||
Net realized gain (loss) on investments | 923,696 | (4,172,863 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,826,972 | (1,111,702 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 3,032,982 | (4,724,223 | ) | |||||
Distributions to shareholders: | ||||||||
A-Class | (41,923 | ) | (62,477 | ) | ||||
C-Class | (666 | ) | — | |||||
P-Class | (18,203 | ) | (14,549 | ) | ||||
Institutional Class | (351,160 | ) | (785,413 | ) | ||||
Total distributions to shareholders | (411,952 | ) | (862,439 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 168,044 | 257,347 | ||||||
C-Class | 3,300 | 5,850 | ||||||
P-Class | 941,686 | 395,733 | ||||||
Institutional Class | 434,959 | 1,995,224 | ||||||
Distributions reinvested | ||||||||
A-Class | 39,965 | 60,267 | ||||||
C-Class | 628 | — | ||||||
P-Class | 18,203 | 14,549 | ||||||
Institutional Class | 345,735 | 776,126 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (814,018 | ) | (3,940,371 | ) | ||||
C-Class | (102,868 | ) | (339,528 | ) | ||||
P-Class | (351,042 | ) | (1,089,176 | ) | ||||
Institutional Class | (5,557,148 | ) | (44,596,146 | ) | ||||
Net decrease from capital share transactions | (4,872,556 | ) | (46,460,125 | ) | ||||
Net decrease in net assets | (2,251,526 | ) | (52,046,787 | ) | ||||
Net assets: | ||||||||
Beginning of year | 37,203,675 | 89,250,462 | ||||||
End of year | $ | 34,952,149 | $ | 37,203,675 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 9,329 | 14,992 | ||||||
C-Class | 215 | 398 | ||||||
P-Class | 52,371 | 22,812 | ||||||
Institutional Class | 16,972 | 82,744 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 2,300 | 3,442 | ||||||
C-Class | 41 | — | ||||||
P-Class | 1,038 | 823 | ||||||
Institutional Class | 13,612 | 30,436 | ||||||
Shares redeemed | ||||||||
A-Class | (46,125 | ) | (235,922 | ) | ||||
C-Class | (6,688 | ) | (22,693 | ) | ||||
P-Class | (19,588 | ) | (64,097 | ) | ||||
Institutional Class | (212,990 | ) | (1,931,549 | ) | ||||
Net decrease in shares | (189,513 | ) | (2,098,614 | ) |
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ALPHA OPPORTUNITY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 16.89 | $ | 17.42 | $ | 19.15 | $ | 21.10 | $ | 19.08 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .10 | .11 | .12 | .10 | .31 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.27 | (.48 | ) | (1.64 | ) | (.60 | ) | 1.72 | ||||||||||||
Total from investment operations | 1.37 | (.37 | ) | (1.52 | ) | (.50 | ) | 2.03 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.21 | ) | (.16 | ) | (.21 | ) | — | — | ||||||||||||
Net realized gains | — | — | — | (1.45 | ) | (.01 | ) | |||||||||||||
Total distributions | (.21 | ) | (.16 | ) | (.21 | ) | (1.45 | ) | (.01 | ) | ||||||||||
Net asset value, end of period | $ | 18.05 | $ | 16.89 | $ | 17.42 | $ | 19.15 | $ | 21.10 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 8.17 | % | (2.15 | %) | (7.97 | %) | (2.90 | %) | 10.70 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,042 | $ | 3,429 | $ | 7,326 | $ | 11,243 | $ | 15,011 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.56 | % | 0.65 | % | 0.64 | % | 0.51 | % | 1.49 | % | ||||||||||
Total expensesc | 1.94 | % | 1.73 | % | 1.65 | % | 1.54 | % | 2.21 | % | ||||||||||
Net expensesd,e,f | 1.76 | % | 1.69 | % | 1.64 | % | 1.54 | % | 2.17 | % | ||||||||||
Portfolio turnover rate | 169 | % | 209 | % | 126 | % | 255 | % | 92 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.71 | $ | 15.16 | $ | 16.61 | $ | 18.62 | $ | 16.96 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.03 | ) | (.02 | ) | (.03 | ) | (.05 | ) | .09 | |||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.11 | (.43 | ) | (1.42 | ) | (.51 | ) | 1.58 | ||||||||||||
Total from investment operations | 1.08 | (.45 | ) | (1.45 | ) | (.56 | ) | 1.67 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.03 | ) | — | — | — | — | ||||||||||||||
Net realized gains | — | — | — | (1.45 | ) | (.01 | ) | |||||||||||||
Total distributions | (.03 | ) | — | — | (1.45 | ) | (.01 | ) | ||||||||||||
Net asset value, end of period | $ | 15.76 | $ | 14.71 | $ | 15.16 | $ | 16.61 | $ | 18.62 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 7.37 | % | (2.97 | %) | (8.73 | %) | (3.65 | %) | 9.91 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 277 | $ | 354 | $ | 702 | $ | 1,036 | $ | 2,508 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.19 | %) | (0.15 | %) | (0.20 | %) | (0.31 | %) | 0.47 | % | ||||||||||
Total expensesc | 2.75 | % | 2.72 | % | 2.55 | % | 2.34 | % | 2.94 | % | ||||||||||
Net expensesd,e,f | 2.51 | % | 2.51 | % | 2.48 | % | 2.31 | % | 2.88 | % | ||||||||||
Portfolio turnover rate | 169 | % | 209 | % | 126 | % | 255 | % | 92 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
ALPHA OPPORTUNITY FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 17.06 | $ | 17.56 | $ | 19.23 | $ | 21.19 | $ | 19.11 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .10 | .12 | .11 | .10 | (.06 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.28 | (.49 | ) | (1.64 | ) | (.61 | ) | 2.15 | ||||||||||||
Total from investment operations | 1.38 | (.37 | ) | (1.53 | ) | (.51 | ) | 2.09 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.23 | ) | (.13 | ) | (.14 | ) | — | — | ||||||||||||
Net realized gains | — | — | — | (1.45 | ) | (.01 | ) | |||||||||||||
Total distributions | (.23 | ) | (.13 | ) | (.14 | ) | (1.45 | ) | (.01 | ) | ||||||||||
Net asset value, end of period | $ | 18.21 | $ | 17.06 | $ | 17.56 | $ | 19.23 | $ | 21.19 | ||||||||||
| ||||||||||||||||||||
Total Return | 8.17 | % | (2.11 | %) | (7.99 | %) | (2.93 | %) | 11.00 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,855 | $ | 1,161 | $ | 1,905 | $ | 4,525 | $ | 7,720 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.54 | % | 0.70 | % | 0.59 | % | 0.47 | % | (0.31 | %) | ||||||||||
Total expensesc | 1.96 | % | 1.67 | % | 1.67 | % | 1.58 | % | 1.75 | % | ||||||||||
Net expensesd,e,f | 1.76 | % | 1.64 | % | 1.66 | % | 1.57 | % | 1.72 | % | ||||||||||
Portfolio turnover rate | 169 | % | 209 | % | 126 | % | 255 | % | 92 | % |
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ALPHA OPPORTUNITY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 24.65 | $ | 25.37 | $ | 27.77 | $ | 29.86 | $ | 26.82 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .22 | .25 | .28 | .27 | .12 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.85 | (.72 | ) | (2.37 | ) | (.91 | ) | 2.93 | ||||||||||||
Total from investment operations | 2.07 | (.47 | ) | (2.09 | ) | (.64 | ) | 3.05 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.28 | ) | (.25 | ) | (.31 | ) | — | — | ||||||||||||
Net realized gains | — | — | — | (1.45 | ) | (.01 | ) | |||||||||||||
Total distributions | (.28 | ) | (.25 | ) | (.31 | ) | (1.45 | ) | (.01 | ) | ||||||||||
Net asset value, end of period | $ | 26.44 | $ | 24.65 | $ | 25.37 | $ | 27.77 | $ | 29.86 | ||||||||||
| ||||||||||||||||||||
Total Return | 8.46 | % | (1.87 | %) | (7.57 | %) | (2.50 | %) | 11.42 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 29,778 | $ | 32,260 | $ | 79,318 | $ | 181,095 | $ | 196,180 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.82 | % | 1.00 | % | 1.05 | % | 0.94 | % | 0.40 | % | ||||||||||
Total expensesc | 1.58 | % | 1.36 | % | 1.22 | % | 1.12 | % | 1.38 | % | ||||||||||
Net expensesd,e,f | 1.50 | % | 1.36 | % | 1.21 | % | 1.12 | % | 1.37 | % | ||||||||||
Portfolio turnover rate | 169 | % | 209 | % | 126 | % | 255 | % | 92 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 0.01% | 0.02% | 0.09% | 0.02% | 0.32% | |
C-Class | 0.01% | 0.01% | 0.04% | 0.07% | 0.64% | |
P-Class | 0.01% | 0.01% | 0.03% | 0.04% | — | |
Institutional Class | 0.02% | 0.00%* | 0.00%* | — | 0.01% |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 1.76% | 1.69% | 1.64% | 1.52% | 2.00% | |
C-Class | 2.51% | 2.51% | 2.48% | 2.30% | 2.71% | |
P-Class | 1.76% | 1.64% | 1.66% | 1.56% | 1.68% | |
Institutional Class | 1.50% | 1.36% | 1.21% | 1.11% | 1.28% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders:
Guggenheim Large Cap Value Fund (the “Fund”) is managed by a team of seasoned professionals led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and performance of the Fund for the fiscal year ended September 30, 2021.
For the fiscal year ended September 30, 2021, Guggenheim Large Cap Value Fund returned 40.59%1, compared with the 35.01% return of its benchmark, the Russell 1000® Value Index.
Strategy and Market Overview
Our investment approach focuses on understanding how companies make money and how easily companies can improve returns, maintain existing high levels of profitability, or benefit from change that occurs within the industries in which they operate. In today’s rapidly changing environment marked by very sharp and quick, but constrained, volatility, our long-term orientation and discipline are a competitive advantage. This should become especially critical when the environment of indiscriminant valuation expansion subsides, and fundamentals once again become a more dominant factor in the market.
Performance Review
Rising interest rates, the reopening of the economy following the pandemic, and a historically wide valuation gap between growth and value sectors were among the factors that, in a reversal from the last few years, saw value stocks solidly outperform growth stocks over the period, particularly in the small capitalization space. Early on, the smallest and most sensitive to an improving economy advanced the most, but larger, more growth-focused names stepped up as the market grew concerned about the Delta variant, peak profitability, rising input prices, logistical challenges, and shortages. The Fund, which tends to own the smaller and more value-focused companies in the benchmark, lagged its benchmark at times throughout the period.
The Fund benefited from strong security selection, with the leading sector contributors Materials, Financial, and Energy. In Materials, commodity price inflation on the back of an improving economy benefitted steel names such as Nucor and Reliance Steel as well as specialty chemical companies like Olin Corp. and Westlake Chemical Corp.
A steepening yield curve and improving credit fundamentals helped the Fund’s financial holdings outperform those in the benchmark, and the impact was magnified by the sector’s large weighting, the largest in both the Fund and the benchmark. Major banks such as Citigroup, Inc., Morgan Stanley, and Wells Fargo were leading contributors, as were some regional banks like KeyCorp and Zions Bancorp.
Selection in Energy was also a relative contributor to performance, as the sector benefitted from the rise in price of both oil and natural gas. An emphasis on exploration and production companies was helpful, especially for natural gas-oriented Range Resources; integrated oil companies Marathon Oil and ConocoPhillips were the main sector contributors. Another significant contributor was Parsley Energy, an oil and gas company which was acquired by Pioneer Natural Resources during the period.
The principal sector detractor for the period was Communication Services, offset by an underweighting of the sector as a whole. The main detractor was an active underweight in Alphabet and an overweight position in Verizon Communications. The Fund favored Verizon over AT&T, which underperformed for the period. Stock selection detracted slightly in Industrials, where the largest detractor was FedEx Corp, which cited higher labor costs and supply-chain issues in its weaker-than-expected earnings report late in the period.
Portfolio Positioning
While this strategy is balanced relative to the benchmark, the size of companies it owns is typically smaller, given their often-better growth opportunities.
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
At the end of the period, the Fund’s largest sector overweights relative to the benchmark were in Energy and Utilities. The Fund’s largest sector underweight was in Financials; as noted, the Fund moved from an overweight at the beginning of the period an underweight by period end. Other sector underweights at period end were Health Care and Industrials.
Portfolio and Market Outlook
The market outlook is indeed murkier than usual. The expectation of a government and a Federal Reserve (“Fed”) willing to do whatever is necessary to help the economy and the markets will need to meet the growing limitations that an increasingly indebted nation must eventually face. However, near term benefits of stimulus money and a Fed willing to commit to near zero interest rates for an indefinite period suggest a buoyant near-term outlook. The eventual outcome of the stimulus bill being debated in Congress and the Fed’s tapering process also promise to be significant but unpredictable market movers.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
LARGE CAP VALUE FUND
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | August 7, 1944 |
C-Class | January 29, 1999 |
P-Class | May 1, 2015 |
Institutional Class | June 7, 2013 |
Ten Largest Holdings (% of Total Net Assets) | |
JPMorgan Chase & Co. | 2.7% |
Verizon Communications, Inc. | 2.3% |
Johnson & Johnson | 2.3% |
Berkshire Hathaway, Inc. — Class B | 2.3% |
Wells Fargo & Co. | 2.2% |
Tyson Foods, Inc. — Class A | 2.1% |
Bank of America Corp. | 2.0% |
Comcast Corp. — Class A | 2.0% |
Micron Technology, Inc. | 1.9% |
Chevron Corp. | 1.7% |
Top Ten Total | 21.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 40.59% | 10.79% | 12.56% |
A-Class Shares with sales charge‡ | 33.93% | 9.72% | 12.01% |
C-Class Shares | 39.55% | 9.95% | 11.72% |
C-Class Shares with CDSC§ | 38.55% | 9.95% | 11.72% |
Russell 1000 Value Index | 35.01% | 10.94% | 13.51% |
| 1 Year | 5 Year | Since |
Institutional Class Shares | 40.93% | 11.05% | 9.89% |
Russell 1000 Value Index | 35.01% | 10.94% | 10.34% |
| 1 Year | 5 Year | Since |
P-Class Shares | 40.60% | 10.78% | 8.94% |
Russell 1000 Value Index | 35.01% | 10.94% | 9.19% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
‡ | Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the Average Annual Returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
LARGE CAP VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 95.3% | ||||||||
Consumer, Non-cyclical - 21.1% | ||||||||
Johnson & Johnson | 5,594 | $ | 903,431 | |||||
Tyson Foods, Inc. — Class A | 10,678 | 842,921 | ||||||
Humana, Inc. | 1,615 | 628,477 | ||||||
HCA Healthcare, Inc. | 2,319 | 562,868 | ||||||
Archer-Daniels-Midland Co. | 8,690 | 521,487 | ||||||
McKesson Corp. | 2,560 | 510,413 | ||||||
Ingredion, Inc. | 5,561 | 494,985 | ||||||
Medtronic plc | 3,632 | 455,271 | ||||||
Quest Diagnostics, Inc. | 3,026 | 439,708 | ||||||
Henry Schein, Inc.* | 5,267 | 401,135 | ||||||
Merck & Company, Inc. | 5,070 | 380,808 | ||||||
J M Smucker Co. | 2,979 | 357,569 | ||||||
Bunge Ltd. | 4,271 | 347,318 | ||||||
Encompass Health Corp. | 4,310 | 323,422 | ||||||
Zimmer Biomet Holdings, Inc. | 2,098 | 307,063 | ||||||
Amgen, Inc. | 1,160 | 246,674 | ||||||
Pfizer, Inc. | 4,927 | 211,910 | ||||||
Procter & Gamble Co. | 1,438 | 201,033 | ||||||
Bristol-Myers Squibb Co. | 2,895 | 171,297 | ||||||
Total Consumer, Non-cyclical | 8,307,790 | |||||||
Financial - 20.3% | ||||||||
JPMorgan Chase & Co. | 6,526 | 1,068,241 | ||||||
Berkshire Hathaway, Inc. — Class B* | 3,256 | 888,693 | ||||||
Wells Fargo & Co. | 18,543 | 860,581 | ||||||
Bank of America Corp. | 18,761 | 796,404 | ||||||
Allstate Corp. | 3,930 | 500,328 | ||||||
Citigroup, Inc. | 6,742 | 473,154 | ||||||
STAG Industrial, Inc. REIT | 10,180 | 399,565 | ||||||
Voya Financial, Inc. | 5,629 | 345,564 | ||||||
Charles Schwab Corp. | 4,430 | 322,681 | ||||||
Medical Properties Trust, Inc. REIT | 15,422 | 309,520 | ||||||
Regions Financial Corp. | 12,450 | 265,309 | ||||||
Jones Lang LaSalle, Inc.* | 926 | 229,731 | ||||||
KeyCorp | 10,260 | 221,821 | ||||||
Zions Bancorp North America | 3,490 | 215,996 | ||||||
American Tower Corp. — Class A REIT | 809 | 214,717 | ||||||
Park Hotels & Resorts, Inc. REIT* | 10,682 | 204,453 | ||||||
Gaming and Leisure Properties, Inc. REIT | 4,284 | 198,435 | ||||||
Mastercard, Inc. — Class A | 531 | 184,618 | ||||||
American International Group, Inc. | 3,078 | 168,952 | ||||||
BOK Financial Corp. | 1,601 | 143,370 | ||||||
Total Financial | 8,012,133 | |||||||
Consumer, Cyclical - 9.6% | ||||||||
Walmart, Inc. | 4,354 | 606,861 | ||||||
LKQ Corp.* | 9,048 | 455,295 | ||||||
Southwest Airlines Co.* | 8,084 | 415,760 | ||||||
Kohl’s Corp. | 8,436 | 397,251 | ||||||
DR Horton, Inc. | 4,246 | 356,537 | ||||||
Home Depot, Inc. | 996 | 326,947 | ||||||
Lear Corp. | 2,052 | 321,097 | ||||||
PACCAR, Inc. | 3,462 | 273,221 | ||||||
PVH Corp.* | 2,358 | 242,379 | ||||||
Ralph Lauren Corp. — Class A | 1,925 | 213,752 | ||||||
Penske Automotive Group, Inc. | 1,844 | 185,506 | ||||||
Total Consumer, Cyclical | 3,794,606 | |||||||
Communications - 9.4% | ||||||||
Verizon Communications, Inc. | 16,953 | 915,632 | ||||||
Comcast Corp. — Class A | 13,991 | 782,517 | ||||||
Cisco Systems, Inc. | 7,671 | 417,532 | ||||||
Alphabet, Inc. — Class A* | 144 | 384,987 | ||||||
T-Mobile US, Inc.* | 2,662 | 340,097 | ||||||
FireEye, Inc.* | 14,487 | 257,869 | ||||||
Walt Disney Co.* | 1,396 | 236,161 | ||||||
Juniper Networks, Inc. | 7,162 | 197,098 | ||||||
ViacomCBS, Inc. — Class B | 4,802 | 189,727 | ||||||
Total Communications | 3,721,620 | |||||||
Energy - 8.7% | ||||||||
Chevron Corp. | 6,513 | 660,744 | ||||||
ConocoPhillips | 9,454 | 640,698 | ||||||
Range Resources Corp.* | 26,545 | 600,713 | ||||||
Marathon Oil Corp. | 27,332 | 373,628 | ||||||
Cabot Oil & Gas Corp. — Class A | 15,688 | 341,371 | ||||||
Pioneer Natural Resources Co. | 1,695 | 282,235 | ||||||
Patterson-UTI Energy, Inc. | 29,265 | 263,385 | ||||||
Exxon Mobil Corp. | 4,271 | 251,220 | ||||||
Total Energy | 3,413,994 | |||||||
Technology - 7.9% | ||||||||
Micron Technology, Inc. | 10,697 | 759,273 | ||||||
Skyworks Solutions, Inc. | 2,744 | 452,156 | ||||||
DXC Technology Co.* | 12,680 | 426,175 | ||||||
Leidos Holdings, Inc. | 4,043 | 388,653 | ||||||
Apple, Inc. | 2,661 | 376,531 | ||||||
Qorvo, Inc.* | 2,163 | 361,632 | ||||||
Amdocs Ltd. | 2,777 | 210,247 | ||||||
Cerner Corp. | 2,157 | 152,112 | ||||||
Total Technology | 3,126,779 | |||||||
Industrial - 6.8% | ||||||||
Johnson Controls International plc | 7,830 | 533,066 | ||||||
L3Harris Technologies, Inc. | 1,908 | 420,218 | ||||||
Knight-Swift Transportation Holdings, Inc. | 7,758 | 396,822 | ||||||
Valmont Industries, Inc. | 1,520 | 357,383 | ||||||
Curtiss-Wright Corp. | 2,333 | 294,378 | ||||||
Owens Corning | 2,852 | 243,846 | ||||||
FedEx Corp. | 990 | 217,097 | ||||||
Advanced Energy Industries, Inc. | 2,211 | 194,015 | ||||||
Total Industrial | 2,656,825 | |||||||
Utilities - 6.7% | ||||||||
Exelon Corp. | 13,360 | 645,822 | ||||||
Public Service Enterprise Group, Inc. | 8,648 | 526,663 | ||||||
Edison International | 7,992 | 443,316 | ||||||
Duke Energy Corp. | 3,801 | 370,940 | ||||||
Pinnacle West Capital Corp. | 4,002 | 289,585 | ||||||
NiSource, Inc. | 8,523 | 206,512 |
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
LARGE CAP VALUE FUND |
| Shares | Value | ||||||
PPL Corp. | 5,782 | $ | 161,202 | |||||
Total Utilities | 2,644,040 | |||||||
Basic Materials - 4.8% | ||||||||
Huntsman Corp. | 20,447 | 605,027 | ||||||
Westlake Chemical Corp. | 5,207 | 474,566 | ||||||
Reliance Steel & Aluminum Co. | 1,872 | 266,610 | ||||||
Nucor Corp. | 1,978 | 194,813 | ||||||
International Flavors & Fragrances, Inc. | 1,105 | 147,761 | ||||||
Dow, Inc. | 2,118 | 121,912 | ||||||
DuPont de Nemours, Inc. | 1,392 | 94,642 | ||||||
Total Basic Materials | 1,905,331 | |||||||
Total Common Stocks | ||||||||
(Cost $28,307,005) | 37,583,118 | |||||||
MONEY MARKET FUND† - 4.9% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%1 | 1,935,173 | 1,935,173 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,935,173) | 1,935,173 | |||||||
Total Investments - 100.2% | ||||||||
(Cost $30,242,178) | $ | 39,518,291 | ||||||
Other Assets & Liabilities, net - (0.2)% | (91,246 | ) | ||||||
Total Net Assets - 100.0% | $ | 39,427,045 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of September 30, 2021. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 37,583,118 | $ | — | $ | — | $ | 37,583,118 | ||||||||
Money Market Fund | 1,935,173 | — | — | 1,935,173 | ||||||||||||
Total Assets | $ | 39,518,291 | $ | — | $ | — | $ | 39,518,291 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
LARGE CAP VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments, at value (cost $30,242,178) | $ | 39,518,291 | ||
Prepaid expenses | 35,985 | |||
Receivables: | ||||
Securities sold | 307,925 | |||
Fund shares sold | 103,252 | |||
Dividends | 42,328 | |||
Interest | 13 | |||
Total assets | 40,007,794 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 508,608 | |||
Professional fees | 29,984 | |||
Distribution and service fees | 8,644 | |||
Management fees | 6,287 | |||
Fund accounting/administration fees | 5,852 | |||
Transfer agent/maintenance fees | 3,500 | |||
Trustees’ fees* | 2,164 | |||
Fund shares redeemed | 1,656 | |||
Due to Investment Adviser | 13 | |||
Miscellaneous | 14,041 | |||
Total liabilities | 580,749 | |||
Net assets | $ | 39,427,045 | ||
Net assets consist of: | ||||
Paid in capital | $ | 27,518,472 | ||
Total distributable earnings (loss) | 11,908,573 | |||
Net assets | $ | 39,427,045 | ||
A-Class: | ||||
Net assets | $ | 36,677,752 | ||
Capital shares outstanding | 732,355 | |||
Net asset value per share | $ | 50.08 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 52.58 | ||
C-Class: | ||||
Net assets | $ | 1,190,892 | ||
Capital shares outstanding | 26,213 | |||
Net asset value per share | $ | 45.43 | ||
P-Class: | ||||
Net assets | $ | 193,914 | ||
Capital shares outstanding | 3,885 | |||
Net asset value per share | $ | 49.91 | ||
Institutional Class: | ||||
Net assets | $ | 1,364,487 | ||
Capital shares outstanding | 27,626 | |||
Net asset value per share | $ | 49.39 |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends | $ | 757,658 | ||
Interest | 80 | |||
Total investment income | 757,738 | |||
Expenses: | ||||
Management fees | 243,618 | |||
Distribution and service fees: | ||||
A-Class | 88,169 | |||
C-Class | 11,640 | |||
P-Class | 428 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 33,752 | |||
C-Class | 2,831 | |||
P-Class | 554 | |||
Institutional Class | 1,208 | |||
Registration fees | 73,542 | |||
Professional fees | 37,029 | |||
Fund accounting/administration fees | 34,468 | |||
Trustees’ fees* | 18,451 | |||
Custodian fees | 5,315 | |||
Line of credit fees | 1,571 | |||
Miscellaneous | 8,087 | |||
Total expenses | 560,663 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (34,155 | ) | ||
C-Class | (2,849 | ) | ||
P-Class | (557 | ) | ||
Institutional Class | (1,221 | ) | ||
Expenses waived by Adviser | (86,056 | ) | ||
Total waived/reimbursed expenses | (124,838 | ) | ||
Net expenses | 435,825 | |||
Net investment income | 321,913 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 2,617,799 | |||
Net realized gain | 2,617,799 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 8,907,008 | |||
Net change in unrealized appreciation (depreciation) | 8,907,008 | |||
Net realized and unrealized gain | 11,524,807 | |||
Net increase in net assets resulting from operations | $ | 11,846,720 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LARGE CAP VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 321,913 | $ | 994,120 | ||||
Net realized gain on investments | 2,617,799 | 3,048,366 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 8,907,008 | (5,202,366 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 11,846,720 | (1,159,880 | ) | |||||
Distributions to shareholders: | ||||||||
A-Class | (2,193,216 | ) | (4,000,303 | ) | ||||
C-Class | (62,032 | ) | (91,548 | ) | ||||
P-Class | (10,031 | ) | (12,859 | ) | ||||
Institutional Class | (41,693 | ) | (62,549 | ) | ||||
Total distributions to shareholders | (2,306,972 | ) | (4,167,259 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 1,547,889 | 3,084,388 | ||||||
C-Class | 798,269 | 504,377 | ||||||
P-Class | 52,916 | 82,267 | ||||||
Institutional Class | 809,667 | 118,986 | ||||||
Distributions reinvested | ||||||||
A-Class | 2,145,743 | 3,948,727 | ||||||
C-Class | 62,032 | 89,872 | ||||||
P-Class | 10,031 | 12,859 | ||||||
Institutional Class | 41,693 | 62,549 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (4,617,822 | ) | (26,723,359 | ) | ||||
C-Class | (856,471 | ) | (1,000,958 | ) | ||||
P-Class | (79,066 | ) | (62,200 | ) | ||||
Institutional Class | (132,982 | ) | (419,568 | ) | ||||
Net decrease from capital share transactions | (218,101 | ) | (20,302,060 | ) | ||||
Net increase (decrease) in net assets | 9,321,647 | (25,629,199 | ) | |||||
Net assets: | ||||||||
Beginning of year | 30,105,398 | 55,734,597 | ||||||
End of year | $ | 39,427,045 | $ | 30,105,398 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 32,527 | 78,228 | ||||||
C-Class | 18,265 | 12,605 | ||||||
P-Class | 1,148 | 2,222 | ||||||
Institutional Class | 16,692 | 3,414 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 51,016 | 90,195 | ||||||
C-Class | 1,616 | 2,239 | ||||||
P-Class | 239 | 295 | ||||||
Institutional Class | 1,007 | 1,449 | ||||||
Shares redeemed | ||||||||
A-Class | (99,103 | ) | (642,844 | ) | ||||
C-Class | (19,854 | ) | (27,210 | ) | ||||
P-Class | (1,957 | ) | (1,632 | ) | ||||
Institutional Class | (2,711 | ) | (10,755 | ) | ||||
Net decrease in shares | (1,115 | ) | (491,794 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
LARGE CAP VALUE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 38.17 | $ | 43.56 | $ | 48.08 | $ | 46.96 | $ | 41.78 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .41 | .97 | .62 | .48 | .37 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 14.51 | (2.97 | ) | (2.66 | ) | 4.46 | 6.80 | |||||||||||||
Total from investment operations | 14.92 | (2.00 | ) | (2.04 | ) | 4.94 | 7.17 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.30 | ) | (.70 | ) | (.36 | ) | (.51 | ) | (.58 | ) | ||||||||||
Net realized gains | (1.71 | ) | (2.69 | ) | (2.12 | ) | (3.31 | ) | (1.41 | ) | ||||||||||
Total distributions | (3.01 | ) | (3.39 | ) | (2.48 | ) | (3.82 | ) | (1.99 | ) | ||||||||||
Net asset value, end of period | $ | 50.08 | $ | 38.17 | $ | 43.56 | $ | 48.08 | $ | 46.96 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 40.59 | % | (5.58 | %) | (3.59 | %) | 10.82 | % | 17.68 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 36,678 | $ | 28,548 | $ | 53,248 | $ | 56,369 | $ | 60,157 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.88 | % | 2.40 | % | 1.42 | % | 1.03 | % | 0.83 | % | ||||||||||
Total expensesc | 1.47 | % | 1.46 | % | 1.31 | % | 1.31 | % | 1.30 | % | ||||||||||
Net expensesd,e,f | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.17 | % | ||||||||||
Portfolio turnover rate | 19 | % | 25 | % | 37 | % | 24 | % | 40 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 34.79 | $ | 39.77 | $ | 44.03 | $ | 43.29 | $ | 38.68 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .05 | .62 | .26 | .12 | .03 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.23 | (2.74 | ) | (2.40 | ) | 4.09 | 6.28 | |||||||||||||
Total from investment operations | 13.28 | (2.12 | ) | (2.14 | ) | 4.21 | 6.31 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.93 | ) | (.17 | ) | — | (.16 | ) | (.29 | ) | |||||||||||
Net realized gains | (1.71 | ) | (2.69 | ) | (2.12 | ) | (3.31 | ) | (1.41 | ) | ||||||||||
Total distributions | (2.64 | ) | (2.86 | ) | (2.12 | ) | (3.47 | ) | (1.70 | ) | ||||||||||
Net asset value, end of period | $ | 45.43 | $ | 34.79 | $ | 39.77 | $ | 44.03 | $ | 43.29 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 39.55 | % | (6.30 | %) | (4.28 | %) | 9.97 | % | 16.74 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,191 | $ | 911 | $ | 1,533 | $ | 2,632 | $ | 3,461 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.12 | % | 1.69 | % | 0.66 | % | 0.28 | % | 0.08 | % | ||||||||||
Total expensesc | 2.36 | % | 2.43 | % | 2.18 | % | 2.10 | % | 2.09 | % | ||||||||||
Net expensesd,e,f | 1.89 | % | 1.90 | % | 1.90 | % | 1.90 | % | 1.92 | % | ||||||||||
Portfolio turnover rate | 19 | % | 25 | % | 37 | % | 24 | % | 40 | % |
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LARGE CAP VALUE FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 38.06 | $ | 43.46 | $ | 48.00 | $ | 46.91 | $ | 41.74 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .41 | .83 | .61 | .49 | .37 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 14.46 | (2.82 | ) | (2.64 | ) | 4.44 | 6.78 | |||||||||||||
Total from investment operations | 14.87 | (1.99 | ) | (2.03 | ) | 4.93 | 7.15 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.31 | ) | (.72 | ) | (.39 | ) | (.53 | ) | (.57 | ) | ||||||||||
Net realized gains | (1.71 | ) | (2.69 | ) | (2.12 | ) | (3.31 | ) | (1.41 | ) | ||||||||||
Total distributions | (3.02 | ) | (3.41 | ) | (2.51 | ) | (3.84 | ) | (1.98 | ) | ||||||||||
Net asset value, end of period | $ | 49.91 | $ | 38.06 | $ | 43.46 | $ | 48.00 | $ | 46.91 | ||||||||||
| ||||||||||||||||||||
Total Return | 40.60 | % | (5.58 | %) | (3.58 | %) | 10.80 | % | 17.63 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 194 | $ | 170 | $ | 155 | $ | 147 | $ | 158 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.87 | % | 2.12 | % | 1.41 | % | 1.03 | % | 0.83 | % | ||||||||||
Total expensesc | 1.71 | % | 1.72 | % | 1.60 | % | 1.59 | % | 1.69 | % | ||||||||||
Net expensesd,e,f | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.17 | % | ||||||||||
Portfolio turnover rate | 19 | % | 25 | % | 37 | % | 24 | % | 40 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
LARGE CAP VALUE FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 37.71 | $ | 43.08 | $ | 47.60 | $ | 46.56 | $ | 41.84 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .52 | .98 | .71 | .64 | .51 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 14.31 | (2.84 | ) | (2.63 | ) | 4.35 | 6.72 | |||||||||||||
Total from investment operations | 14.83 | (1.86 | ) | (1.92 | ) | 4.99 | 7.23 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.44 | ) | (.82 | ) | (.48 | ) | (.64 | ) | (1.10 | ) | ||||||||||
Net realized gains | (1.71 | ) | (2.69 | ) | (2.12 | ) | (3.31 | ) | (1.41 | ) | ||||||||||
Total distributions | (3.15 | ) | (3.51 | ) | (2.60 | ) | (3.95 | ) | (2.51 | ) | ||||||||||
Net asset value, end of period | $ | 49.39 | $ | 37.71 | $ | 43.08 | $ | 47.60 | $ | 46.56 | ||||||||||
| ||||||||||||||||||||
Total Return | 40.93 | % | (5.35 | %) | (3.33 | %) | 11.04 | % | 17.96 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,364 | $ | 477 | $ | 798 | $ | 5,946 | $ | 1,681 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.10 | % | 2.50 | % | 1.65 | % | 1.39 | % | 1.13 | % | ||||||||||
Total expensesc | 1.24 | % | 1.35 | % | 1.14 | % | 1.00 | % | 1.07 | % | ||||||||||
Net expensesd,e,f | 0.89 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.92 | % | ||||||||||
Portfolio turnover rate | 19 | % | 25 | % | 37 | % | 24 | % | 40 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | — | 0.00%* | 0.00%* | 0.00%* | 0.01% | |
C-Class | — | 0.00%* | — | 0.00%* | 0.01% | |
P-Class | — | — | — | — | 0.00%* | |
Institutional Class | — | — | — | — | 0.02% |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 1.14% | 1.15% | 1.15% | 1.15% | 1.15% | |
C-Class | 1.89% | 1.90% | 1.90% | 1.90% | 1.90% | |
P-Class | 1.14% | 1.15% | 1.15% | 1.15% | 1.15% | |
Institutional Class | 0.89% | 0.90% | 0.90% | 0.90% | 0.90% |
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders:
Guggenheim Market Neutral Real Estate Fund (the “Fund”) is managed by a team of seasoned professionals led by Michael Chong, CFA, Portfolio Manager, and Samir Sanghani, CFA, Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended September 30, 2021.
For the fiscal year ended September 30, 2021, Guggenheim Market Neutral Real Estate Fund returned -1.14%1, compared with the 0.07% return of its benchmark, the ICE Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index.
Investment Approach
The Fund seeks to generate high risk-adjusted absolute returns with minimal market exposure and minimal correlation with other major asset classes. The Fund primarily utilizes a pair-trading strategy to exploit relative value opportunities among publicly traded real estate equities. The portfolio will typically maintain long exposure of 80-100% of net assets and short exposure of 80-100% of net assets under normal conditions, with minimal net market exposure.
The strategy utilizes a relative value framework that is specialized for the real estate sector. Top-down views on the private commercial real estate (“CRE”) and public REIT markets are formulated to drive sector allocation decisions. Individual securities evaluated and selected on a bottom-up basis using fundamental analysis and due diligence.
Market Review
The past year has seen several inflection points, coming out of the pandemic and months of associated lockdowns, then pausing again on the back of the Delta variant. On the surface, economic activity flourished, aided by pent-up demand, as both businesses and consumers reopened their pocketbooks. However, there was quite a bit happening below the surface, as rising rates, inflation, supply chain bottlenecks, and the Federal Reserve (“Fed”) taper took turns introducing risk and uncertainty. That REITs rallied despite hiccups along the way, outperforming the S&P 500, speaks to both the path to recovery from losses in 2020 as well as healthy prospects looking forward.
The performance dispersion this year was nearly as extreme, with many of last year’s worst performers going to the head of the class in 2021. The best performing sectors were malls (+114%), shopping centers (+90%), and lodging (+73%). The rebound in shopper traffic and spend were clear drivers for the retail sectors, while lodging rallied on expectation of travel resumption after various shutdowns. The worst-performing sectors were data centers (+6%), net lease (+20%), and industrial (+26%). Data centers were beset by myriad concerns, including compressing development yields, softer leasing, and healthy valuations after outperforming during the pandemic. Rising rates and commercial property prices weighed on the interest-rate sensitive net lease sector. Finally, the industrial sector took a breather following a strong year and lofty valuations.
From a private market perspective, transaction volumes are recovering, as is pricing. The combination of pent-up demand for assets as well as better clarity on underwriting and plentiful capital are causing commercial real estate to rebound to levels above pre-pandemic levels, even as actual fundamentals continue to lag. Notably, strong demand for the asset class can best be seen in compressing cap rates (i.e., higher multiples) even with higher rates. Traditionally, cap rates have trended in-line with moves in interest rates.
Fundamentals for real estate seem to be on fair to positive footing overall. But there are key exceptions, two of the biggest outstanding questions surround the office and hotel sectors. After the initial wave of optimism around return to office, the Delta variant and the scales tipping towards employee versus employer has put a significant question mark on how the sector evolves, both near-term and long-term. Companies are working out in real-time how to encourage workers to come back to the office as attracting, and retaining, talent often requires more flexible location options. As for hotels, demand hit an air pocket after the summer optimism, evidenced by strong leisure travel demand. The Delta variant, and push back in return to office, has delayed the expected resumption of corporate travel demand.
Capital market conditions remain particularly robust for REITs with ample access to both debt and equity. Both private and public capital is plentiful for most asset classes.
Performance Review
The Fund underperformed its benchmark for the fiscal year ended September 30, 2021. Since inception, the Fund has outperformed the benchmark index by 2.77% annually, net of fees, with an annualized return of 3.84% compared with 1.07% for the benchmark.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
The leading performance contributors were in healthcare, diversified/specialty, and net lease. Positive sector tilts in healthcare were a positive contributor, as was for net lease. Strong stock selection was a key driver, as both longs and shorts contributed to healthcare and diversified/specialty. Negative contribution came from lodging, mall, and residential sectors. Lodging underwent a rapid upswing then reversal given the pandemic and Delta variant that made positioning difficult. In the mall sector, the recovery rally buoyed a key short position in a lower quality names. Within residential, continued strength in Sunbelt vs. coastal apartments led to negative contribution.
The Fund utilizes swaps for hedging purposes via long and short exposure to individual equity REIT securities. Derivative exposure detracted from performance for the period.
Outlook
We have a favorable outlook on the REIT sector. While not as bullish as we were last year, we remain positive. To be sure, challenges remain but we believe the sector is in good shape coming out of this recent downturn.
What drives our positive view?
● | Healthy REIT fundamentals with pricing power in multiple subsectors |
● | Attractive cost of capital with the ability to grow via acquisitions |
● | Private equity ready to step in on mispriced REITs |
● | Potential for dividend increases as earnings accelerate |
Even as Delta, and potentially new variants of COVID-19, continue to populate headlines, vaccination rates are grinding up and the economy is healing. The next twelve months should see a continuation of trends seen thus far in 2021, with resumption of demand for commercial real estate. Secular trends in industrial and multifamily should see positive tailwinds for some time. Cyclical trends in hotels should inflect upwards as core business travel returns. Valuation when compared fixed income alternatives continue to look attractive.
Strategy
Given our constructive view on REITs, the Fund has reduced its defensive bias and is more neutral in posture. This includes lower gross exposure levels and low style factor risk exposure. The Fund maintained average exposure levels during the year of 72% long and 70% short resulting in minimal exposure to equity REITs or the broad market. Current exposure levels are a bit lower than typical levels in the 90% range long and short. This was due to profit-taking on various paired trades and de-risking given some uncertainty headed into year-end.
At fiscal year-end, the Fund was at a 81% long exposure and 81% short exposure. Note that while gross exposure is lower than normal, the Fund’s effective beta exposure approximates zero and the expected return volatility and style factor risk contribution is in-line with historical norms. Key sector overweights at period end include homebuilders, industrial, and real estate services (CRE broker). We believe these sectors present attractive growth prospects relative to current valuations as the recovery takes hold. Key sector underweights are net lease, office, and diversified/specialty. In contrast to our overweights, these sectors lack pricing power.
Looking forward, the Fund will continue striving to generate mid-to-high single digit absolute returns in the current environment with minimal market exposure and minimal correlation across major asset classes. We expect to increase gross exposure over time as capital is redeployed into new relative-value paired trades while still maintaining similar risk parameters.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
MARKET NEUTRAL REAL ESTATE FUND
OBJECTIVE: Seeks to provide capital appreciation, while limiting exposure to general stock market risk.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | February 26, 2016 |
C-Class | February 26, 2016 |
P-Class | February 26, 2016 |
Institutional Class | February 26, 2016 |
Ten Largest Holdings (% of Total Net Assets) | |
AvalonBay Communities, Inc. | 3.9% |
Sun Communities, Inc. | 3.5% |
Equity Residential | 3.4% |
National Storage Affiliates Trust | 3.1% |
Regency Centers Corp. | 3.1% |
Xenia Hotels & Resorts, Inc. | 3.0% |
CyrusOne, Inc. | 3.0% |
Acadia Realty Trust | 3.0% |
Brixmor Property Group, Inc. | 2.9% |
Gaming and Leisure Properties, Inc. | 2.7% |
Top Ten Total | 31.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | Since |
A-Class Shares | (1.14%) | 4.77% | 3.84% |
A-Class Shares with sales charge‡ | (5.85%) | 3.75% | 2.93% |
C-Class Shares | (1.88%) | 3.95% | 3.04% |
C-Class Shares with CDSC§ | (2.86%) | 3.95% | 3.04% |
P-Class Shares | (1.17%) | 4.68% | 3.76% |
Institutional Class Shares | (0.87%) | 4.98% | 4.05% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.07% | 1.16% | 1.07% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class, and Institutional Class will vary due to differences in fee structures. |
‡ | Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the Average Annual Returns, based on subscriptions made prior to February 22, 2011, and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
MARKET NEUTRAL REAL ESTATE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 81.3% | ||||||||
REITs - 72.6% | ||||||||
REITs-Apartments - 11.9% | ||||||||
AvalonBay Communities, Inc.1 | 10,267 | $ | 2,275,578 | |||||
Equity Residential1 | 24,933 | 2,017,578 | ||||||
American Campus Communities, Inc.1 | 29,408 | 1,424,818 | ||||||
Invitation Homes, Inc. | 31,820 | 1,219,661 | ||||||
Total REITs-Apartments | 6,937,635 | |||||||
REITs-Office Property - 10.5% | ||||||||
Alexandria Real Estate Equities, Inc.1 | 7,350 | 1,404,365 | ||||||
Empire State Realty Trust, Inc. — Class A | 125,941 | 1,263,188 | ||||||
Hudson Pacific Properties, Inc.1 | 43,632 | 1,146,213 | ||||||
American Assets Trust, Inc.1 | 29,649 | 1,109,466 | ||||||
Highwoods Properties, Inc.1 | 14,187 | 622,242 | ||||||
Boston Properties, Inc. | 5,079 | 550,310 | ||||||
Total REITs-Office Property | 6,095,784 | |||||||
REITs-Shopping Centers - 9.0% | ||||||||
Regency Centers Corp.1 | 26,923 | 1,812,726 | ||||||
Acadia Realty Trust | 84,824 | 1,731,258 | ||||||
Brixmor Property Group, Inc.1 | 76,840 | 1,698,932 | ||||||
Total REITs-Shopping Centers | 5,242,916 | |||||||
REITs-Hotels - 8.8% | ||||||||
Xenia Hotels & Resorts, Inc.* | 100,035 | 1,774,621 | ||||||
DiamondRock Hospitality Co.* | 137,652 | 1,300,811 | ||||||
Ryman Hospitality Properties, Inc.* | 15,303 | 1,280,861 | ||||||
MGM Growth Properties LLC — Class A | 21,460 | 821,918 | ||||||
Total REITs-Hotels | 5,178,211 | |||||||
REITs-Diversified - 7.7% | ||||||||
CyrusOne, Inc. | 22,922 | 1,774,392 | ||||||
Gaming and Leisure Properties, Inc.1 | 34,542 | 1,599,985 | ||||||
VICI Properties, Inc.1 | 40,426 | 1,148,503 | ||||||
Total REITs-Diversified | 4,522,880 | |||||||
REITs-Health Care - 7.5% | ||||||||
CareTrust REIT, Inc. | 67,464 | 1,370,868 | ||||||
Ventas, Inc.1 | 20,862 | 1,151,791 | ||||||
Healthpeak Properties, Inc.1 | 31,731 | 1,062,354 | ||||||
Medical Properties Trust, Inc. | 41,120 | 825,278 | ||||||
Total REITs-Health Care | 4,410,291 | |||||||
REITs-Warehouse/Industries - 5.4% | ||||||||
Rexford Industrial Realty, Inc. | 19,947 | 1,131,992 | ||||||
Prologis, Inc. | 5,844 | 733,013 | ||||||
Innovative Industrial Properties, Inc.1 | 3,020 | 698,133 | ||||||
Americold Realty Trust1 | 20,809 | 604,501 | ||||||
Total REITs-Warehouse/Industries | 3,167,639 | |||||||
REITs-Single Tenant - 5.2% | ||||||||
Agree Realty Corp.1 | 23,453 | 1,553,292 | ||||||
Four Corners Property Trust, Inc. | 53,912 | 1,448,076 | ||||||
Total REITs-Single Tenant | 3,001,368 | |||||||
REITs-Manufactured Homes - 3.5% | ||||||||
Sun Communities, Inc.1 | 10,956 | 2,027,956 | ||||||
REITs-Storage - 3.1% | ||||||||
National Storage Affiliates Trust | 34,669 | 1,830,177 | ||||||
Total REITS | 42,414,857 | |||||||
Home Builders - 3.3% | ||||||||
Buildings - Residential/Commercial - 3.3% | ||||||||
PulteGroup, Inc. | 17,979 | 825,596 | ||||||
DR Horton, Inc. | 6,749 | 566,713 | ||||||
Lennar Corp. — Class A | 5,913 | 553,930 | ||||||
Total Buildings - Residential/Commercial | 1,946,239 | |||||||
Total Home Builders | 1,946,239 | |||||||
Real Estate - 2.0% | ||||||||
Real Estate Management/Services - 2.0% | ||||||||
Jones Lang LaSalle, Inc.* | 4,855 | 1,204,477 | ||||||
Lodging - 1.8% | ||||||||
Hotels&Motels - 1.8% | ||||||||
Hilton Grand Vacations, Inc.* | 22,662 | 1,078,031 | ||||||
Entertainment - 1.6% | ||||||||
Resorts/Theme Parks - 1.6% | ||||||||
Marriott Vacations Worldwide Corp. | 5,857 | 921,482 | ||||||
Total Common Stocks | ||||||||
(Cost $43,633,857) | 47,565,086 | |||||||
MONEY MARKET FUND† - 24.6% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.01%2 | 14,351,135 | 14,351,135 | ||||||
Total Money Market Fund | ||||||||
(Cost $14,351,135) | 14,351,135 | |||||||
Total Investments - 105.9% | ||||||||
(Cost $57,984,992) | $ | 61,916,221 | ||||||
Other Assets & Liabilities, net - (5.9)% | (3,471,451 | ) | ||||||
Total Net Assets - 100.0% | $ | 58,444,770 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MARKET NEUTRAL REAL ESTATE FUND |
Custom Basket Swap Agreements | |||||||||||||||||||
Counterparty | Reference Obligation | Type | Financing | Payment | Maturity | Notional | Value and | ||||||||||||
OTC Custom Basket Swap Agreements Sold Short †† | |||||||||||||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | (0.12)% (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | $ | 23,589,523 | $ | (1,071,188 | ) | |||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | (0.22)% (Federal Funds Rate - 0.30%) | At Maturity | 07/22/24 | 23,590,192 | (1,076,112 | ) | |||||||||||
$ | 47,179,715 | $ | (2,147,300 | ) |
| Shares | Percentage | Value and | |||||||||
MS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Omega Healthcare Investors, Inc. | 31,509 | (4.02 | )% | $ | 195,239 | |||||||
LTC Properties, Inc. | 16,844 | (2.26 | )% | 162,266 | ||||||||
Realty Income Corp. | 22,006 | (6.05 | )% | 73,559 | ||||||||
National Health Investors, Inc. | 4,458 | (1.01 | )% | 57,949 | ||||||||
Office Properties Income Trust | 22,362 | (2.40 | )% | 57,572 | ||||||||
Broadstone Net Lease, Inc. | 20,385 | (2.14 | )% | 57,229 | ||||||||
Urban Edge Properties | 37,798 | (2.93 | )% | 41,089 | ||||||||
American Finance Trust, Inc. | 35,885 | (1.22 | )% | 37,663 | ||||||||
Equity Commonwealth | 10,688 | (1.18 | )% | 27,711 | ||||||||
Sunstone Hotel Investors, Inc. | 45,801 | (2.32 | )% | 24,745 | ||||||||
Easterly Government Properties, Inc. | 13,608 | (1.19 | )% | 17,159 | ||||||||
Douglas Emmett, Inc. | 17,990 | (2.41 | )% | 13,434 | ||||||||
Healthcare Realty Trust, Inc. | 19,209 | (2.42 | )% | 5,773 | ||||||||
RLJ Lodging Trust | 61,755 | (3.89 | )% | 1,868 | ||||||||
Host Hotels & Resorts, Inc. | 27,535 | (1.91 | )% | (10,224 | ) | |||||||
Corporate Office Properties Trust | 20,845 | (2.38 | )% | (16,685 | ) | |||||||
STORE Capital Corp. | 34,952 | (4.75 | )% | (17,410 | ) | |||||||
Cousins Properties, Inc. | 21,208 | (3.35 | )% | (29,109 | ) | |||||||
Digital Realty Trust, Inc. | 3,973 | (2.43 | )% | (35,736 | ) | |||||||
Industrial Logistics Properties Trust | 12,942 | (1.39 | )% | (49,454 | ) | |||||||
Apartment Income REIT Corp. | 20,513 | (4.24 | )% | (60,373 | ) | |||||||
Camden Property Trust | 5,426 | (3.39 | )% | (66,399 | ) | |||||||
Federal Realty Investment Trust | 6,221 | (3.11 | )% | (80,791 | ) | |||||||
Apple Hospitality REIT, Inc. | 75,101 | (5.01 | )% | (85,975 | ) | |||||||
SITE Centers Corp. | 47,764 | (3.13 | )% | (89,480 | ) | |||||||
STAG Industrial, Inc. | 16,691 | (2.78 | )% | (122,365 | ) | |||||||
Essential Properties Realty Trust, Inc. | 33,709 | (3.99 | )% | (141,153 | ) | |||||||
Washington Real Estate Investment Trust | 27,403 | (2.88 | )% | (144,624 | ) | |||||||
CubeSmart | 12,918 | (2.65 | )% | (180,146 | ) | |||||||
Independence Realty Trust, Inc. | 45,943 | (3.96 | )% | (252,957 | ) | |||||||
Mid-America Apartment Communities, Inc. | 7,578 | (6.00 | )% | (416,924 | ) | |||||||
Total Financial | (1,026,549 | ) | ||||||||||
Exchange-Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 16,701 | (7.21 | )% | (49,563 | ) | |||||||
Total MS Equity Short Custom Basket | $ | (1,076,112 | ) | |||||||||
GS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Omega Healthcare Investors, Inc. | 31,509 | (4.02 | )% | $ | 198,122 | |||||||
LTC Properties, Inc. | 16,844 | (2.26 | )% | 162,874 | ||||||||
Realty Income Corp. | 22,006 | (6.05 | )% | 70,421 | ||||||||
Office Properties Income Trust | 22,362 | (2.40 | )% | 58,382 | ||||||||
National Health Investors, Inc. | 4,458 | (1.01 | )% | 57,916 | ||||||||
Broadstone Net Lease, Inc. | 20,358 | (2.14 | )% | 49,061 | ||||||||
Urban Edge Properties | 37,798 | (2.93 | )% | 41,622 | ||||||||
American Finance Trust, Inc. | 35,885 | (1.22 | )% | 38,333 | ||||||||
Equity Commonwealth | 10,688 | (1.18 | )% | 27,887 | ||||||||
Sunstone Hotel Investors, Inc. | 45,801 | (2.32 | )% | 24,582 | ||||||||
Easterly Government Properties, Inc. | 13,608 | (1.19 | )% | 17,196 | ||||||||
Douglas Emmett, Inc. | 17,990 | (2.41 | )% | 14,626 | ||||||||
Healthcare Realty Trust, Inc. | 19,209 | (2.42 | )% | 5,631 | ||||||||
RLJ Lodging Trust | 61,755 | (3.89 | )% | 4,833 | ||||||||
Host Hotels & Resorts, Inc. | 27,535 | (1.91 | )% | (9,852 | ) | |||||||
STORE Capital Corp. | 34,952 | (4.75 | )% | (16,395 | ) |
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
MARKET NEUTRAL REAL ESTATE FUND |
| Shares | Percentage |
| |||||||||
Corporate Office Properties Trust | 20,845 | (2.38 | )% | $ | (16,754 | ) | ||||||
Cousins Properties, Inc. | 21,208 | (3.35 | )% | (29,087 | ) | |||||||
Digital Realty Trust, Inc. | 3,973 | (2.43 | )% | (35,727 | ) | |||||||
Industrial Logistics Properties Trust | 12,942 | (1.39 | )% | (49,315 | ) | |||||||
Apartment Income REIT Corp. | 20,513 | (4.24 | )% | (58,848 | ) | |||||||
Camden Property Trust | 5,426 | (3.39 | )% | (66,440 | ) | |||||||
Federal Realty Investment Trust | 6,221 | (3.11 | )% | (80,714 | ) | |||||||
Apple Hospitality REIT, Inc. | 75,101 | (5.01 | )% | (81,307 | ) | |||||||
SITE Centers Corp. | 47,764 | (3.13 | )% | (90,949 | ) | |||||||
STAG Industrial, Inc. | 16,691 | (2.78 | )% | (121,979 | ) | |||||||
Essential Properties Realty Trust, Inc. | 33,709 | (3.99 | )% | (141,092 | ) | |||||||
Washington Real Estate Investment Trust | 27,403 | (2.88 | )% | (144,207 | ) | |||||||
CubeSmart | 12,918 | (2.65 | )% | (180,067 | ) | |||||||
Independence Realty Trust, Inc. | 45,943 | (3.96 | )% | (252,992 | ) | |||||||
Mid-America Apartment Communities, Inc. | 7,578 | (6.00 | )% | (416,644 | ) | |||||||
Total Financial | (1,020,883 | ) | ||||||||||
Exchange-Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 16,701 | (7.21 | )% | (50,305 | ) | |||||||
Total GS Equity Short Custom Basket | $ | (1,071,188 | ) |
* | 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 | All or a portion of this security is pledged as custom basket swap collateral at September 30, 2021. |
2 | Rate indicated is the 7-day yield as of September 30, 2021. |
GS — Goldman Sachs International | |
MS — Morgan Stanley Capital Services LLC | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 47,565,086 | $ | — | $ | — | $ | 47,565,086 | ||||||||
Money Market Fund | 14,351,135 | — | — | 14,351,135 | ||||||||||||
Total Assets | $ | 61,916,221 | $ | — | $ | — | $ | 61,916,221 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Custom Basket Swap Agreements** | $ | — | $ | 2,147,300 | $ | — | $ | 2,147,300 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
MARKET NEUTRAL REAL ESTATE FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments, at value (cost $57,984,992) | $ | 61,916,221 | ||
Cash | 6,749 | |||
Prepaid expenses | 25,839 | |||
Receivables: | ||||
Dividends | 166,387 | |||
Fund shares sold | 58,878 | |||
Interest | 69 | |||
Total assets | 62,174,143 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 2,147,300 | |||
Payable for: | ||||
Swap settlement | 1,375,408 | |||
Fund shares redeemed | 108,672 | |||
Management fees | 39,749 | |||
Fund accounting/administration fees | 6,784 | |||
Transfer agent/maintenance fees | 3,604 | |||
Trustees’ fees* | 1,504 | |||
Distribution and service fees | 1,146 | |||
Distributions to shareholders | 210 | |||
Miscellaneous | 44,996 | |||
Total liabilities | 3,729,373 | |||
Net assets | $ | 58,444,770 | ||
Net assets consist of: | ||||
Paid in capital | $ | 58,310,940 | ||
Total distributable earnings (loss) | 133,830 | |||
Net assets | $ | 58,444,770 | ||
A-Class: | ||||
Net assets | $ | 1,866,637 | ||
Capital shares outstanding | 67,203 | |||
Net asset value per share | $ | 27.78 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 29.17 | ||
C-Class: | ||||
Net assets | $ | 242,212 | ||
Capital shares outstanding | 9,102 | |||
Net asset value per share | $ | 26.61 | ||
P-Class: | ||||
Net assets | $ | 2,727,208 | ||
Capital shares outstanding | 101,650 | |||
Net asset value per share | $ | 26.83 | ||
Institutional Class: | ||||
Net assets | $ | 53,608,713 | ||
Capital shares outstanding | 1,944,691 | |||
Net asset value per share | $ | 27.57 |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends | $ | 1,030,876 | ||
Interest | 1,471 | |||
Total investment income | 1,032,347 | |||
Expenses: | ||||
Management fees | 702,614 | |||
Distribution and service fees: | ||||
A-Class | 11,761 | |||
C-Class | 2,782 | |||
P-Class | 14,732 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 16,577 | |||
C-Class | 638 | |||
P-Class | 11,325 | |||
Institutional Class | 53,952 | |||
Registration fees | 87,752 | |||
Professional fees | 51,251 | |||
Fund accounting/administration fees | 51,208 | |||
Trustees’ fees* | 18,505 | |||
Custodian fees | 15,223 | |||
Line of credit fees | 3,193 | |||
Miscellaneous | 15,935 | |||
Total expenses | 1,057,448 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (16,707 | ) | ||
C-Class | (643 | ) | ||
P-Class | (11,377 | ) | ||
Institutional Class | (54,478 | ) | ||
Expenses waived by Adviser | (57,092 | ) | ||
Total waived/reimbursed expenses | (140,297 | ) | ||
Net expenses | 917,151 | |||
Net investment income | 115,196 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 10,723,650 | |||
Swap agreements | (12,232,978 | ) | ||
Net realized loss | (1,509,328 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 3,035,625 | |||
Swap agreements | (2,167,286 | ) | ||
Net change in unrealized appreciation (depreciation) | 868,339 | |||
Net realized and unrealized loss | (640,989 | ) | ||
Net decrease in net assets resulting from operations | $ | (525,793 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MARKET NEUTRAL REAL ESTATE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 115,196 | $ | 50,393 | ||||
Net realized gain (loss) on investments | (1,509,328 | ) | 346,499 | |||||
Net change in unrealized appreciation (depreciation) on investments | 868,339 | 195,936 | ||||||
Net increase (decrease) in net assets resulting from operations | (525,793 | ) | 592,828 | |||||
Distributions to shareholders: | ||||||||
A-Class | (14,892 | ) | (137,475 | ) | ||||
C-Class | (844 | ) | (4,629 | ) | ||||
P-Class | (22,565 | ) | (13,269 | ) | ||||
Institutional Class | (194,416 | ) | (232,931 | ) | ||||
Total distributions to shareholders | (232,717 | ) | (388,304 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 1,051,983 | 15,384,801 | ||||||
C-Class | 8,148 | 305,070 | ||||||
P-Class | 2,478,276 | 9,192,551 | ||||||
Institutional Class | 41,746,970 | 34,862,781 | ||||||
Distributions reinvested | ||||||||
A-Class | 11,281 | 133,439 | ||||||
C-Class | 844 | 4,629 | ||||||
P-Class | 22,118 | 13,147 | ||||||
Institutional Class | 194,309 | 232,932 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (10,852,445 | ) | (6,481,122 | ) | ||||
C-Class | (92,256 | ) | (119,128 | ) | ||||
P-Class | (7,967,944 | ) | (1,198,642 | ) | ||||
Institutional Class | (25,212,495 | ) | (3,432,966 | ) | ||||
Net increase from capital share transactions | 1,388,789 | 48,897,492 | ||||||
Net increase in net assets | 630,279 | 49,102,016 | ||||||
Net assets: | ||||||||
Beginning of year | 57,814,491 | 8,712,475 | ||||||
End of year | $ | 58,444,770 | $ | 57,814,491 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 37,951 | 537,993 | ||||||
C-Class | 299 | 11,172 | ||||||
P-Class | 92,383 | 338,094 | ||||||
Institutional Class | 1,518,199 | 1,249,909 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 409 | 5,172 | ||||||
C-Class | 32 | 185 | ||||||
P-Class | 830 | 527 | ||||||
Institutional Class | 7,103 | 9,127 | ||||||
Shares redeemed | ||||||||
A-Class | (387,212 | ) | (229,755 | ) | ||||
C-Class | (3,473 | ) | (4,292 | ) | ||||
P-Class | (298,618 | ) | (44,287 | ) | ||||
Institutional Class | (919,986 | ) | (124,553 | ) | ||||
Net increase in shares | 47,917 | 1,749,292 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
MARKET NEUTRAL REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 28.18 | $ | 26.95 | $ | 25.16 | $ | 26.47 | $ | 24.45 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.08 | ) | (.02 | ) | .25 | .50 | .08 | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.24 | ) | 2.30 | 1.78 | (.41 | ) | 1.94 | |||||||||||||
Total from investment operations | (.32 | ) | 2.28 | 2.03 | .09 | 2.02 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.02 | ) | (.25 | ) | (.01 | ) | — | — | ||||||||||||
Net realized gains | (.06 | ) | (.80 | ) | (.23 | ) | (1.40 | ) | — | |||||||||||
Total distributions | (.08 | ) | (1.05 | ) | (.24 | ) | (1.40 | ) | — | |||||||||||
Net asset value, end of period | $ | 27.78 | $ | 28.18 | $ | 26.95 | $ | 25.16 | $ | 26.47 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (1.14 | %) | 8.81 | % | 8.12 | % | 0.13 | % | 8.38 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,867 | $ | 11,723 | $ | 2,766 | $ | 2,482 | $ | 109 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.29 | %) | (0.06 | %) | 0.96 | % | 2.00 | % | 0.31 | % | ||||||||||
Total expensesc | 2.08 | % | 2.38 | % | 3.99 | % | 5.01 | % | 4.88 | % | ||||||||||
Net expensesd,e,f | 1.64 | % | 1.65 | % | 1.62 | % | 1.65 | % | 1.65 | % | ||||||||||
Portfolio turnover rate | 264 | % | 355 | % | 180 | % | 216 | % | 145 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.20 | $ | 26.07 | $ | 24.67 | $ | 26.16 | $ | 24.35 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.22 | ) | (.15 | ) | .05 | .12 | (.11 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.29 | ) | 2.16 | 1.70 | (.21 | ) | 1.92 | |||||||||||||
Total from investment operations | (.51 | ) | 2.01 | 1.75 | (.09 | ) | 1.81 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.02 | ) | (.08 | ) | (.12 | ) | — | — | ||||||||||||
Net realized gains | (.06 | ) | (.80 | ) | (.23 | ) | (1.40 | ) | — | |||||||||||
Total distributions | (.08 | ) | (.88 | ) | (.35 | ) | (1.40 | ) | — | |||||||||||
Net asset value, end of period | $ | 26.61 | $ | 27.20 | $ | 26.07 | $ | 24.67 | $ | 26.16 | ||||||||||
| ||||||||||||||||||||
Total Returnb | (1.88 | %) | 7.99 | % | 7.15 | % | (0.59 | %) | 7.56 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 242 | $ | 333 | $ | 135 | $ | 134 | $ | 143 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.83 | %) | (0.56 | %) | 0.18 | % | 0.47 | % | (0.52 | %) | ||||||||||
Total expensesc | 2.71 | % | 3.17 | % | 4.66 | % | 5.72 | % | 5.70 | % | ||||||||||
Net expensesd,e,f | 2.39 | % | 2.40 | % | 2.40 | % | 2.38 | % | 2.40 | % | ||||||||||
Portfolio turnover rate | 264 | % | 355 | % | 180 | % | 216 | % | 145 | % |
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MARKET NEUTRAL REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.23 | $ | 26.10 | $ | 25.14 | $ | 26.48 | $ | 24.45 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.04 | ) | — | .20 | .33 | .16 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.28 | ) | 2.20 | 1.71 | (.27 | ) | 1.87 | |||||||||||||
Total from investment operations | (.32 | ) | 2.20 | 1.91 | .06 | 2.03 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.02 | ) | (.27 | ) | (.72 | ) | — | — | ||||||||||||
Net realized gains | (.06 | ) | (.80 | ) | (.23 | ) | (1.40 | ) | — | |||||||||||
Total distributions | (.08 | ) | (1.07 | ) | (.95 | ) | (1.40 | ) | — | |||||||||||
Net asset value, end of period | $ | 26.83 | $ | 27.23 | $ | 26.10 | $ | 25.14 | $ | 26.48 | ||||||||||
| ||||||||||||||||||||
Total Return | (1.17 | %) | 8.79 | % | 7.80 | % | 0.09 | % | 8.34 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,727 | $ | 8,360 | $ | 332 | $ | 488 | $ | 324 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.16 | %) | 0.00 | % | 0.77 | % | 1.26 | % | 0.52 | % | ||||||||||
Total expensesc | 1.91 | % | 2.00 | % | 4.05 | % | 4.93 | % | 5.18 | % | ||||||||||
Net expensesd,e,f | 1.64 | % | 1.65 | % | 1.65 | % | 1.65 | % | 1.65 | % | ||||||||||
Portfolio turnover rate | 264 | % | 355 | % | 180 | % | 216 | % | 145 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
MARKET NEUTRAL REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 27.92 | $ | 26.74 | $ | 25.32 | $ | 26.57 | $ | 24.49 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .07 | .09 | .31 | .36 | .14 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.31 | ) | 2.23 | 1.73 | (.21 | ) | 1.94 | |||||||||||||
Total from investment operations | (.24 | ) | 2.32 | 2.04 | .15 | 2.08 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.05 | ) | (.34 | ) | (.39 | ) | — | — | ||||||||||||
Net realized gains | (.06 | ) | (.80 | ) | (.23 | ) | (1.40 | ) | — | |||||||||||
Total distributions | (.11 | ) | (1.14 | ) | (.62 | ) | �� | (1.40 | ) | — | ||||||||||
Net asset value, end of period | $ | 27.57 | $ | 27.92 | $ | 26.74 | $ | 25.32 | $ | 26.57 | ||||||||||
| ||||||||||||||||||||
Total Return | (0.87 | %) | 9.06 | % | 8.19 | % | 0.36 | % | 8.62 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 53,609 | $ | 37,399 | $ | 5,479 | $ | 5,083 | $ | 4,995 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.27 | % | 0.32 | % | 1.18 | % | 1.39 | % | 0.55 | % | ||||||||||
Total expensesc | 1.58 | % | 1.85 | % | 3.57 | % | 4.59 | % | 4.52 | % | ||||||||||
Net expensesd,e,f | 1.39 | % | 1.40 | % | 1.40 | % | 1.40 | % | 1.40 | % | ||||||||||
Portfolio turnover rate | 264 | % | 355 | % | 180 | % | 216 | % | 145 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | |
A-Class | — | 0.00%* | 0.00%* | — | 0.22% | |
C-Class | — | 0.00%* | 0.02% | — | 0.22% | |
P-Class | — | 0.00%* | 0.01% | — | 0.16% | |
Institutional Class | — | 0.00%* | 0.03% | — | 0.18% |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | |
A-Class | 1.63% | 1.65% | 1.62% | 1.65% | 1.63% | |
C-Class | 2.38% | 2.40% | 2.40% | 2.37% | 2.37% | |
P-Class | 1.63% | 1.64% | 1.65% | 1.65% | 1.63% | |
Institutional Class | 1.39% | 1.40% | 1.40% | 1.40% | 1.38% |
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders:
Guggenheim Risk Managed Real Estate Fund (the “Fund”) is managed by a team of seasoned professionals led by Michael Chong, CFA, Portfolio Manager and Samir Sanghani, CFA, Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended September 30, 2021.
For the fiscal year ended September 30, 2021, Guggenheim Risk Managed Real Estate Fund returned 32.13%1, compared with the 37.39% return of its benchmark, the FTSE NAREIT Equity REITs Index (“REIT Index”).
Investment Approach
Our investment framework follows a differentiated approach to REIT investing that seeks to both outperform the REIT index and actively mitigate volatility and drawdown risk. To accomplish this, this unique strategy combines a traditional long-only REIT strategy, a market-neutral long/short REIT strategy, and a framework for actively modulating the Fund’s overall market exposure. The Fund will typically maintain an average market exposure, or beta to the REIT index, of approximately 0.90 by targeting an average long-only sleeve allocation of 90% and long/short sleeve allocation of 40%. The targeted sleeve weights are adjusted regularly, modulating the Fund’s overall market exposure as warranted by Guggenheim’s proprietary model.
The underlying long-only and long/short sleeves are managed independently within the Fund using a fundamental, relative value framework that is specialized for the real estate sector. Top-down views on private commercial real estate (“CRE”) and public REIT markets are formulated to drive sector allocation decisions. Individual securities are evaluated and selected on a bottom-up basis using fundamental analysis and due diligence.
Market Review
The past year has seen several inflection points, coming out of the pandemic and months of associated lockdowns, then pausing again on the back of the Delta variant. On the surface, economic activity flourished, aided by pent-up demand, as both businesses and consumers reopened their pocketbooks. However, there was quite a bit happening below the surface, as rising rates, inflation, supply chain bottlenecks, and Fed taper took turns introducing risk and uncertainty. That REITs rallied despite hiccups along the way, outperforming the S&P 500, speaks to both the path to recovery from losses in 2020 as well as healthy prospects looking forward.
The performance dispersion this year was nearly as extreme, with many of last year’s worst performers going to the head of the class in 2021. The best performing sectors were malls (+114%), shopping centers (+90%), and lodging (+73%). The rebound in shopper traffic and spend were clear drivers for the retail sectors, while lodging rallied on expectation of travel resumption after various shutdowns. The worst-performing sectors were data centers (+6%), net lease (+20%), and industrial (+26%). Data centers were beset by myriad concerns, including compressing development yields, softer leasing, and healthy valuations after outperforming during the pandemic. Rising rates and commercial property prices weighed on the interest-rate sensitive net lease sector. Finally, the industrial sector took a breather following a strong year and lofty valuations.
From a private market perspective, transaction volumes are recovering, as is pricing. The combination of pent-up demand for assets as well as better clarity on underwriting and plentiful capital are causing commercial real estate to rebound to levels above pre-pandemic levels, even as actual fundamentals continue to lag. Notably, strong demand for the asset class can best be seen in compressing cap rates (i.e., higher multiples) even with higher rates. Traditionally, cap rates have trended in-line with moves in interest rates.
Fundamentals for real estate seem to be on fair to positive footing overall. But there are key exceptions, two of the biggest outstanding questions surround the office and hotel sectors. After the initial wave of optimism around return to office, the Delta variant and the scales tipping towards employee vs. employer has put a significant question mark on how the sector evolves, both near-term and long-term. Companies are working out in real-time how to encourage workers to come back to the office as attracting, and retaining, talent often requires more flexible location options. As for hotels, demand hit an air pocket after the summer optimism, evidenced by strong leisure travel demand. The Delta variant, and push back in return to office, has delayed the expected resumption of corporate travel demand.
Capital market conditions remain particularly robust for REITs with ample access to both debt and equity. Both private and public capital is plentiful for most asset classes.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
MANAGERS’ COMMENTARY (Unaudited)(continued) | September 30, 2021 |
Performance Review
The Fund underperformed its benchmark by for the fiscal year ended September 30, 2021. Since inception, the Fund has outperformed the benchmark index by 2.55% annually, net of fees, with an annualized gain of 11.58% compared to 9.03% for the index. Consistent with the Fund’s objective, the Fund has also managed risk with a 10% reduction in annualized daily volatility during the fiscal year relative to the benchmark.
The Fund’s underperformance was primarily driven by the Fund’s below-market exposure as well as negative alpha contribution from the long-only sleeve. The Fund maintained an average long-only sleeve weight of 96% and a long/short sleeve weight of 33% during the fiscal year.
On a gross of fees basis, allocation levels resulted in a 1.53% reduction to the Fund’s relative performance given the benchmark’s 37.39% rally. The long-only sleeve underperformed the benchmark index by 2.88%, detracting 3.78% from the Fund’s relative performance. Finally, the long/short sleeve generated absolute returns of 0.28% resulting in a 0.09% contribution to the Fund’s relative performance.
The Fund utilizes swaps to gain exposure to individual equity REIT securities and to obtain leverage. In the long/short sleeve, of the 33% average long/short allocation for the year, roughly 9% were cash positions and 24% was from swaps. For the long-only sleeve, of the 96% average long allocation for the year, roughly 89% were cash positions and 7% was from swaps. Derivative exposure contributed to performance for the period.
Outlook
We have a favorable outlook on the REIT sector. While not as bullish as we were last year, we remain positive. To be sure, challenges remain but we believe the sector is in good shape coming out of this recent downturn.
What drives our positive view?
● | Healthy REIT fundamentals with pricing power in multiple subsectors |
● | Attractive cost of capital with the ability to grow via acquisitions |
● | Private equity ready to step in on mispriced REITs |
● | Potential for dividend increases as earnings accelerate |
Even as Delta, and potentially new variants of COVID-19, continue to populate headlines, vaccination rates are grinding up and the economy is healing. The next twelve months should see a continuation of trends seen thus far in 2021, with resumption of demand for commercial real estate. Secular trends in industrial and multifamily should see positive tailwinds for some time. Cyclical trends in hotels should inflect upwards as core business travel returns. Valuation when compared fixed income alternatives continue to look attractive.
Strategy
Given our constructive view on REITs, the Fund has reduced its defensive bias both in terms of overall market exposure as well as the underlying long-only and long/short portfolio sleeves. During the fiscal year, the Fund had maintained a long-only allocation of approximately 96% up from 82% in the previous year. The fund peaked at 99% long-only allocation earlier in the year as the market was rallying, one of the highest levels ever for the fund. We currently sit around 93% given the strong performance year to date, as we have ticked down exposure in conjunction with the REIT rally. The current positioning is a slightly offensive posture for the strategy considering that the Fund targets a 90% in neutral market conditions. Should another major market dislocation occur, the Fund stands ready to opportunistically increase the long-only allocation further. As a reminder, the Fund was designed to operate with a maximum beta to the REIT index of up to 1.10 (110% long-only allocation) which provides us with ample dry powder.
Similarly, the defensive posture of the underlying long-only and long/short sleeves has reversed to a more offensive positioning over the course of the year. Key sector overweights at period-end include homebuilder, lodging, and strip retail. We are positive on favorable demand characteristics as well as pricing power. We believe these sectors present attractive growth prospects relative to current valuations. Key sector underweights are net lease, office, and diversified/specialty REITs. In contrast to our overweights, these sectors lack pricing power and face headwinds into next year.
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
Looking forward, the Fund will continue striving to outperform its benchmark and to fully participate in the performance of the REIT sector while still seeking to reduce daily volatility and major drawdowns. Given today’s favorable dynamics in the REIT sector, we believe REITs are well positioned for healthy performance.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
RISK MANAGED REAL ESTATE FUND
OBJECTIVE: seeks to provide total return, comprised of capital appreciation and current income.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | March 28, 2014 |
C-Class | March 28, 2014 |
P-Class | May 1, 2015 |
Institutional Class | March 28, 2014 |
Ten Largest Holdings (% of Total Net Assets) | |
Prologis, Inc. | 8.5% |
Equinix, Inc. | 6.5% |
AvalonBay Communities, Inc. | 3.7% |
Equity Residential | 3.4% |
Public Storage | 3.2% |
Simon Property Group, Inc. | 3.2% |
Invitation Homes, Inc. | 2.8% |
Alexandria Real Estate Equities, Inc. | 2.7% |
Ventas, Inc. | 2.5% |
Welltower, Inc. | 2.4% |
Top Ten Total | 38.9% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | Since |
A-Class Shares | 32.13% | 10.51% | 11.58% |
A-Class Shares with sales charge‡ | 25.87% | 9.44% | 10.86% |
C-Class Shares | 31.05% | 9.66% | 10.72% |
C-Class Shares with CDSC§ | 30.05% | 9.66% | 10.72% |
Institutional Class Shares | 32.52% | 10.83% | 11.90% |
FTSE NAREIT Equity REITs Total Return Index | 37.39% | 6.83% | 9.03% |
| 1 Year | 5 Year | Since |
P-Class Shares | 32.03% | 10.47% | 9.80% |
FTSE NAREIT Equity REITs Total Return Index | 37.39% | 6.83% | 7.68% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The FTSE NAREIT Equity REITs Total Return Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 93.3% | ||||||||
REITs - 90.4% | ||||||||
REITs-Diversified - 16.0% | ||||||||
Equinix, Inc.1 | 40,611 | $ | 32,087,969 | |||||
Digital Realty Trust, Inc. | 68,196 | 9,850,912 | ||||||
CyrusOne, Inc. | 125,340 | 9,702,569 | ||||||
Gaming and Leisure Properties, Inc.2 | 197,692 | 9,157,093 | ||||||
VICI Properties, Inc.1 | 225,723 | 6,412,790 | ||||||
Duke Realty Corp.2 | 102,086 | 4,886,857 | ||||||
DigitalBridge Group, Inc.* | 586,369 | 3,535,805 | ||||||
WP Carey, Inc.2 | 39,870 | 2,912,105 | ||||||
EPR Properties | 16,318 | 805,783 | ||||||
Total REITs-Diversified | 79,351,883 | |||||||
REITs-Apartments - 15.3% | ||||||||
AvalonBay Communities, Inc.1 | 81,806 | 18,131,482 | ||||||
Equity Residential | 211,189 | 17,089,414 | ||||||
Invitation Homes, Inc.2 | 359,750 | 13,789,218 | ||||||
Essex Property Trust, Inc. | 20,213 | 6,462,905 | ||||||
American Campus Communities, Inc.1 | 120,674 | 5,846,655 | ||||||
UDR, Inc. | 85,210 | 4,514,426 | ||||||
Mid-America Apartment Communities, Inc. | 23,087 | 4,311,497 | ||||||
American Homes 4 Rent — Class A2 | 105,794 | 4,032,867 | ||||||
Camden Property Trust2 | 9,921 | 1,463,050 | ||||||
Total REITs-Apartments | 75,641,514 | |||||||
REITs-Warehouse/Industries - 11.6% | ||||||||
Prologis, Inc.1 | 334,627 | 41,972,265 | ||||||
Rexford Industrial Realty, Inc. | 136,057 | 7,721,235 | ||||||
Americold Realty Trust2 | 121,762 | 3,537,186 | ||||||
Innovative Industrial Properties, Inc. | 10,834 | 2,504,496 | ||||||
Terreno Realty Corp.2 | 25,405 | 1,606,358 | ||||||
Total REITs-Warehouse/Industries | 57,341,540 | |||||||
REITs-Health Care - 9.8% | ||||||||
Ventas, Inc.2 | 222,020 | 12,257,724 | ||||||
Welltower, Inc. | 143,564 | 11,829,674 | ||||||
Healthpeak Properties, Inc.2 | 323,396 | 10,827,298 | ||||||
Medical Properties Trust, Inc. | 363,528 | 7,296,007 | ||||||
CareTrust REIT, Inc. | 295,682 | 6,008,258 | ||||||
Total REITs-Health Care | 48,218,961 | |||||||
REITs-Office Property - 8.2% | ||||||||
Alexandria Real Estate Equities, Inc.1 | 70,779 | 13,523,744 | ||||||
Boston Properties, Inc. | 61,417 | 6,654,532 | ||||||
Hudson Pacific Properties, Inc. | 154,653 | 4,062,734 | ||||||
SL Green Realty Corp.2 | 53,129 | 3,763,639 | ||||||
Empire State Realty Trust, Inc. — Class A | 337,945 | 3,389,588 | ||||||
Kilroy Realty Corp. | 44,969 | 2,977,398 | ||||||
Highwoods Properties, Inc. | 64,547 | 2,831,031 | ||||||
JBG SMITH Properties | 47,565 | 1,408,400 | ||||||
Paramount Group, Inc. | 102,456 | 921,079 | ||||||
American Assets Trust, Inc. | 21,194 | 793,080 | ||||||
Total REITs-Office Property | 40,325,225 | |||||||
REITs-Storage - 8.0% | ||||||||
Public Storage2 | 54,149 | 16,087,668 | ||||||
Extra Space Storage, Inc.2 | 48,771 | 8,193,040 | ||||||
National Storage Affiliates Trust | 139,939 | 7,387,380 | ||||||
Life Storage, Inc. | 38,664 | 4,436,250 | ||||||
Iron Mountain, Inc. | 95,873 | 4,165,682 | ||||||
Total REITs-Storage | 40,270,020 | |||||||
REITs-Shopping Centers - 5.6% | ||||||||
Regency Centers Corp. | 124,102 | 8,355,788 | ||||||
Brixmor Property Group, Inc. | 365,524 | 8,081,736 | ||||||
Acadia Realty Trust | 295,147 | 6,023,950 | ||||||
Kimco Realty Corp. | 228,465 | 4,740,649 | ||||||
Kite Realty Group Trust | 31,378 | 638,856 | ||||||
Total REITs-Shopping Centers | 27,840,979 | |||||||
REITs-Hotels - 4.9% | ||||||||
Xenia Hotels & Resorts, Inc.* | 402,227 | 7,135,507 | ||||||
DiamondRock Hospitality Co.* | 531,411 | 5,021,834 | ||||||
Ryman Hospitality Properties, Inc.* | 58,513 | 4,897,538 | ||||||
MGM Growth Properties LLC — Class A | 125,434 | 4,804,122 | ||||||
Host Hotels & Resorts, Inc.* | 88,363 | 1,442,968 | ||||||
Pebblebrook Hotel Trust | 48,585 | 1,088,790 | ||||||
Total REITs-Hotels | 24,390,759 | |||||||
REITs-Single Tenant - 4.6% | ||||||||
Agree Realty Corp.1 | 102,320 | 6,776,654 | ||||||
Realty Income Corp.2 | 88,641 | 5,749,255 | ||||||
Four Corners Property Trust, Inc.2 | 193,818 | 5,205,951 | ||||||
National Retail Properties, Inc. | 110,523 | 4,773,488 | ||||||
Total REITs-Single Tenant | 22,505,348 | |||||||
REITs-Regional Malls - 3.2% | ||||||||
Simon Property Group, Inc. | 120,630 | 15,678,281 | ||||||
REITs-Manufactured Homes - 3.2% | ||||||||
Sun Communities, Inc.2 | 56,041 | 10,373,189 | ||||||
Equity LifeStyle Properties, Inc. | 66,017 | 5,155,928 | ||||||
Total REITs-Manufactured Homes | 15,529,117 | |||||||
Total REITs | 447,093,627 | |||||||
Home Builders - 1.3% | ||||||||
Buildings - Residential/Commercial - 1.3% | ||||||||
PulteGroup, Inc. | 60,661 | 2,785,553 | ||||||
DR Horton, Inc. | 23,008 | 1,931,982 | ||||||
Lennar Corp. — Class A | 20,092 | 1,882,219 | ||||||
Total Buildings - Residential/Commercial | 6,599,754 | |||||||
Total Home Builders | 6,599,754 | |||||||
Lodging - 0.8% | ||||||||
Hotels&Motels - 0.8% | ||||||||
Hilton Grand Vacations, Inc.* | 79,328 | 3,773,633 | ||||||
Entertainment - 0.6% | ||||||||
Resorts/Theme Parks - 0.6% | ||||||||
Marriott Vacations Worldwide Corp. | 18,349 | 2,886,848 | ||||||
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Value | ||||||
Real Estate - 0.2% | ||||||||
Real Estate Management/Services - 0.2% | ||||||||
Jones Lang LaSalle, Inc.* | 4,003 | $ | 993,104 | |||||
Total Common Stocks | ||||||||
(Cost $389,051,140) | 461,346,966 | |||||||
MONEY MARKET FUND† - 6.4% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3 | 31,908,251 | 31,908,251 | ||||||
Total Money Market Fund | ||||||||
(Cost $31,908,251) | 31,908,251 | |||||||
Total Investments - 99.7% | ||||||||
(Cost $420,959,391) | $ | 493,255,217 | ||||||
COMMON STOCKS SOLD SHORT† - (7.4)% | ||||||||
REITs - (7.4)% | ||||||||
REITs-Storage - (0.2)% | ||||||||
CubeSmart | 21,298 | (1,031,945 | ) | |||||
Total REITs-Storage | (1,031,945 | ) | ||||||
REITs-Warehouse/Industries - (0.3)% | ||||||||
Industrial Logistics Properties Trust | 21,338 | (542,199 | ) | |||||
STAG Industrial, Inc. | 27,518 | (1,080,081 | ) | |||||
Total REITs-Warehouse/Industries | (1,622,280 | ) | ||||||
REITs-Shopping Centers - (0.7)% | ||||||||
SITE Centers Corp. | 66,846 | (1,032,102 | ) | |||||
Urban Edge Properties | 62,319 | (1,141,061 | ) | |||||
Federal Realty Investment Trust | 10,257 | (1,210,223 | ) | |||||
Total REITs-Shopping Centers | (3,383,386 | ) | ||||||
REITs-Health Care - (0.8)% | ||||||||
National Health Investors, Inc. | 7,350 | (393,225 | ) | |||||
LTC Properties, Inc. | 27,771 | (880,063 | ) | |||||
Healthcare Realty Trust, Inc. | 31,670 | (943,133 | ) | |||||
Omega Healthcare Investors, Inc. | 51,951 | (1,556,452 | ) | |||||
Total REITs-Health Care | (3,772,873 | ) | ||||||
REITs-Diversified - (0.9)% | ||||||||
American Finance Trust, Inc. | 59,166 | (475,695 | ) | |||||
Broadstone Net Lease, Inc. | 33,565 | (832,748 | ) | |||||
Washington Real Estate Investment Trust | 45,181 | (1,118,230 | ) | |||||
Digital Realty Trust, Inc. | 13,271 | (1,916,996 | ) | |||||
Total REITs-Diversified | (4,343,669 | ) | ||||||
REITs-Office Property - (1.0)% | ||||||||
Equity Commonwealth | 15,370 | (399,313 | ) | |||||
Easterly Government Properties, Inc. | 22,435 | (463,507 | ) | |||||
Corporate Office Properties Trust | 34,367 | (927,222 | ) | |||||
Office Properties Income Trust | 36,869 | (933,892 | ) | |||||
Douglas Emmett, Inc. | 29,661 | (937,584 | ) | |||||
Cousins Properties, Inc. | 29,681 | (1,106,804 | ) | |||||
Total REITs-Office Property | (4,768,322 | ) | ||||||
REITs-Hotels - (1.0)% | ||||||||
Host Hotels & Resorts, Inc.* | 45,398 | (741,349 | ) | |||||
Sunstone Hotel Investors, Inc.* | 75,515 | (901,649 | ) | |||||
RLJ Lodging Trust | 101,819 | (1,513,030 | ) | |||||
Apple Hospitality REIT, Inc. | 123,823 | (1,947,736 | ) | |||||
Total REITs-Hotels | (5,103,764 | ) | ||||||
REITs-Single Tenant - (1.2)% | ||||||||
Essential Properties Realty Trust, Inc. | 55,578 | (1,551,738 | ) | |||||
STORE Capital Corp. | 57,627 | (1,845,793 | ) | |||||
Realty Income Corp.2 | 36,282 | (2,353,251 | ) | |||||
Total REITs-Single Tenant | (5,750,782 | ) | ||||||
REITs-Apartments - (1.3)% | ||||||||
Independence Realty Trust, Inc. | 64,297 | (1,308,444 | ) | |||||
Camden Property Trust2 | 8,946 | (1,319,267 | ) | |||||
Apartment Income REIT Corp. | 33,821 | (1,650,803 | ) | |||||
Mid-America Apartment Communities, Inc. | 12,494 | (2,333,254 | ) | |||||
Total REITs-Apartments | (6,611,768 | ) | ||||||
Total REITs | (36,388,789 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $36,570,143) | (36,388,789 | ) | ||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (0.6)% | ||||||||
Vanguard Real Estate ETF | 27,536 | (2,802,614 | ) | |||||
Total Exchange-Traded Funds Sold Short | ||||||||
(Proceeds $2,837,681) | (2,802,614 | ) | ||||||
Total Securities Sold Short - (8.0)% | ||||||||
(Proceeds $39,407,824) | $ | (39,191,403 | ) | |||||
Other Assets & Liabilities, net - 8.3% | 41,159,858 | |||||||
Total Net Assets - 100.0% | $ | 495,223,672 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
RISK MANAGED REAL ESTATE FUND |
Custom Basket Swap Agreements | |||||||||||||||||||
Counterparty | Reference Obligation | Type | Financing | Payment | Maturity | Notional | Value and | ||||||||||||
OTC Custom Basket Swap Agreements †† | |||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | 0.48% (Federal Funds Rate + 0.40%) | At Maturity | 06/12/24 | $ | 55,800,920 | $ | 4,105,094 | ||||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | 0.53% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | 55,800,929 | 4,085,232 | ||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | 0.48% (Federal Funds Rate + 0.40%) | At Maturity | 10/22/25 | 16,279,031 | 1,737,292 | ||||||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | 0.53% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | 16,290,323 | 1,735,081 | ||||||||||||
$ | 144,171,203 | $ | 11,662,699 | ||||||||||||||||
OTC Custom Basket Swap Agreements Sold Short †† | |||||||||||||||||||
Goldman Sachs International | GS Equity Custom Basket | Pay | (0.12)% (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | $ | 55,322,720 | $ | (1,375,268 | ) | |||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Pay | (0.22)% (Federal Funds Rate - 0.30%) | At Maturity | 06/12/24 | 55,420,100 | (1,384,679 | ) | |||||||||||
$ | 110,742,820 | $ | (2,759,947 | ) |
| Shares | Percentage |
| |||||||||
MS EQUITY LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Prologis, Inc. | 12,754 | 9.81 | % | $ | 266,216 | |||||||
Equinix, Inc. | 1,571 | 7.63 | % | 170,672 | ||||||||
Public Storage | 2,097 | 3.83 | % | 128,211 | ||||||||
AvalonBay Communities, Inc. | 2,838 | 3.86 | % | 112,015 | ||||||||
Invitation Homes, Inc. | 12,898 | 3.04 | % | 96,980 | ||||||||
Simon Property Group, Inc. | 4,667 | 3.73 | % | 93,320 | ||||||||
Equity Residential | 7,375 | 3.67 | % | 84,778 | ||||||||
Extra Space Storage, Inc. | 1,887 | 1.95 | % | 83,385 | ||||||||
Welltower, Inc. | 5,557 | 2.81 | % | 68,415 | ||||||||
Alexandria Real Estate Equities, Inc. | 2,503 | 2.94 | % | 66,318 | ||||||||
Sun Communities, Inc. | 1,820 | 2.07 | % | 64,563 | ||||||||
Regency Centers Corp. | 3,944 | 1.63 | % | 47,978 | ||||||||
Mid-America Apartment Communities, Inc. | 895 | 1.03 | % | 43,936 | ||||||||
Equity LifeStyle Properties, Inc. | 2,556 | 1.23 | % | 41,189 | ||||||||
Essex Property Trust, Inc. | 785 | 1.54 | % | 41,137 | ||||||||
UDR, Inc. | 3,300 | 1.07 | % | 39,486 | ||||||||
Life Storage, Inc. | 1,496 | 1.05 | % | 38,017 | ||||||||
Iron Mountain, Inc. | 3,709 | 0.99 | % | 32,662 | ||||||||
CyrusOne, Inc. | 4,047 | 1.92 | % | 32,009 | ||||||||
Healthpeak Properties, Inc. | 11,505 | 2.37 | % | 31,138 | ||||||||
Duke Realty Corp. | 3,948 | 1.16 | % | 28,848 | ||||||||
National Storage Affiliates Trust | 4,236 | 1.37 | % | 28,289 | ||||||||
Digital Realty Trust, Inc. | 2,382 | 2.11 | % | 25,246 | ||||||||
MGM Growth Properties LLC — Class A | 4,168 | 0.98 | % | 23,861 | ||||||||
Gaming and Leisure Properties, Inc. | 6,546 | 1.86 | % | 23,289 | ||||||||
American Homes 4 Rent — Class A | 4,094 | 0.96 | % | 22,981 | ||||||||
Rexford Industrial Realty, Inc. | 4,628 | 1.61 | % | 20,088 | ||||||||
Innovative Industrial Properties, Inc. | 323 | 0.46 | % | 17,291 | ||||||||
Camden Property Trust | 387 | 0.35 | % | 16,659 | ||||||||
Brixmor Property Group, Inc. | 11,690 | 1.59 | % | 15,728 | ||||||||
Boston Properties, Inc. | 2,235 | 1.49 | % | 14,230 | ||||||||
Kimco Realty Corp. | 8,843 | 1.13 | % | 13,539 | ||||||||
Realty Income Corp. | 3,429 | 1.37 | % | 12,420 | ||||||||
VICI Properties, Inc. | 7,442 | 1.30 | % | 9,950 | ||||||||
Ventas, Inc. | 7,921 | 2.69 | % | 9,736 | ||||||||
Ryman Hospitality Properties, Inc. | 1,746 | 0.90 | % | 7,315 |
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Percentage | Value and | |||||||||
Terreno Realty Corp. | 984 | 0.38 | % | $ | 7,029 | |||||||
WP Carey, Inc. | 1,542 | 0.69 | % | 6,518 | ||||||||
American Campus Communities, Inc. | 3,734 | 1.11 | % | 6,393 | ||||||||
Highwoods Properties, Inc. | 2,047 | 0.55 | % | 4,596 | ||||||||
Pebblebrook Hotel Trust | 1,881 | 0.26 | % | 2,966 | ||||||||
Paramount Group, Inc. | 3,963 | 0.22 | % | 1,349 | ||||||||
Kilroy Realty Corp. | 1,741 | 0.71 | % | 1,219 | ||||||||
EPR Properties | 633 | 0.19 | % | 853 | ||||||||
National Retail Properties, Inc. | 4,276 | 1.13 | % | 804 | ||||||||
Kite Realty Group Trust | 1,214 | 0.15 | % | (188 | ) | |||||||
Host Hotels & Resorts, Inc. | 3,359 | 0.34 | % | (830 | ) | |||||||
Hudson Pacific Properties, Inc. | 4,594 | 0.74 | % | (3,931 | ) | |||||||
Acadia Realty Trust | 8,571 | 1.07 | % | (4,189 | ) | |||||||
Agree Realty Corp. | 3,209 | 1.31 | % | (4,345 | ) | |||||||
JBG SMITH Properties | 1,843 | 0.34 | % | (5,790 | ) | |||||||
SL Green Realty Corp. | 2,058 | 0.90 | % | (6,536 | ) | |||||||
Four Corners Property Trust, Inc. | 5,783 | 0.95 | % | (6,977 | ) | |||||||
DigitalBridge Group, Inc. | 21,912 | 0.81 | % | (9,004 | ) | |||||||
Empire State Realty Trust, Inc. — Class A | 9,056 | 0.56 | % | (12,067 | ) | |||||||
DiamondRock Hospitality Co. | 16,177 | 0.94 | % | (12,199 | ) | |||||||
Medical Properties Trust, Inc. | 12,759 | 1.57 | % | (12,873 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 12,177 | 1.33 | % | (20,376 | ) | |||||||
Americold Realty Trust | 4,036 | 0.72 | % | (27,523 | ) | |||||||
CareTrust REIT, Inc. | 9,331 | 1.16 | % | (31,704 | ) | |||||||
Total Financial | 1,745,090 | |||||||||||
Consumer, Cyclical | ||||||||||||
Hilton Grand Vacations, Inc. | 2,294 | 0.67 | % | 20,678 | ||||||||
Lennar Corp. — Class A | 591 | 0.34 | % | (1,960 | ) | |||||||
DR Horton, Inc. | 674 | 0.35 | % | (2,266 | ) | |||||||
PulteGroup, Inc. | 1,771 | 0.50 | % | (12,082 | ) | |||||||
Marriott Vacations Worldwide Corp. | 523 | 0.51 | % | (12,168 | ) | |||||||
Total Consumer, Cyclical | (7,798 | ) | ||||||||||
Total MS Equity Long Custom Basket | $ | 1,737,292 | ||||||||||
MS EQUITY LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Regency Centers Corp. | 31,553 | 3.79 | % | $ | 573,571 | |||||||
AvalonBay Communities, Inc. | 12,026 | 4.77 | % | 542,613 | ||||||||
Innovative Industrial Properties, Inc. | 3,542 | 1.47 | % | 500,762 | ||||||||
Sun Communities, Inc. | 12,838 | 4.26 | % | 500,486 | ||||||||
Jones Lang LaSalle, Inc. | 5,690 | 2.53 | % | 494,579 | ||||||||
Equity Residential | 29,211 | 4.24 | % | 394,081 | ||||||||
Ventas, Inc. | 24,447 | 2.42 | % | 307,562 | ||||||||
Gaming and Leisure Properties, Inc. | 40,465 | 3.36 | % | 251,560 | ||||||||
American Assets Trust, Inc. | 35,937 | 2.41 | % | 238,345 | ||||||||
Alexandria Real Estate Equities, Inc. | 8,612 | 2.95 | % | 213,143 | ||||||||
CyrusOne, Inc. | 26,854 | 3.73 | % | 202,103 | ||||||||
Healthpeak Properties, Inc. | 37,163 | 2.23 | % | 157,714 | ||||||||
MGM Growth Properties LLC — Class A | 25,154 | 1.73 | % | 138,574 | ||||||||
DiamondRock Hospitality Co. | 161,228 | 2.73 | % | 138,241 | ||||||||
Prologis, Inc. | 6,847 | 1.54 | % | 130,091 | ||||||||
VICI Properties, Inc. | 47,359 | 2.41 | % | 122,505 | ||||||||
Ryman Hospitality Properties, Inc. | 17,936 | 2.69 | % | 116,545 | ||||||||
Invitation Homes, Inc. | 37,298 | 2.56 | % | 105,208 | ||||||||
Brixmor Property Group, Inc. | 90,050 | 3.57 | % | 94,033 | ||||||||
Boston Properties, Inc. | 6,191 | 1.20 | % | 71,306 | ||||||||
American Campus Communities, Inc. | 34,452 | 2.99 | % | 56,351 | ||||||||
Highwoods Properties, Inc. | 16,624 | 1.31 | % | 52,993 | ||||||||
Hudson Pacific Properties, Inc. | 51,150 | 2.41 | % | 44,011 | ||||||||
National Storage Affiliates Trust | 40,201 | 3.80 | % | 17,243 | ||||||||
Agree Realty Corp. | 27,473 | 3.26 | % | (49,291 | ) | |||||||
Rexford Industrial Realty, Inc. | 23,382 | 2.38 | % | (66,774 | ) | |||||||
Four Corners Property Trust, Inc. | 63,158 | 3.04 | % | (77,678 | ) | |||||||
Medical Properties Trust, Inc. | 48,176 | 1.73 | % | (79,550 | ) | |||||||
Acadia Realty Trust | 99,407 | 3.64 | % | (93,794 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 117,189 | 3.73 | % | (146,831 | ) | |||||||
Americold Realty Trust | 24,814 | 1.29 | % | (180,389 | ) | |||||||
Empire State Realty Trust, Inc. — Class A | 147,536 | 2.65 | % | (247,818 | ) | |||||||
CareTrust REIT, Inc. | 79,056 | 2.88 | % | (283,135 | ) | |||||||
Total Financial | 4,238,360 | |||||||||||
Consumer, Cyclical | ||||||||||||
Hilton Grand Vacations, Inc. | 26,551 | 2.26 | % | 189,587 | ||||||||
DR Horton, Inc. | 7,931 | 1.19 | % | (26,661 | ) | |||||||
Lennar Corp. — Class A | 6,948 | 1.17 | % | (27,054 | ) | |||||||
Marriott Vacations Worldwide Corp. | 6,867 | 1.94 | % | (104,485 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Percentage | Value and | |||||||||
PulteGroup, Inc. | 21,125 | 1.74 | % | $ | (164,653 | ) | ||||||
Total Consumer, Cyclical | (133,266 | ) | ||||||||||
Total MS Equity Long Custom Basket | $ | 4,105,094 | ||||||||||
MS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Omega Healthcare Investors, Inc. | 73,821 | (4.01 | )% | $ | 471,911 | |||||||
LTC Properties, Inc. | 39,470 | (2.26 | )% | 381,771 | ||||||||
Realty Income Corp. | 51,553 | (6.03 | )% | 185,726 | ||||||||
National Health Investors, Inc. | 10,437 | (1.01 | )% | 169,240 | ||||||||
Office Properties Income Trust | 52,388 | (2.39 | )% | 144,505 | ||||||||
Broadstone Net Lease, Inc. | 49,682 | (2.22 | )% | 139,479 | ||||||||
Urban Edge Properties | 88,531 | (2.92 | )% | 93,215 | ||||||||
American Finance Trust, Inc. | 84,093 | (1.22 | )% | 83,308 | ||||||||
Equity Commonwealth | 26,055 | (1.22 | )% | 67,578 | ||||||||
Sunstone Hotel Investors, Inc. | 107,306 | (2.31 | )% | 62,653 | ||||||||
Easterly Government Properties, Inc. | 31,888 | (1.19 | )% | 40,656 | ||||||||
Douglas Emmett, Inc. | 42,185 | (2.41 | )% | 31,227 | ||||||||
Healthcare Realty Trust, Inc. | 45,000 | (2.42 | )% | 27,981 | ||||||||
RLJ Lodging Trust | 144,678 | (3.88 | )% | 8,438 | ||||||||
Corporate Office Properties Trust | 48,835 | (2.38 | )% | (1,603 | ) | |||||||
STORE Capital Corp. | 81,884 | (4.73 | )% | (15,578 | ) | |||||||
Host Hotels & Resorts, Inc. | 64,532 | (1.90 | )% | (25,271 | ) | |||||||
Cousins Properties, Inc. | 50,338 | (3.39 | )% | (47,517 | ) | |||||||
Digital Realty Trust, Inc. | 9,302 | (2.42 | )% | (48,043 | ) | |||||||
Industrial Logistics Properties Trust | 30,317 | (1.39 | )% | (71,182 | ) | |||||||
Apartment Income REIT Corp. | 48,054 | (4.23 | )% | (106,927 | ) | |||||||
Camden Property Trust | 12,711 | (3.38 | )% | (143,301 | ) | |||||||
Federal Realty Investment Trust | 14,577 | (3.10 | )% | (158,224 | ) | |||||||
SITE Centers Corp. | 113,368 | (3.16 | )% | (173,642 | ) | |||||||
Apple Hospitality REIT, Inc. | 175,903 | (4.99 | )% | (183,074 | ) | |||||||
STAG Industrial, Inc. | 39,099 | (2.77 | )% | (228,460 | ) | |||||||
Washington Real Estate Investment Trust | 64,199 | (2.87 | )% | (237,397 | ) | |||||||
CubeSmart | 30,279 | (2.65 | )% | (272,545 | ) | |||||||
Essential Properties Realty Trust, Inc. | 78,974 | (3.98 | )% | (273,718 | ) | |||||||
Independence Realty Trust, Inc. | 109,046 | (4.00 | )% | (504,347 | ) | |||||||
Mid-America Apartment Communities, Inc. | 17,752 | (5.98 | )% | (816,420 | ) | |||||||
Total Financial | (1,399,561 | ) | ||||||||||
Exchange-Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 39,163 | (7.19 | )% | 14,882 | ||||||||
Total MS Equity Short Custom Basket | $ | (1,384,679 | ) | |||||||||
GS EQUITY LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Prologis, Inc. | 12,754 | 9.84 | % | $ | 265,849 | |||||||
Equinix, Inc. | 1,571 | 7.62 | % | 169,659 | ||||||||
Public Storage | 2,097 | 3.82 | % | 128,060 | ||||||||
AvalonBay Communities, Inc. | 2,838 | 3.86 | % | 112,110 | ||||||||
Invitation Homes, Inc. | 12,898 | 3.03 | % | 96,909 | ||||||||
Simon Property Group, Inc. | 4,667 | 3.72 | % | 93,205 | ||||||||
Equity Residential | 7,375 | 3.66 | % | 84,777 | ||||||||
Extra Space Storage, Inc. | 1,887 | 1.95 | % | 83,347 | ||||||||
Welltower, Inc. | 5,557 | 2.81 | % | 68,255 | ||||||||
Alexandria Real Estate Equities, Inc. | 2,503 | 2.94 | % | 66,152 | ||||||||
Sun Communities, Inc. | 1,820 | 2.07 | % | 64,415 | ||||||||
Regency Centers Corp. | 3,944 | 1.63 | % | 47,966 | ||||||||
Mid-America Apartment Communities, Inc. | 895 | 1.03 | % | 43,981 | ||||||||
Equity LifeStyle Properties, Inc. | 2,556 | 1.23 | % | 41,233 | ||||||||
Essex Property Trust, Inc. | 785 | 1.54 | % | 41,114 | ||||||||
UDR, Inc. | 3,300 | 1.07 | % | 39,461 | ||||||||
Life Storage, Inc. | 1,496 | 1.05 | % | 38,035 | ||||||||
Iron Mountain, Inc. | 3,709 | 0.99 | % | 32,657 | ||||||||
CyrusOne, Inc. | 4,047 | 1.92 | % | 32,053 | ||||||||
Healthpeak Properties, Inc. | 11,505 | 2.36 | % | 31,119 | ||||||||
Duke Realty Corp. | 3,948 | 1.16 | % | 28,812 | ||||||||
National Storage Affiliates Trust | 4,449 | 1.44 | % | 28,482 | ||||||||
Digital Realty Trust, Inc. | 2,382 | 2.11 | % | 25,213 | ||||||||
MGM Growth Properties LLC — Class A | 4,168 | 0.98 | % | 23,810 | ||||||||
Gaming and Leisure Properties, Inc. | 6,546 | 1.86 | % | 23,163 | ||||||||
American Homes 4 Rent — Class A | 4,094 | 0.96 | % | 23,002 | ||||||||
Rexford Industrial Realty, Inc. | 4,628 | 1.61 | % | 20,108 | ||||||||
Innovative Industrial Properties, Inc. | 323 | 0.46 | % | 17,364 | ||||||||
Camden Property Trust | 387 | 0.35 | % | 16,639 | ||||||||
Brixmor Property Group, Inc. | 11,690 | 1.59 | % | 15,897 | ||||||||
Boston Properties, Inc. | 2,235 | 1.49 | % | 14,166 | ||||||||
Kimco Realty Corp. | 8,843 | 1.13 | % | 13,533 | ||||||||
Realty Income Corp. | 3,429 | 1.37 | % | 12,445 | ||||||||
VICI Properties, Inc. | 7,442 | 1.30 | % | 9,975 | ||||||||
Ventas, Inc. | 7,921 | 2.68 | % | 9,617 |
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Percentage | Value and | |||||||||
Ryman Hospitality Properties, Inc. | 1,746 | 0.90 | % | $ | 7,314 | |||||||
Terreno Realty Corp. | 984 | 0.38 | % | 7,038 | ||||||||
WP Carey, Inc. | 1,542 | 0.69 | % | 6,453 | ||||||||
American Campus Communities, Inc. | 3,734 | 1.11 | % | 6,436 | ||||||||
Highwoods Properties, Inc. | 2,047 | 0.55 | % | 4,557 | ||||||||
Pebblebrook Hotel Trust | 1,881 | 0.26 | % | 2,936 | ||||||||
Paramount Group, Inc. | 3,963 | 0.22 | % | 1,386 | ||||||||
Kilroy Realty Corp. | 1,741 | 0.71 | % | 1,193 | ||||||||
EPR Properties | 633 | 0.19 | % | 854 | ||||||||
National Retail Properties, Inc. | 4,276 | 1.13 | % | 558 | ||||||||
Kite Realty Group Trust | 1,214 | 0.15 | % | (256 | ) | |||||||
Host Hotels & Resorts, Inc. | 3,359 | 0.34 | % | (828 | ) | |||||||
Hudson Pacific Properties, Inc. | 4,594 | 0.74 | % | (3,946 | ) | |||||||
Agree Realty Corp. | 3,209 | 1.30 | % | (4,417 | ) | |||||||
Acadia Realty Trust | 8,571 | 1.07 | % | (4,437 | ) | |||||||
JBG SMITH Properties | 1,843 | 0.33 | % | (5,807 | ) | |||||||
Four Corners Property Trust, Inc. | 5,783 | 0.95 | % | (6,049 | ) | |||||||
SL Green Realty Corp. | 2,058 | 0.89 | % | (6,540 | ) | |||||||
DigitalBridge Group, Inc. | 21,912 | 0.81 | % | (8,973 | ) | |||||||
Empire State Realty Trust, Inc. — Class A | 9,056 | 0.56 | % | (12,020 | ) | |||||||
DiamondRock Hospitality Co. | 16,177 | 0.94 | % | (12,150 | ) | |||||||
Medical Properties Trust, Inc. | 12,759 | 1.57 | % | (13,301 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 12,177 | 1.33 | % | (20,185 | ) | |||||||
Americold Realty Trust | 4,036 | 0.72 | % | (27,467 | ) | |||||||
CareTrust REIT, Inc. | 9,331 | 1.16 | % | (31,733 | ) | |||||||
Total Financial | 1,743,199 | |||||||||||
Consumer, Cyclical | ||||||||||||
Hilton Grand Vacations, Inc. | 2,295 | 0.67 | % | 20,656 | ||||||||
Lennar Corp. — Class A | 591 | 0.34 | % | (1,962 | ) | |||||||
DR Horton, Inc. | 674 | 0.35 | % | (2,374 | ) | |||||||
PulteGroup, Inc. | 1,771 | 0.50 | % | (12,117 | ) | |||||||
Marriott Vacations Worldwide Corp. | 523 | 0.51 | % | (12,321 | ) | |||||||
Total Consumer, Cyclical | (8,118 | ) | ||||||||||
Total GS Equity Long Custom Basket | $ | 1,735,081 | ||||||||||
GS EQUITY LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Regency Centers Corp. | 31,553 | 3.79 | % | $ | 572,919 | |||||||
AvalonBay Communities, Inc. | 12,026 | 4.77 | % | 540,811 | ||||||||
Innovative Industrial Properties, Inc. | 3,542 | 1.47 | % | 504,828 | ||||||||
Sun Communities, Inc. | 12,838 | 4.26 | % | 502,016 | ||||||||
Jones Lang LaSalle, Inc. | 5,690 | 2.53 | % | 495,032 | ||||||||
Equity Residential | 29,211 | 4.24 | % | 390,633 | ||||||||
Ventas, Inc. | 24,447 | 2.42 | % | 307,172 | ||||||||
Gaming and Leisure Properties, Inc. | 40,465 | 3.36 | % | 252,085 | ||||||||
American Assets Trust, Inc. | 35,937 | 2.41 | % | 244,190 | ||||||||
Alexandria Real Estate Equities, Inc. | 8,612 | 2.95 | % | 203,387 | ||||||||
CyrusOne, Inc. | 26,854 | 3.73 | % | 201,861 | ||||||||
Healthpeak Properties, Inc. | 37,163 | 2.23 | % | 158,677 | ||||||||
MGM Growth Properties LLC — Class A | 25,154 | 1.73 | % | 138,505 | ||||||||
DiamondRock Hospitality Co. | 161,228 | 2.73 | % | 133,630 | ||||||||
Prologis, Inc. | 6,847 | 1.54 | % | 129,811 | ||||||||
VICI Properties, Inc. | 47,359 | 2.41 | % | 121,295 | ||||||||
Ryman Hospitality Properties, Inc. | 17,936 | 2.69 | % | 117,755 | ||||||||
Invitation Homes, Inc. | 37,298 | 2.56 | % | 106,729 | ||||||||
Brixmor Property Group, Inc. | 90,050 | 3.57 | % | 94,311 | ||||||||
Boston Properties, Inc. | 6,191 | 1.20 | % | 70,475 | ||||||||
Highwoods Properties, Inc. | 16,624 | 1.31 | % | 52,833 | ||||||||
American Campus Communities, Inc. | 34,452 | 2.99 | % | 52,440 | ||||||||
Hudson Pacific Properties, Inc. | 51,150 | 2.41 | % | 43,495 | ||||||||
National Storage Affiliates Trust | 40,201 | 3.80 | % | 20,005 | ||||||||
Agree Realty Corp. | 27,473 | 3.26 | % | (56,261 | ) | |||||||
Rexford Industrial Realty, Inc. | 23,382 | 2.38 | % | (68,386 | ) | |||||||
Four Corners Property Trust, Inc. | 63,158 | 3.04 | % | (70,335 | ) | |||||||
Medical Properties Trust, Inc. | 48,176 | 1.73 | % | (79,784 | ) | |||||||
Acadia Realty Trust | 99,407 | 3.64 | % | (94,700 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 117,189 | 3.73 | % | (152,327 | ) | |||||||
Americold Realty Trust | 24,814 | 1.29 | % | (181,392 | ) | |||||||
Empire State Realty Trust, Inc. — Class A | 147,536 | 2.65 | % | (246,749 | ) | |||||||
CareTrust REIT, Inc. | 79,056 | 2.88 | % | (283,969 | ) | |||||||
Total Financial | 4,220,992 | |||||||||||
Consumer, Cyclical | ||||||||||||
Hilton Grand Vacations, Inc. | 26,551 | 2.26 | % | 189,332 | ||||||||
Lennar Corp. — Class A | 6,948 | 1.17 | % | (26,380 | ) | |||||||
DR Horton, Inc. | 7,931 | 1.19 | % | (27,929 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
RISK MANAGED REAL ESTATE FUND |
| Shares | Percentage | Value and | |||||||||
Marriott Vacations Worldwide Corp. | 6,867 | 1.94 | % | $ | (106,812 | ) | ||||||
PulteGroup, Inc. | 21,125 | 1.74 | % | (163,971 | ) | |||||||
Total Consumer, Cyclical | (135,760 | ) | ||||||||||
Total GS Equity Long Custom Basket | $ | 4,085,232 | ||||||||||
GS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Omega Healthcare Investors, Inc. | 73,821 | (4.02 | )% | $ | 478,101 | |||||||
LTC Properties, Inc. | 39,470 | (2.26 | )% | 382,906 | ||||||||
Realty Income Corp. | 51,553 | (6.04 | )% | 179,003 | ||||||||
National Health Investors, Inc. | 10,437 | (1.01 | )% | 170,190 | ||||||||
Office Properties Income Trust | 52,388 | (2.40 | )% | 146,574 | ||||||||
Broadstone Net Lease, Inc. | 45,753 | (2.05 | )% | 116,490 | ||||||||
Urban Edge Properties | 88,531 | (2.93 | )% | 94,356 | ||||||||
American Finance Trust, Inc. | 84,093 | (1.22 | )% | 84,963 | ||||||||
Equity Commonwealth | 26,055 | (1.22 | )% | 68,006 | ||||||||
Sunstone Hotel Investors, Inc. | 107,306 | (2.32 | )% | 62,588 | ||||||||
Easterly Government Properties, Inc. | 31,888 | (1.19 | )% | 40,709 | ||||||||
Douglas Emmett, Inc. | 42,185 | (2.41 | )% | 34,144 | ||||||||
Healthcare Realty Trust, Inc. | 45,000 | (2.42 | )% | 27,963 | ||||||||
RLJ Lodging Trust | 144,684 | (3.89 | )% | 15,464 | ||||||||
Corporate Office Properties Trust | 48,835 | (2.38 | )% | (1,645 | ) | |||||||
STORE Capital Corp. | 81,884 | (4.74 | )% | (13,466 | ) | |||||||
Host Hotels & Resorts, Inc. | 64,532 | (1.90 | )% | (24,329 | ) | |||||||
Cousins Properties, Inc. | 50,338 | (3.39 | )% | (47,549 | ) | |||||||
Digital Realty Trust, Inc. | 9,302 | (2.43 | )% | (47,855 | ) | |||||||
Industrial Logistics Properties Trust | 30,317 | (1.39 | )% | (71,217 | ) | |||||||
Apartment Income REIT Corp. | 48,054 | (4.24 | )% | (104,235 | ) | |||||||
Camden Property Trust | 12,711 | (3.39 | )% | (143,376 | ) | |||||||
Federal Realty Investment Trust | 14,577 | (3.11 | )% | (157,092 | ) | |||||||
Apple Hospitality REIT, Inc. | 175,903 | (5.00 | )% | (171,940 | ) | |||||||
SITE Centers Corp. | 113,368 | (3.16 | )% | (176,799 | ) | |||||||
STAG Industrial, Inc. | 39,099 | (2.77 | )% | (227,523 | ) | |||||||
Washington Real Estate Investment Trust | 64,199 | (2.87 | )% | (236,908 | ) | |||||||
CubeSmart | 30,279 | (2.65 | )% | (272,548 | ) | |||||||
Essential Properties Realty Trust, Inc. | 78,974 | (3.99 | )% | (272,891 | ) | |||||||
Independence Realty Trust, Inc. | 109,046 | (4.01 | )% | (504,495 | ) | |||||||
Mid-America Apartment Communities, Inc. | 17,752 | (5.99 | )% | (816,069 | ) | |||||||
Total Financial | (1,388,480 | ) | ||||||||||
Exchange-Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 39,163 | (7.21 | )% | 13,212 | ||||||||
Total GS Equity Short Custom Basket | $ | (1,375,268 | ) |
* | 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 | All or a portion of this security is pledged as short security collateral at September 30, 2021. |
2 | All or a portion of this security is pledged as custom basket swap collateral at September 30, 2021. |
3 | Rate indicated is the 7-day yield as of September 30, 2021. |
GS — Goldman Sachs International | |
MS — Morgan Stanley Capital Services LLC | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
RISK MANAGED REAL ESTATE FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 461,346,966 | $ | — | $ | — | $ | 461,346,966 | ||||||||
Money Market Fund | 31,908,251 | — | — | 31,908,251 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 11,662,699 | — | 11,662,699 | ||||||||||||
Total Assets | $ | 493,255,217 | $ | 11,662,699 | $ | — | $ | 504,917,916 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks Sold Short | $ | 36,388,789 | $ | — | $ | — | $ | 36,388,789 | ||||||||
Exchange-Traded Funds Sold Short | 2,802,614 | — | — | 2,802,614 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 2,759,947 | — | 2,759,947 | ||||||||||||
Total Liabilities | $ | 39,191,403 | $ | 2,759,947 | $ | — | $ | 41,951,350 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
RISK MANAGED REAL ESTATE FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments, at value (cost $420,959,391) | $ | 493,255,217 | ||
Cash | 36,196,950 | |||
Unrealized appreciation on OTC swap agreements | 11,662,699 | |||
Prepaid expenses | 36,310 | |||
Receivables: | ||||
Securities sold | 3,564,071 | |||
Fund shares sold | 2,505,233 | |||
Dividends | 1,123,344 | |||
Interest | 293 | |||
Other assets | 54,734 | |||
Total assets | 548,398,851 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $39,407,824) | 39,191,403 | |||
Segregated cash due to broker | 4,538,030 | |||
Unrealized depreciation on OTC swap agreements | 2,759,947 | |||
Payable for: | ||||
Securities purchased | 5,505,416 | |||
Fund shares redeemed | 362,126 | |||
Management fees | 308,042 | |||
Swap settlement | 224,362 | |||
Distributions to shareholders | 174,785 | |||
Fund accounting/administration fees | 30,925 | |||
Distribution and service fees | 9,456 | |||
Transfer agent/maintenance fees | 9,154 | |||
Trustees’ fees* | 3,228 | |||
Due to Investment Adviser | 354 | |||
Miscellaneous | 57,951 | |||
Total liabilities | 53,175,179 | |||
Net assets | $ | 495,223,672 | ||
Net assets consist of: | ||||
Paid in capital | $ | 402,640,846 | ||
Total distributable earnings (loss) | 92,582,826 | |||
Net assets | $ | 495,223,672 | ||
A-Class: | ||||
Net assets | $ | 10,097,847 | ||
Capital shares outstanding | 273,888 | |||
Net asset value per share | $ | 36.87 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 38.71 | ||
C-Class: | ||||
Net assets | $ | 5,029,192 | ||
Capital shares outstanding | 137,581 | |||
Net asset value per share | $ | 36.55 | ||
P-Class: | ||||
Net assets | $ | 14,830,106 | ||
Capital shares outstanding | 400,394 | |||
Net asset value per share | $ | 37.04 | ||
Institutional Class: | ||||
Net assets | $ | 465,266,527 | ||
Capital shares outstanding | 12,459,150 | |||
Net asset value per share | $ | 37.34 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RISK MANAGED REAL ESTATE FUND |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends | $ | 9,551,225 | ||
Interest | 4,803 | |||
Total investment income | 9,556,028 | |||
Expenses: | ||||
Management fees | 3,139,809 | |||
Distribution and service fees: | ||||
A-Class | 25,757 | |||
C-Class | 33,058 | |||
P-Class | 34,209 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 8,989 | |||
C-Class | 3,531 | |||
P-Class | 16,562 | |||
Institutional Class | 212,109 | |||
Short sale dividend expense | 657,391 | |||
Fund accounting/administration fees | 286,199 | |||
Professional fees | 69,918 | |||
Custodian fees | 30,741 | |||
Trustees’ fees* | 24,678 | |||
Line of credit fees | 17,682 | |||
Miscellaneous | 146,514 | |||
Recoupment of previously waived fees: | ||||
A-Class | 804 | |||
C-Class | 1,986 | |||
P-Class | 7,781 | |||
Institutional Class | 11,819 | |||
Total expenses | 4,729,537 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (1,733 | ) | ||
C-Class | (472 | ) | ||
P-Class | (3,493 | ) | ||
Institutional Class | (13,100 | ) | ||
Expenses waived by Adviser | (3,884 | ) | ||
Earnings credits applied | (30 | ) | ||
Total waived/reimbursed expenses | (22,712 | ) | ||
Net expenses | 4,706,825 | |||
Net investment income | 4,849,203 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | $ | 39,997,369 | ||
Investments sold short | (2,543,844 | ) | ||
Swap agreements | (1,285,447 | ) | ||
Net realized gain | 36,168,078 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 63,631,574 | |||
Investments sold short | 394,548 | |||
Swap agreements | 6,684,079 | |||
Net change in unrealized appreciation (depreciation) | 70,710,201 | |||
Net realized and unrealized gain | 106,878,279 | |||
Net increase in net assets resulting from operations | $ | 111,727,482 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
RISK MANAGED REAL ESTATE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 4,849,203 | $ | 3,220,961 | ||||
Net realized gain on investments | 36,168,078 | 12,964,702 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 70,710,201 | (28,257,366 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 111,727,482 | (12,071,703 | ) | |||||
Distributions to shareholders: | ||||||||
A-Class | (933,838 | ) | (957,148 | ) | ||||
C-Class | (188,880 | ) | (113,526 | ) | ||||
P-Class | (868,263 | ) | (877,436 | ) | ||||
Institutional Class | (24,055,000 | ) | (12,530,172 | ) | ||||
Total distributions to shareholders | (26,045,981 | ) | (14,478,282 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 6,697,124 | 5,640,634 | ||||||
C-Class | 2,849,191 | 2,155,146 | ||||||
P-Class | 8,994,214 | 11,549,513 | ||||||
Institutional Class | 169,214,784 | 154,929,010 | ||||||
Distributions reinvested | ||||||||
A-Class | 902,695 | 944,537 | ||||||
C-Class | 176,660 | 104,891 | ||||||
P-Class | 868,263 | 877,436 | ||||||
Institutional Class | 19,938,359 | 10,433,798 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (14,900,087 | ) | (5,310,772 | ) | ||||
C-Class | (1,002,677 | ) | (1,173,851 | ) | ||||
P-Class | (10,004,722 | ) | (31,799,723 | ) | ||||
Institutional Class | (95,198,371 | ) | (53,391,937 | ) | ||||
Net increase from capital share transactions | 88,535,433 | 94,958,682 | ||||||
Net increase in net assets | 174,216,934 | 68,408,697 | ||||||
Net assets: | ||||||||
Beginning of year | 321,006,738 | 252,598,041 | ||||||
End of year | $ | 495,223,672 | $ | 321,006,738 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 196,140 | 181,753 | ||||||
C-Class | 79,979 | 67,526 | ||||||
P-Class | 264,152 | 354,802 | ||||||
Institutional Class | 5,109,785 | 5,166,648 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 29,406 | 29,970 | ||||||
C-Class | 5,791 | 3,334 | ||||||
P-Class | 27,797 | 27,630 | ||||||
Institutional Class | 626,369 | 329,330 | ||||||
Shares redeemed | ||||||||
A-Class | (480,725 | ) | (171,692 | ) | ||||
C-Class | (30,402 | ) | (39,458 | ) | ||||
P-Class | (295,005 | ) | (967,278 | ) | ||||
Institutional Class | (2,852,113 | ) | (1,724,186 | ) | ||||
Net increase in shares | 2,681,174 | 3,258,379 |
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RISK MANAGED REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 29.97 | $ | 34.11 | $ | 28.93 | $ | 29.70 | $ | 28.87 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .32 | .31 | .34 | .41 | .03 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.86 | (2.53 | ) | 5.65 | .38 | 2.08 | ||||||||||||||
Total from investment operations | 9.18 | (2.22 | ) | 5.99 | .79 | 2.11 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.54 | ) | (.63 | ) | (.55 | ) | (.52 | ) | (.57 | ) | ||||||||||
Net realized gains | (1.74 | ) | (1.29 | ) | (.26 | ) | (1.04 | ) | (.71 | ) | ||||||||||
Total distributions | (2.28 | ) | (1.92 | ) | (.81 | ) | (1.56 | ) | (1.28 | ) | ||||||||||
Net asset value, end of period | $ | 36.87 | $ | 29.97 | $ | 34.11 | $ | 28.93 | $ | 29.70 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 32.13 | % | (6.73 | %) | 21.12 | % | 2.70 | % | 7.54 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 10,098 | $ | 15,857 | $ | 16,682 | $ | 13,772 | $ | 2,196 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.95 | % | 0.99 | % | 1.09 | % | 1.42 | % | 0.09 | % | ||||||||||
Total expensesc | 1.39 | % | 1.71 | % | 1.89 | % | 1.78 | % | 1.45 | % | ||||||||||
Net expensesd,e,f | 1.38 | % | 1.70 | % | 1.88 | % | 1.76 | % | 1.33 | % | ||||||||||
Portfolio turnover rate | 80 | % | 180 | % | 122 | % | 107 | % | 85 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 29.76 | $ | 33.88 | $ | 28.75 | $ | 29.54 | $ | 28.77 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .05 | .08 | .11 | .15 | (.19 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.76 | (2.53 | ) | 5.60 | .42 | 2.06 | ||||||||||||||
Total from investment operations | 8.81 | (2.45 | ) | 5.71 | .57 | 1.87 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.28 | ) | (.38 | ) | (.32 | ) | (.32 | ) | (.39 | ) | ||||||||||
Net realized gains | (1.74 | ) | (1.29 | ) | (.26 | ) | (1.04 | ) | (.71 | ) | ||||||||||
Total distributions | (2.02 | ) | (1.67 | ) | (.58 | ) | (1.36 | ) | (1.10 | ) | ||||||||||
Net asset value, end of period | $ | 36.55 | $ | 29.76 | $ | 33.88 | $ | 28.75 | $ | 29.54 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 31.05 | % | (7.48 | %) | 20.23 | % | 1.93 | % | 6.71 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,029 | $ | 2,446 | $ | 1,721 | $ | 867 | $ | 725 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.16 | % | 0.26 | % | 0.35 | % | 0.53 | % | (0.66 | %) | ||||||||||
Total expensesc | 2.21 | % | 2.54 | % | 2.73 | % | 2.71 | % | 2.27 | % | ||||||||||
Net expensesd,e,f | 2.20 | % | 2.51 | % | 2.65 | % | 2.53 | % | 2.08 | % | ||||||||||
Portfolio turnover rate | 80 | % | 180 | % | 122 | % | 107 | % | 85 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
RISK MANAGED REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 30.12 | $ | 34.30 | $ | 29.09 | $ | 29.85 | $ | 29.01 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .29 | .22 | .60 | .37 | .13 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.91 | (2.48 | ) | 5.42 | .43 | 1.98 | ||||||||||||||
Total from investment operations | 9.20 | (2.26 | ) | 6.02 | .80 | 2.11 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.54 | ) | (.63 | ) | (.55 | ) | (.52 | ) | (.56 | ) | ||||||||||
Net realized gains | (1.74 | ) | (1.29 | ) | (.26 | ) | (1.04 | ) | (.71 | ) | ||||||||||
Total distributions | (2.28 | ) | (1.92 | ) | (.81 | ) | (1.56 | ) | (1.27 | ) | ||||||||||
Net asset value, end of period | $ | 37.04 | $ | 30.12 | $ | 34.30 | $ | 29.09 | $ | 29.85 | ||||||||||
| ||||||||||||||||||||
Total Return | 32.03 | % | (6.81 | %) | 21.12 | % | 2.68 | % | 7.53 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,830 | $ | 12,152 | $ | 33,894 | $ | 4,217 | $ | 2,564 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.86 | % | 0.70 | % | 1.87 | % | 1.29 | % | 0.42 | % | ||||||||||
Total expensesc | 1.47 | % | 1.84 | % | 1.93 | % | 1.88 | % | 1.51 | % | ||||||||||
Net expensesd,e,f | 1.45 | % | 1.78 | % | 1.89 | % | 1.78 | % | 1.30 | % | ||||||||||
Portfolio turnover rate | 80 | % | 180 | % | 122 | % | 107 | % | 85 | % |
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RISK MANAGED REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 30.34 | $ | 34.51 | $ | 29.27 | $ | 30.04 | $ | 29.18 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .41 | .41 | .43 | .46 | .11 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.98 | (2.58 | ) | 5.71 | .43 | 2.10 | ||||||||||||||
Total from investment operations | 9.39 | (2.17 | ) | 6.14 | .89 | 2.21 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.65 | ) | (.71 | ) | (.64 | ) | (.62 | ) | (.64 | ) | ||||||||||
Net realized gains | (1.74 | ) | (1.29 | ) | (.26 | ) | (1.04 | ) | (.71 | ) | ||||||||||
Total distributions | (2.39 | ) | (2.00 | ) | (.90 | ) | (1.66 | ) | (1.35 | ) | ||||||||||
Net asset value, end of period | $ | 37.34 | $ | 30.34 | $ | 34.51 | $ | 29.27 | $ | 30.04 | ||||||||||
| ||||||||||||||||||||
Total Return | 32.52 | % | (6.48 | %) | 21.46 | % | 2.98 | % | 7.87 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 465,267 | $ | 290,551 | $ | 200,301 | $ | 154,245 | $ | 123,037 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.18 | % | 1.31 | % | 1.38 | % | 1.56 | % | 0.38 | % | ||||||||||
Total expensesc | 1.10 | % | 1.43 | % | 1.61 | % | 1.51 | % | 1.02 | % | ||||||||||
Net expensesd,e,f | 1.10 | % | 1.43 | % | 1.60 | % | 1.50 | % | 1.01 | % | ||||||||||
Portfolio turnover rate | 80 | % | 180 | % | 122 | % | 107 | % | 85 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 0.01% | 0.02% | 0.03% | 0.03% | 0.02% | |
C-Class | 0.06% | 0.04% | 0.01% | 0.01% | 0.00%* | |
P-Class | 0.06% | 0.02% | 0.02% | 0.01% | 0.00%* | |
Institutional Class | 0.00%* | 0.01% | 0.01% | 0.02% | — |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 1.21% | 1.23% | 1.27% | 1.29% | 1.30% | |
C-Class | 2.04% | 2.05% | 2.05% | 2.05% | 2.04% | |
P-Class | 1.29% | 1.30% | 1.30% | 1.30% | 1.29% | |
Institutional Class | 0.94% | 0.96% | 1.00% | 1.03% | 0.97% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders:
Guggenheim Small Cap Value Fund is managed by a team of seasoned professionals led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and performance of the Fund for the fiscal year ended September 30, 2021.
For the fiscal year ended September 30, 2021, Guggenheim Small Cap Value Fund returned 51.48%1, compared with the 63.92% return of its benchmark, the Russell 2000® Value Index.
Strategy and Market Overview
Our investment approach focuses on understanding how companies make money and how easily companies can improve returns, maintain existing high levels of profitability, or benefit from change that occurs within the industries in which they operate. In today’s rapidly changing environment marked by very sharp and quick, but constrained, volatility, our long-term orientation and discipline are a competitive advantage. This should become especially critical when the environment of indiscriminant valuation expansion subsides, and fundamentals once again become a more dominant factor in the market.
Performance Review
Rising interest rates, the reopening of the economy following the pandemic, and a historically wide valuation gap between growth and value sectors were among the factors that, in a reversal from the last few years, saw value stocks solidly outperform growth stocks over the period, particularly in the small capitalization space. Early on, the smallest and most sensitive to an improving economy advanced the most, but larger, more growth-focused names stepped up as the market grew concerned about the Delta variant, peak profitability, rising input prices, logistical challenges, and shortages. The Fund, which tends to own the larger but more value-focused companies in the benchmark, lagged its benchmark at times throughout the period. While small cap value stocks outperformed large cap value stocks for the period, the more volatile, lower-quality companies in the small cap space outperformed those of higher quality, which are those the Fund tends to own.
The largest headwind to the Fund was stock selection in the Technology and Industrials sectors, as earnings reports of companies indicated supply chain issues, cost input inflation, or impairments related to Hurricane Ida. In Technology, communication equipment names as well as the hand-set chip suppliers were weak, as component availability either impaired the ability to get sufficient product out the door or delayed customer orders. Stocks that fell from highs in the period included Infinera Corp., Qorvo, Inc., and Skyworks Solutions. Equities in the Industrials sector declined 10% more than those in the benchmark, led by Parsons Corp., which reported a 56% decline in operating income for the summer quarter due to reserves taken on federal solutions and critical infrastructure programs, and Enersys, which fell on raw material cost inflation and availability issues.
Selection in REITs was poor against the benchmark, offset by a beneficial underweighting to the sector. A lack of exposure to cyclical office retail REITs and an overweighting to healthcare REITs was entirely the cause, as opposed to any issues with individual companies. A large position in mediocre performer Physicians REIT was the main individual detractor.
Selection in Financials was also a negative influence in the period. An over-exposure to insurance and reinsurance names was detrimental as the market feared the impact of Hurricane Ida and other storms. Heritage Insurance and Alleghany Corp both fell on these concerns. A bright spot was Pinnacle Financial Partners, which had strong earnings growth during the year.
Also detracting from performance was the fact that the Fund did not own Gamestop and AMC, volatile meme stocks that soared earlier in 2021, based on the view that the companies’ earnings fundamentals did not justify their valuations.
A positive contribution from underweighting the Health Care sector was offset by poor selection, led by Emergent BiosSolutions, which fell as the company in a manufacturing contract for Johnson and Johnson’s vaccine had to dispose of millions of contaminated doses. The company’s facility has subsequently corrected the outstanding issues at the facility and is once again manufacturing. Not owning hospitals or life science tools companies also detracted from performance. Evolent Health was a large individual contributor in the sector, rising on speculation that the company could become a takeover target after involvement by activist investors.
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
The leading contributors to relative performance for the year were stock selection in Consumer Discretionary and Consumer Staples. In Consumer Discretionary, the Fund was helped by holdings in retailers selling apparel (Abercrombie & Fitch), autos and auto parts (Penske Automotive, LKQ Corp.), and sporting equipment (Dick’s Sporting Goods). Meritage Homes detracted from performance; investors became cautious on the sector as homebuilders faced higher raw materials costs and concerns over affordability. Consumer Staples names in the Fund also outgained those in the benchmark, led by Bunge, one of the Fund’s largest holdings.
Selection in Energy was also a relative contributor to performance, as the sector benefitted from the rise in price of both oil and natural gas. An emphasis on exploration and production companies was helpful, especially for natural gas-oriented Range Resources. Another significant contributor was Parsley Energy, an oil and gas company which was acquired by Pioneer Natural Resources during the period.
Portfolio Positioning
While this strategy is balanced relative to the benchmark, it does possess defensive characteristics in virtue of emphasizing relatively larger companies found in the benchmark as well as an overweight in Utilities.
At the end of the period, the Fund’s largest sector overweights relative to the benchmark were Industrials and Information Technology, and Materials. The Fund’s largest sector underweights were in Health Care, Financials, and REITs.
Portfolio and Market Outlook
The market outlook is indeed murkier than usual. The expectation of a government and a Federal Reserve (“Fed”) willing to do whatever is necessary to help the economy and the markets will need to meet the growing limitations that an increasingly indebted nation must eventually face. However, near term benefits of stimulus money and a Fed willing to commit to near zero interest rates for an indefinite period suggest a buoyant near-term outlook. The eventual outcome of the stimulus bill being debated in Congress and the Fed’s tapering process also promise to be significant but unpredictable market movers.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
SMALL CAP VALUE FUND
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | July 11, 2008 |
C-Class | July 11, 2008 |
P-Class | May 1, 2015 |
Institutional Class | July 11, 2008 |
Ten Largest Holdings (% of Total Net Assets) | |
Range Resources Corp. | 3.6% |
Pioneer Natural Resources Co. | 2.8% |
First Horizon Corp. | 2.0% |
Encompass Health Corp. | 1.5% |
Rexnord Corp. | 1.5% |
MDU Resources Group, Inc. | 1.5% |
Evolent Health, Inc. — Class A | 1.5% |
Physicians Realty Trust | 1.5% |
Huntsman Corp. | 1.4% |
Lexington Realty Trust | 1.4% |
Top Ten Total | 18.7% |
“Ten Largest Holdings” excludes any temporary cash investments. |
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 51.48% | 8.44% | 10.92% |
A-Class Shares with sales charge‡ | 44.27% | 7.39% | 10.39% |
C-Class Shares | 50.36% | 7.62% | 10.10% |
C-Class Shares with CDSC§ | 49.36% | 7.62% | 10.10% |
Institutional Class Shares | 51.78% | 8.70% | 11.19% |
Russell 2000 Value Index | 63.92% | 11.03% | 13.22% |
| 1 Year | 5 Year | Since |
P-Class Shares | 51.46% | 8.45% | 6.92% |
Russell 2000 Value Index | 63.92% | 11.03% | 9.60% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class Shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
‡ | Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year average annual returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
SMALL CAP VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 93.2% | ||||||||
Financial - 27.1% | ||||||||
First Horizon Corp. | 8,381 | $ | 136,526 | |||||
Physicians Realty Trust REIT | 5,665 | 99,817 | ||||||
Lexington Realty Trust REIT | 7,280 | 92,820 | ||||||
CNO Financial Group, Inc. | 3,653 | 85,992 | ||||||
Cathay General Bancorp | 1,864 | 77,151 | ||||||
Investors Bancorp, Inc. | 5,025 | 75,928 | ||||||
BOK Financial Corp. | 817 | 73,162 | ||||||
Simmons First National Corp. — Class A | 2,450 | 72,422 | ||||||
Hanmi Financial Corp. | 3,541 | 71,032 | ||||||
Prosperity Bancshares, Inc. | 992 | 70,561 | ||||||
Radian Group, Inc. | 3,075 | 69,864 | ||||||
STAG Industrial, Inc. REIT | 1,776 | 69,708 | ||||||
Stifel Financial Corp. | 984 | 66,873 | ||||||
MGIC Investment Corp. | 4,422 | 66,153 | ||||||
Hancock Whitney Corp. | 1,205 | 56,780 | ||||||
Flagstar Bancorp, Inc. | 1,097 | 55,706 | ||||||
Berkshire Hills Bancorp, Inc. | 2,052 | 55,363 | ||||||
Axis Capital Holdings Ltd. | 1,106 | 50,920 | ||||||
Independent Bank Group, Inc. | 658 | 46,744 | ||||||
Apple Hospitality REIT, Inc. | 2,954 | 46,467 | ||||||
GoHealth, Inc. — Class A* | 9,092 | 45,733 | ||||||
Zions Bancorp North America | 686 | 42,457 | ||||||
Sunstone Hotel Investors, Inc. REIT* | 3,446 | 41,145 | ||||||
Piedmont Office Realty Trust, Inc. — Class A REIT | 2,297 | 40,037 | ||||||
Heritage Insurance Holdings, Inc. | 5,840 | 39,770 | ||||||
Kennedy-Wilson Holdings, Inc. | 1,884 | 39,413 | ||||||
Old Republic International Corp. | 1,688 | 39,044 | ||||||
Park Hotels & Resorts, Inc. REIT* | 1,923 | 36,806 | ||||||
Heartland Financial USA, Inc. | 764 | 36,733 | ||||||
Virtu Financial, Inc. — Class A | 1,322 | 32,296 | ||||||
RMR Group, Inc. — Class A | 797 | 26,660 | ||||||
Total Financial | 1,860,083 | |||||||
Industrial - 22.4% | ||||||||
Rexnord Corp. | 1,594 | 102,478 | ||||||
MDU Resources Group, Inc. | 3,390 | 100,581 | ||||||
GATX Corp. | 917 | 82,127 | ||||||
Knight-Swift Transportation Holdings, Inc. | 1,594 | 81,533 | ||||||
EnerSys | 1,054 | 78,460 | ||||||
Owens Corning | 888 | 75,924 | ||||||
Sanmina Corp.* | 1,906 | 73,457 | ||||||
Colfax Corp.* | 1,552 | 71,237 | ||||||
Graphic Packaging Holding Co. | 3,651 | 69,515 | ||||||
Kirby Corp.* | 1,448 | 69,446 | ||||||
Plexus Corp.* | 756 | 67,594 | ||||||
Littelfuse, Inc. | 247 | 67,497 | ||||||
Valmont Industries, Inc. | 281 | 66,069 | ||||||
Altra Industrial Motion Corp. | 1,128 | 62,435 | ||||||
Energizer Holdings, Inc. | 1,581 | 61,738 | ||||||
PGT Innovations, Inc.* | 3,162 | 60,394 | ||||||
Southwest Gas Holdings, Inc. | 856 | 57,249 | ||||||
Terex Corp. | 1,183 | 49,804 | ||||||
Curtiss-Wright Corp. | 394 | 49,715 | ||||||
Encore Wire Corp. | 431 | 40,872 | ||||||
Kennametal, Inc. | 1,077 | 36,866 | ||||||
Advanced Energy Industries, Inc. | 384 | 33,696 | ||||||
II-VI, Inc.* | 512 | 30,393 | ||||||
Park Aerospace Corp. | 2,051 | 28,058 | ||||||
Howmet Aerospace, Inc. | 627 | 19,562 | ||||||
Total Industrial | 1,536,700 | |||||||
Consumer, Cyclical - 10.4% | ||||||||
Avient Corp. | 1,668 | 77,312 | ||||||
Alaska Air Group, Inc.* | 1,224 | 71,726 | ||||||
Abercrombie & Fitch Co. — Class A* | 1,867 | 70,255 | ||||||
KAR Auction Services, Inc.* | 4,188 | 68,641 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 834 | 66,879 | ||||||
Hawaiian Holdings, Inc.* | 2,804 | 60,735 | ||||||
Meritage Homes Corp.* | 592 | 57,424 | ||||||
Lakeland Industries, Inc.* | 2,166 | 45,486 | ||||||
Methode Electronics, Inc. | 975 | 40,999 | ||||||
Dana, Inc. | 1,551 | 34,494 | ||||||
Dick’s Sporting Goods, Inc. | 273 | 32,697 | ||||||
Penske Automotive Group, Inc. | 320 | 32,192 | ||||||
Tenneco, Inc. — Class A* | 1,556 | 22,204 | ||||||
Zumiez, Inc.* | 513 | 20,397 | ||||||
Newell Brands, Inc. | 631 | 13,970 | ||||||
Total Consumer, Cyclical | 715,411 | |||||||
Energy - 8.6% | ||||||||
Range Resources Corp.* | 10,778 | 243,906 | ||||||
Pioneer Natural Resources Co. | 1,159 | 192,985 | ||||||
Patterson-UTI Energy, Inc. | 10,182 | 91,638 | ||||||
CNX Resources Corp.* | 5,066 | 63,933 | ||||||
Total Energy | 592,462 | |||||||
Consumer, Non-cyclical - 6.8% | ||||||||
Encompass Health Corp. | 1,366 | 102,505 | ||||||
Ingredion, Inc. | 966 | 85,983 | ||||||
Central Garden & Pet Co. — Class A* | 1,632 | 70,176 | ||||||
Integer Holdings Corp.* | 637 | 56,910 | ||||||
US Foods Holding Corp.* | 1,618 | 56,080 | ||||||
Emergent BioSolutions, Inc.* | 699 | 34,999 | ||||||
Pacira BioSciences, Inc.* | 596 | 33,376 | ||||||
Perdoceo Education Corp.* | 2,215 | 23,390 | ||||||
Total Consumer, Non-cyclical | 463,419 | |||||||
Communications - 5.3% | ||||||||
Infinera Corp.* | 9,868 | 82,102 | ||||||
TEGNA, Inc. | 3,891 | 76,731 | ||||||
Ciena Corp.* | 1,008 | 51,761 | ||||||
Gray Television, Inc. | 2,253 | 51,413 | ||||||
FireEye, Inc.* | 2,627 | 46,761 | ||||||
Viavi Solutions, Inc.* | 2,380 | 37,461 | ||||||
Entercom Communications Corp.* | 5,002 | 18,407 | ||||||
Total Communications | 364,636 | |||||||
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
SMALL CAP VALUE FUND |
| Shares | Value | ||||||
Technology - 5.3% | ||||||||
Evolent Health, Inc. — Class A* | 3,227 | $ | 100,037 | |||||
DXC Technology Co.* | 2,413 | 81,101 | ||||||
Science Applications International Corp. | 908 | 77,689 | ||||||
Conduent, Inc.* | 10,165 | 66,987 | ||||||
Parsons Corp.* | 1,033 | 34,874 | ||||||
Total Technology | 360,688 | |||||||
Basic Materials - 4.9% | ||||||||
Huntsman Corp. | 3,164 | 93,623 | ||||||
Ashland Global Holdings, Inc. | 645 | 57,482 | ||||||
Element Solutions, Inc. | 2,441 | 52,921 | ||||||
Kraton Corp.* | 1,088 | 49,656 | ||||||
Reliance Steel & Aluminum Co. | 339 | 48,281 | ||||||
Commercial Metals Co. | 992 | 30,216 | ||||||
Total Basic Materials | 332,179 | |||||||
Utilities - 2.4% | ||||||||
Black Hills Corp. | 1,213 | 76,128 | ||||||
Spire, Inc. | 714 | 43,682 | ||||||
ALLETE, Inc. | 710 | 42,259 | ||||||
Total Utilities | 162,069 | |||||||
Total Common Stocks | ||||||||
(Cost $5,188,202) | 6,387,647 | |||||||
CONVERTIBLE PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
Thermoenergy Corp.*,1 | 6,250 | 2 | ||||||
Total Convertible Preferred Stocks | ||||||||
(Cost $5,968) | 2 | |||||||
RIGHTS† - 0.2% | ||||||||
Basic Materials - 0.2% | ||||||||
Pan American Silver Corp.* | 17,705 | 12,748 | ||||||
Total Rights | ||||||||
(Cost $—) | 12,748 | |||||||
MONEY MARKET FUND† - 6.0% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2 | 409,902 | 409,902 | ||||||
Total Money Market Fund | ||||||||
(Cost $409,902) | 409,902 | |||||||
Total Investments - 99.4% | ||||||||
(Cost $5,604,072) | $ | 6,810,299 | ||||||
Other Assets & Liabilities, net - 0.6% | 43,239 | |||||||
Total Net Assets - 100.0% | $ | 6,853,538 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
2 | Rate indicated is the 7-day yield as of September 30, 2021. |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,387,647 | $ | — | $ | — | $ | 6,387,647 | ||||||||
Convertible Preferred Stocks | — | — | 2 | 2 | ||||||||||||
Rights | 12,748 | — | — | 12,748 | ||||||||||||
Money Market Fund | 409,902 | — | — | 409,902 | ||||||||||||
Total Assets | $ | 6,810,297 | $ | — | $ | 2 | $ | 6,810,299 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
SMALL CAP VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments, at value (cost $5,604,072) | $ | 6,810,299 | ||
Prepaid expenses | 36,358 | |||
Receivables: | ||||
Securities sold | 91,530 | |||
Investment Adviser | 13,327 | |||
Dividends | 10,237 | |||
Fund shares sold | 2,651 | |||
Interest | 3 | |||
Total assets | 6,964,405 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 57,838 | |||
Professional fees | 28,034 | |||
Printing fees | 8,980 | |||
Fund accounting/administration fees | 5,776 | |||
Transfer agent/maintenance fees | 2,876 | |||
Fund shares redeemed | 2,191 | |||
Distribution and service fees | 1,550 | |||
Trustees’ fees* | 1,215 | |||
Due to Investment Adviser | 13 | |||
Miscellaneous | 2,394 | |||
Total liabilities | 110,867 | |||
Net assets | $ | 6,853,538 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,768,662 | ||
Total distributable earnings (loss) | 1,084,876 | |||
Net assets | $ | 6,853,538 | ||
A-Class: | ||||
Net assets | $ | 4,520,646 | ||
Capital shares outstanding | 283,841 | |||
Net asset value per share | $ | 15.93 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 16.72 | ||
C-Class: | ||||
Net assets | $ | 761,848 | ||
Capital shares outstanding | 52,285 | |||
Net asset value per share | $ | 14.57 | ||
P-Class: | ||||
Net assets | $ | 49,323 | ||
Capital shares outstanding | 3,073 | |||
Net asset value per share | $ | 16.05 | ||
Institutional Class: | ||||
Net assets | $ | 1,521,721 | ||
Capital shares outstanding | 106,159 | |||
Net asset value per share | $ | 14.33 |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends | $ | 121,535 | ||
Interest | 17 | |||
Total investment income | 121,552 | |||
Expenses: | ||||
Management fees | 51,148 | |||
Distribution and service fees: | ||||
A-Class | 11,392 | |||
C-Class | 8,294 | |||
P-Class | 104 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 19,716 | |||
C-Class | 4,841 | |||
P-Class | 322 | |||
Institutional Class | 5,819 | |||
Registration fees | 77,702 | |||
Professional fees | 38,196 | |||
Fund accounting/administration fees | 34,104 | |||
Trustees’ fees* | 17,405 | |||
Custodian fees | 5,455 | |||
Line of credit fees | 267 | |||
Miscellaneous | 7,247 | |||
Total expenses | 282,012 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (91,927 | ) | ||
C-Class | (18,566 | ) | ||
P-Class | (971 | ) | ||
Institutional Class | (27,801 | ) | ||
Expenses waived by Adviser | (51,127 | ) | ||
Total waived/reimbursed expenses | (190,392 | ) | ||
Net expenses | 91,620 | |||
Net investment income | 29,932 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 781,131 | |||
Net realized gain | 781,131 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,804,257 | |||
Net change in unrealized appreciation (depreciation) | 1,804,257 | |||
Net realized and unrealized gain | 2,585,388 | |||
Net increase in net assets resulting from operations | $ | 2,615,320 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
78 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SMALL CAP VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 29,932 | $ | 47,572 | ||||
Net realized gain (loss) on investments | 781,131 | (714,273 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,804,257 | (649,963 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 2,615,320 | (1,316,664 | ) | |||||
Distributions to shareholders: | ||||||||
A-Class | (36,090 | ) | (326,187 | ) | ||||
C-Class | — | (40,256 | ) | |||||
P-Class | (472 | ) | (1,606 | ) | ||||
Institutional Class | (13,445 | ) | (136,363 | ) | ||||
Total distributions to shareholders | (50,007 | ) | (504,412 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 552,766 | 860,701 | ||||||
C-Class | 132,046 | 239,864 | ||||||
P-Class | 11,399 | 58,142 | ||||||
Institutional Class | 716,219 | 1,275,902 | ||||||
Distributions reinvested | ||||||||
A-Class | 35,259 | 322,155 | ||||||
C-Class | — | 39,690 | ||||||
P-Class | 472 | 1,606 | ||||||
Institutional Class | 13,445 | 136,363 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (1,108,297 | ) | (6,879,457 | ) | ||||
C-Class | (507,467 | ) | (853,611 | ) | ||||
P-Class | (1,829 | ) | (88,984 | ) | ||||
Institutional Class | (629,091 | ) | (2,752,189 | ) | ||||
Net decrease from capital share transactions | (785,078 | ) | (7,639,818 | ) | ||||
Net increase (decrease) in net assets | 1,780,235 | (9,460,894 | ) | |||||
Net assets: | ||||||||
Beginning of year | 5,073,303 | 14,534,197 | ||||||
End of year | $ | 6,853,538 | $ | 5,073,303 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 36,752 | 78,870 | ||||||
C-Class | 10,139 | 22,403 | ||||||
P-Class | 720 | 6,309 | ||||||
Institutional Class | 55,173 | 127,977 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 2,669 | 23,970 | ||||||
C-Class | — | 3,214 | ||||||
P-Class | 35 | 118 | ||||||
Institutional Class | 1,133 | 11,307 | ||||||
Shares redeemed | ||||||||
A-Class | (75,105 | ) | (541,851 | ) | ||||
C-Class | (36,767 | ) | (82,317 | ) | ||||
P-Class | (115 | ) | (7,591 | ) | ||||
Institutional Class | (43,634 | ) | (316,698 | ) | ||||
Net decrease in shares | (49,000 | ) | (674,289 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 79 |
SMALL CAP VALUE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.61 | $ | 12.86 | $ | 15.56 | $ | 15.74 | $ | 13.61 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .07 | .06 | .10 | .04 | .02 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.37 | (1.87 | ) | (1.28 | ) | .91 | 2.20 | |||||||||||||
Total from investment operations | 5.44 | (1.81 | ) | (1.18 | ) | .95 | 2.22 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.12 | ) | (.18 | ) | (.19 | ) | (.15 | ) | (.09 | ) | ||||||||||
Net realized gains | — | (.26 | ) | (1.33 | ) | (.98 | ) | — | ||||||||||||
Total distributions | (.12 | ) | (.44 | ) | (1.52 | ) | (1.13 | ) | (.09 | ) | ||||||||||
Net asset value, end of period | $ | 15.93 | $ | 10.61 | $ | 12.86 | $ | 15.56 | $ | 15.74 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 51.48 | % | (14.79 | %) | (6.14 | %) | 6.32 | % | 16.41 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,521 | $ | 3,390 | $ | 9,751 | $ | 11,931 | $ | 11,943 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.47 | % | 0.54 | % | 0.75 | % | 0.29 | % | 0.15 | % | ||||||||||
Total expensesc | 4.07 | % | 3.23 | % | 2.27 | % | 2.09 | % | 1.87 | % | ||||||||||
Net expensesd,e,f | 1.30 | % | 1.30 | % | 1.30 | % | 1.30 | % | 1.32 | % | ||||||||||
Portfolio turnover rate | 28 | % | 40 | % | 78 | % | 18 | % | 48 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.69 | $ | 11.75 | $ | 14.30 | $ | 14.51 | $ | 12.57 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.03 | ) | (.02 | ) | — | g | (.07 | ) | (.08 | ) | ||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.91 | (1.73 | ) | (1.18 | ) | .84 | 2.02 | |||||||||||||
Total from investment operations | 4.88 | (1.75 | ) | (1.18 | ) | .77 | 1.94 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.05 | ) | (.04 | ) | — | — | |||||||||||||
Net realized gains | — | (.26 | ) | (1.33 | ) | (.98 | ) | — | ||||||||||||
Total distributions | — | (.31 | ) | (1.37 | ) | (.98 | ) | — | ||||||||||||
Net asset value, end of period | $ | 14.57 | $ | 9.69 | $ | 11.75 | $ | 14.30 | $ | 14.51 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 50.36 | % | (15.43 | %) | (6.89 | %) | 5.57 | % | 15.53 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 762 | $ | 765 | $ | 1,593 | $ | 2,884 | $ | 4,281 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.25 | %) | (0.14 | %) | 0.01 | % | (0.50 | %) | (0.60 | %) | ||||||||||
Total expensesc | 5.04 | % | 4.33 | % | 3.09 | % | 2.94 | % | 2.71 | % | ||||||||||
Net expensesd,e,f | 2.05 | % | 2.06 | % | 2.05 | % | 2.05 | % | 2.07 | % | ||||||||||
Portfolio turnover rate | 28 | % | 40 | % | 78 | % | 18 | % | 48 | % |
80 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SMALL CAP VALUE FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.75 | $ | 13.01 | $ | 15.73 | $ | 15.76 | $ | 13.60 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .07 | .05 | .09 | .05 | .01 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.42 | (1.86 | ) | (1.29 | ) | .90 | 2.22 | |||||||||||||
Total from investment operations | 5.49 | (1.81 | ) | (1.20 | ) | .95 | 2.23 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.19 | ) | (.19 | ) | (.19 | ) | — | (.07 | ) | |||||||||||
Net realized gains | — | (.26 | ) | (1.33 | ) | (.98 | ) | — | ||||||||||||
Total distributions | (.19 | ) | (.45 | ) | (1.52 | ) | (.98 | ) | (.07 | ) | ||||||||||
Net asset value, end of period | $ | 16.05 | $ | 10.75 | $ | 13.01 | $ | 15.73 | $ | 15.76 | ||||||||||
| ||||||||||||||||||||
Total Return | 51.46 | % | (14.66 | %) | (6.18 | %) | 6.30 | % | 16.35 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 49 | $ | 26 | $ | 47 | $ | 15 | $ | 14 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.48 | % | 0.46 | % | 0.72 | % | 0.30 | % | 0.09 | % | ||||||||||
Total expensesc | 4.39 | % | 4.07 | % | 2.73 | % | 2.79 | % | 3.60 | % | ||||||||||
Net expensesd,e,f | 1.30 | % | 1.30 | % | 1.28 | % | 1.30 | % | 1.32 | % | ||||||||||
Portfolio turnover rate | 28 | % | 40 | % | 78 | % | 18 | % | 48 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 81 |
SMALL CAP VALUE FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.54 | $ | 11.60 | $ | 14.24 | $ | 14.50 | $ | 12.54 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .10 | .09 | .12 | .07 | .04 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.81 | (1.68 | ) | (1.20 | ) | .84 | 2.04 | |||||||||||||
Total from investment operations | 4.91 | (1.59 | ) | (1.08 | ) | .91 | 2.08 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.12 | ) | (.21 | ) | (.23 | ) | (.19 | ) | (.12 | ) | ||||||||||
Net realized gains | — | (.26 | ) | (1.33 | ) | (.98 | ) | — | ||||||||||||
Total distributions | (.12 | ) | (.47 | ) | (1.56 | ) | (1.17 | ) | (.12 | ) | ||||||||||
Net asset value, end of period | $ | 14.33 | $ | 9.54 | $ | 11.60 | $ | 14.24 | $ | 14.50 | ||||||||||
| ||||||||||||||||||||
Total Return | 51.78 | % | (14.54 | %) | (5.96 | %) | 6.64 | % | 16.65 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,522 | $ | 892 | $ | 3,143 | $ | 3,798 | $ | 4,790 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.75 | % | 0.82 | % | 0.99 | % | 0.50 | % | 0.30 | % | ||||||||||
Total expensesc | 3.80 | % | 2.86 | % | 2.09 | % | 1.91 | % | 1.56 | % | ||||||||||
Net expenses,d,e,f | 1.05 | % | 1.05 | % | 1.05 | % | 1.05 | % | 1.07 | % | ||||||||||
Portfolio turnover rate | 28 | % | 40 | % | 78 | % | 18 | % | 48 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | — | — | — | — | 0.00%* | |
C-Class | — | — | — | — | 0.01% | |
P-Class | — | — | — | — | 0.74% | |
Institutional Class | — | — | — | — | 0.00%* |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | 09/30/16 | |
A-Class | 1.30% | 1.30% | 1.30% | 1.30% | 1.30% | 1.30% | |
C-Class | 2.05% | 2.05% | 2.05% | 2.05% | 2.05% | 2.05% | |
P-Class | 1.30% | 1.30% | 1.28% | 1.30% | 1.30% | 1.30% | |
Institutional Class | 1.05% | 1.05% | 1.05% | 1.05% | 1.05% | 1.05% |
g | Net investment income is less than $0.01 per share. |
82 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders:
Guggenheim StylePlusTM—Large Core Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses performance of the Fund for the fiscal year ended September 30, 2020.
For the fiscal year ended September 30, 2021 Guggenheim StylePlus—Large Core Fund returned 29.91%1, compared with the 30.00% return of its benchmark, the S&P 500 Index.
Investment Approach
Through a combination of actively managed individual equity, passive equity, and actively managed fixed income, the Fund seeks to exceed the total return of the S&P 500 Index. The actively managed equity and fixed income components seek to provide multiple sources of outperformance and take advantage of Guggenheim’s competencies in both fixed income and systematic stock selection.
The active and passive decisions seek to add value by tactically allocating to actively managed equity through quantitative selection models when stock picking opportunities are high. During periods when Guggenheim views these opportunities to be less attractive, the Fund seeks to increase its passive exposure to equities and the allocation to fixed-income securities. The prospective return during such periods is the equity index plus an “alpha” component coming from the yield of the fixed-income overlay.
Performance Review
Over the period, 15-25% of the total equity position was allocated to actively managed equity and 75-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund whose objective is to seek a high level of income consistent with the preservation of capital.
The Fund underperformed the S&P 500 Index for the fiscal year ended September 30, 2021 by 0.09% net of fees. The fixed income sleeve contributed to total return, as positions in the Guggenheim Ultra Short Duration Fund and the Guggenheim Strategy Funds, net of the investment income earned by these positions, were positive for the period. The actively managed equity sleeve contributed to performance on a relative basis. The passive equity position, maintained through swap agreements and futures contracts, also contributed to performance for the period.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
STYLEPLUS—LARGE CORE FUND
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
Inception Dates: | |
A-Class | September 10, 1962 |
C-Class | January 29, 1999 |
P-Class | May 1, 2015 |
Institutional Class | March 1, 2012 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Ultra Short Duration Fund — Institutional Class | 29.5% |
Guggenheim Strategy Fund II | 27.9% |
Guggenheim Strategy Fund III | 27.2% |
Apple, Inc. | 1.0% |
Microsoft Corp. | 0.9% |
Alphabet, Inc. — Class C | 0.6% |
Amazon.com, Inc. | 0.5% |
Facebook, Inc. — Class A | 0.3% |
Cisco Systems, Inc. | 0.3% |
Merck & Company, Inc. | 0.2% |
Top Ten Total | 88.4% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
84 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 29.91% | 15.79% | 15.53% |
A-Class Shares with sales charge‡ | 23.72% | 14.67% | 14.96% |
C-Class Shares | 28.69% | 14.75% | 14.47% |
C-Class Shares with CDSC§ | 27.69% | 14.75% | 14.47% |
S&P 500 Index | 30.00% | 16.90% | 16.63% |
| 1 Year | 5 Year | Since |
P-Class Shares | 29.79% | 15.62% | 12.99% |
S&P 500 Index | 30.00% | 16.90% | 13.98% |
| 1 Year | 5 Year | Since |
Institutional Class Shares | 30.12% | 16.08% | 13.92% |
S&P 500 Index | 30.00% | 16.90% | 14.94% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
STYLEPLUS—LARGE CORE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 16.2% | ||||||||
Technology - 4.6% | ||||||||
Apple, Inc. | 17,247 | $ | 2,440,451 | |||||
Microsoft Corp. | 8,196 | 2,310,616 | ||||||
Oracle Corp. | 6,973 | 607,557 | ||||||
Broadcom, Inc. | 1,182 | 573,187 | ||||||
Texas Instruments, Inc. | 2,906 | 558,562 | ||||||
QUALCOMM, Inc. | 4,329 | 558,354 | ||||||
Intel Corp. | 10,340 | 550,915 | ||||||
Applied Materials, Inc. | 3,738 | 481,193 | ||||||
International Business Machines Corp. | 3,040 | 422,347 | ||||||
NetApp, Inc. | 4,167 | 374,030 | ||||||
HP, Inc. | 13,224 | 361,809 | ||||||
Lam Research Corp. | 597 | 339,783 | ||||||
Qorvo, Inc.* | 2,018 | 337,389 | ||||||
Teradyne, Inc. | 2,772 | 302,619 | ||||||
NVIDIA Corp. | 1,292 | 267,651 | ||||||
KLA Corp. | 697 | 233,154 | ||||||
Cerner Corp. | 3,275 | 230,953 | ||||||
Cognizant Technology Solutions Corp. — Class A | 2,483 | 184,263 | ||||||
Hewlett Packard Enterprise Co. | 12,647 | 180,220 | ||||||
Seagate Technology Holdings plc | 2,100 | 173,292 | ||||||
Advanced Micro Devices, Inc.* | 1,401 | 144,163 | ||||||
Adobe, Inc.* | 198 | 113,993 | ||||||
Total Technology | 11,746,501 | |||||||
Consumer, Non-cyclical - 3.1% | ||||||||
Merck & Company, Inc. | 8,558 | 642,791 | ||||||
Amgen, Inc. | 2,593 | 551,402 | ||||||
Bristol-Myers Squibb Co. | 9,186 | 543,536 | ||||||
Gilead Sciences, Inc. | 7,496 | 523,596 | ||||||
AbbVie, Inc. | 4,771 | 514,648 | ||||||
Quest Diagnostics, Inc. | 2,980 | 433,024 | ||||||
Laboratory Corporation of America Holdings* | 1,534 | 431,729 | ||||||
PerkinElmer, Inc. | 2,452 | 424,907 | ||||||
Hologic, Inc.* | 5,756 | 424,850 | ||||||
Pfizer, Inc. | 9,044 | 388,982 | ||||||
Incyte Corp.* | 5,076 | 349,127 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 436 | 325,234 | ||||||
Philip Morris International, Inc. | 3,431 | 325,224 | ||||||
DaVita, Inc.* | 2,702 | 314,135 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,394 | 252,858 | ||||||
Molson Coors Beverage Co. — Class B | 4,661 | 216,177 | ||||||
McKesson Corp. | 1,061 | 211,542 | ||||||
Regeneron Pharmaceuticals, Inc.* | 323 | 195,473 | ||||||
United Rentals, Inc.* | 547 | 191,959 | ||||||
Johnson & Johnson | 1,153 | 186,210 | ||||||
Moderna, Inc.* | 347 | 133,546 | ||||||
UnitedHealth Group, Inc. | 310 | 121,129 | ||||||
PayPal Holdings, Inc.* | 461 | 119,957 | ||||||
Total Consumer, Non-cyclical | 7,822,036 | |||||||
Communications - 2.6% | ||||||||
Alphabet, Inc. — Class C* | 570 | 1,519,227 | ||||||
Amazon.com, Inc.* | 391 | 1,284,451 | ||||||
Facebook, Inc. — Class A* | 1,975 | 670,295 | ||||||
Cisco Systems, Inc. | 12,162 | 661,978 | ||||||
Motorola Solutions, Inc. | 1,976 | 459,064 | ||||||
Arista Networks, Inc.* | 1,246 | 428,175 | ||||||
VeriSign, Inc.* | 1,903 | 390,134 | ||||||
F5 Networks, Inc.* | 1,959 | 389,410 | ||||||
Juniper Networks, Inc. | 12,329 | 339,294 | ||||||
AT&T, Inc. | 8,093 | 218,592 | ||||||
Walt Disney Co.* | 716 | 121,126 | ||||||
Total Communications | 6,481,746 | |||||||
Financial - 2.3% | ||||||||
Goldman Sachs Group, Inc. | 1,448 | 547,388 | ||||||
Capital One Financial Corp. | 3,265 | 528,832 | ||||||
MetLife, Inc. | 7,968 | 491,865 | ||||||
Allstate Corp. | 3,620 | 460,862 | ||||||
Travelers Companies, Inc. | 3,031 | 460,742 | ||||||
Raymond James Financial, Inc. | 4,910 | 453,049 | ||||||
Aflac, Inc. | 8,569 | 446,702 | ||||||
Discover Financial Services | 3,536 | 434,397 | ||||||
Everest Re Group Ltd. | 1,571 | 393,975 | ||||||
Synchrony Financial | 7,893 | 385,810 | ||||||
Western Union Co. | 18,821 | 380,561 | ||||||
Berkshire Hathaway, Inc. — Class B* | 1,159 | 316,337 | ||||||
Progressive Corp. | 3,189 | 288,254 | ||||||
JPMorgan Chase & Co. | 1,367 | 223,764 | ||||||
Visa, Inc. — Class A | 587 | 130,754 | ||||||
Total Financial | 5,943,292 | |||||||
Consumer, Cyclical - 2.2% | ||||||||
AutoZone, Inc.* | 313 | 531,471 | ||||||
O’Reilly Automotive, Inc.* | 840 | 513,290 | ||||||
Home Depot, Inc. | 1,504 | 493,703 | ||||||
Yum! Brands, Inc. | 3,686 | 450,835 | ||||||
Domino’s Pizza, Inc. | 892 | 425,448 | ||||||
Target Corp. | 1,777 | 406,524 | ||||||
Starbucks Corp. | 3,671 | 404,948 | ||||||
Whirlpool Corp. | 1,622 | 330,661 | ||||||
PulteGroup, Inc. | 6,523 | 299,536 | ||||||
McDonald’s Corp. | 1,104 | 266,186 | ||||||
BorgWarner, Inc. | 5,837 | 252,217 | ||||||
Tapestry, Inc. | 6,629 | 245,406 | ||||||
Tesla, Inc.* | 305 | 236,521 | ||||||
Newell Brands, Inc. | 9,264 | 205,105 | ||||||
NVR, Inc.* | 41 | 196,557 | ||||||
General Motors Co.* | 3,710 | 195,554 | ||||||
Hasbro, Inc. | 1,959 | 174,782 | ||||||
Total Consumer, Cyclical | 5,628,744 | |||||||
Industrial - 1.3% | ||||||||
3M Co. | 2,911 | 510,648 | ||||||
Keysight Technologies, Inc.* | 2,644 | 434,383 | ||||||
Snap-on, Inc. | 1,984 | 414,557 | ||||||
Waters Corp.* | 1,111 | 396,960 |
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
STYLEPLUS—LARGE CORE FUND |
| Shares | Value | ||||||
Huntington Ingalls Industries, Inc. | 1,971 | $ | 380,521 | |||||
Sealed Air Corp. | 6,575 | 360,244 | ||||||
Mettler-Toledo International, Inc.* | 236 | 325,057 | ||||||
Masco Corp. | 5,685 | 315,802 | ||||||
Garmin Ltd. | 882 | 137,116 | ||||||
Total Industrial | 3,275,288 | |||||||
Energy - 0.1% | ||||||||
ONEOK, Inc. | 4,696 | 272,321 | ||||||
Total Common Stocks | ||||||||
(Cost $37,374,582) | 41,169,928 | |||||||
MUTUAL FUNDS† - 84.6% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 7,534,152 | 75,115,499 | ||||||
Guggenheim Strategy Fund II1 | 2,849,071 | 71,198,274 | ||||||
Guggenheim Strategy Fund III1 | 2,751,773 | 69,179,563 | ||||||
Total Mutual Funds | ||||||||
(Cost $214,217,021) | 215,493,336 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2 | 494,664 | 494,664 | ||||||
Total Money Market Fund | ||||||||
(Cost $494,664) | 494,664 | |||||||
Total Investments - 101.0% | ||||||||
(Cost $252,086,267) | $ | 257,157,928 | ||||||
Other Assets & Liabilities, net - (1.0)% | (2,439,179 | ) | ||||||
Total Net Assets - 100.0% | $ | 254,718,749 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P 500 Index Mini Futures Contracts | 28 | Dec 2021 | $ | 6,015,800 | $ | (195,891 | ) |
Total Return Swap Agreements | |||||||||||||||||||||||
Counterparty | Index | Type | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||
Wells Fargo Bank, N.A. | S&P 500 Total Return Index | Pay | 0.33% (1 Month USD LIBOR + 0.24%) | At Maturity | 12/02/21 | 23,082 | $ | 207,606,202 | $ | 52,152,694 |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of September 30, 2021. |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
STYLEPLUS—LARGE CORE FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 41,169,928 | $ | — | $ | — | $ | 41,169,928 | ||||||||
Mutual Funds | 215,493,336 | — | — | 215,493,336 | ||||||||||||
Money Market Fund | 494,664 | — | — | 494,664 | ||||||||||||
Equity Index Swap Agreements** | — | 52,152,694 | — | 52,152,694 | ||||||||||||
Total Assets | $ | 257,157,928 | $ | 52,152,694 | $ | — | $ | 309,310,622 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts** | $ | 195,891 | $ | — | $ | — | $ | 195,891 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
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 (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 70,019,609 | $ | 1,122,134 | $ | — | $ | — | $ | 56,531 | $ | 71,198,274 | 2,849,071 | $ | 1,122,130 | |||||||||||||||||
Guggenheim Strategy Fund III | 56,791,001 | 12,238,833 | — | — | 149,729 | 69,179,563 | 2,751,773 | 987,830 | ||||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 42,225,877 | 38,084,099 | (5,136,984 | ) | 123,677 | (181,170 | ) | 75,115,499 | 7,534,152 | 568,124 | ||||||||||||||||||||||
$ | 169,036,487 | $ | 51,445,066 | $ | (5,136,984 | ) | $ | 123,677 | $ | 25,090 | $ | 215,493,336 | $ | 2,678,084 |
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—LARGE CORE FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $37,869,246) | $ | 41,664,592 | ||
Investments in affiliated issuers, at value (cost $214,217,021) | 215,493,336 | |||
Segregated cash with broker | 460,000 | |||
Unrealized appreciation on OTC swap agreements | 52,152,694 | |||
Prepaid expenses | 33,280 | |||
Receivables: | ||||
Dividends | 233,336 | |||
Fund shares sold | 100 | |||
Interest | 67 | |||
Total assets | 310,037,405 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 267 | |||
Segregated cash due to broker | 54,150,000 | |||
Payable for: | ||||
Swap settlement | 563,858 | |||
Securities purchased | 204,761 | |||
Management fees | 148,524 | |||
Variation margin on futures contracts | 73,850 | |||
Distribution and service fees | 53,773 | |||
Fund shares redeemed | 19,435 | |||
Fund accounting/administration fees | 17,839 | |||
Transfer agent/maintenance fees | 1,069 | |||
Trustees’ fees* | 178 | |||
Miscellaneous | 85,102 | |||
Total liabilities | 55,318,656 | |||
Net assets | $ | 254,718,749 | ||
Net assets consist of: | ||||
Paid in capital | $ | 186,559,917 | ||
Total distributable earnings (loss) | 68,158,832 | |||
Net assets | $ | 254,718,749 | ||
A-Class: | ||||
Net assets | $ | 247,242,804 | ||
Capital shares outstanding | 9,038,942 | |||
Net asset value per share | $ | 27.35 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 28.71 | ||
C-Class: | ||||
Net assets | $ | 869,301 | ||
Capital shares outstanding | 48,203 | |||
Net asset value per share | $ | 18.03 | ||
P-Class: | ||||
Net assets | $ | 347,109 | ||
Capital shares outstanding | 12,891 | |||
Net asset value per share | $ | 26.93 | ||
Institutional Class: | ||||
Net assets | $ | 6,259,535 | ||
Capital shares outstanding | 230,956 | |||
Net asset value per share | $ | 27.10 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
STYLEPLUS—LARGE CORE FUND |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 686,827 | ||
Dividends from securities of affiliated issuers | 2,678,084 | |||
Interest | 1,092 | |||
Total investment income | 3,366,003 | |||
Expenses: | ||||
Management fees | 1,811,028 | |||
Distribution and service fees: | ||||
A-Class | 588,363 | |||
C-Class | 9,871 | |||
P-Class | 780 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 137,988 | |||
C-Class | 2,249 | |||
P-Class | 607 | |||
Institutional Class | 6,692 | |||
Fund accounting/administration fees | 169,009 | |||
Interest expense | 49,093 | |||
Professional fees | 46,348 | |||
Custodian fees | 21,023 | |||
Trustees’ fees* | 19,453 | |||
Line of credit fees | 10,746 | |||
Miscellaneous | 91,896 | |||
Total expenses | 2,965,146 | |||
Less: | ||||
Expenses waived by Adviser | (148,985 | ) | ||
Earnings credits applied | (74 | ) | ||
Total waived expenses | (149,059 | ) | ||
Net expenses | 2,816,087 | |||
Net investment income | 549,916 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | $ | 8,345,548 | ||
Investments in affiliated issuers | 123,677 | |||
Swap agreements | 20,184,153 | |||
Futures contracts | 917,512 | |||
Net realized gain | 29,570,890 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 791,510 | |||
Investments in affiliated issuers | 25,090 | |||
Swap agreements | 29,966,375 | |||
Futures contracts | (127,889 | ) | ||
Net change in unrealized appreciation (depreciation) | 30,655,086 | |||
Net realized and unrealized gain | 60,225,976 | |||
Net increase in net assets resulting from operations | $ | 60,775,892 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
90 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—LARGE CORE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 549,916 | $ | 1,573,000 | ||||
Net realized gain (loss) on investments | 29,570,890 | (381,266 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 30,655,086 | 25,364,647 | ||||||
Net increase in net assets resulting from operations | 60,775,892 | 26,556,381 | ||||||
Distributions to shareholders: | ||||||||
A-Class | (18,893,195 | ) | (3,244,843 | ) | ||||
C-Class | (129,625 | ) | (12,363 | ) | ||||
P-Class | (24,513 | ) | (3,753 | ) | ||||
Institutional Class | (345,692 | ) | (66,049 | ) | ||||
Total distributions to shareholders | (19,393,025 | ) | (3,327,008 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 10,210,123 | 4,196,689 | ||||||
C-Class | 100,074 | 227,320 | ||||||
P-Class | 50,547 | 18,348 | ||||||
Institutional Class | 3,362,734 | 1,427,785 | ||||||
Distributions reinvested | ||||||||
A-Class | 17,748,487 | 3,042,509 | ||||||
C-Class | 129,475 | 11,771 | ||||||
P-Class | 24,513 | 3,753 | ||||||
Institutional Class | 310,274 | 59,852 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (25,572,115 | ) | (22,034,120 | ) | ||||
C-Class | (512,538 | ) | (301,053 | ) | ||||
P-Class | (2,969 | ) | (53,627 | ) | ||||
Institutional Class | (1,527,547 | ) | (2,331,110 | ) | ||||
Net increase (decrease) from capital share transactions | 4,321,058 | (15,731,883 | ) | |||||
Net increase in net assets | 45,703,925 | 7,497,490 | ||||||
Net assets: | ||||||||
Beginning of year | 209,014,824 | 201,517,334 | ||||||
End of year | $ | 254,718,749 | $ | 209,014,824 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 398,868 | 195,983 | ||||||
C-Class | 5,947 | 15,762 | ||||||
P-Class | 2,066 | 844 | ||||||
Institutional Class | 130,256 | 72,157 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 757,188 | 139,629 | ||||||
C-Class | 8,316 | 777 | ||||||
P-Class | 1,061 | 174 | ||||||
Institutional Class | 13,374 | 2,773 | ||||||
Shares redeemed | ||||||||
A-Class | (1,001,912 | ) | (1,050,623 | ) | ||||
C-Class | (30,271 | ) | (20,724 | ) | ||||
P-Class | (119 | ) | (2,792 | ) | ||||
Institutional Class | (59,156 | ) | (112,891 | ) | ||||
Net increase (decrease) in shares | 225,618 | (758,931 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 91 |
STYLEPLUS—LARGE CORE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 23.01 | $ | 20.48 | $ | 24.78 | $ | 25.23 | $ | 21.86 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .06 | .17 | .30 | .30 | .24 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.46 | 2.70 | (.72 | ) | 3.52 | 3.72 | ||||||||||||||
Total from investment operations | 6.52 | 2.87 | (.42 | ) | 3.82 | 3.96 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.19 | ) | (.31 | ) | (.30 | ) | (.24 | ) | (.16 | ) | ||||||||||
Net realized gains | (1.99 | ) | (.03 | ) | (3.58 | ) | (4.03 | ) | (.43 | ) | ||||||||||
Total distributions | (2.18 | ) | (.34 | ) | (3.88 | ) | (4.27 | ) | (.59 | ) | ||||||||||
Net asset value, end of period | $ | 27.35 | $ | 23.01 | $ | 20.48 | $ | 24.78 | $ | 25.23 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 29.91 | % | 14.18 | % | 1.50 | % | 16.60 | % | 18.58 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 247,243 | $ | 204,428 | $ | 196,563 | $ | 217,697 | $ | 206,033 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.23 | % | 0.79 | % | 1.48 | % | 1.27 | % | 1.03 | % | ||||||||||
Total expensesc | 1.23 | % | 1.32 | % | 1.31 | % | 1.34 | % | 1.38 | % | ||||||||||
Net expensesd | 1.17 | % | 1.28 | % | 1.28 | % | 1.31 | % | 1.34 | % | ||||||||||
Portfolio turnover rate | 25 | % | 69 | % | 51 | % | 46 | % | 30 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.87 | $ | 14.22 | $ | 18.41 | $ | 19.74 | $ | 17.22 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.11 | ) | (.02 | ) | .08 | .06 | .03 | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.34 | 1.87 | (.69 | ) | 2.69 | 2.92 | ||||||||||||||
Total from investment operations | 4.23 | 1.85 | (.61 | ) | 2.75 | 2.95 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.08 | ) | (.17 | ) | — | (.05 | ) | — | ||||||||||||
Net realized gains | (1.99 | ) | (.03 | ) | (3.58 | ) | (4.03 | ) | (.43 | ) | ||||||||||
Total distributions | (2.07 | ) | (.20 | ) | (3.58 | ) | (4.08 | ) | (.43 | ) | ||||||||||
Net asset value, end of period | $ | 18.03 | $ | 15.87 | $ | 14.22 | $ | 18.41 | $ | 19.74 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 28.69 | % | 13.11 | % | 0.60 | % | 15.56 | % | 17.59 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 869 | $ | 1,019 | $ | 973 | $ | 1,239 | $ | 2,376 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.67 | %) | (0.15 | %) | 0.58 | % | 0.33 | % | 0.19 | % | ||||||||||
Total expensesc | 2.15 | % | 2.24 | % | 2.23 | % | 2.24 | % | 2.23 | % | ||||||||||
Net expensesd | 2.09 | % | 2.20 | % | 2.19 | % | 2.21 | % | 2.20 | % | ||||||||||
Portfolio turnover rate | 25 | % | 69 | % | 51 | % | 46 | % | 30 | % |
92 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—LARGE CORE FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 22.69 | $ | 20.21 | $ | 24.49 | $ | 25.03 | $ | 21.75 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .02 | .14 | .29 | .26 | .22 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.38 | 2.67 | (.73 | ) | 3.45 | 3.68 | ||||||||||||||
Total from investment operations | 6.40 | 2.81 | (.44 | ) | 3.71 | 3.90 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.17 | ) | (.30 | ) | (.26 | ) | (.22 | ) | (.19 | ) | ||||||||||
Net realized gains | (1.99 | ) | (.03 | ) | (3.58 | ) | (4.03 | ) | (.43 | ) | ||||||||||
Total distributions | (2.16 | ) | (.33 | ) | (3.84 | ) | (4.25 | ) | (.62 | ) | ||||||||||
Net asset value, end of period | $ | 26.93 | $ | 22.69 | $ | 20.21 | $ | 24.49 | $ | 25.03 | ||||||||||
| ||||||||||||||||||||
Total Return | 29.79 | % | 13.98 | % | 1.47 | % | 16.23 | % | 18.43 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 347 | $ | 224 | $ | 236 | $ | 319 | $ | 508 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.09 | % | 0.67 | % | 1.45 | % | 1.06 | % | 0.93 | % | ||||||||||
Total expensesc | 1.36 | % | 1.46 | % | 1.36 | % | 1.56 | % | 1.47 | % | ||||||||||
Net expensesd | 1.30 | % | 1.42 | % | 1.33 | % | 1.53 | % | 1.44 | % | ||||||||||
Portfolio turnover rate | 25 | % | 69 | % | 51 | % | 46 | % | 30 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 93 |
STYLEPLUS—LARGE CORE FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 22.83 | $ | 20.31 | $ | 24.65 | $ | 25.13 | $ | 21.78 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .10 | .21 | .35 | .37 | .32 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.40 | 2.70 | (.75 | ) | 3.51 | 3.69 | ||||||||||||||
Total from investment operations | 6.50 | 2.91 | (.40 | ) | 3.88 | 4.01 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.24 | ) | (.36 | ) | (.36 | ) | (.33 | ) | (.23 | ) | ||||||||||
Net realized gains | (1.99 | ) | (.03 | ) | (3.58 | ) | (4.03 | ) | (.43 | ) | ||||||||||
Total distributions | (2.23 | ) | (.39 | ) | (3.94 | ) | (4.36 | ) | (.66 | ) | ||||||||||
Net asset value, end of period | $ | 27.10 | $ | 22.83 | $ | 20.31 | $ | 24.65 | $ | 25.13 | ||||||||||
| ||||||||||||||||||||
Total Return | 30.12 | % | 14.44 | % | 1.74 | % | 16.96 | % | 18.96 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,260 | $ | 3,344 | $ | 3,747 | $ | 6,826 | $ | 5,631 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.38 | % | 1.01 | % | 1.73 | % | 1.57 | % | 1.35 | % | ||||||||||
Total expensesc | 1.06 | % | 1.08 | % | 1.09 | % | 1.06 | % | 1.05 | % | ||||||||||
Net expensesd | 0.99 | % | 1.04 | % | 1.06 | % | 1.03 | % | 1.01 | % | ||||||||||
Portfolio turnover rate | 25 | % | 69 | % | 51 | % | 46 | % | 30 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
94 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders:
Guggenheim StylePlusTM—Mid Growth Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses performance of the Fund for the fiscal year ended September 30, 2020.
For the fiscal year ended September 30, 2020, Guggenheim StylePlus—Mid Growth Fund returned 31.07%1, compared with the 30.45% return of its benchmark, the Russell Midcap® Growth Index.
Investment Approach
Through a combination of actively managed individual equity, passive equity, and actively managed fixed income, the Fund seeks to exceed the total return of the Russell Midcap Growth Index. The actively managed equity and fixed income components seek to provide multiple sources of outperformance and take advantage of Guggenheim’s competencies in both fixed income and systematic stock selection.
The active and passive decisions seek to add value by tactically allocating to actively managed equity through quantitative selection models when stock picking opportunities are high. During periods when Guggenheim views these opportunities to be less attractive, the Fund seeks to increase its passive exposure to equities and the allocation to fixed income securities. The prospective return during such periods is the equity index plus an “alpha” component coming from the yield of the fixed income overlay.
Performance Review
Over the period, 15-25% of the total equity position was allocated to actively managed equity and 75-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund, whose objective is to seek a high level of income consistent with the preservation of capital.
The Fund outperformed the Russell Midcap Growth Index for the fiscal year ended September 30, 2021 by 0.38% net of fees. The fixed income sleeve contributed to total return, as positions in the Guggenheim Ultra Short Duration Fund and the Guggenheim Strategy Funds, net of the investment income earned by these positions, were positive for the period. The actively managed equity sleeve contributed to performance on a relative basis. The passive equity position, maintained through swap agreements and futures contracts, also contributed to performance.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
STYLEPLUS—MID GROWTH FUND
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
Inception Dates: | |
A-Class | September 17, 1969 |
C-Class | January 29, 1999 |
P-Class | May 1, 2015 |
Institutional Class | March 1, 2012 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 32.3% |
Guggenheim Strategy Fund III | 31.0% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 20.6% |
Toro Co. | 0.3% |
Fair Isaac Corp. | 0.3% |
Williams-Sonoma, Inc. | 0.3% |
Gentex Corp. | 0.2% |
Interactive Brokers Group, Inc. — Class A | 0.2% |
Lumentum Holdings, Inc. | 0.2% |
Genpact Ltd. | 0.2% |
Top Ten Total | 85.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
96 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 31.07% | 17.24% | 15.93% |
A-Class Shares with sales charge‡ | 24.85% | 16.11% | 15.36% |
C-Class Shares | 29.88% | 16.23% | 14.92% |
C-Class Shares with CDSC§ | 28.88% | 16.23% | 14.92% |
Russell Midcap Growth Index | 30.45% | 19.27% | 17.54% |
| 1 Year | 5 Year | Since |
P-Class Shares | 30.92% | 17.07% | 13.15% |
Russell Midcap Growth Index | 30.45% | 19.27% | 14.87% |
| 1 Year | 5 Year | Since |
Institutional Class Shares | 31.26% | 17.46% | 14.02% |
Russell Midcap Growth Index | 30.45% | 19.27% | 15.58% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell Midcap Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class, and Institutional Class will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
STYLEPLUS—MID GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 16.0% | ||||||||
Consumer, Cyclical - 3.7% | ||||||||
Williams-Sonoma, Inc. | 1,657 | $ | 293,836 | |||||
Gentex Corp. | 8,479 | 279,637 | ||||||
Polaris, Inc. | 2,054 | 245,782 | ||||||
Tempur Sealy International, Inc. | 5,183 | 240,543 | ||||||
Brunswick Corp. | 2,502 | 238,365 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 2,666 | 213,787 | ||||||
Jack in the Box, Inc. | 2,184 | 212,569 | ||||||
AutoZone, Inc.* | 125 | 212,249 | ||||||
O’Reilly Automotive, Inc.* | 328 | 200,428 | ||||||
Deckers Outdoor Corp.* | 546 | 196,669 | ||||||
Yum! Brands, Inc. | 1,449 | 177,227 | ||||||
Crocs, Inc.* | 1,235 | 177,198 | ||||||
Lithia Motors, Inc. — Class A | 544 | 172,470 | ||||||
Boyd Gaming Corp.* | 2,661 | 168,335 | ||||||
RH* | 250 | 166,727 | ||||||
Mattel, Inc.* | 8,756 | 162,511 | ||||||
Wingstop, Inc. | 723 | 118,521 | ||||||
Cummins, Inc. | 477 | 107,115 | ||||||
YETI Holdings, Inc.* | 1,236 | 105,913 | ||||||
Toll Brothers, Inc. | 1,673 | 92,500 | ||||||
Papa John’s International, Inc. | 684 | 86,861 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 1,295 | 78,063 | ||||||
LGI Homes, Inc.* | 439 | 62,299 | ||||||
PulteGroup, Inc. | 1,274 | 58,502 | ||||||
Domino’s Pizza, Inc. | 118 | 56,281 | ||||||
Five Below, Inc.* | 303 | 53,573 | ||||||
Total Consumer, Cyclical | 4,177,961 | |||||||
Technology - 3.3% | ||||||||
Fair Isaac Corp.* | 746 | 296,856 | ||||||
Lumentum Holdings, Inc.* | 3,085 | 257,721 | ||||||
Genpact Ltd. | 5,376 | 255,414 | ||||||
Maximus, Inc. | 2,807 | 233,542 | ||||||
CDK Global, Inc. | 5,455 | 232,110 | ||||||
Cirrus Logic, Inc.* | 2,676 | 220,368 | ||||||
Manhattan Associates, Inc.* | 1,235 | 188,992 | ||||||
Qorvo, Inc.* | 1,000 | 167,190 | ||||||
Synaptics, Inc.* | 927 | 166,610 | ||||||
CommVault Systems, Inc.* | 2,028 | 152,729 | ||||||
Lattice Semiconductor Corp.* | 2,335 | 150,958 | ||||||
Semtech Corp.* | 1,854 | 144,556 | ||||||
MKS Instruments, Inc. | 923 | 139,290 | ||||||
Diodes, Inc.* | 1,452 | 131,537 | ||||||
ACI Worldwide, Inc.* | 4,232 | 130,049 | ||||||
Aspen Technology, Inc.* | 1,020 | 125,256 | ||||||
Qualys, Inc.* | 941 | 104,724 | ||||||
Teradata Corp.* | 1,653 | 94,800 | ||||||
Teradyne, Inc. | 792 | 86,463 | ||||||
Amkor Technology, Inc. | 3,434 | 85,678 | ||||||
Kulicke & Soffa Industries, Inc. | 1,442 | 84,040 | ||||||
TTEC Holdings, Inc. | 835 | 78,098 | ||||||
Silicon Laboratories, Inc.* | 450 | 63,072 | ||||||
J2 Global, Inc.* | 452 | 61,752 | ||||||
Power Integrations, Inc. | 538 | 53,256 | ||||||
Digital Turbine, Inc.* | 416 | 28,600 | ||||||
Total Technology | 3,733,661 | |||||||
Consumer, Non-cyclical - 3.2% | ||||||||
Exelixis, Inc.* | 10,415 | 220,173 | ||||||
Molina Healthcare, Inc.* | 796 | 215,963 | ||||||
Neurocrine Biosciences, Inc.* | 1,964 | 188,367 | ||||||
United Therapeutics Corp.* | 980 | 180,889 | ||||||
Hologic, Inc.* | 2,368 | 174,782 | ||||||
Encompass Health Corp. | 2,195 | 164,713 | ||||||
Hill-Rom Holdings, Inc. | 1,006 | 150,900 | ||||||
Halozyme Therapeutics, Inc.* | 3,680 | 149,703 | ||||||
Masimo Corp.* | 551 | 149,161 | ||||||
PerkinElmer, Inc. | 805 | 139,498 | ||||||
Jazz Pharmaceuticals plc* | 989 | 128,778 | ||||||
Quidel Corp.* | 878 | 123,930 | ||||||
Incyte Corp.* | 1,769 | 121,672 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 1,766 | 110,251 | ||||||
Select Medical Holdings Corp. | 2,922 | 105,689 | ||||||
Grand Canyon Education, Inc.* | 1,165 | 102,473 | ||||||
Emergent BioSolutions, Inc.* | 2,046 | 102,443 | ||||||
Syneos Health, Inc.* | 1,159 | 101,389 | ||||||
Integra LifeSciences Holdings Corp.* | 1,362 | 93,270 | ||||||
Globus Medical, Inc. — Class A* | 1,146 | 87,807 | ||||||
Repligen Corp.* | 286 | 82,651 | ||||||
STAAR Surgical Co.* | 627 | 80,588 | ||||||
DaVita, Inc.* | 680 | 79,057 | ||||||
Medpace Holdings, Inc.* | 391 | 74,008 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 99 | 73,849 | ||||||
GXO Logistics, Inc.* | 868 | 68,086 | ||||||
Alarm.com Holdings, Inc.* | 794 | 62,083 | ||||||
Vertex Pharmaceuticals, Inc.* | 334 | 60,584 | ||||||
Amedisys, Inc.* | 399 | 59,491 | ||||||
Darling Ingredients, Inc.* | 765 | 55,003 | ||||||
Tandem Diabetes Care, Inc.* | 220 | 26,264 | ||||||
Total Consumer, Non-cyclical | 3,533,515 | |||||||
Industrial - 2.6% | ||||||||
Toro Co. | 3,551 | 345,903 | ||||||
Eagle Materials, Inc. | 1,632 | 214,053 | ||||||
Timken Co. | 3,219 | 210,587 | ||||||
Worthington Industries, Inc. | 3,715 | 195,780 | ||||||
Curtiss-Wright Corp. | 1,286 | 162,267 | ||||||
Cognex Corp. | 1,907 | 152,980 | ||||||
AGCO Corp. | 1,218 | 149,242 | ||||||
Louisiana-Pacific Corp. | 2,414 | 148,147 | ||||||
Terex Corp. | 3,323 | 139,898 | ||||||
Universal Display Corp. | 769 | 131,468 | ||||||
Keysight Technologies, Inc.* | 795 | 130,610 | ||||||
Littelfuse, Inc. | 441 | 120,512 | ||||||
II-VI, Inc.* | 1,797 | 106,670 | ||||||
Axon Enterprise, Inc.* | 591 | 103,437 | ||||||
Simpson Manufacturing Company, Inc. | 906 | 96,915 | ||||||
Masco Corp. | 1,549 | 86,047 | ||||||
TopBuild Corp.* | 399 | 81,719 | ||||||
XPO Logistics, Inc.* | 877 | 69,792 |
98 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
STYLEPLUS—MID GROWTH FUND |
| Shares | Value | ||||||
Waters Corp.* | 176 | $ | 62,885 | |||||
Sealed Air Corp. | 1,126 | 61,694 | ||||||
Trex Company, Inc.* | 499 | 50,863 | ||||||
Graco, Inc. | 723 | 50,588 | ||||||
Total Industrial | 2,872,057 | |||||||
Financial - 1.4% | ||||||||
Interactive Brokers Group, Inc. — Class A | 4,326 | 269,683 | ||||||
Evercore, Inc. — Class A | 1,800 | 240,606 | ||||||
Umpqua Holdings Corp. | 11,401 | 230,870 | ||||||
Essent Group Ltd. | 4,551 | 200,289 | ||||||
PacWest Bancorp | 4,078 | 184,815 | ||||||
Federated Hermes, Inc. — Class B | 4,287 | 139,327 | ||||||
Brighthouse Financial, Inc.* | 2,464 | 111,447 | ||||||
SLM Corp. | 4,698 | 82,685 | ||||||
SEI Investments Co. | 1,082 | 64,163 | ||||||
Total Financial | 1,523,885 | |||||||
Communications - 0.8% | ||||||||
Ciena Corp.* | 3,879 | 199,187 | ||||||
Motorola Solutions, Inc. | 773 | 179,583 | ||||||
FactSet Research Systems, Inc. | 352 | 138,963 | ||||||
F5 Networks, Inc.* | 541 | 107,540 | ||||||
TEGNA, Inc. | 4,350 | 85,782 | ||||||
VeriSign, Inc.* | 404 | 82,824 | ||||||
Cable One, Inc. | 34 | 61,646 | ||||||
Arista Networks, Inc.* | 173 | 59,450 | ||||||
Total Communications | 914,975 | |||||||
Energy - 0.5% | ||||||||
SolarEdge Technologies, Inc.* | 657 | 174,250 | ||||||
Equitrans Midstream Corp. | 15,363 | 155,781 | ||||||
Antero Midstream Corp. | 12,078 | 125,852 | ||||||
First Solar, Inc.* | 1,009 | 96,319 | ||||||
Total Energy | 552,202 | |||||||
Basic Materials - 0.5% | ||||||||
Ingevity Corp.* | 2,231 | 159,226 | ||||||
Valvoline, Inc. | 3,698 | 115,304 | ||||||
NewMarket Corp. | 319 | 108,068 | ||||||
Cleveland-Cliffs, Inc.* | 4,121 | 81,637 | ||||||
Chemours Co. | 2,264 | 65,792 | ||||||
Total Basic Materials | 530,027 | |||||||
Total Common Stocks | ||||||||
(Cost $17,294,204) | 17,838,283 | |||||||
MUTUAL FUNDS† - 83.9% | ||||||||
Guggenheim Strategy Fund II1 | 1,431,424 | 35,771,287 | ||||||
Guggenheim Strategy Fund III1 | 1,369,793 | 34,436,584 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 2,291,761 | 22,848,856 | ||||||
Total Mutual Funds | ||||||||
(Cost $92,689,115) | 93,056,727 | |||||||
MONEY MARKET FUND† - 0.6% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2 | 644,091 | 644,091 | ||||||
Total Money Market Fund | ||||||||
(Cost $644,091) | 644,091 | |||||||
Total Investments - 100.5% | ||||||||
(Cost $110,627,410) | $ | 111,539,101 | ||||||
Other Assets & Liabilities, net - (0.5)% | (601,621 | ) | ||||||
Total Net Assets - 100.0% | $ | 110,937,480 |
Total Return Swap Agreements | |||||||||||||||||||||||
Counterparty | Index | Type | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||
Citibank, N.A. | Russell MidCap Growth Index Total Return | Pay | 0.29% (1 Month USD LIBOR + 0.21%) | At Maturity | 11/30/21 | 17,229 | $ | 93,606,363 | $ | 21,766,602 |
* | 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. |
2 | Rate indicated is the 7-day yield as of September 30, 2021. |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 99 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
STYLEPLUS—MID GROWTH FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 17,838,283 | $ | — | $ | — | $ | 17,838,283 | ||||||||
Mutual Funds | 93,056,727 | — | — | 93,056,727 | ||||||||||||
Money Market Fund | 644,091 | — | — | 644,091 | ||||||||||||
Equity Index Swap Agreements** | — | 21,766,602 | — | 21,766,602 | ||||||||||||
Total Assets | $ | 111,539,101 | $ | 21,766,602 | $ | — | $ | 133,305,703 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
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 (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 29,104,012 | $ | 6,642,418 | $ | — | $ | — | $ | 24,857 | $ | 35,771,287 | 1,431,424 | $ | 537,461 | |||||||||||||||||
Guggenheim Strategy Fund III | 23,646,335 | 10,730,986 | — | — | 59,263 | 34,436,584 | 1,369,793 | 430,986 | ||||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 20,960,246 | 18,553,041 | (16,645,968 | ) | 310,915 | (329,378 | ) | 22,848,856 | 2,291,761 | 248,082 | ||||||||||||||||||||||
$ | 73,710,593 | $ | 35,926,445 | $ | (16,645,968 | ) | $ | 310,915 | $ | (245,258 | ) | $ | 93,056,727 | $ | 1,216,529 |
100 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—MID GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $17,938,295) | $ | 18,482,374 | ||
Investments in affiliated issuers, at value (cost $92,689,115) | 93,056,727 | |||
Segregated cash with broker | 55,500 | |||
Unrealized appreciation on OTC swap agreements | 21,766,602 | |||
Prepaid expenses | 29,880 | |||
Receivables: | ||||
Dividends | 96,633 | |||
Fund shares sold | 86 | |||
Interest | 40 | |||
Total assets | 133,487,842 | |||
Liabilities: | ||||
Segregated cash due to broker | 22,020,000 | |||
Payable for: | ||||
Swap settlement | 228,876 | |||
Securities purchased | 92,738 | |||
Management fees | 67,074 | |||
Fund shares redeemed | 38,064 | |||
Distribution and service fees | 24,472 | |||
Fund accounting/administration fees | 9,921 | |||
Transfer agent/maintenance fees | 5,314 | |||
Trustees’ fees* | 2,401 | |||
Miscellaneous | 61,502 | |||
Total liabilities | 22,550,362 | |||
Net assets | $ | 110,937,480 | ||
Net assets consist of: | ||||
Paid in capital | $ | 82,590,055 | ||
Total distributable earnings (loss) | 28,347,425 | |||
Net assets | $ | 110,937,480 | ||
A-Class: | ||||
Net assets | $ | 107,982,891 | ||
Capital shares outstanding | 2,047,940 | |||
Net asset value per share | $ | 52.73 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 55.36 | ||
C-Class: | ||||
Net assets | $ | 1,327,299 | ||
Capital shares outstanding | 42,933 | |||
Net asset value per share | $ | 30.92 | ||
P-Class: | ||||
Net assets | $ | 237,032 | ||
Capital shares outstanding | 4,562 | |||
Net asset value per share | $ | 51.96 | ||
Institutional Class: | ||||
Net assets | $ | 1,390,258 | ||
Capital shares outstanding | 26,374 | |||
Net asset value per share | $ | 52.71 |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 131,094 | ||
Dividends from securities of affiliated issuers | 1,216,529 | |||
Interest | 431 | |||
Total investment income | 1,348,054 | |||
Expenses: | ||||
Management fees | 815,785 | |||
Distribution and service fees: | ||||
A-Class | 263,529 | |||
C-Class | 14,955 | |||
P-Class | 533 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 79,823 | |||
C-Class | 3,665 | |||
P-Class | 373 | |||
Institutional Class | 2,716 | |||
Fund accounting/administration fees | 80,965 | |||
Registration fees | 76,825 | |||
Professional fees | 41,806 | |||
Custodian fees | 24,328 | |||
Interest expense | 21,960 | |||
Trustees’ fees* | 19,977 | |||
Line of credit fees | 4,815 | |||
Miscellaneous | 12,098 | |||
Total expenses | 1,464,153 | |||
Less: | ||||
Expenses waived by Adviser | (64,182 | ) | ||
Net expenses | 1,399,971 | |||
Net investment loss | (51,917 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 4,487,929 | |||
Investments in affiliated issuers | 310,915 | |||
Swap agreements | 15,347,680 | |||
Futures contracts | 717,834 | |||
Net realized gain | 20,864,358 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (48,647 | ) | ||
Investments in affiliated issuers | (245,258 | ) | ||
Swap agreements | 7,513,504 | |||
Futures contracts | 33,378 | |||
Net change in unrealized appreciation (depreciation) | 7,252,977 | |||
Net realized and unrealized gain | 28,117,335 | |||
Net increase in net assets resulting from operations | $ | 28,065,418 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 101 |
STYLEPLUS—MID GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (51,917 | ) | $ | 382,685 | |||
Net realized gain (loss) on investments | 20,864,358 | (1,198,558 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 7,252,977 | 15,041,235 | ||||||
Net increase in net assets resulting from operations | 28,065,418 | 14,225,362 | ||||||
Distributions to shareholders: | ||||||||
A-Class | (13,186,487 | ) | (1,858,325 | ) | ||||
C-Class | (336,310 | ) | (39,450 | ) | ||||
P-Class | (24,991 | ) | (2,046 | ) | ||||
Institutional Class | (238,403 | ) | (23,966 | ) | ||||
Total distributions to shareholders | (13,786,191 | ) | (1,923,787 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 2,172,972 | 2,245,934 | ||||||
C-Class | 158,772 | 1,004,377 | ||||||
P-Class | 79,809 | 56,872 | ||||||
Institutional Class | 682,378 | 703,244 | ||||||
Distributions reinvested | ||||||||
A-Class | 12,584,969 | 1,767,121 | ||||||
C-Class | 278,491 | 31,434 | ||||||
P-Class | 24,991 | 2,046 | ||||||
Institutional Class | 228,045 | 23,138 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (10,248,122 | ) | (9,742,564 | ) | ||||
C-Class | (682,043 | ) | (1,153,519 | ) | ||||
P-Class | (7,208 | ) | (51,906 | ) | ||||
Institutional Class | (1,020,174 | ) | (556,301 | ) | ||||
Net increase (decrease) from capital share transactions | 4,252,880 | (5,670,124 | ) | |||||
Net increase in net assets | 18,532,107 | 6,631,451 | ||||||
Net assets: | ||||||||
Beginning of year | 92,405,373 | 85,773,922 | ||||||
End of year | $ | 110,937,480 | $ | 92,405,373 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 43,004 | 54,683 | ||||||
C-Class | 5,193 | 35,895 | ||||||
P-Class | 1,640 | 1,434 | ||||||
Institutional Class | 13,400 | 16,806 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 260,504 | 42,510 | ||||||
C-Class | 9,761 | 1,175 | ||||||
P-Class | 525 | 50 | ||||||
Institutional Class | 4,727 | 557 | ||||||
Shares redeemed | ||||||||
A-Class | (201,221 | ) | (246,314 | ) | ||||
C-Class | (23,365 | ) | (51,299 | ) | ||||
P-Class | (151 | ) | (1,299 | ) | ||||
Institutional Class | (20,266 | ) | (13,361 | ) | ||||
Net increase (decrease) in shares | 93,751 | (159,163 | ) |
102 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—MID GROWTH FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 45.98 | $ | 39.64 | $ | 49.70 | $ | 47.34 | $ | 40.52 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.02 | ) | .19 | .45 | .41 | .34 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.67 | 7.06 | (1.58 | ) | 7.70 | 6.72 | ||||||||||||||
Total from investment operations | 13.65 | 7.25 | (1.13 | ) | 8.11 | 7.06 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.20 | ) | (.45 | ) | (.41 | ) | (.24 | ) | (.24 | ) | ||||||||||
Net realized gains | (6.70 | ) | (.46 | ) | (8.52 | ) | (5.51 | ) | — | |||||||||||
Total distributions | (6.90 | ) | (.91 | ) | (8.93 | ) | (5.75 | ) | (.24 | ) | ||||||||||
Net asset value, end of period | $ | 52.73 | $ | 45.98 | $ | 39.64 | $ | 49.70 | $ | 47.34 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 31.07 | % | 18.57 | % | 2.34 | % | 18.51 | % | 17.54 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 107,983 | $ | 89,469 | $ | 83,027 | $ | 87,509 | $ | 77,049 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.04 | %) | 0.46 | % | 1.13 | % | 0.87 | % | 0.78 | % | ||||||||||
Total expensesc | 1.34 | % | 1.45 | % | 1.44 | % | 1.55 | % | 1.45 | % | ||||||||||
Net expensesd | 1.28 | % | 1.40 | % | 1.41 | % | 1.52 | % | 1.42 | % | ||||||||||
Portfolio turnover rate | 44 | % | 82 | % | 73 | % | 52 | % | 43 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 29.40 | $ | 25.66 | $ | 35.78 | $ | 35.64 | $ | 30.58 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.29 | ) | (.10 | ) | .08 | .02 | (.03 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.51 | 4.53 | (1.68 | ) | 5.63 | 5.09 | ||||||||||||||
Total from investment operations | 8.22 | 4.43 | (1.60 | ) | 5.65 | 5.06 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.23 | ) | — | — | — | ||||||||||||||
Net realized gains | (6.70 | ) | (.46 | ) | (8.52 | ) | (5.51 | ) | — | |||||||||||
Total distributions | (6.70 | ) | (.69 | ) | (8.52 | ) | (5.51 | ) | — | |||||||||||
Net asset value, end of period | $ | 30.92 | $ | 29.40 | $ | 25.66 | $ | 35.78 | $ | 35.64 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 29.88 | % | 17.53 | % | 1.46 | % | 17.51 | % | 16.55 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,327 | $ | 1,510 | $ | 1,683 | $ | 1,849 | $ | 3,984 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.94 | %) | (0.39 | %) | 0.30 | % | 0.05 | % | (0.08 | %) | ||||||||||
Total expensesc | 2.26 | % | 2.32 | % | 2.27 | % | 2.33 | % | 2.31 | % | ||||||||||
Net expensesd | 2.20 | % | 2.28 | % | 2.24 | % | 2.30 | % | 2.27 | % | ||||||||||
Portfolio turnover rate | 44 | % | 82 | % | 73 | % | 52 | % | 43 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 103 |
STYLEPLUS—MID GROWTH FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 45.45 | $ | 39.17 | $ | 49.12 | $ | 46.83 | $ | 40.27 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.07 | ) | .15 | .41 | .32 | .24 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.51 | 6.99 | (1.58 | ) | 7.61 | 6.65 | ||||||||||||||
Total from investment operations | 13.44 | 7.14 | (1.17 | ) | 7.93 | 6.89 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.23 | ) | (.40 | ) | (.26 | ) | (.13 | ) | (.33 | ) | ||||||||||
Net realized gains | (6.70 | ) | (.46 | ) | (8.52 | ) | (5.51 | ) | — | |||||||||||
Total distributions | (6.93 | ) | (.86 | ) | (8.78 | ) | (5.64 | ) | (.33 | ) | ||||||||||
Net asset value, end of period | $ | 51.96 | $ | 45.45 | $ | 39.17 | $ | 49.12 | $ | 46.83 | ||||||||||
| ||||||||||||||||||||
Total Return | 30.92 | % | 18.48 | % | 2.22 | % | 18.26 | % | 17.27 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 237 | $ | 116 | $ | 93 | $ | 125 | $ | 121 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.14 | %) | 0.36 | % | 1.04 | % | 0.67 | % | 0.55 | % | ||||||||||
Total expensesc | 1.43 | % | 1.54 | % | 1.55 | % | 1.68 | % | 1.66 | % | ||||||||||
Net expensesd | 1.37 | % | 1.50 | % | 1.51 | % | 1.64 | % | 1.63 | % | ||||||||||
Portfolio turnover rate | 44 | % | 82 | % | 73 | % | 52 | % | 43 | % |
104 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STYLEPLUS—MID GROWTH FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 45.98 | $ | 39.64 | $ | 49.80 | $ | 47.48 | $ | 40.59 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .07 | .24 | .51 | .53 | .42 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.65 | 7.09 | (1.63 | ) | 7.71 | 6.78 | ||||||||||||||
Total from investment operations | 13.72 | 7.33 | (1.12 | ) | 8.24 | 7.20 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.29 | ) | (.53 | ) | (.52 | ) | (.41 | ) | (.31 | ) | ||||||||||
Net realized gains | (6.70 | ) | (.46 | ) | (8.52 | ) | (5.51 | ) | — | |||||||||||
Total distributions | (6.99 | ) | (.99 | ) | (9.04 | ) | (5.92 | ) | (.31 | ) | ||||||||||
Net asset value, end of period | $ | 52.71 | $ | 45.98 | $ | 39.64 | $ | 49.80 | $ | 47.48 | ||||||||||
| ||||||||||||||||||||
Total Return | 31.26 | % | 18.79 | % | 2.42 | % | 18.77 | % | 17.88 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,390 | $ | 1,311 | $ | 972 | $ | 875 | $ | 1,743 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.14 | % | 0.58 | % | 1.28 | % | 1.11 | % | 0.95 | % | ||||||||||
Total expensesc | 1.17 | % | 1.26 | % | 1.31 | % | 1.26 | % | 1.26 | % | ||||||||||
Net expensesd | 1.11 | % | 1.22 | % | 1.28 | % | 1.23 | % | 1.22 | % | ||||||||||
Portfolio turnover rate | 44 | % | 82 | % | 73 | % | 52 | % | 43 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 105 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim World Equity Income Fund (the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Evan Einstein, Director and Portfolio Manager; and Douglas Makin, Director and Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended September 30, 2021.
For the fiscal year ended September 30, 2021, Guggenheim World Equity Income Fund returned 27.13%1, compared with the 28.82% return of its benchmark, the MSCI World Index.
Performance Review
The Fund underperformed the Index after fees but delivered on its mandate to provide current equity income and a stable long-term total return. The Fund also balanced generating income while doing so with moderately lower risk than the benchmark. The Fund tends to underperform in times of strong market gains.
The trailing twelve month income distribution yield of the Fund was 2.07% as of the end of the period (calculated by taking the most recent annual income distribution and dividing by the NAV per share as of September 30, 2021. This rate does not represent the total return of the Fund). Besides helping investors navigate the changing rate environment, being cognizant of companies with unsustainable dividends is one of the primary drivers for the Fund’s track record relative to peers.
The Fund uses currency contract futures to hedge non-U.S. dollar credit positions, which helps to reduce volatility. Their contribution to performance in aggregate was immaterial, as currency rates fluctuated throughout the year. The dollar, although flat for the period, experienced pockets of considerable weakness.
The Fund had contributions to relative return from both sector allocation and stock selection. Overall contribution was led by Materials, Utilities and Real Estate, which were overweight and had stronger returns than the benchmark’s. The leading detractors were Industrials, Health Care and Consumer Discretionary. All were under weighted against the benchmark, and underperformed versus the benchmark.
From a country perspective, the Fund had strong contributions from its holdings in Sweden, Singapore and Hong Kong. Despite mixed returns, lower weights of the Fund’s holdings in France, Canada and Australia as compared with the benchmark made them the leading detractors.
Rising interest rates, the reopening of the economy following the pandemic, and a historically wide valuation gap between growth and value sectors were among the factors that, in a reversal from the last few years, saw value stocks solidly outperform growth stocks over the period. Although growth companies benefited most from the reopening trade in 2020, rising rates and commodity prices spurred a rotation into value as the period progressed, benefitting sectors such as Financials Energy, and Real Estate. Holdings in Energy, the smallest sector in Fund and among the smallest in the benchmark, had the strongest absolute returns for the period.
The largest individual contributors for the year (all overweight) were Simon Property Group, Inc., Evolution AB, and Wells Fargo & Co.
The largest individual detractors (all underweight) were JPMorgan Chase & Co., Alphabet, and Tesla, Inc.
Portfolio Positioning
Although lagging the MSCI World Index in three of four quarters, the Fund delivered positive performance in every quarter but the last of the period. Compared with the Index, the Fund is positioned more cautiously, as we question whether the recent ascent will continue for much longer. The Fund was most overweight Utilities, Industrials and Energy at the end of the period, and most underweight Technology, Health Care and Consumer Discretionary.
We believe global equities remain a critical allocation in investors’ portfolios to prepare for the future and the uncertainty it brings, investors often benefit from seeking out dividend yield, but should avoid reaching for yield that may be excessive or unsustainable.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
106 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
WORLD EQUITY INCOME FUND
OBJECTIVE: Seeks to provide total return, comprised of capital appreciation and income.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
COUNTRY Diversification
Country | % of Long-Term | |||
United States | 64.3 | % | ||
Japan | 7.3 | % | ||
Australia | 5.0 | % | ||
Canada | 4.8 | % | ||
Ireland | 2.8 | % | ||
United Kingdom | 2.5 | % | ||
Germany | 2.0 | % | ||
Other | 11.3 | % | ||
Total Long-Term Investments | 100.0 | % |
Inception Dates: | |
A-Class | October 1, 1993 |
C-Class | January 29, 1999 |
P-Class | May 1, 2015 |
Institutional Class | May 2, 2011 |
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 3.1% |
Microsoft Corp. | 3.0% |
Amazon.com, Inc. | 2.6% |
Alphabet, Inc. — Class C | 2.2% |
Exxon Mobil Corp. | 1.3% |
Accenture plc — Class A | 1.2% |
Verizon Communications, Inc. | 1.2% |
Chevron Corp. | 1.1% |
Philip Morris International, Inc. | 1.1% |
Citigroup, Inc. | 1.1% |
Top Ten Total | 17.9% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 107 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 27.13% | 9.21% | 9.21% |
A-Class Shares with sales charge‡ | 21.09% | 8.14% | 8.69% |
C-Class Shares | 26.22% | 8.40% | 8.41% |
C-Class Shares with CDSC§ | 25.22% | 8.40% | 8.41% |
Institutional Class Shares | 27.38% | 9.51% | 9.42% |
MSCI World Index | 28.82% | 13.74% | 12.68% |
| 1 Year | 5 Year | Since |
P-Class Shares | 27.10% | 9.20% | 7.74% |
MSCI World Index | 28.82% | 13.74% | 10.45% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The MSCI World Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
108 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
WORLD EQUITY INCOME FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 97.4% | ||||||||
Consumer, Non-cyclical - 17.7% | ||||||||
Philip Morris International, Inc. | 5,800 | $ | 549,782 | |||||
AbbVie, Inc. | 4,713 | 508,391 | ||||||
Bristol-Myers Squibb Co. | 8,051 | 476,378 | ||||||
Merck & Company, Inc. | 6,300 | 473,193 | ||||||
Anthem, Inc. | 1,173 | 437,294 | ||||||
Archer-Daniels-Midland Co. | 6,846 | 410,829 | ||||||
AmerisourceBergen Corp. — Class A | 3,415 | 407,922 | ||||||
Cigna Corp. | 1,958 | 391,913 | ||||||
Johnson & Johnson | 2,400 | 387,600 | ||||||
Kimberly-Clark Corp. | 2,891 | 382,884 | ||||||
CVS Health Corp. | 4,481 | 380,258 | ||||||
Humana, Inc. | 900 | 350,235 | ||||||
Kellogg Co. | 5,456 | 348,747 | ||||||
PepsiCo, Inc. | 2,105 | 316,613 | ||||||
Square, Inc. — Class A* | 1,300 | 311,792 | ||||||
Cardinal Health, Inc. | 6,228 | 308,037 | ||||||
Colgate-Palmolive Co. | 3,762 | 284,332 | ||||||
Bunge Ltd. | 3,378 | 274,699 | ||||||
Kroger Co. | 6,000 | 242,580 | ||||||
Campbell Soup Co. | 5,781 | 241,704 | ||||||
Kesko Oyj — Class B���† | 7,000 | 241,481 | ||||||
Tyson Foods, Inc. — Class A | 2,700 | 213,138 | ||||||
Randstad N.V.†† | 3,000 | 202,004 | ||||||
Seven & i Holdings Company Ltd.†† | 4,100 | 186,655 | ||||||
Quest Diagnostics, Inc. | 1,200 | 174,372 | ||||||
McKesson Corp. | 700 | 139,566 | ||||||
J M Smucker Co. | 900 | 108,027 | ||||||
Amgen, Inc. | 500 | 106,325 | ||||||
Clorox Co. | 600 | 99,366 | ||||||
Total Consumer, Non-cyclical | 8,956,117 | |||||||
Financial - 16.4% | ||||||||
Citigroup, Inc. | 7,766 | 545,018 | ||||||
Commonwealth Bank of Australia†† | 6,700 | 497,073 | ||||||
Prudential Financial, Inc. | 3,900 | 410,280 | ||||||
Australia & New Zealand Banking Group Ltd.†† | 20,200 | 405,557 | ||||||
Allianz AG†† | 1,700 | 380,921 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 1,900 | 363,033 | ||||||
National Australia Bank Ltd.†† | 18,100 | 356,853 | ||||||
Medical Properties Trust, Inc. REIT | 16,228 | 325,696 | ||||||
Allstate Corp. | 2,500 | 318,275 | ||||||
Daiwa House REIT Investment Corp.†† | 100 | 293,674 | ||||||
Admiral Group plc†† | 7,000 | 292,426 | ||||||
Westpac Banking Corp.†† | 15,500 | 286,571 | ||||||
REA Group Ltd.†† | 2,400 | 270,240 | ||||||
EXOR N.V.†† | 3,200 | 268,565 | ||||||
RenaissanceRe Holdings Ltd. | 1,800 | 250,920 | ||||||
Western Union Co. | 12,000 | 242,640 | ||||||
Toronto-Dominion Bank | 3,500 | 231,740 | ||||||
Bank of Nova Scotia | 3,700 | 227,773 | ||||||
Voya Financial, Inc. | 3,700 | 227,143 | ||||||
Berkshire Hathaway, Inc. — Class B* | 800 | 218,352 | ||||||
Sun Life Financial, Inc. | 4,000 | 205,938 | ||||||
Canadian Apartment Properties REIT | 4,000 | 186,702 | ||||||
Weyerhaeuser Co. REIT | 5,000 | 177,850 | ||||||
Manulife Financial Corp. | 9,000 | 173,263 | ||||||
Power Corporation of Canada | 5,000 | 164,837 | ||||||
GLP J-REIT | 100 | 164,612 | ||||||
Everest Re Group Ltd. | 600 | 150,468 | ||||||
AXA S.A.†† | 5,100 | 141,353 | ||||||
BNP Paribas S.A.†† | 1,800 | 115,178 | ||||||
Goldman Sachs Group, Inc. | 300 | 113,409 | ||||||
Assurant, Inc. | 700 | 110,425 | ||||||
NN Group N.V.†† | 2,000 | 104,776 | ||||||
American Tower Corp. — Class A REIT | 300 | 79,623 | ||||||
Total Financial | 8,301,184 | |||||||
Technology - 16.2% | ||||||||
Apple, Inc. | 11,159 | 1,578,998 | ||||||
Microsoft Corp. | 5,342 | 1,506,017 | ||||||
Accenture plc — Class A | 1,864 | 596,331 | ||||||
Intel Corp. | 9,100 | 484,848 | ||||||
NetApp, Inc. | 5,300 | 475,728 | ||||||
International Business Machines Corp. | 3,300 | 458,469 | ||||||
QUALCOMM, Inc. | 3,000 | 386,940 | ||||||
Cognizant Technology Solutions Corp. — Class A | 5,158 | 382,775 | ||||||
Seagate Technology Holdings plc | 4,523 | 373,238 | ||||||
VMware, Inc. — Class A* | 2,400 | 356,880 | ||||||
HP, Inc. | 12,000 | 328,320 | ||||||
Citrix Systems, Inc. | 2,517 | 270,250 | ||||||
Texas Instruments, Inc. | 1,300 | 249,873 | ||||||
ASML Holding N.V.†† | 300 | 224,143 | ||||||
Lam Research Corp. | 300 | 170,745 | ||||||
Logitech International S.A.†† | 1,700 | 151,290 | ||||||
Skyworks Solutions, Inc. | 800 | 131,824 | ||||||
NVIDIA Corp. | 500 | 103,580 | ||||||
Total Technology | 8,230,249 | |||||||
Industrial - 11.4% | ||||||||
Deutsche Post AG†† | 7,300 | 457,833 | ||||||
3M Co. | 2,597 | 455,566 | ||||||
Lockheed Martin Corp. | 1,300 | 448,630 | ||||||
Northrop Grumman Corp. | 1,200 | 432,180 | ||||||
DSV A/S†† | 1,500 | 359,064 | ||||||
Kuehne + Nagel International AG†† | 1,000 | 341,504 | ||||||
FedEx Corp. | 1,500 | 328,935 | ||||||
Sika AG†† | 1,000 | 316,268 | ||||||
Bouygues S.A.†† | 7,100 | 293,742 | ||||||
Arrow Electronics, Inc.* | 2,416 | 271,293 | ||||||
AP Moller - Maersk A/S — Class B†† | 100 | 270,723 | ||||||
Lennox International, Inc. | 900 | 264,753 | ||||||
Obayashi Corp.†† | 31,200 | 257,181 | ||||||
Huntington Ingalls Industries, Inc. | 1,300 | 250,978 | ||||||
CK Infrastructure Holdings Ltd.†† | 44,900 | 250,446 | ||||||
Illinois Tool Works, Inc. | 1,200 | 247,956 | ||||||
CRH plc ADR†† | 5,100 | 240,721 | ||||||
Mitsubishi Heavy Industries Ltd.†† | 8,100 | 217,037 | ||||||
BAE Systems plc†† | 10,300 | 77,994 | ||||||
Total Industrial | 5,782,804 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
WORLD EQUITY INCOME FUND |
| Shares | Value | ||||||
Communications - 10.5% | ||||||||
Amazon.com, Inc.* | 398 | $ | 1,307,446 | |||||
Alphabet, Inc. — Class C* | 420 | 1,119,430 | ||||||
Verizon Communications, Inc. | 10,800 | 583,308 | ||||||
KDDI Corp.†† | 13,000 | 428,012 | ||||||
Nippon Telegraph & Telephone Corp.†† | 14,000 | 387,939 | ||||||
Facebook, Inc. — Class A* | 1,120 | 380,117 | ||||||
Juniper Networks, Inc. | 10,000 | 275,200 | ||||||
HKT Trust & HKT Ltd.†† | 186,048 | 254,396 | ||||||
Interpublic Group of Companies, Inc. | 5,100 | 187,017 | ||||||
CDW Corp. | 800 | 145,616 | ||||||
ViacomCBS, Inc. — Class B | 3,000 | 118,530 | ||||||
Corning, Inc. | 3,000 | 109,470 | ||||||
Total Communications | 5,296,481 | |||||||
Consumer, Cyclical - 10.1% | ||||||||
Mitsubishi Corp.†† | 15,000 | 471,049 | ||||||
Daiwa House Industry Company Ltd.†† | 13,000 | 433,367 | ||||||
Volvo AB — Class B†† | 18,200 | 406,523 | ||||||
ITOCHU Corp.†† | 13,900 | 404,862 | ||||||
Best Buy Company, Inc. | 3,212 | 339,540 | ||||||
Subaru Corp.†† | 18,300 | 338,188 | ||||||
Cummins, Inc. | 1,500 | 336,840 | ||||||
Home Depot, Inc. | 900 | 295,434 | ||||||
BorgWarner, Inc. | 6,807 | 294,131 | ||||||
Persimmon plc†† | 8,000 | 286,047 | ||||||
Whirlpool Corp. | 1,400 | 285,404 | ||||||
Wesfarmers Ltd.†† | 7,000 | 278,338 | ||||||
Autoliv, Inc. | 2,803 | 240,273 | ||||||
PACCAR, Inc. | 2,300 | 181,516 | ||||||
Dollar General Corp. | 800 | 169,712 | ||||||
Tesla, Inc.* | 200 | 155,096 | ||||||
Kingfisher plc†† | 30,100 | 135,844 | ||||||
ABC-Mart, Inc.†† | 1,500 | 84,262 | ||||||
Total Consumer, Cyclical | 5,136,426 | |||||||
Energy - 7.0% | ||||||||
Exxon Mobil Corp. | 10,806 | 635,609 | ||||||
Chevron Corp. | 5,700 | 578,265 | ||||||
Suncor Energy, Inc. | 22,200 | 460,338 | ||||||
Valero Energy Corp. | 6,300 | 444,591 | ||||||
TC Energy Corp. | 8,600 | 413,974 | ||||||
Imperial Oil Ltd. | 10,000 | 316,093 | ||||||
Phillips 66 | 3,600 | 252,108 | ||||||
Marathon Petroleum Corp. | 3,800 | 234,878 | ||||||
DCC plc†† | 2,400 | 200,102 | ||||||
Total Energy | 3,535,958 | |||||||
Utilities - 5.8% | ||||||||
Exelon Corp. | 8,587 | 415,096 | ||||||
Edison International | 6,729 | 373,258 | ||||||
CLP Holdings Ltd.†† | 35,800 | 344,712 | ||||||
Southern Co. | 4,600 | 285,062 | ||||||
Power Assets Holdings Ltd.†† | 43,900 | 257,356 | ||||||
NRG Energy, Inc. | 6,100 | 249,063 | ||||||
AGL Energy Ltd.†† | 55,100 | 227,483 | ||||||
Fortum Oyj†† | 6,000 | 182,217 | ||||||
UGI Corp. | 4,100 | 174,742 | ||||||
Consolidated Edison, Inc. | 2,300 | 166,957 | ||||||
HK Electric Investments & HK Electric Investments Ltd. | 149,900 | 148,854 | ||||||
PPL Corp. | 4,200 | 117,096 | ||||||
Total Utilities | 2,941,896 | |||||||
Basic Materials - 2.2% | ||||||||
FMC Corp. | 3,400 | 311,304 | ||||||
Rio Tinto plc†† | 3,900 | 255,658 | ||||||
Johnson Matthey plc†† | 6,000 | 215,208 | ||||||
Fortescue Metals Group Ltd.†† | 18,900 | 201,268 | ||||||
RPM International, Inc. | 1,600 | 124,240 | ||||||
Total Basic Materials | 1,107,678 | |||||||
Diversified - 0.1% | ||||||||
CK Hutchison Holdings Ltd.†† | 7,501 | 50,042 | ||||||
Total Common Stocks | ||||||||
(Cost $46,610,188) | 49,338,835 | |||||||
PREFERRED STOCKS†† - 0.3% | ||||||||
Consumer, Cyclical - 0.3% | ||||||||
Volkswagen AG | 800 | 178,342 | ||||||
Total Preferred Stocks | ||||||||
(Cost $142,015) | 178,342 | |||||||
EXCHANGE-TRADED FUNDS† - 1.1% | ||||||||
SPDR S&P 500 ETF Trust | 664 | 284,949 | ||||||
iShares MSCI EAFE ETF | 3,464 | 270,226 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $565,148) | 555,175 | |||||||
MONEY MARKET FUND† - 0.7% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.01%1 | 333,725 | 333,725 | ||||||
Total Money Market Fund | ||||||||
(Cost $333,725) | 333,725 | |||||||
Total Investments - 99.5% | ||||||||
(Cost $47,651,076) | $ | 50,406,077 | ||||||
Other Assets & Liabilities, net - 0.5% | 263,661 | |||||||
Total Net Assets - 100.0% | $ | 50,669,738 |
110 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
WORLD EQUITY INCOME FUND |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
British Pound Futures Contracts | 9 | Dec 2021 | $ | 757,800 | $ | (1,767 | ) | |||||||||
Canadian Dollar Futures Contracts | 30 | Dec 2021 | 2,367,900 | (9,831 | ) | |||||||||||
$ | 3,125,700 | $ | (11,598 | ) |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of September 30, 2021. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 35,994,689 | $ | 13,344,146 | $ | — | $ | 49,338,835 | ||||||||
Preferred Stocks | — | 178,342 | — | 178,342 | ||||||||||||
Exchange-Traded Funds | 555,175 | — | — | 555,175 | ||||||||||||
Money Market Fund | 333,725 | — | — | 333,725 | ||||||||||||
Total Assets | $ | 36,883,589 | $ | 13,522,488 | $ | — | $ | 50,406,077 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Currency Futures Contracts** | $ | 11,598 | $ | — | $ | — | $ | 11,598 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 111 |
WORLD EQUITY INCOME FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments, at value (cost $47,651,076) | $ | 50,406,077 | ||
Foreign currency, at value (cost $44,996) | 45,046 | |||
Cash | 16,949 | |||
Segregated cash with broker | 65,000 | |||
Prepaid expenses | 28,726 | |||
Receivables: | ||||
Dividends | 132,683 | |||
Foreign tax reclaims | 92,685 | |||
Fund shares sold | 37,806 | |||
Securities Sold | 14,888 | |||
Total assets | 50,839,860 | |||
Liabilities: | ||||
Payable for: | ||||
Professional fees | 38,324 | |||
Fund shares redeemed | 21,098 | |||
Management fees | 20,762 | |||
Variation margin on futures contracts | 16,781 | |||
Securities Purchased | 14,888 | |||
Distribution and service fees | 12,204 | |||
Pricing fees | 11,797 | |||
Distributions to shareholders | 9,205 | |||
Fund accounting/administration fees | 6,522 | |||
Transfer agent/maintenance fees | 6,357 | |||
Trustees’ fees* | 2,258 | |||
Due to Investment Adviser | 13 | |||
Miscellaneous | 9,913 | |||
Total liabilities | 170,122 | |||
Net assets | $ | 50,669,738 | ||
Net assets consist of: | ||||
Paid in capital | $ | 36,327,343 | ||
Total distributable earnings (loss) | 14,342,395 | |||
Net assets | $ | 50,669,738 | ||
A-Class: | ||||
Net assets | $ | 44,337,197 | ||
Capital shares outstanding | 2,367,003 | |||
Net asset value per share | $ | 18.73 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 19.66 | ||
C-Class: | ||||
Net assets | $ | 3,229,706 | ||
Capital shares outstanding | 201,530 | |||
Net asset value per share | $ | 16.03 | ||
P-Class: | ||||
Net assets | $ | 117,734 | ||
Capital shares outstanding | 6,227 | |||
Net asset value per share | $ | 18.91 | ||
Institutional Class: | ||||
Net assets | $ | 2,985,101 | ||
Capital shares outstanding | 160,389 | |||
Net asset value per share | $ | 18.61 |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $90,267) | $ | 1,386,311 | ||
Total investment income | 1,386,311 | |||
Expenses: | ||||
Management fees | 350,857 | |||
Distribution and service fees: | ||||
A-Class | 109,529 | |||
C-Class | 32,480 | |||
P-Class | 260 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 26,935 | |||
C-Class | 4,860 | |||
P-Class | 158 | |||
Institutional Class | 1,814 | |||
Registration fees | 81,702 | |||
Professional fees | 46,796 | |||
Fund accounting/administration fees | 41,994 | |||
Custodian fees | 18,770 | |||
Trustees’ fees* | 18,117 | |||
Line of credit fees | 2,241 | |||
Short interest expense | 49 | |||
Miscellaneous | 7,956 | |||
Recoupment of previously waived fees: | ||||
Institutional Class | 455 | |||
Total expenses | 744,973 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (27,202 | ) | ||
C-Class | (4,900 | ) | ||
P-Class | (159 | ) | ||
Institutional Class | (2,281 | ) | ||
Expenses waived by Adviser | (86,742 | ) | ||
Total waived/reimbursed expenses | (121,284 | ) | ||
Net expenses | 623,689 | |||
Net investment income | 762,622 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 12,857,340 | |||
Futures contracts | 20,135 | |||
Foreign currency transactions | 2,603 | |||
Net realized gain | 12,880,078 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,121,216 | ) | ||
Futures contracts | (11,598 | ) | ||
Foreign currency translations | (4,254 | ) | ||
Net change in unrealized appreciation (depreciation) | (2,137,068 | ) | ||
Net realized and unrealized gain | 10,743,010 | |||
Net increase in net assets resulting from operations | $ | 11,505,632 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
112 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WORLD EQUITY INCOME FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 762,622 | $ | 703,779 | ||||
Net realized gain on investments | 12,880,078 | 80,940 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (2,137,068 | ) | 790,841 | |||||
Net increase in net assets resulting from operations | 11,505,632 | 1,575,560 | ||||||
Distributions to shareholders: | ||||||||
A-Class | (878,652 | ) | (951,321 | ) | ||||
C-Class | (42,902 | ) | (41,581 | ) | ||||
P-Class | (2,092 | ) | (2,112 | ) | ||||
Institutional Class | (67,115 | ) | (69,164 | ) | ||||
Total distributions to shareholders | (990,761 | ) | (1,064,178 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 2,117,138 | 1,840,975 | ||||||
C-Class | 593,534 | 262,757 | ||||||
P-Class | 21,774 | 19,559 | ||||||
Institutional Class | 628,784 | 722,745 | ||||||
Distributions reinvested | ||||||||
A-Class | 847,352 | 941,400 | ||||||
C-Class | 42,591 | 40,533 | ||||||
P-Class | 2,092 | 2,112 | ||||||
Institutional Class | 66,615 | 68,744 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (5,732,483 | ) | (26,256,691 | ) | ||||
C-Class | (984,650 | ) | (701,424 | ) | ||||
P-Class | (19,188 | ) | (56,772 | ) | ||||
Institutional Class | (839,632 | ) | (1,575,677 | ) | ||||
Net decrease from capital share transactions | (3,256,073 | ) | (24,691,739 | ) | ||||
Net increase (decrease) in net assets | 7,258,798 | (24,180,357 | ) | |||||
Net assets: | ||||||||
Beginning of year | 43,410,940 | 67,591,297 | ||||||
End of year | $ | 50,669,738 | $ | 43,410,940 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 116,957 | 123,067 | ||||||
C-Class | 38,329 | 19,865 | ||||||
P-Class | 1,170 | 1,224 | ||||||
Institutional Class | 35,268 | 49,008 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 46,434 | 63,949 | ||||||
C-Class | 2,739 | 3,191 | ||||||
P-Class | 113 | 142 | ||||||
Institutional Class | 3,667 | 4,753 | ||||||
Shares redeemed | ||||||||
A-Class | (318,411 | ) | (1,639,516 | ) | ||||
C-Class | (64,340 | ) | (55,988 | ) | ||||
P-Class | (1,237 | ) | (3,569 | ) | ||||
Institutional Class | (46,787 | ) | (113,599 | ) | ||||
Net decrease in shares | (186,098 | ) | (1,547,473 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 113 |
WORLD EQUITY INCOME FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.03 | $ | 15.26 | $ | 15.77 | $ | 14.84 | $ | 13.54 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .28 | .20 | .35 | .23 | .31 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.79 | (.12 | )g | (.36 | ) | .95 | 1.34 | |||||||||||||
Total from investment operations | 4.07 | .08 | (.01 | ) | 1.18 | 1.65 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.34 | ) | (.27 | ) | (.37 | ) | (.25 | ) | (.35 | ) | ||||||||||
Net realized gains | (.03 | ) | (.04 | ) | (.13 | ) | — | — | ||||||||||||
Total distributions | (.37 | ) | (.31 | ) | (.50 | ) | (.25 | ) | (.35 | ) | ||||||||||
Net asset value, end of period | $ | 18.73 | $ | 15.03 | $ | 15.26 | $ | 15.77 | $ | 14.84 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 27.13 | % | 0.60 | % | 0.14 | % | 8.01 | % | 12.31 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 44,337 | $ | 37,911 | $ | 60,639 | $ | 67,679 | $ | 80,598 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.55 | % | 1.36 | % | 2.39 | % | 1.48 | % | 2.23 | % | ||||||||||
Total expensesc | 1.45 | % | 1.48 | % | 1.37 | % | 1.37 | % | 1.34 | % | ||||||||||
Net expensesd,e,f | 1.21 | % | 1.22 | % | 1.22 | % | 1.22 | % | 1.24 | % | ||||||||||
Portfolio turnover rate | 191 | % | 192 | % | 127 | % | 125 | % | 94 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 12.87 | $ | 13.06 | $ | 13.53 | $ | 12.72 | $ | 11.63 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .13 | .08 | .21 | .09 | .19 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.24 | (.10 | )g | (.33 | ) | .83 | 1.13 | |||||||||||||
Total from investment operations | 3.37 | (.02 | ) | (.12 | ) | .92 | 1.32 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.18 | ) | (.13 | ) | (.22 | ) | (.11 | ) | (.23 | ) | ||||||||||
Net realized gains | (.03 | ) | (.04 | ) | (.13 | ) | — | — | ||||||||||||
Total distributions | (.21 | ) | (.17 | ) | (.35 | ) | (.11 | ) | (.23 | ) | ||||||||||
Net asset value, end of period | $ | 16.03 | $ | 12.87 | $ | 13.06 | $ | 13.53 | $ | 12.72 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 26.22 | % | (0.13 | %) | (0.69 | %) | 7.27 | % | 11.46 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,230 | $ | 2,893 | $ | 3,366 | $ | 4,215 | $ | 6,449 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.81 | % | 0.67 | % | 1.64 | % | 0.71 | % | 1.53 | % | ||||||||||
Total expensesc | 2.28 | % | 2.40 | % | 2.28 | % | 2.18 | % | 2.19 | % | ||||||||||
Net expensesd,e,f | 1.96 | % | 1.97 | % | 1.97 | % | 1.97 | % | 1.99 | % | ||||||||||
Portfolio turnover rate | 191 | % | 192 | % | 127 | % | 125 | % | 94 | % |
114 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WORLD EQUITY INCOME FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.17 | $ | 15.38 | $ | 15.92 | $ | 15.08 | $ | 13.73 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .30 | .20 | .36 | .24 | .33 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.80 | (.11 | )g | (.39 | ) | .95 | 1.35 | |||||||||||||
Total from investment operations | 4.10 | .09 | (.03 | ) | 1.19 | 1.68 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.33 | ) | (.26 | ) | (.38 | ) | (.35 | ) | (.33 | ) | ||||||||||
Net realized gains | (.03 | ) | (.04 | ) | (.13 | ) | — | — | ||||||||||||
Total distributions | (.36 | ) | (.30 | ) | (.51 | ) | (.35 | ) | (.33 | ) | ||||||||||
Net asset value, end of period | $ | 18.91 | $ | 15.17 | $ | 15.38 | $ | 15.92 | $ | 15.08 | ||||||||||
| ||||||||||||||||||||
Total Return | 27.10 | % | 0.66 | % | 0.06 | % | 7.99 | % | 12.32 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 118 | $ | 94 | $ | 129 | $ | 195 | $ | 355 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.61 | % | 1.36 | % | 2.38 | % | 1.50 | % | 2.28 | % | ||||||||||
Total expensesc | 1.53 | % | 1.56 | % | 1.44 | % | 1.40 | % | 1.76 | % | ||||||||||
Net expensesd,e,f | 1.21 | % | 1.22 | % | 1.22 | % | 1.22 | % | 1.24 | % | ||||||||||
Portfolio turnover rate | 191 | % | 192 | % | 127 | % | 125 | % | 94 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 115 |
WORLD EQUITY INCOME FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.94 | $ | 15.16 | $ | 15.71 | $ | 14.74 | $ | 13.44 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .33 | .25 | .39 | .29 | .35 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.75 | (.13 | )g | (.37 | ) | .93 | 1.33 | |||||||||||||
Total from investment operations | 4.08 | .12 | .02 | 1.22 | 1.68 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.38 | ) | (.30 | ) | (.44 | ) | (.25 | ) | (.38 | ) | ||||||||||
Net realized gains | (.03 | ) | (.04 | ) | (.13 | ) | — | — | ||||||||||||
Total distributions | (.41 | ) | (.34 | ) | (.57 | ) | (.25 | ) | (.38 | ) | ||||||||||
Net asset value, end of period | $ | 18.61 | $ | 14.94 | $ | 15.16 | $ | 15.71 | $ | 14.74 | ||||||||||
| ||||||||||||||||||||
Total Return | 27.38 | % | 0.92 | % | 0.40 | % | 8.34 | % | 12.61 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,985 | $ | 2,513 | $ | 3,458 | $ | 19,589 | $ | 3,734 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.82 | % | 1.66 | % | 2.67 | % | 1.85 | % | 2.50 | % | ||||||||||
Total expensesc | 1.21 | % | 1.50 | % | 1.17 | % | 1.02 | % | 1.09 | % | ||||||||||
Net expensesd,e,f | 0.96 | % | 0.97 | % | 0.97 | % | 0.97 | % | 0.98 | % | ||||||||||
Portfolio turnover rate | 191 | % | 192 | % | 127 | % | 125 | % | 94 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | — | — | 0.00%* | 0.00%* | 0.01% | |
C-Class | — | — | — | 0.00%* | 0.01% | |
P-Class | — | — | — | — | — | |
Institutional Class | 0.02% | — | — | 0.02% | 0.03% |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 1.21% | 1.22% | 1.22% | 1.22% | 1.22% | |
C-Class | 1.96% | 1.97% | 1.97% | 1.97% | 1.97% | |
P-Class | 1.21% | 1.22% | 1.22% | 1.22% | 1.22% | |
Institutional Class | 0.96% | 0.97% | 0.97% | 0.97% | 0.96% |
g | The amount shown for a share outstanding throughout the year does not agree with the aggregate net gain on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
116 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds.
This report covers the following funds (collectively, the “Funds”):
Fund Name | Investment |
Alpha Opportunity Fund | Diversified |
Large Cap Value Fund | Diversified |
Market Neutral Real Estate Fund | Diversified |
Risk Managed Real Estate Fund | Diversified |
Small Cap Value Fund | Diversified |
StylePlus—Large Core Fund | Diversified |
StylePlus—Mid Growth Fund | Diversified |
World Equity Income Fund | Diversified |
At September 30, 2021, A-Class, C-Class, P-Class and Institutional Class shares have been issued by the Funds.
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”), which operate under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow 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 Trust. 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.
The NAV of each Class of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review
THE GUGGENHEIM FUNDS ANNUAL REPORT | 117 |
NOTES TO FINANCIAL STATEMENTS (continued) |
responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued 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.
The values of swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close price from the applicable exchange.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. 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.
(b) Short Sales
When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(c) Futures Contracts
Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the
118 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(d) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
(e) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(f) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(g) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(h) Distributions
Dividends from net investment income are declared quarterly in the World Equity Income Fund and Risk Managed Real Estate Fund. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions of net investment income in the remaining Funds and distributions of net realized gains, if any, in all Funds are declared at least annually and recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.
(i) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
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NOTES TO FINANCIAL STATEMENTS (continued) |
(j) Earnings Credits
Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statements of Operations.
(k) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.
(l) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the year, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Futures Contracts
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures
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NOTES TO FINANCIAL STATEMENTS (continued) |
are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a monthly basis:
Average Notional Amount | ||||||||||||
Fund | Use | Long | Short | |||||||||
StylePlus—Large Core Fund | Index exposure | $ | 3,467,118 | $ | — | |||||||
StylePlus—Mid Growth Fund | Index exposure | 2,279,783 | — | |||||||||
World Equity Income Fund | Hedge | — | 3,273,295 |
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 over-the-counter (“OTC”) swaps, a 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. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index or custom basket of securities) for a fixed or variable interest rate. Total return and custom basket swaps will usually be computed based on the current value of the reference asset 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 or custom basket swaps, a 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.
The following table represents the Funds’ use and volume of total return swaps on a monthly basis:
Average Notional Amount | ||||||||||||
Fund | Use | Long | Short | |||||||||
StylePlus—Large Core Fund | Index exposure | $ | 200,124,681 | $ | — | |||||||
StylePlus—Mid Growth Fund | Index exposure | 89,623,279 | — |
The following table represents the Funds’ use and volume of custom basket swaps on a monthly basis:
Average Notional Amount | ||||||||||||
Fund | Use | Long | Short | |||||||||
Alpha Opportunity Fund | Hedge, Leverage | $ | 9,514,081 | $ | 29,744,142 | |||||||
Market Neutral Real Estate Fund | Hedge | — | 44,083,507 | |||||||||
Risk Managed Real Estate Fund | Hedge, Leverage | 106,455,337 | 84,835,412 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2021:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency futures contracts | Variation margin on futures contracts | |
Equity swap contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
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NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2021:
Asset Derivative Investments Value | ||||||||||||||||
Fund | Futures | Swaps | Futures | Total Value at | ||||||||||||
Risk Managed Real Estate Fund | $ | — | $ | 11,662,699 | $ | — | $ | 11,662,699 | ||||||||
StylePlus—Large Core Fund | — | 52,152,694 | — | 52,152,694 | ||||||||||||
StylePlus—Mid Growth Fund | — | 21,766,602 | — | 21,766,602 |
Liability Derivative Investments Value | ||||||||||||||||
Fund | Futures | Swaps | Futures | Total Value at | ||||||||||||
Alpha Opportunity Fund | $ | — | $ | 272,911 | $ | — | $ | 272,911 | ||||||||
Market Neutral Real Estate Fund | — | 2,147,300 | — | 2,147,300 | ||||||||||||
Risk Managed Real Estate Fund | — | 2,759,947 | — | 2,759,947 | ||||||||||||
StylePlus—Large Core Fund | 195,891 | — | — | 195,891 | ||||||||||||
World Equity Income Fund | — | — | 11,598 | 11,598 |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2021:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Currency futures contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
Equity swap contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended September 30, 2021:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Swaps | Futures | Total | ||||||||||||
Alpha Opportunity Fund | $ | — | $ | (9,106,066 | ) | $ | — | $ | (9,106,066 | ) | ||||||
Market Neutral Real Estate Fund | — | (12,232,978 | ) | — | (12,232,978 | ) | ||||||||||
Risk Managed Real Estate Fund | — | (1,285,447 | ) | — | (1,285,447 | ) | ||||||||||
StylePlus—Large Core Fund | 917,512 | 20,184,153 | — | 21,101,665 | ||||||||||||
StylePlus—Mid Growth Fund | 717,834 | 15,347,680 | — | 16,065,514 | ||||||||||||
World Equity Income Fund | — | — | 20,135 | 20,135 |
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NOTES TO FINANCIAL STATEMENTS (continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Swaps | Futures | Total | ||||||||||||
Alpha Opportunity Fund | $ | — | $ | 733,262 | $ | — | $ | 733,262 | ||||||||
Market Neutral Real Estate Fund | — | (2,167,286 | ) | — | (2,167,286 | ) | ||||||||||
Risk Managed Real Estate Fund | — | 6,684,079 | — | 6,684,079 | ||||||||||||
StylePlus—Large Core Fund | (127,889 | ) | 29,966,375 | — | 29,838,486 | |||||||||||
StylePlus—Mid Growth Fund | 33,378 | 7,513,504 | — | 7,546,882 | ||||||||||||
World Equity Income Fund | — | — | (11,598 | ) | (11,598 | ) |
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets.A 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 Funds may incur transaction costs in connection with conversions between various currencies. The Funds 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 Funds 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 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 Funds.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
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NOTES TO FINANCIAL STATEMENTS (continued) |
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Risk Managed Real Estate Fund | Custom basket swap agreements | $ | 11,662,699 | $ | — | $ | 11,662,699 | $ | (2,759,947 | ) | $ | — | $ | 8,902,752 | |||||||||||
StylePlus—Large Core Fund | Swap equity contracts | 52,152,694 | — | 52,152,694 | — | (52,152,694 | ) | — | |||||||||||||||||
StylePlus—Mid Growth Fund | Swap equity contracts | 21,766,602 | — | 21,766,602 | — | (21,766,602 | ) | — |
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NOTES TO FINANCIAL STATEMENTS (continued) |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Alpha Opportunity Fund | Custom basket swap agreements | $ | 272,911 | $ | — | $ | 272,911 | $ | (272,911 | ) | $ | — | $ | — | |||||||||||
Market Neutral Real Estate Fund | Custom basket swap agreements | 2,147,300 | — | 2,147,300 | (2,147,300 | ) | — | — | |||||||||||||||||
Risk Managed Real Estate Fund | Custom basket swap agreements | 2,759,947 | — | 2,759,947 | (2,759,947 | ) | — | — |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.
Fund | Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Risk Managed Real Estate Fund | Morgan Stanley Capital Services LLC | Custom basket swap agreements | $ | — | $ | 4,538,030 | ||||
StylePlus—Large Core Fund | Morgan Stanley Capital Services LLC | Futures contracts | 460,000 | — | ||||||
| Wells Fargo Bank, N.A. | Total return swap agreements | — | 54,150,000 | ||||||
|
|
| 460,000 | 54,150,000 | ||||||
StylePlus—Mid Growth Fund | Citibank, N.A. | Total return swap agreements | — | 22,020,000 | ||||||
| Morgan Stanley Capital Services LLC | Futures contracts | 55,500 | — | ||||||
|
|
| 55,500 | 22,020,000 | ||||||
World Equity Income Fund | BofA Securities, Inc. | Futures contracts | 65,000 | — |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 — | 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. |
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.
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NOTES TO FINANCIAL STATEMENTS (continued) |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees | |||
Alpha Opportunity Fund | 0.90 | % | ||
Large Cap Value Fund | 0.65 | % | ||
Market Neutral Real Estate Fund | 1.10 | % | ||
Risk Managed Real Estate Fund | 0.75 | % | ||
Small Cap Value Fund | 0.75 | % | ||
StylePlus—Large Core Fund | 0.75 | % | ||
StylePlus—Mid Growth Fund | 0.75 | % | ||
World Equity Income Fund | 0.70 | % |
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
Contractual expense limitation agreements for the following Funds provide that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
Alpha Opportunity Fund – A-Class | 1.76% | 05/31/17 | 02/01/23 | |||||||||
Alpha Opportunity Fund – C-Class | 2.51% | 05/31/17 | 02/01/23 | |||||||||
Alpha Opportunity - P-Class | 1.76% | 05/31/17 | 02/01/23 | |||||||||
Alpha Opportunity Fund – Institutional Class | 1.51% | 05/31/17 | 02/01/23 | |||||||||
Large Cap Value Fund – A-Class | 1.15% | 11/30/12 | 02/01/23 | |||||||||
Large Cap Value Fund – C-Class | 1.90% | 11/30/12 | 02/01/23 | |||||||||
Large Cap Value Fund – P-Class | 1.15% | 05/01/15 | 02/01/23 | |||||||||
Large Cap Value Fund – Institutional Class | 0.90% | 06/05/13 | 02/01/23 | |||||||||
Market Neutral Real Estate Fund – A-Class | 1.65% | 02/26/16 | 02/01/23 | |||||||||
Market Neutral Real Estate Fund – C-Class | 2.40% | 02/26/16 | 02/01/23 | |||||||||
Market Neutral Real Estate Fund – P-Class | 1.65% | 02/26/16 | 02/01/23 | |||||||||
Market Neutral Real Estate Fund – Institutional Class | 1.40% | 02/26/16 | 02/01/23 | |||||||||
Risk Managed Real Estate Fund – A-Class | 1.30% | 03/26/14 | 02/01/23 | |||||||||
Risk Managed Real Estate Fund – C-Class | 2.05% | 03/26/14 | 02/01/23 | |||||||||
Risk Managed Real Estate Fund – P-Class | 1.30% | 05/01/15 | 02/01/23 | |||||||||
Risk Managed Real Estate Fund – Institutional Class | 1.10% | 03/26/14 | 02/01/23 | |||||||||
Small Cap Value Fund – A-Class | 1.30% | 11/30/12 | 02/01/23 | |||||||||
Small Cap Value Fund – C-Class | 2.05% | 11/30/12 | 02/01/23 | |||||||||
Small Cap Value Fund – P-Class | 1.30% | 05/01/15 | 02/01/23 | |||||||||
Small Cap Value Fund – Institutional Class | 1.05% | 11/30/12 | 02/01/23 | |||||||||
World Equity Income Fund – A-Class | 1.22% | 08/15/13 | 02/01/23 | |||||||||
World Equity Income Fund – C-Class | 1.97% | 08/15/13 | 02/01/23 | |||||||||
World Equity Income Fund – P-Class | 1.22% | 05/01/15 | 02/01/23 | |||||||||
World Equity Income Fund – Institutional Class | 0.97% | 08/15/13 | 02/01/23 |
126 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
GI and GPIM are entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI and GPIM are entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI or GPIM. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:
Fund | 2022 | 2023 | 2024 | Total | ||||||||||||
Alpha Opportunity Fund | ||||||||||||||||
A-Class | $ | — | $ | 1,491 | $ | 5,716 | $ | 7,207 | ||||||||
C-Class | 594 | 949 | 739 | 2,282 | ||||||||||||
P-Class | — | 458 | 3,390 | 3,848 | ||||||||||||
Institutional Class | — | — | 21,322 | 21,322 | ||||||||||||
Large Cap Value Fund | ||||||||||||||||
A-Class | 86,271 | 123,000 | 115,359 | 324,630 | ||||||||||||
C-Class | 5,745 | 6,365 | 5,446 | 17,556 | ||||||||||||
P-Class | 654 | 1,005 | 961 | 2,620 | ||||||||||||
Institutional Class | 9,093 | 2,945 | 3,072 | 15,110 | ||||||||||||
Market Neutral Real Estate Fund | ||||||||||||||||
A-Class | 61,944 | 55,287 | 20,606 | 137,837 | ||||||||||||
C-Class | 3,045 | 1,909 | 888 | 5,842 | ||||||||||||
P-Class | 6,884 | 8,658 | 15,753 | 31,295 | ||||||||||||
Institutional Class | 115,010 | 79,024 | 103,050 | 297,084 | ||||||||||||
Risk Managed Real Estate Fund | ||||||||||||||||
A-Class | — | — | 1,011 | 1,011 | ||||||||||||
C-Class | 268 | 611 | 501 | 1,380 | ||||||||||||
P-Class | — | 5,443 | 3,625 | 9,068 | ||||||||||||
Institutional Class | — | — | 4,938 | 4,938 | ||||||||||||
Small Cap Value Fund | ||||||||||||||||
A-Class | 101,617 | 118,318 | 126,091 | 346,026 | ||||||||||||
C-Class | 21,993 | 25,348 | 24,783 | 72,124 | ||||||||||||
P-Class | 491 | 1,268 | 1,282 | 3,041 | ||||||||||||
Institutional Class | 35,461 | 35,467 | 38,236 | 109,164 | ||||||||||||
World Equity Income Fund | ||||||||||||||||
A-Class | 89,463 | 120,308 | 103,050 | 312,821 | ||||||||||||
C-Class | 11,022 | 13,263 | 10,532 | 34,817 | ||||||||||||
P-Class | 318 | 359 | 336 | 1,013 | ||||||||||||
Institutional Class | 27,702 | 16,027 | 7,366 | 51,095 |
For the year ended September 30, 2021, GI recouped amounts from the Funds as follows:
Alpha Opportunity Fund | $ 5,518 |
Risk Manged Real Estate Fund | 22,390 |
World Equity Income Fund | 455 |
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
StylePlus—Large Core Fund | $ | 148,985 | ||
StylePlus—Mid Growth Fund | 64,182 |
For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 127 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Funds’ custodian. As custodian, BNY is responsible for the custody of the Funds’ assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Funds’ average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
At September 30, 2021, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:
Fund | Percent of Outstanding |
Alpha Opportunity Fund | 71% |
Note 6 – Federal Income Tax Information
The Funds intend 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 Funds 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 Funds’ 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 Funds’ 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 Funds’ financial statements. The Funds’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
Fund | Ordinary | Long-Term | Total | |||||||||
Alpha Opportunity Fund | $ | 411,952 | $ | — | $ | 411,952 | ||||||
Large Cap Value Fund | 990,392 | 1,316,580 | 2,306,972 | |||||||||
Market Neutral Real Estate Fund | 204,622 | 28,095 | 232,717 | |||||||||
Risk Managed Real Estate Fund | 17,748,987 | 8,296,994 | 26,045,981 | |||||||||
Small Cap Value Fund | 50,007 | — | 50,007 | |||||||||
StylePlus—Large Core Fund | 1,785,952 | 17,607,073 | 19,393,025 | |||||||||
StylePlus—Mid Growth Fund | 388,530 | 13,397,661 | 13,786,191 | |||||||||
World Equity Income Fund | 890,081 | 100,680 | 990,761 |
128 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended September 30, 2020 was as follows:
Fund | Ordinary | Long-Term | Total | |||||||||
Alpha Opportunity Fund | $ | 862,439 | $ | — | $ | 862,439 | ||||||
Large Cap Value Fund | 936,171 | 3,231,088 | 4,167,259 | |||||||||
Market Neutral Real Estate Fund | 105,833 | 282,471 | 388,304 | |||||||||
Risk Managed Real Estate Fund | 4,652,831 | 9,825,451 | 14,478,282 | |||||||||
Small Cap Value Fund | 211,835 | 292,577 | 504,412 | |||||||||
StylePlus—Large Core Fund | 2,990,159 | 336,849 | 3,327,008 | |||||||||
StylePlus—Mid Growth Fund | 948,478 | 975,309 | 1,923,787 | |||||||||
World Equity Income Fund | 882,816 | 181,362 | 1,064,178 |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:
Fund | Undistributed | Undistributed | Net Unrealized | Accumulated | Other | Total | ||||||||||||||||||
Alpha Opportunity Fund | $ | 282,314 | $ | — | $ | 242,943 | $ | (27,958,891 | ) | $ | — | $ | (27,433,634 | ) | ||||||||||
Large Cap Value Fund | 568,718 | 2,129,255 | 9,210,600 | — | — | 11,908,573 | ||||||||||||||||||
Market Neutral Real Estate Fund | 161,651 | — | 1,746,428 | (1,774,249 | ) | — | 133,830 | |||||||||||||||||
Risk Managed Real Estate Fund | 19,717,172 | 4,297,458 | 71,773,138 | (1,525,358 | ) | (1,679,584 | ) | 92,582,826 | ||||||||||||||||
Small Cap Value Fund | — | — | 1,183,726 | (98,850 | ) | — | 1,084,876 | |||||||||||||||||
StylePlus—Large Core Fund | 8,317,082 | 2,748,661 | 57,093,089 | — | — | 68,158,832 | ||||||||||||||||||
StylePlus—Mid Growth Fund | 4,024,318 | 1,771,212 | 22,551,895 | — | — | 28,347,425 | ||||||||||||||||||
World Equity Income Fund | 9,519,664 | 2,092,667 | 2,730,064 | — | — | 14,342,395 |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, capital loss carryforwards for the Funds were as follows:
Fund | Unlimited | |||||||||||
Short-Term | Long-Term | Total Capital Loss | ||||||||||
Alpha Opportunity Fund | $ | (21,015,911 | ) | $ | (6,942,980 | ) | $ | (27,958,891 | ) | |||
Market Neutral Real Estate Fund | (1,311,877 | ) | (462,372 | ) | (1,774,249 | ) | ||||||
Small Cap Value Fund | (50,848 | ) | (48,002 | ) | (98,850 | ) |
For the year ended September 30, 2021, the following capital loss carryforward amounts were utilized:
Fund | Utilized | |||
Alpha Opportunity Fund | $ | 693,363 | ||
StylePlus—Mid Growth Fund | 971,225 |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in partnerships and real estate investment trusts, foreign currency gains and losses, losses deferred due to wash sales, distributions in connection with redemption of fund shares, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of securities sold short, dividends payable, distribution reclasses, and the “mark-to-market” of certain derivatives. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 129 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following adjustments were made on the Statements of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:
Fund | Paid In | Total | ||||||
Large Cap Value Fund | $ | 208,331 | $ | (208,331 | ) | |||
Risk Managed Real Estate Fund | 3,440,869 | (3,440,869 | ) | |||||
Small Cap Value Fund | (20,075 | ) | 20,075 | |||||
StylePlus—Large Core Fund | 600,145 | (600,145 | ) | |||||
StylePlus—Mid Growth Fund | 494,377 | (494,377 | ) | |||||
World Equity Income Fund | 803,805 | (803,805 | ) |
At September 30, 2021, 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:
Fund | Tax | Tax | Tax | Net Tax | ||||||||||||
Alpha Opportunity Fund | $ | 35,410,455 | $ | 1,696,985 | $ | (1,454,042 | ) | $ | 242,943 | |||||||
Large Cap Value Fund | 30,307,691 | 9,767,855 | (557,255 | ) | 9,210,600 | |||||||||||
Market Neutral Real Estate Fund | 58,022,493 | 5,253,065 | (3,506,637 | ) | 1,746,428 | |||||||||||
Risk Managed Real Estate Fund | 391,193,428 | 80,425,336 | (8,652,198 | ) | 71,773,138 | |||||||||||
Small Cap Value Fund | 5,626,573 | 1,538,063 | (354,337 | ) | 1,183,726 | |||||||||||
StylePlus—Large Core Fund | 252,217,534 | 58,420,061 | (1,326,972 | ) | 57,093,089 | |||||||||||
StylePlus—Mid Growth Fund | 110,753,808 | 23,449,587 | (897,692 | ) | 22,551,895 | |||||||||||
World Equity Income Fund | 47,678,338 | 4,913,978 | (2,186,239 | ) | 2,727,739 |
Note 7 – Securities Transactions
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Alpha Opportunity Fund | $ | 62,907,100 | $ | 78,490,663 | ||||
Large Cap Value Fund | 6,790,228 | 10,140,488 | ||||||
Market Neutral Real Estate Fund | 121,196,832 | 116,083,278 | ||||||
Risk Managed Real Estate Fund | 359,907,736 | 329,605,742 | ||||||
Small Cap Value Fund | 1,832,030 | 2,924,113 | ||||||
StylePlus—Large Core Fund | 104,576,759 | 57,658,576 | ||||||
StylePlus—Mid Growth Fund | 65,091,236 | 45,820,400 | ||||||
World Equity Income Fund | 93,432,725 | 97,178,672 |
Note 8 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.
130 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2021.
On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.
Note 9 – Large Shareholder Risk
As of September 30, 2021, 70.9% of the Alpha Opportunity Fund (the “Fund”) was held by Guggenheim Macro Opportunities Fund. The Fund may experience adverse effects if a large number of shares of the Fund are held by a single shareholder (e.g., an institutional investor, financial intermediary or another GI Fund). The Fund is subject to the risk that a redemption by those shareholders of all or a large portion of the Fund could cause the Fund to liquidate its assets at inopportune times, or at a loss or depressed value, which could adversely impact the Fund’s performance and cause the value of a shareholder’s investment to decline. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization.
Note 10 – COVID-19
The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Note 11 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 131 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Guggenheim Alpha Opportunity Fund, Guggenheim Large Cap Value Fund, Guggenheim Market Neutral Real Estate Fund, Guggenheim Risk Managed Real Estate Fund, Guggenheim Small Cap Value Fund, Guggenheim StylePlus-Large Core Fund, Guggenheim StylePlus-Mid Growth Fund and Guggenheim World Equity Income Fund and the Board of Trustees of Guggenheim Funds Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Guggenheim Alpha Opportunity Fund, Guggenheim Large Cap Value Fund, Guggenheim Market Neutral Real Estate Fund, Guggenheim Risk Managed Real Estate Fund, Guggenheim Small Cap Value Fund, Guggenheim StylePlus-Large Core Fund, Guggenheim StylePlus-Mid Growth Fund and Guggenheim World Equity Income Fund (collectively referred to as the “Funds”) (eight of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedules of investments, as of September 30, 2021, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (eight of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2021
132 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2022, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2021.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
Fund | Qualified | Dividend | Qualified | Qualified | ||||||||||||
Alpha Opportunity Fund | 100.00 | % | 100.00 | % | 1.70 | % | 0.00 | % | ||||||||
Large Cap Value Fund | 100.00 | % | 100.00 | % | 0.34 | % | 0.00 | % | ||||||||
Market Neutral Real Estate Fund | 4.31 | % | 4.31 | % | 3.32 | % | 100.00 | % | ||||||||
Risk Managed Real Estate Fund | 3.80 | % | 3.84 | % | 0.45 | % | 100.00 | % | ||||||||
Small Cap Value Fund | 100.00 | % | 100.00 | % | 0.01 | % | 0.00 | % | ||||||||
StylePlus—Large Core Fund | 63.63 | % | 63.73 | % | 2.62 | % | 100.00 | % | ||||||||
StylePlus—Mid Growth Fund | 81.30 | % | 80.82 | % | 0.00 | % | 0.00 | % | ||||||||
World Equity Income Fund | 30.08 | % | 24.21 | % | 0.05 | % | 0.00 | % |
With respect to the taxable year ended September 30, 2021, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | From long-term | From long-term capital | ||||||
Large Cap Value Fund | $ | 1,316,580 | $ | 208,331 | ||||
Market Neutral Real Estate Fund | 28,095 | — | ||||||
Risk Managed Real Estate Fund | 8,296,994 | 3,230,171 | ||||||
StylePlus—Large Core Fund | 17,607,073 | 600,145 | ||||||
StylePlus—Mid Growth Fund | 13,397,661 | 494,377 | ||||||
World Equity Income Fund | 100,680 | 803,805 |
Final regulations dated June 24, 2020 enable a regulated investment company to pay Section 199A dividends to its shareholders. Section 199A, enacted as part of the Tax Cuts and Jobs Act of 2017, may allow non-corporate tax payers a deduction of up to 20% of qualified business income from flow-through entities, including dividends from real estate investment trusts. The qualifying percentage of the Fund’s ordinary income and short-term capital gain distributions, if any, for the purposes of the Section 199A deduction was 30.92% for Risk Managed Real Estate Fund and 44.49% for the Market Neutral Real Estate Fund.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 133 |
OTHER INFORMATION (Unaudited)(continued) |
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds’ voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/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.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● | Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”) | ● | Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”) |
● | Guggenheim Diversified Income Fund (“Diversified Income Fund”) | ● | Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”) |
● | Guggenheim High Yield Fund (“High Yield Fund”) | ● | Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”) |
● | Guggenheim Large Cap Value Fund (“Large Cap Value Fund”) | ● | Guggenheim Limited Duration Fund (“Limited Duration Fund”) |
● | Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”) | ● | Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”) |
● | Guggenheim Municipal Income Fund (“Municipal Income Fund”) | ● | Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”) |
● | Guggenheim Small Cap Value Fund (“Small Cap Value Fund”) | ● | Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”) |
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● | Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”) | ● | Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”) |
● | Guggenheim Total Return Bond Fund (“Total Return Bond Fund”) | ● | Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
● | Guggenheim World Equity Income Fund (“World Equity Income Fund”) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.4 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021. |
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(the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
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With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.5 As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market
5 | Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements. |
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views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.
Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense
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waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
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With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.
Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee)
Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). | 158 | Current: Purpose Investments Funds (2013-present). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). | 157 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 157 | Current: US Global Investors (GROW) (1995-present). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present). | 158 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). |
142 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Audit Committee) | Current: Retired. | 157 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: SSGA Master Trust (1) (2018-2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 157 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 143 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE |
|
|
|
| |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014 (Chief Legal Officer)
Since 2007 (Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
144 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Assistant Treasurer | Since 2014 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 145 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2014 | Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
146 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 147 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 149 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2021
Guggenheim Funds Annual Report
| ||
Guggenheim Diversified Income Fund | ||
Guggenheim High Yield Fund | ||
Guggenheim Core Bond Fund (formerly, Guggenheim Investment Grade Bond Fund) | ||
Guggenheim Municipal Income Fund |
GuggenheimInvestments.com | SBINC-ANN-0921x0922 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
DIVERSIFIED INCOME FUND | 9 |
HIGH YIELD FUND | 19 |
CORE BOND FUND | 41 |
MUNICIPAL INCOME FUND | 71 |
NOTES TO FINANCIAL STATEMENTS | 87 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 107 |
OTHER INFORMATION | 108 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 117 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 122 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 125 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2021 |
Dear Shareholder:
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the shareholder report for a selection of our Funds (the “Funds”) for the annual fiscal period ended September 30, 2021.
The Investment Advisers are part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Advisers.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC,
Guggenheim Partners Investment Management, LLC,
October 31, 2021
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.
COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2021 |
Diversified Income Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the fund to greater volatility. ● Derivatives may pose risks in addition to and greater than those associated with investing directly in securities or other investments, including risks relating to leverage, imperfect correlations with underlying investments or the fund’s other portfolio holdings, high price volatility, lack of availability, counterparty credit, liquidity, valuation and legal restrictions. ● Stock prices, especially stock prices of smaller companies, can be volatile as they reflect changes in the issuing company’s financial conditions and changes in the overall market ● Some asset-backed securities, including mortgage-backed securities, may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices very volatile and they are subject to liquidity risk.● The Fund’s investments in other investment vehicles subject the fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● Master limited partnerships (“MLPs”) are subject to certain risks inherent in the structure of MLPs, including tax risks, limited control and voting rights and potential conflicts of interest. MLPs that concentrate in a particular industry or a particular geographic region are subject to risks associated with such industry or region. ● The Fund’s investments in real estate securities subject the fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments and investment strategies, including investments in MLPs and certain investment vehicles, may be subject to special and complex federal income tax provisions that may adversely affect the fund and its distributions to shareholders. ● Leveraging will exaggerate the effect on NAV of any increase or decrease in the market value of the Fund’s portfolio. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
High Yield Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ●The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
Core Bond Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
Municipal Income Fund may not be suitable for all investors. ● The Fund will be significantly affected by events that affect the municipal bond market, which could include unfavorable legislative or political developments and adverse changes in the financial conditions of state and municipal issuers or the federal government in case it provides financial support to the municipality. Income from municipal bonds held by the Fund could be declared taxable because of changes in tax laws. The Fund may invest in securities that generate taxable income. A portion of the Fund’s otherwise tax-exempt dividends may be taxable to those shareholders subject to the alternative minimum tax. ● Certain sectors of the municipal bond market have special risks that can affect them more significantly than the market as a whole. Because many municipal instruments are issued to finance similar projects, conditions in these industries can significantly affect the Fund and the overall municipal market. ● Municipalities currently experience budget shortfalls, which could cause them to default on their debt and thus subject the Fund to unforeseen losses. ● Like other funds that hold bonds and other fixed-income investments, the Fund’s market value will change in response to interest rate changes and market conditions, among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high-yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ●Instruments and strategies (such as reverse repurchase agreements, unfunded commitments, tender option bonds, and borrowings) may expose the Fund to many of the same risks as investments in derivatives and may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2021 |
In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.
Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.
As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.
As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.
Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.
For the 12-month period ended September 30, 2021, the S&P 500® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2021 |
*Index Definitions
Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
Bloomberg Municipal Bond Index is a broad market performance benchmark for the tax-exempt bond market. The bonds included in this index must have a minimum credit rating of at least Baa.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization-weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
|
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Diversified Income Fund | |||||
A-Class | 0.77% | 4.41% | $ 1,000.00 | $ 1,044.10 | $ 3.95 |
C-Class | 1.51% | 4.01% | 1,000.00 | 1,040.10 | 7.72 |
P-Class | 0.76% | 4.45% | 1,000.00 | 1,044.50 | 3.90 |
Institutional Class | 0.52% | 4.54% | 1,000.00 | 1,045.40 | 2.67 |
High Yield Fund | |||||
A-Class | 1.04% | 4.21% | 1,000.00 | 1,042.10 | 5.32 |
C-Class | 1.88% | 3.74% | 1,000.00 | 1,037.40 | 9.60 |
P-Class | 1.15% | 4.13% | 1,000.00 | 1,041.30 | 5.88 |
Institutional Class | 0.84% | 4.26% | 1,000.00 | 1,042.60 | 4.30 |
R6-Class | 0.75% | 4.44% | 1,000.00 | 1,044.40 | 3.84 |
Core Bond Fund | |||||
A-Class | 0.79% | 3.11% | 1,000.00 | 1,031.10 | 4.02 |
C-Class | 1.54% | 2.74% | 1,000.00 | 1,027.40 | 7.83 |
P-Class | 0.79% | 3.11% | 1,000.00 | 1,031.10 | 4.02 |
Institutional Class | 0.50% | 3.27% | 1,000.00 | 1,032.70 | 2.55 |
Municipal Income Fund | |||||
A-Class | 0.80% | 0.99% | 1,000.00 | 1,009.90 | 4.03 |
C-Class | 1.55% | 0.62% | 1,000.00 | 1,006.20 | 7.80 |
P-Class | 0.80% | 0.92% | 1,000.00 | 1,009.20 | 4.03 |
Institutional Class | 0.55% | 1.12% | 1,000.00 | 1,011.20 | 2.77 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Diversified Income Fund | |||||
A-Class | 0.77% | 5.00% | $ 1,000.00 | $ 1,021.21 | $ 3.90 |
C-Class | 1.51% | 5.00% | 1,000.00 | 1,017.50 | 7.64 |
P-Class | 0.76% | 5.00% | 1,000.00 | 1,021.26 | 3.85 |
Institutional Class | 0.52% | 5.00% | 1,000.00 | 1,022.46 | 2.64 |
High Yield Fund | |||||
A-Class | 1.04% | 5.00% | 1,000.00 | 1,019.85 | 5.27 |
C-Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 |
P-Class | 1.15% | 5.00% | 1,000.00 | 1,019.30 | 5.82 |
Institutional Class | 0.84% | 5.00% | 1,000.00 | 1,020.86 | 4.26 |
R6-Class | 0.75% | 5.00% | 1,000.00 | 1,021.31 | 3.80 |
Core Bond Fund | |||||
A-Class | 0.79% | 5.00% | 1,000.00 | 1,021.11 | 4.00 |
C-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
P-Class | 0.79% | 5.00% | 1,000.00 | 1,021.11 | 4.00 |
Institutional Class | 0.50% | 5.00% | 1,000.00 | 1,022.56 | 2.54 |
Municipal Income Fund | |||||
A-Class | 0.80% | 5.00% | 1,000.00 | 1,021.06 | 4.05 |
C-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
P-Class | 0.80% | 5.00% | 1,000.00 | 1,021.06 | 4.05 |
Institutional Class | 0.55% | 5.00% | 1,000.00 | 1,022.31 | 2.79 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the period would be: |
| A-Class | C-Class | P-Class | Institutional | R6-Class | |
Diversified Income Fund | 0.76% | 1.50% | 0.76% | 0.51% | N/A | |
High Yield Fund | 1.02% | 1.86% | 1.13% | 0.82% | 0.73% | |
Core Bond Fund | 0.78% | 1.53% | 0.78% | 0.49% | N/A | |
Municipal Income Fund | 0.79% | 1.54% | 0.79% | 0.54% | N/A |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim Diversified Income Fund (the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities; and Patrick Mitchell, Senior Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the Fund’s performance for the fiscal year ended September 30, 2021.
Investment Approach
The Fund seeks to achieve high current income with consideration for capital appreciation and offers a diversified global portfolio with exposure across multiple asset classes. The Fund utilizes a diverse set of alternative income sources from a broad investment universe that expands the traditional income landscape to include sources such as bank loans, equity REITs, infrastructure-related equities, and closed-end funds. The Fund also employs dynamic portfolio management that seeks to adapt to changing market conditions in order to produce attractive current income, while managing unintended risks and equity volatility.
Performance Review and Positioning
For the one year period ended September 30, 2021, Guggenheim Diversified Income Fund returned 16.10%1, compared with the -0.90% return of the Bloomberg U.S. Aggregate Bond Index. A 70/30 blend of the Bloomberg U.S. Aggregate Bond Index and MSCI World Index, the Fund’s secondary benchmark, returned 7.39%.
The twelve month trailing distribution yield for Class A shares was 2.97% and the subsidized SEC 30-day yield was 2.06% for Class A shares. The SEC 30-day yield is based on net investment income for the 30 day period ended September 30, 2021, is annualized, and is divided by the maximum offering price at month-end.
Both the core fixed income exposure and equity exposure contributed to performance. The core fixed income holdings benefited most from the performance of out-of-benchmark holdings in REITs, closed end funds, high yield, and bank loans, as these sectors outperformed the blended benchmark return.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
DIVERSIFIED INCOME FUND
OBJECTIVE: Seeks to achieve high current income with consideration for capital appreciation.
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 Ultra Short Duration Fund.
Inception Dates: | |
A-Class | January 29, 2016 |
C-Class | January 29, 2016 |
P-Class | January 29, 2016 |
Institutional Class | January 29, 2016 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim High Yield Fund — R6-Class | 24.9% |
Guggenheim RBP Large-Cap Market Fund — Institutional Class | 17.5% |
Guggenheim Floating Rate Strategies Fund — R6-Class | 10.0% |
Guggenheim Core Bond Fund — Institutional Class | 9.9% |
Guggenheim RBP Dividend Fund — Institutional Class | 9.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.0% |
Guggenheim World Equity Income Fund — Institutional Class | 4.9% |
Guggenheim Risk Managed Real Estate Fund — Institutional Class | 4.7% |
Virtus AllianzGI Diversified Income & Convertible Fund | 0.4% |
Calamos Convertible Opportunities and Income Fund | 0.4% |
Top Ten Total | 86.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | Since |
A-Class Shares | 16.10% | 5.03% | 6.41% |
A-Class Shares with sales charge‡ | 11.47% | 4.18% | 5.65% |
C-Class Shares | 15.24% | 4.25% | 5.62% |
C-Class Shares with CDSC§ | 14.24% | 4.25% | 5.62% |
P-Class Shares | 16.12% | 5.03% | 6.41% |
Institutional Class Shares | 16.40% | 5.29% | 6.67% |
Bloomberg U.S. Aggregate Bond Index | (0.90%) | 2.94% | 3.36% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to differences in fee structures. |
‡ | Fund returns are calculated using the maximum sales charge of 4.00%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
DIVERSIFIED INCOME FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 86.0% | ||||||||
Guggenheim High Yield Fund — R6-Class1 | 174,902 | $ | 1,918,674 | |||||
Guggenheim RBP Large-Cap Market Fund — Institutional Class1 | 93,939 | 1,348,962 | ||||||
Guggenheim Floating Rate Strategies Fund — R6-Class1 | 30,521 | 766,388 | ||||||
Guggenheim Core Bond Fund — Institutional Class1 | 38,249 | 766,128 | ||||||
Guggenheim RBP Dividend Fund — Institutional Class1 | 49,546 | 700,580 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 38,399 | 382,840 | ||||||
Guggenheim World Equity Income Fund — Institutional Class1 | 20,333 | 378,399 | ||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class1 | 9,656 | 360,541 | ||||||
Total Mutual Funds | ||||||||
(Cost $5,964,244) | 6,622,512 | |||||||
CLOSED-END FUNDS† - 11.2% | ||||||||
Virtus AllianzGI Diversified Income & Convertible Fund | 904 | 30,628 | ||||||
Calamos Convertible Opportunities and Income Fund | 1,944 | 29,102 | ||||||
John Hancock Premium Dividend Fund | 1,750 | 29,085 | ||||||
First Trust Energy Income and Growth Fund | 2,100 | 28,476 | ||||||
Royce Value Trust, Inc. | 1,500 | 27,030 | ||||||
Neuberger Berman High Yield Strategies Fund, Inc. | 2,113 | 26,772 | ||||||
Eaton Vance Tax-Advantaged Dividend Income Fund | 962 | 26,407 | ||||||
Western Asset High Income Fund II, Inc. | 3,448 | 24,688 | ||||||
Eaton Vance Enhanced Equity Income Fund II | 1,058 | 24,567 | ||||||
BlackRock Enhanced Equity Dividend Trust | 2,500 | 24,500 | ||||||
Ares Dynamic Credit Allocation Fund, Inc. | 1,500 | 24,285 | ||||||
Cohen & Steers REIT and Preferred and Income Fund, Inc. | 940 | 24,111 | ||||||
Invesco High Income Trust II | 1,650 | 24,090 | ||||||
John Hancock Investors Trust | 1,278 | 23,848 | ||||||
Eaton Vance Tax-Managed Buy-Write Opportunities Fund | 1,470 | 23,505 | ||||||
John Hancock Preferred Income Fund | 1,050 | 22,575 | ||||||
Western Asset Mortgage Opportunity Fund, Inc. | 1,450 | 22,417 | ||||||
Eaton Vance Tax-Managed Buy-Write Income Fund | 1,400 | 22,414 | ||||||
Pioneer High Income Fund, Inc. | 2,284 | 22,292 | ||||||
PIMCO High Income Fund | 3,500 | 21,980 | ||||||
Western Asset Premier Bond Fund | 1,529 | 21,589 | ||||||
PIMCO Dynamic Income Opportunities Fund | 1,000 | 20,980 | ||||||
KKR Income Opportunities Fund | 1,274 | 20,868 | ||||||
BlackRock Credit Allocation Income Trust | 1,355 | 20,528 | ||||||
BlackRock Limited Duration Income Trust | 1,200 | 20,508 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 1,505 | 20,468 | ||||||
ClearBridge MLP & Midstream Total Return Fund, Inc. | 850 | 20,400 | ||||||
PGIM High Yield Bond Fund, Inc. | 1,242 | 20,170 | ||||||
Western Asset Global Corporate Defined Opportunity Fund, Inc. | 1,108 | 19,977 | ||||||
DoubleLine Income Solutions Fund | 1,123 | 19,944 | ||||||
John Hancock Income Securities Trust | 1,250 | 19,838 | ||||||
Eaton Vance Limited Duration Income Fund | 1,500 | 19,770 | ||||||
Reaves Utility Income Fund | 600 | 19,662 | ||||||
Blackstone Strategic Credit Fund | 1,419 | 19,653 | ||||||
Apollo Senior Floating Rate Fund, Inc. | 1,224 | 19,339 | ||||||
Voya Infrastructure Industrials and Materials Fund | 1,500 | 18,840 | ||||||
PIMCO Dynamic Income Fund | 695 | 18,473 | ||||||
Delaware Ivy High Income Opportunities Fund | 1,308 | 17,880 | ||||||
Total Closed-End Funds | ||||||||
(Cost $705,704) | 861,659 | |||||||
MONEY MARKET FUND† - 1.4% | ||||||||
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.01%2 | 104,967 | 104,967 | ||||||
Total Money Market Fund | ||||||||
(Cost $104,967) | 104,967 | |||||||
Total Investments - 98.6% | ||||||||
(Cost $6,774,915) | $ | 7,589,138 | ||||||
Other Assets & Liabilities, net - 1.4% | 106,395 | |||||||
Total Net Assets - 100.0% | $ | 7,695,533 |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of September 30, 2021. |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
DIVERSIFIED INCOME FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 6,622,512 | $ | — | $ | — | $ | 6,622,512 | ||||||||
Closed-End Funds | 861,659 | — | — | 861,659 | ||||||||||||
Money Market Fund | 104,967 | — | — | 104,967 | ||||||||||||
Total Assets | $ | 7,589,138 | $ | — | $ | — | $ | 7,589,138 |
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 (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | Capital Gain | |||||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||||||
Guggenheim Floating Rate Strategies Fund — R6-Class | $ | 1,051,568 | $ | 336,479 | $ | (675,275 | ) | $ | (12,625 | ) | $ | 66,241 | $ | 766,388 | 30,521 | $ | 41,294 | $ | — | |||||||||||||||||
Guggenheim High Yield Fund — R6-Class | 1,501,803 | 809,471 | (486,991 | ) | (3,011 | ) | 97,402 | 1,918,674 | 174,902 | 88,685 | — | |||||||||||||||||||||||||
Guggenheim Core Bond Fund — Institutional Class | 1,312,112 | 446,941 | (959,947 | ) | 38,480 | (71,458 | ) | 766,128 | 38,249 | 27,310 | 27,120 | |||||||||||||||||||||||||
Guggenheim RBP Dividend Fund — Institutional Class | 614,550 | 309,550 | (502,989 | ) | 85,752 | 193,717 | 700,580 | 49,546 | 29,562 | — | ||||||||||||||||||||||||||
Guggenheim RBP Large-Cap Market Fund — Institutional Class | — | 1,327,842 | — | — | 21,120 | 1,348,962 | 93,939 | — | — | |||||||||||||||||||||||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class | 625,585 | 53,880 | (469,451 | ) | 86,282 | 64,245 | 360,541 | 9,656 | 10,526 | 35,865 | ||||||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 343,979 | 342,105 | (302,876 | ) | 4,925 | (5,293 | ) | 382,840 | 38,399 | 2,107 | — | |||||||||||||||||||||||||
Guggenheim World Equity Income Fund — Institutional Class | 307,075 | 41,324 | (44,854 | ) | 13,071 | 61,783 | 378,399 | 20,333 | 7,836 | — | ||||||||||||||||||||||||||
$ | 5,756,672 | $ | 3,667,592 | $ | (3,442,383 | ) | $ | 212,874 | $ | 427,757 | $ | 6,622,512 | $ | 207,320 | $ | 62,985 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
DIVERSIFIED INCOME FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $810,671) | $ | 966,626 | ||
Investments in affiliated issuers, at value (cost $5,964,244) | 6,622,512 | |||
Prepaid expenses | 25,361 | |||
Receivables: | ||||
Securities sold | 176,878 | |||
Dividends | 20,364 | |||
Investment Adviser | 14,536 | |||
Total assets | 7,826,277 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 89,324 | |||
Professional fees | 27,681 | |||
Fund accounting/administration fees | 5,793 | |||
Transfer agent/maintenance fees | 2,222 | |||
Trustees’ fees* | 1,745 | |||
Distribution and service fees | 309 | |||
Fund shares redeemed | 53 | |||
Miscellaneous | 3,617 | |||
Total liabilities | 130,744 | |||
Net assets | $ | 7,695,533 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,928,844 | ||
Total distributable earnings (loss) | 766,689 | |||
Net assets | $ | 7,695,533 | ||
A-Class: | ||||
Net assets | $ | 339,893 | ||
Capital shares outstanding | 11,949 | |||
Net asset value per share | $ | 28.45 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 29.64 | ||
C-Class: | ||||
Net assets | $ | 253,769 | ||
Capital shares outstanding | 8,947 | |||
Net asset value per share | $ | 28.36 | ||
P-Class: | ||||
Net assets | $ | 151,514 | ||
Capital shares outstanding | 5,330 | |||
Net asset value per share | $ | 28.43 | ||
Institutional Class: | ||||
Net assets | $ | 6,950,357 | ||
Capital shares outstanding | 244,386 | |||
Net asset value per share | $ | 28.44 |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 42,950 | ||
Dividends from securities of affiliated issuers | 207,320 | |||
Interest | 5 | |||
Total investment income | 250,275 | |||
Expenses: | ||||
Management fees | 54,840 | |||
Distribution and service fees: | ||||
A-Class | 771 | |||
C-Class | 2,240 | |||
P-Class | 355 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 1,445 | |||
C-Class | 1,066 | |||
P-Class | 653 | |||
Institutional Class | 22,441 | |||
Registration fees | 77,994 | |||
Professional fees | 35,811 | |||
Fund accounting/administration fees | 33,711 | |||
Trustees’ fees* | 17,181 | |||
Custodian fees | 9,110 | |||
Tax expense | 921 | |||
Line of credit fees | 339 | |||
Miscellaneous | 5,057 | |||
Total expenses | 263,935 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (5,709 | ) | ||
C-Class | (4,203 | ) | ||
P-Class | (2,643 | ) | ||
Institutional Class | (115,185 | ) | ||
Expenses waived by Adviser | (93,850 | ) | ||
Total waived/reimbursed expenses | (221,590 | ) | ||
Net expenses | 42,345 | |||
Net investment income | 207,930 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 25,772 | |||
Investments in affiliated issuers | 212,874 | |||
Distributions received from affiliated investment companies | 62,985 | |||
Net realized gain | 301,631 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 135,230 | |||
Investments in affiliated issuers | 427,757 | |||
Net change in unrealized appreciation (depreciation) | 562,987 | |||
Net realized and unrealized gain | 864,618 | |||
Net increase in net assets resulting from operations | $ | 1,072,548 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DIVERSIFIED INCOME FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 207,930 | $ | 225,886 | ||||
Net realized gain (loss) on investments | 301,631 | (347,868 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 562,987 | (129,464 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,072,548 | (251,446 | ) | |||||
Distributions to shareholders: | ||||||||
A-Class | (9,389 | ) | (9,360 | ) | ||||
C-Class | (5,154 | ) | (14,474 | ) | ||||
P-Class | (4,350 | ) | (4,452 | ) | ||||
Institutional Class | (219,556 | ) | (223,499 | ) | ||||
Total distributions to shareholders | (238,449 | ) | (251,785 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 76,986 | 8,040 | ||||||
C-Class | 34,067 | 93,138 | ||||||
P-Class | 7,814 | 1,813 | ||||||
Institutional Class | 53,000 | 44,460 | ||||||
Distributions reinvested | ||||||||
A-Class | 9,389 | 9,360 | ||||||
C-Class | 5,154 | 14,474 | ||||||
P-Class | 4,350 | 4,452 | ||||||
Institutional Class | 219,556 | 223,499 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (48,400 | ) | (10,391 | ) | ||||
C-Class | (7,025 | ) | (648,757 | ) | ||||
P-Class | (4,588 | ) | (1,269 | ) | ||||
Institutional Class | (45,672 | ) | (69,589 | ) | ||||
Net increase (decrease) from capital share transactions | 304,631 | (330,770 | ) | |||||
Net increase (decrease) in net assets | 1,138,730 | (834,001 | ) | |||||
Net assets: | ||||||||
Beginning of year | 6,556,803 | 7,390,804 | ||||||
End of year | $ | 7,695,533 | $ | 6,556,803 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 2,729 | 299 | ||||||
C-Class | 1,197 | 3,804 | ||||||
P-Class | 276 | 72 | ||||||
Institutional Class | 1,849 | 1,735 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 341 | 362 | ||||||
C-Class | 189 | 547 | ||||||
P-Class | 159 | 173 | ||||||
Institutional Class | 7,993 | 8,661 | ||||||
Shares redeemed | ||||||||
A-Class | (1,686 | ) | (387 | ) | ||||
C-Class | (249 | ) | (26,782 | ) | ||||
P-Class | (167 | ) | (51 | ) | ||||
Institutional Class | (1,603 | ) | (2,776 | ) | ||||
Net increase (decrease) in shares | 11,028 | (14,343 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
DIVERSIFIED INCOME FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.27 | $ | 26.99 | $ | 26.70 | $ | 27.58 | $ | 27.12 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .73 | .81 | .86 | .91 | .96 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.30 | (1.63 | ) | .50 | (.70 | ) | .89 | |||||||||||||
Total from investment operations | 4.03 | (.82 | ) | 1.36 | .21 | 1.85 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.85 | ) | (.81 | ) | (.77 | ) | (.90 | ) | (.95 | ) | ||||||||||
Net realized gains | — | (.09 | ) | (.30 | ) | (.19 | ) | (.44 | ) | |||||||||||
Total distributions | (.85 | ) | (.90 | ) | (1.07 | ) | (1.09 | ) | (1.39 | ) | ||||||||||
Net asset value, end of period | $ | 28.45 | $ | 25.27 | $ | 26.99 | $ | 26.70 | $ | 27.58 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 16.10 | % | (3.06 | %) | 5.31 | % | 0.78 | % | 7.00 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 340 | $ | 267 | $ | 278 | $ | 141 | $ | 138 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.64 | % | 3.14 | % | 3.26 | % | 3.37 | % | 3.53 | % | ||||||||||
Total expensesc | 3.92 | % | 4.24 | % | 4.03 | % | 4.83 | % | 4.16 | % | ||||||||||
Net expensesd,e,f | 0.78 | % | 0.83 | % | 0.85 | % | 0.84 | % | 0.85 | % | ||||||||||
Portfolio turnover rate | 50 | % | 66 | % | 58 | % | 37 | % | 44 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.19 | $ | 27.00 | $ | 26.69 | $ | 27.56 | $ | 27.11 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .52 | .60 | .69 | .71 | .76 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.29 | (1.62 | ) | .46 | (.69 | ) | .87 | |||||||||||||
Total from investment operations | 3.81 | (1.02 | ) | 1.15 | .02 | 1.63 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.64 | ) | (.70 | ) | (.54 | ) | (.70 | ) | (.74 | ) | ||||||||||
Net realized gains | — | (.09 | ) | (.30 | ) | (.19 | ) | (.44 | ) | |||||||||||
Total distributions | (.64 | ) | (.79 | ) | (.84 | ) | (.89 | ) | (1.18 | ) | ||||||||||
Net asset value, end of period | $ | 28.36 | $ | 25.19 | $ | 27.00 | $ | 26.69 | $ | 27.56 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 15.24 | % | (3.77 | %) | 4.50 | % | 0.08 | % | 6.17 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 254 | $ | 197 | $ | 816 | $ | 145 | $ | 137 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.89 | % | 2.26 | % | 2.59 | % | 2.63 | % | 2.78 | % | ||||||||||
Total expensesc | 4.68 | % | 4.86 | % | 4.74 | % | 5.65 | % | 5.13 | % | ||||||||||
Net expensesd,e,f | 1.52 | % | 1.58 | % | 1.59 | % | 1.59 | % | 1.60 | % | ||||||||||
Portfolio turnover rate | 50 | % | 66 | % | 58 | % | 37 | % | 44 | % |
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DIVERSIFIED INCOME FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.25 | $ | 26.97 | $ | 26.70 | $ | 27.58 | $ | 27.11 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .73 | .81 | .85 | .91 | .95 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.30 | (1.63 | ) | .51 | (.70 | ) | .89 | |||||||||||||
Total from investment operations | 4.03 | (.82 | ) | 1.36 | .21 | 1.84 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.85 | ) | (.81 | ) | (.79 | ) | (.90 | ) | (.93 | ) | ||||||||||
Net realized gains | — | (.09 | ) | (.30 | ) | (.19 | ) | (.44 | ) | |||||||||||
Total distributions | (.85 | ) | (.90 | ) | (1.09 | ) | (1.09 | ) | (1.37 | ) | ||||||||||
Net asset value, end of period | $ | 28.43 | $ | 25.25 | $ | 26.97 | $ | 26.70 | $ | 27.58 | ||||||||||
| ||||||||||||||||||||
Total Return | 16.12 | % | (3.03 | %) | 5.23 | % | 0.82 | % | 7.00 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 152 | $ | 128 | $ | 131 | $ | 125 | $ | 123 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.64 | % | 3.14 | % | 3.22 | % | 3.37 | % | 3.51 | % | ||||||||||
Total expensesc | 3.92 | % | 4.19 | % | 3.97 | % | 4.82 | % | 4.23 | % | ||||||||||
Net expensesd,e,f | 0.78 | % | 0.83 | % | 0.85 | % | 0.84 | % | 0.85 | % | ||||||||||
Portfolio turnover rate | 50 | % | 66 | % | 58 | % | 37 | % | 44 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
DIVERSIFIED INCOME FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.26 | $ | 26.98 | $ | 26.72 | $ | 27.59 | $ | 27.11 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .80 | .87 | .92 | .98 | 1.03 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.30 | (1.63 | ) | .49 | (.70 | ) | .89 | |||||||||||||
Total from investment operations | 4.10 | (.76 | ) | 1.41 | .28 | 1.92 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.92 | ) | (.87 | ) | (.85 | ) | (.96 | ) | (1.00 | ) | ||||||||||
Net realized gains | — | (.09 | ) | (.30 | ) | (.19 | ) | (.44 | ) | |||||||||||
Total distributions | (.92 | ) | (.96 | ) | (1.15 | ) | (1.15 | ) | (1.44 | ) | ||||||||||
Net asset value, end of period | $ | 28.44 | $ | 25.26 | $ | 26.98 | $ | 26.72 | $ | 27.59 | ||||||||||
| ||||||||||||||||||||
Total Return | 16.40 | % | (2.82 | %) | 5.52 | % | 1.06 | % | 7.30 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,950 | $ | 5,965 | $ | 6,165 | $ | 5,757 | $ | 5,619 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.89 | % | 3.39 | % | 3.47 | % | 3.62 | % | 3.78 | % | ||||||||||
Total expensesc | 3.55 | % | 3.78 | % | 3.58 | % | 4.42 | % | 3.83 | % | ||||||||||
Net expensesd,e,f | 0.53 | % | 0.58 | % | 0.60 | % | 0.60 | % | 0.59 | % | ||||||||||
Portfolio turnover rate | 50 | % | 66 | % | 58 | % | 37 | % | 44 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | — | — | — | — | 0.19% | |
C-Class | — | 0.00%* | — | — | 0.19% | |
P-Class | — | 0.00%* | — | — | 0.16% | |
Institutional Class | — | 0.00%* | — | — | 0.16% |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 0.77% | 0.82% | 0.85% | 0.84% | 0.82% | |
C-Class | 1.51% | 1.57% | 1.59% | 1.58% | 1.57% | |
P-Class | 0.77% | 0.82% | 0.85% | 0.84% | 0.82% | |
Institutional Class | 0.52% | 0.57% | 0.60% | 0.59% | 0.57% |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim High Yield Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Thomas J. Hauser, Senior Managing Director and Portfolio Manager; and Richard de Wet, Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.
Investment Approach
The Fund seeks to deliver high current income. Capital appreciation is a secondary objective. The Fund’s strategy offers the flexibility to invest across a broad array of high yield securities including corporate bonds, syndicated bank loans, mortgage-backed and asset-backed securities and convertible securities and access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance. An allocation to high yield securities may provide additional diversification (though, diversification neither assures a profit nor eliminates the risk of experiencing investment losses) along with higher income and return potential. Investors should note, high yield, below investment grade, and unrated high-risk debt securities may present additional risk because these securities may be less liquid and present more credit risk than investment grade bonds.
Performance Review and Positioning
For the one-year period ended September 30, 2021, Guggenheim High Yield Bond Fund returned 11.02%1, compared to 11.28% return of its benchmark, the Bloomberg U.S. Corporate High Yield Index.
The high yield market rallied over the period, with twelve consecutive months of positive returns. The unprecedented and ongoing policy response to COVID-19 has accelerated the progression of the credit cycle, but we believe we are still in its early stages characterized by strong earnings growth, low default volumes, upward ratings migration, and tight spreads. However, near-term downside risks emerged towards the end of the period with the spread of the Delta variant globally and increasing concerns about inflation and volatility around possible Federal Reserve tapering.
New high-yield issuance totaled $410 billion for the first nine months of 2021, 17% ahead of the same period last year. Two-thirds of this year’s new issuance was for refinancing existing debt. The new issue market remains ahead of last year’s pace, primarily due to the strong issuance in the first quarter. High-yield mutual funds and ETFs have experienced outflows of $14.9 billion through the first nine months of 2021, compared with inflows of $30 billion during the same period in 2020.
Calendar year-to-date performance in high yield is positive across industries with Energy continuing to be the top performer amid rising commodity prices. CCCs have outperformed, doubling the returns of BBs and Bs with most of outperformance occurring in the first and second quarters. According to Bank of America Merrill Lynch research, the 12-month trailing par-weighted high-yield default rate fell to 1.3% as of the end of the period. Rating upgrades exceeded downgrades in the quarter as corporate balance sheets recover amid an improved economic backdrop. Easy lending and improving fundamentals continue to support expectations of low default activity.
The Fund invests in non-U.S. dollar denominated assets when the risk-return profile is favorable. The Fund entered forward foreign currency exchange contracts to hedge exchange rate risk for non-U.S. dollar denominated positions which had a negligible impact to performance. Non-U.S. dollar denominated assets comprise less than 2% of the Fund.
The Fund performed in-line with the market over the period even as the asset class overall produced very strong returns. A small exposure to equity as well as derivative exposure in the form of total return swaps on high yield ETFs contributed to performance. The Fund produced strong relative returns in the Communications and Consumer Non-Cyclical Sectors. A sizable underweight and conservative positioning within the Energy Sector detracted dramatically in an environment in which Energy as the top performing sector generated nearly double the returns of the next highest sector. Credit selection within CCC rated credit more than offset an underweight to this more risky part of the market, with the issues of these more highly levered companies generating outsized returns.
Even as high yield market fundamentals are strong and improving, we have become more cautious amidst the market rally. As spreads to Treasuries have narrowed to within range of historical tights, there is a greater concern in fixed income markets (including in high yield) around interest rate risk rather than credit risk. With rates on the rise, we expect incremental new issuance to put pressure on secondary pricing in the near-term. Non-corporate fundamental factors like interest rates, net new issuance, and market flows will likely dictate near term performance though none of these factors appear to be of imminent concern.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
The hunt for yield is likely to continue amid low prevailing global yields. While the level of distressed assets in the market has come down markedly, we still believe avoiding defaults will be important in achieving performance over the medium to longer term. As such, we continue to avoid highly levered industries and companies with heavy capital expenditure needs that can impair cash flow. Companies with recurring revenue streams, strong cash flows, and high-quality margins remain the focus in the current environment.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
HIGH YIELD FUND
OBJECTIVE: Seeks high current income. Capital appreciation is a secondary objective.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 0.4% |
A | 0.2% |
BBB | 7.0% |
BB | 47.0% |
B | 30.5% |
CCC | 4.5% |
NR2 | 1.7% |
Other Instruments | 8.7% |
Total Investments | 100.0% |
Inception Dates: | |
A-Class | August 5, 1996 |
C-Class | May 1, 2000 |
P-Class | May 1, 2015 |
Institutional Class | July 11, 2008 |
R6-Class | May 15, 2017 |
Ten Largest Holdings (% of Total Net Assets) | |
LBC Tank Terminals Holding Netherlands BV, 6.88% | 1.3% |
Hunt Companies, Inc., 5.25% | 1.2% |
FAGE International S.A. / FAGE USA Dairy Industry, Inc., 5.63% | 1.1% |
Jefferies Finance LLC / JFIN Company-Issuer Corp., 5.00% | 1.1% |
Artera Services LLC, 9.03% | 0.9% |
Howmet Aerospace, Inc., 5.95% | 0.9% |
Cheplapharm Arzneimittel GmbH, 5.50% | 0.8% |
UPC Broadband Finco BV, 4.88% | 0.8% |
Bausch Health Companies, Inc., 4.88% | 0.8% |
Harsco Corp., 5.75% | 0.8% |
Top Ten Total | 9.7% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR (not rated) securities do not necessarily indicate low credit quality. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 11.02% | 5.52% | 7.20% |
A-Class Shares with sales charge‡ | 6.60% | 4.65% | 6.69% |
C-Class Shares | 10.04% | 4.71% | 6.38% |
C-Class Shares with CDSC§ | 9.04% | 4.71% | 6.38% |
Institutional Class Shares | 11.14% | 5.78% | 7.47% |
Bloomberg U.S. Corporate High Yield Index | 11.28% | 6.52% | 7.42% |
| 1 Year | 5 Year | Since |
P-Class Shares | 10.80% | 5.48% | 5.23% |
Bloomberg U.S. Corporate High Yield Index | 11.28% | 6.52% | 5.99% |
| 1 Year | Since |
R6-Class Shares | 11.35% | 5.14% |
Bloomberg U.S. Corporate High Yield Index | 11.28% | 6.04% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class and R6-Class shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 2, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
HIGH YIELD FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 2.4% | ||||||||
Financial - 0.9% | ||||||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 142,310 | $ | 1,387,522 | |||||
TPG Pace Solutions Corp.*,1 | 117,451 | 1,180,383 | ||||||
TPG Pace Beneficial II Corp.*,1 | 45,512 | 445,562 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 38,845 | 376,020 | ||||||
RXR Acquisition Corp. — Class A*,1 | 1,299 | 12,626 | ||||||
Colicity, Inc. — Class A*,1 | 946 | 9,242 | ||||||
MSD Acquisition Corp. — Class A*,1 | 721 | 6,994 | ||||||
Colicity, Inc.*,1 | 404 | 4,008 | ||||||
Jefferies Financial Group, Inc. | 81 | 3,008 | ||||||
RXR Acquisition Corp.*,1 | 107 | 1,054 | ||||||
Total Financial | 3,426,419 | |||||||
Energy - 0.5% | ||||||||
Unit Corp.*,†† | 59,660 | 1,819,630 | ||||||
Permian Production Partners LLC††† | 57,028 | 72,426 | ||||||
Legacy Reserves, Inc.*,††† | 3,452 | 19,849 | ||||||
Bruin E&P Partnership Units††† | 44,023 | 2,289 | ||||||
Total Energy | 1,914,194 | |||||||
Consumer, Non-cyclical - 0.5% | ||||||||
ATD New Holdings, Inc.*,†† | 21,488 | 1,471,928 | ||||||
Save-A-Lot*,††† | 17,185 | 85,927 | ||||||
Cengage Learning Holdings II, Inc.*,†† | 2,107 | 46,354 | ||||||
Targus Group International Equity, Inc.*,†††,2 | 12,825 | 31,234 | ||||||
Chef Holdings, Inc.††† | 49 | 2,522 | ||||||
Spectrum Brands Holdings, Inc. | 2 | 191 | ||||||
Crimson Wine Group Ltd.* | 8 | 69 | ||||||
Total Consumer, Non-cyclical | 1,638,225 | |||||||
Utilities - 0.3% | ||||||||
TexGen Power LLC†† | 26,665 | 1,079,932 | ||||||
Consumer, Cyclical - 0.2% | ||||||||
Metro-Goldwyn-Mayer, Inc.*,†† | 7,040 | 921,804 | ||||||
Industrial - 0.0% | ||||||||
BP Holdco LLC*,†††,2 | 23,711 | 16,716 | ||||||
Vector Phoenix Holdings, LP*,††† | 23,711 | 6,521 | ||||||
Total Industrial | 23,237 | |||||||
Total Common Stocks | ||||||||
(Cost $6,288,864) | 9,003,811 | |||||||
PREFERRED STOCKS†† - 3.9% | ||||||||
Financial - 3.9% | ||||||||
Wells Fargo & Co., 4.38% | 74,000 | 1,887,000 | ||||||
JPMorgan Chase & Co., 4.55% | 72,000 | 1,879,200 | ||||||
Bank of America Corp., 4.38% | 57,000 | 1,501,950 | ||||||
American Equity Investment Life Holding Co., 5.95% | 54,000 | 1,476,360 | ||||||
Arch Capital Group Ltd., 4.55% | 55,000 | 1,441,000 | ||||||
JPMorgan Chase & Co., 4.20%* | 55,000 | 1,388,750 | ||||||
First Republic Bank, 4.13% | 53,000 | 1,324,470 | ||||||
Bank of America Corp., 4.13% | 40,000 | 1,028,400 | ||||||
JPMorgan Chase & Co., 4.63% | 34,000 | 897,600 | ||||||
Assurant, Inc., 5.25% due 01/15/61 | 30,000 | 810,600 | ||||||
RenaissanceRe Holdings Ltd., 4.20% | 18,000 | 448,200 | ||||||
Globe Life, Inc., 4.25% due 06/15/61 | 16,000 | 407,520 | ||||||
Total Financial | 14,491,050 | |||||||
Industrial - 0.0% | ||||||||
U.S. Shipping Corp.*,††† | 14,718 | — | ||||||
Total Preferred Stocks | ||||||||
(Cost $14,325,000) | 14,491,050 | |||||||
WARRANTS† - 0.0% | ||||||||
KKR Acquisition Holdings I Corp. - Class A | ||||||||
Expiring 12/31/27*,1 | 35,577 | 34,150 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/26*,1 | 12,947 | 11,911 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 257 | 193 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/23*,1 | 143 | 165 | ||||||
Colicity, Inc. - Class A | ||||||||
Expiring 12/31/27*,1 | 187 | 155 | ||||||
SandRidge Energy, Inc. | ||||||||
Expiring 10/04/22*,†† | 505 | 23 | ||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 12/31/27* | 4 | 14 | ||||||
SandRidge Energy, Inc. | ||||||||
Expiring 10/04/22* | 212 | 8 | ||||||
Total Warrants | ||||||||
(Cost $92,317) | 46,619 | |||||||
MONEY MARKET FUND† - 2.7% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3 | 10,171,972 | 10,171,972 | ||||||
Total Money Market Fund | ||||||||
(Cost $10,171,972) | 10,171,972 | |||||||
Face | ||||||||
CORPORATE BONDS†† - 81.0% | ||||||||
Consumer, Non-cyclical - 18.1% | ||||||||
Kraft Heinz Foods Co. | ||||||||
5.00% due 06/04/42 | 2,075,000 | 2,543,979 | ||||||
4.88% due 10/01/49 | 1,400,000 | 1,703,742 | ||||||
4.38% due 06/01/46 | 1,200,000 | 1,365,234 | ||||||
5.20% due 07/15/45 | 325,000 | 407,035 | ||||||
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | ||||||||
5.63% due 08/15/264 | 3,965,000 | 4,076,416 | ||||||
Mozart Debt Merger Sub, Inc. | ||||||||
3.88% due 04/01/294 | 2,550,000 | 2,550,000 | ||||||
5.25% due 10/01/29 | 1,500,000 | 1,500,000 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
HIGH YIELD FUND |
| Face | Value | ||||||
Sabre GLBL, Inc. | ||||||||
9.25% due 04/15/254 | 1,500,000 | $ | 1,733,685 | |||||
7.38% due 09/01/254 | 1,450,000 | 1,547,803 | ||||||
Cheplapharm Arzneimittel GmbH | ||||||||
5.50% due 01/15/284 | 2,975,000 | 3,082,308 | ||||||
Bausch Health Companies, Inc. | ||||||||
4.88% due 06/01/284 | 2,950,000 | 3,056,937 | ||||||
DaVita, Inc. | ||||||||
3.75% due 02/15/314 | 2,225,000 | 2,166,594 | ||||||
4.63% due 06/01/304 | 850,000 | 874,319 | ||||||
CPI CG, Inc. | ||||||||
8.63% due 03/15/264 | 2,750,000 | 2,983,750 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
4.75% due 07/15/314 | 1,900,000 | 1,848,244 | ||||||
5.88% due 10/01/304 | 1,000,000 | 1,052,870 | ||||||
US Foods, Inc. | ||||||||
6.25% due 04/15/254 | 2,748,000 | 2,882,515 | ||||||
Rent-A-Center, Inc. | ||||||||
6.38% due 02/15/294 | 2,656,000 | 2,865,160 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
5.75% due 04/15/264 | 1,075,000 | 1,162,892 | ||||||
3.38% due 08/31/274 | 1,150,000 | 1,105,725 | ||||||
Tenet Healthcare Corp. | ||||||||
7.50% due 04/01/254 | 1,700,000 | 1,804,125 | ||||||
5.13% due 11/01/274 | 400,000 | 417,000 | ||||||
ADT Security Corp. | ||||||||
4.13% due 08/01/294 | 2,050,000 | 2,037,475 | ||||||
Centene Corp. | ||||||||
3.00% due 10/15/30 | 1,100,000 | 1,127,500 | ||||||
4.25% due 12/15/27 | 675,000 | 706,489 | ||||||
Service Corporation International | ||||||||
4.00% due 05/15/31 | 1,700,000 | 1,757,375 | ||||||
Par Pharmaceutical, Inc. | ||||||||
7.50% due 04/01/274 | 1,610,000 | 1,640,188 | ||||||
Sotheby’s/Bidfair Holdings, Inc. | ||||||||
5.88% due 06/01/294 | 1,550,000 | 1,594,562 | ||||||
Post Holdings, Inc. | ||||||||
4.50% due 09/15/314 | 1,600,000 | 1,581,008 | ||||||
Sotheby’s | ||||||||
7.38% due 10/15/274 | 1,400,000 | 1,480,500 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
7.00% due 12/31/274 | 961,000 | 920,158 | ||||||
5.00% due 12/31/264 | 350,000 | 349,482 | ||||||
AMN Healthcare, Inc. | ||||||||
4.63% due 10/01/274 | 1,150,000 | 1,193,125 | ||||||
Performance Food Group, Inc. | ||||||||
6.88% due 05/01/254 | 1,100,000 | 1,166,000 | ||||||
KeHE Distributors LLC / KeHE Finance Corp. | ||||||||
8.63% due 10/15/264 | 956,000 | 1,032,480 | ||||||
Nathan’s Famous, Inc. | ||||||||
6.63% due 11/01/254 | 1,000,000 | 1,020,000 | ||||||
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | ||||||||
6.13% due 04/01/294 | 950,000 | 950,000 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
3.50% due 04/01/304 | 950,000 | 950,000 | ||||||
Molina Healthcare, Inc. | ||||||||
5.38% due 11/15/22 | 900,000 | 927,855 | ||||||
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | ||||||||
5.00% due 02/01/264 | 850,000 | 871,250 | ||||||
WW International, Inc. | ||||||||
4.50% due 04/15/294 | 825,000 | 806,438 | ||||||
Central Garden & Pet Co. | ||||||||
4.13% due 04/30/314 | 675,000 | 685,480 | ||||||
Gartner, Inc. | ||||||||
3.63% due 06/15/294 | 675,000 | 683,458 | ||||||
HealthEquity, Inc. | ||||||||
4.50% due 10/01/294 | 550,000 | 559,707 | ||||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc. | ||||||||
6.00% due 06/30/284 | 242,000 | 175,929 | ||||||
9.50% due 07/31/274,5 | 171,000 | 171,380 | ||||||
Total Consumer, Non-cyclical | 67,118,172 | |||||||
Industrial - 13.2% | ||||||||
New Enterprise Stone & Lime Company, Inc. | ||||||||
9.75% due 07/15/284 | 2,525,000 | 2,739,625 | ||||||
6.25% due 03/15/264 | 2,525,000 | 2,610,850 | ||||||
5.25% due 07/15/284 | 1,275,000 | 1,289,344 | ||||||
Howmet Aerospace, Inc. | ||||||||
5.95% due 02/01/37 | 2,700,000 | 3,361,500 | ||||||
3.00% due 01/15/29 | 1,475,000 | 1,484,219 | ||||||
TransDigm, Inc. | ||||||||
6.25% due 03/15/264 | 2,350,000 | 2,458,969 | ||||||
8.00% due 12/15/254 | 950,000 | 1,012,938 | ||||||
Artera Services LLC | ||||||||
9.03% due 12/04/254 | 3,150,000 | 3,417,750 | ||||||
Harsco Corp. | ||||||||
5.75% due 07/31/274 | 2,925,000 | 3,031,031 | ||||||
GrafTech Finance, Inc. | ||||||||
4.63% due 12/15/284 | 2,925,000 | 3,001,781 | ||||||
Grinding Media, Inc. / Moly-Cop AltaSteel Ltd. | ||||||||
7.38% due 12/15/234 | 2,625,000 | 2,676,188 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||
6.00% due 02/01/264 | 2,326,000 | 2,424,855 | ||||||
Builders FirstSource, Inc. | ||||||||
4.25% due 02/01/324 | 2,300,000 | 2,348,938 | ||||||
Cleaver-Brooks, Inc. | ||||||||
7.88% due 03/01/234 | 2,250,000 | 2,216,250 | ||||||
Standard Industries, Inc. | ||||||||
3.38% due 01/15/314 | 1,100,000 | 1,046,870 | ||||||
4.38% due 07/15/304 | 575,000 | 586,500 | ||||||
5.00% due 02/15/274 | 350,000 | 360,937 |
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
HIGH YIELD FUND |
| Face | Value | ||||||
Great Lakes Dredge & Dock Corp. | ||||||||
5.25% due 06/01/294 | 1,925,000 | $ | 1,992,375 | |||||
Amsted Industries, Inc. | ||||||||
4.63% due 05/15/304 | 1,400,000 | 1,438,500 | ||||||
Trinity Industries, Inc. | ||||||||
4.55% due 10/01/24 | 1,290,000 | 1,366,755 | ||||||
EnerSys | ||||||||
4.38% due 12/15/274 | 1,250,000 | 1,315,625 | ||||||
Ball Corp. | ||||||||
3.13% due 09/15/31 | 1,100,000 | 1,086,336 | ||||||
TopBuild Corp. | ||||||||
4.13% due 02/15/324 | 500,000 | 505,000 | ||||||
3.63% due 03/15/294 | 500,000 | 503,275 | ||||||
Masonite International Corp. | ||||||||
5.38% due 02/01/284 | 875,000 | 921,375 | ||||||
Intertape Polymer Group, Inc. | ||||||||
4.38% due 06/15/294 | 850,000 | 864,118 | ||||||
Arcosa, Inc. | ||||||||
4.38% due 04/15/294 | 700,000 | 708,750 | ||||||
PGT Innovations, Inc. | ||||||||
4.38% due 10/01/294 | 600,000 | 604,500 | ||||||
TK Elevator US Newco, Inc. | ||||||||
5.25% due 07/15/274 | 550,000 | 577,830 | ||||||
Hillenbrand, Inc. | ||||||||
3.75% due 03/01/31 | 400,000 | 397,080 | ||||||
Atkore, Inc. | ||||||||
4.25% due 06/01/314 | 375,000 | 386,250 | ||||||
Summit Materials LLC / Summit Materials Finance Corp. | ||||||||
6.50% due 03/15/274 | 350,000 | 367,063 | ||||||
Total Industrial | 49,103,377 | |||||||
Communications - 12.8% | ||||||||
Altice France S.A. | ||||||||
5.50% due 10/15/294 | 2,450,000 | 2,425,212 | ||||||
5.13% due 07/15/294 | 2,000,000 | 1,964,060 | ||||||
8.13% due 02/01/274 | 900,000 | 968,400 | ||||||
7.38% due 05/01/264 | 471,000 | 488,761 | ||||||
CSC Holdings LLC | ||||||||
4.50% due 11/15/314 | 1,625,000 | 1,604,688 | ||||||
6.50% due 02/01/294 | 1,225,000 | 1,326,614 | ||||||
4.13% due 12/01/304 | 1,150,000 | 1,128,437 | ||||||
4.63% due 12/01/304 | 950,000 | 900,125 | ||||||
3.38% due 02/15/314 | 850,000 | 790,500 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50% due 05/01/32 | 1,950,000 | 2,006,063 | ||||||
4.50% due 06/01/334 | 1,800,000 | 1,831,896 | ||||||
4.25% due 01/15/344 | 975,000 | 970,125 | ||||||
Mav Acquisition Corp. | ||||||||
5.75% due 08/01/284 | 3,075,000 | 3,021,187 | ||||||
8.00% due 08/01/294 | 1,425,000 | 1,361,274 | ||||||
Level 3 Financing, Inc. | ||||||||
3.63% due 01/15/294 | 1,825,000 | 1,769,739 | ||||||
4.25% due 07/01/284 | 1,650,000 | 1,662,755 | ||||||
3.75% due 07/15/294 | 975,000 | 942,318 | ||||||
UPC Broadband Finco BV | ||||||||
4.88% due 07/15/314 | 3,000,000 | 3,071,580 | ||||||
Sirius XM Radio, Inc. | ||||||||
3.88% due 09/01/314 | 1,200,000 | 1,172,250 | ||||||
4.13% due 07/01/304 | 800,000 | 803,710 | ||||||
5.50% due 07/01/294 | 700,000 | 756,875 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.50% due 08/15/304 | 2,625,000 | 2,667,656 | ||||||
Cengage Learning, Inc. | ||||||||
9.50% due 06/15/244 | 2,389,000 | 2,444,759 | ||||||
Vmed O2 UK Financing I plc | ||||||||
4.25% due 01/31/314 | 1,125,000 | 1,122,188 | ||||||
4.75% due 07/15/314 | 850,000 | 868,428 | ||||||
Match Group Holdings II LLC | ||||||||
3.63% due 10/01/314 | 1,125,000 | 1,110,487 | ||||||
4.63% due 06/01/284 | 600,000 | 625,500 | ||||||
Go Daddy Operating Company LLC / GD Finance Co., Inc. | ||||||||
3.50% due 03/01/294 | 1,750,000 | 1,734,688 | ||||||
Telenet Finance Luxembourg Notes SARL | ||||||||
5.50% due 03/01/28 | 1,400,000 | 1,470,700 | ||||||
AMC Networks, Inc. | ||||||||
4.25% due 02/15/29 | 1,175,000 | 1,168,391 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
6.75% due 10/15/274 | 1,075,000 | 1,139,500 | ||||||
Houghton Mifflin Harcourt Publishers, Inc. | ||||||||
9.00% due 02/15/254 | 1,000,000 | 1,063,550 | ||||||
Zayo Group Holdings, Inc. | ||||||||
4.00% due 03/01/274 | 500,000 | 497,615 | ||||||
Cogent Communications Group, Inc. | ||||||||
3.50% due 05/01/264 | 375,000 | 380,156 | ||||||
TripAdvisor, Inc. | ||||||||
7.00% due 07/15/254 | 275,000 | 291,500 | ||||||
Total Communications | 47,551,687 | |||||||
Financial - 12.5% | ||||||||
Iron Mountain, Inc. | ||||||||
5.63% due 07/15/324 | 2,525,000 | 2,708,063 | ||||||
4.88% due 09/15/274 | 950,000 | 986,271 | ||||||
4.88% due 09/15/294 | 530,000 | 555,175 | ||||||
5.25% due 07/15/304 | 475,000 | 504,084 | ||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/294 | 4,650,000 | 4,557,000 | ||||||
OneMain Finance Corp. | ||||||||
3.88% due 09/15/28 | 1,525,000 | 1,515,454 | ||||||
7.13% due 03/15/26 | 700,000 | 811,125 | ||||||
4.00% due 09/15/30 | 750,000 | 746,250 | ||||||
3.50% due 01/15/27 | 550,000 | 548,691 | ||||||
6.63% due 01/15/28 | 300,000 | 345,000 | ||||||
8.88% due 06/01/25 | 275,000 | 298,375 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/284 | 3,900,000 | 3,958,500 | ||||||
Kennedy-Wilson, Inc. | ||||||||
4.75% due 02/01/30 | 1,950,000 | 1,984,125 | ||||||
5.00% due 03/01/31 | 1,225,000 | 1,252,562 | ||||||
4.75% due 03/01/29 | 525,000 | 534,188 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
HIGH YIELD FUND |
| Face | Value | ||||||
LPL Holdings, Inc. | ||||||||
4.00% due 03/15/294 | 2,140,000 | $ | 2,197,994 | |||||
4.38% due 05/15/314 | 850,000 | 887,187 | ||||||
NFP Corp. | ||||||||
6.88% due 08/15/284 | 2,925,000 | 2,986,571 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/314 | 1,225,000 | 1,235,719 | ||||||
2.88% due 10/15/264 | 1,130,000 | 1,121,525 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 04/15/294 | 1,475,000 | 1,432,083 | ||||||
5.50% due 11/15/254 | 685,000 | 690,138 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75% due 05/15/284 | 1,650,000 | 1,790,250 | ||||||
AmWINS Group, Inc. | ||||||||
4.88% due 06/30/294 | 1,400,000 | 1,421,000 | ||||||
Charles Schwab Corp. | ||||||||
4.00% 6,7 | 1,325,000 | 1,362,709 | ||||||
Home Point Capital, Inc. | ||||||||
5.00% due 02/01/264 | 1,475,000 | 1,337,117 | ||||||
Pershing Square Holdings Ltd. | ||||||||
3.25% due 10/01/31 | 1,300,000 | 1,297,829 | ||||||
Assurant, Inc. | ||||||||
7.00% due 03/27/487 | 950,000 | 1,108,899 | ||||||
Goldman Sachs Group, Inc. | ||||||||
5.30%6,7 | 950,000 | 1,047,565 | ||||||
Greystar Real Estate Partners LLC | ||||||||
5.75% due 12/01/254 | 1,000,000 | 1,015,000 | ||||||
PHM Group Holding Oy | ||||||||
4.75% due 06/18/264 | EUR | 750,000 | 893,188 | |||||
USI, Inc. | ||||||||
6.88% due 05/01/254 | 775,000 | 788,733 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.30% due 02/01/614 | 750,000 | 714,465 | ||||||
Wilton Re Finance LLC | ||||||||
5.88% due 03/30/334,7 | 650,000 | 677,317 | ||||||
HUB International Ltd. | ||||||||
7.00% due 05/01/264 | 575,000 | 594,406 | ||||||
Rocket Mortgage LLC | ||||||||
5.25% due 01/15/284 | 400,000 | 431,000 | ||||||
Total Financial | 46,335,558 | |||||||
Consumer, Cyclical - 10.9% | ||||||||
LBC Tank Terminals Holding Netherlands BV | ||||||||
6.88% due 05/15/234 | 4,793,000 | 4,786,338 | ||||||
Hilton Domestic Operating Company, Inc. | ||||||||
3.63% due 02/15/324 | 2,100,000 | 2,068,500 | ||||||
4.00% due 05/01/314 | 1,225,000 | 1,243,375 | ||||||
5.75% due 05/01/284 | 400,000 | 430,800 | ||||||
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | ||||||||
5.88% due 03/01/27 | 1,460,000 | 1,522,050 | ||||||
5.00% due 06/01/314 | 1,225,000 | 1,270,938 | ||||||
Wabash National Corp. | ||||||||
5.50% due 10/01/254 | 1,435,000 | 1,454,946 | ||||||
4.50% due 10/15/284 | 1,200,000 | 1,198,500 | ||||||
JB Poindexter & Company, Inc. | ||||||||
7.13% due 04/15/264 | 2,000,000 | 2,105,000 | ||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
3.88% due 01/15/284 | 1,200,000 | 1,210,200 | ||||||
3.50% due 02/15/294 | 850,000 | 842,945 | ||||||
Air Canada | ||||||||
3.88% due 08/15/264 | 1,750,000 | 1,764,788 | ||||||
Wolverine World Wide, Inc. | ||||||||
4.00% due 08/15/294 | 1,575,000 | 1,590,750 | ||||||
Superior Plus Limited Partnership / Superior General Partner, Inc. | ||||||||
4.50% due 03/15/294 | 1,500,000 | 1,548,750 | ||||||
Boyd Gaming Corp. | ||||||||
8.63% due 06/01/254 | 1,375,000 | 1,490,156 | ||||||
Clarios Global, LP | ||||||||
6.75% due 05/15/254 | 1,327,000 | 1,399,985 | ||||||
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | ||||||||
5.75% due 01/20/264 | 1,300,000 | 1,360,125 | ||||||
Allison Transmission, Inc. | ||||||||
3.75% due 01/30/314 | 1,150,000 | 1,118,375 | ||||||
4.75% due 10/01/274 | 200,000 | 208,266 | ||||||
Murphy Oil USA, Inc. | ||||||||
3.75% due 02/15/314 | 1,300,000 | 1,308,125 | ||||||
Powdr Corp. | ||||||||
6.00% due 08/01/254 | 1,050,000 | 1,102,500 | ||||||
CD&R Smokey Buyer, Inc. | ||||||||
6.75% due 07/15/254 | 1,025,000 | 1,082,656 | ||||||
Cedar Fair, LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Operations LLC | ||||||||
5.50% due 05/01/254 | 1,000,000 | 1,038,750 | ||||||
Aramark Services, Inc. | ||||||||
6.38% due 05/01/254 | 925,000 | 972,406 | ||||||
Penn National Gaming, Inc. | ||||||||
4.13% due 07/01/294 | 925,000 | 914,270 | ||||||
Tempur Sealy International, Inc. | ||||||||
3.88% due 10/15/314 | 850,000 | 851,062 | ||||||
Live Nation Entertainment, Inc. | ||||||||
6.50% due 05/15/274 | 725,000 | 797,500 | ||||||
Picasso Finance Sub, Inc. | ||||||||
6.13% due 06/15/254 | 709,000 | 749,690 | ||||||
Hanesbrands, Inc. | ||||||||
5.38% due 05/15/254 | 650,000 | 680,472 | ||||||
Yum! Brands, Inc. | ||||||||
4.63% due 01/31/32 | 613,000 | 654,378 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/274 | 600,000 | 652,288 | ||||||
Six Flags Theme Parks, Inc. | ||||||||
7.00% due 07/01/254 | 425,000 | 452,625 | ||||||
Superior Plus, LP | ||||||||
4.25% due 05/18/28†††,4 | CAD 550,000 | 447,331 |
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
HIGH YIELD FUND |
| Face | Value | ||||||
Papa John’s International, Inc. | ||||||||
3.88% due 09/15/294 | 375,000 | $ | 372,142 | |||||
Total Consumer, Cyclical | 40,690,982 | |||||||
Energy - 7.2% | ||||||||
NuStar Logistics, LP | ||||||||
5.63% due 04/28/27 | 1,585,000 | 1,688,025 | ||||||
6.38% due 10/01/30 | 1,025,000 | 1,127,500 | ||||||
6.00% due 06/01/26 | 525,000 | 567,000 | ||||||
Exterran Energy Solutions Limited Partnership / EES Finance Corp. | ||||||||
8.13% due 05/01/25 | 3,092,000 | 2,952,860 | ||||||
ITT Holdings LLC | ||||||||
6.50% due 08/01/294 | 2,775,000 | 2,799,281 | ||||||
PDC Energy, Inc. | ||||||||
6.13% due 09/15/24 | 2,750,000 | 2,791,250 | ||||||
Southwestern Energy Co. | ||||||||
5.38% due 02/01/294 | 2,200,000 | 2,353,582 | ||||||
Rattler Midstream, LP | ||||||||
5.63% due 07/15/254 | 2,100,000 | 2,186,730 | ||||||
Global Partners Limited Partnership / GLP Finance Corp. | ||||||||
7.00% due 08/01/27 | 1,200,000 | 1,251,000 | ||||||
6.88% due 01/15/29 | 675,000 | 700,630 | ||||||
Parkland Corp. | ||||||||
4.50% due 10/01/294 | 1,925,000 | 1,951,180 | ||||||
CVR Energy, Inc. | ||||||||
5.75% due 02/15/284,5 | 1,950,000 | 1,932,177 | ||||||
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp. | ||||||||
5.63% due 05/01/274 | 1,250,000 | 1,286,500 | ||||||
TransMontaigne Partners Limited Partnership / TLP Finance Corp. | ||||||||
6.13% due 02/15/26 | 1,250,000 | 1,275,000 | ||||||
Occidental Petroleum Corp. | ||||||||
4.63% due 06/15/45 | 1,100,000 | 1,124,750 | ||||||
DT Midstream, Inc. | ||||||||
4.13% due 06/15/294 | 600,000 | 608,436 | ||||||
Basic Energy Services, Inc. | ||||||||
due 10/15/23†††,8,9 | 1,225,000 | 91,875 | ||||||
Total Energy | 26,687,776 | |||||||
Basic Materials - 3.9% | ||||||||
Valvoline, Inc. | ||||||||
3.63% due 06/15/314 | 2,100,000 | 2,073,750 | ||||||
4.25% due 02/15/304 | 375,000 | 388,800 | ||||||
Carpenter Technology Corp. | ||||||||
6.38% due 07/15/28 | 2,150,000 | 2,312,196 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/284 | 1,872,000 | 1,942,200 | ||||||
Kaiser Aluminum Corp. | ||||||||
4.63% due 03/01/284 | 790,000 | 815,675 | ||||||
4.50% due 06/01/314 | 725,000 | 743,125 | ||||||
Arconic Corp. | ||||||||
6.00% due 05/15/254 | 1,175,000 | 1,234,549 | ||||||
Ingevity Corp. | ||||||||
3.88% due 11/01/284 | 675,000 | 673,312 | ||||||
4.50% due 02/01/264 | 500,000 | 505,000 | ||||||
Diamond BC BV | ||||||||
4.63% due 10/01/294 | 1,050,000 | 1,065,750 | ||||||
WR Grace Holdings LLC | ||||||||
4.88% due 06/15/274 | 700,000 | 718,816 | ||||||
Compass Minerals International, Inc. | ||||||||
6.75% due 12/01/274 | 650,000 | 689,813 | ||||||
Clearwater Paper Corp. | ||||||||
4.75% due 08/15/284 | 450,000 | 462,375 | ||||||
Alcoa Nederland Holding BV | ||||||||
6.13% due 05/15/284 | 425,000 | 460,594 | ||||||
Yamana Gold, Inc. | ||||||||
4.63% due 12/15/27 | 256,000 | 283,025 | ||||||
Mirabela Nickel Ltd. | ||||||||
due 06/24/198,9 | 278,115 | 13,906 | ||||||
Total Basic Materials | 14,382,886 | |||||||
Technology - 1.3% | ||||||||
NCR Corp. | ||||||||
6.13% due 09/01/294 | 800,000 | 868,000 | ||||||
5.25% due 10/01/304 | 600,000 | 629,118 | ||||||
5.13% due 04/15/294 | 400,000 | 412,500 | ||||||
Boxer Parent Company, Inc. | ||||||||
7.13% due 10/02/254 | 875,000 | 934,063 | ||||||
TeamSystem SpA | ||||||||
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/2810 | EUR | 460,000 | 532,901 | |||||
MSCI, Inc. | ||||||||
3.88% due 02/15/314 | 507,000 | 531,716 | ||||||
Open Text Holdings, Inc. | ||||||||
4.13% due 02/15/304 | 475,000 | 488,062 | ||||||
CDK Global, Inc. | ||||||||
5.25% due 05/15/294 | 325,000 | 351,683 | ||||||
PTC, Inc. | ||||||||
4.00% due 02/15/284 | 250,000 | 256,562 | ||||||
Total Technology | 5,004,605 | |||||||
Utilities - 1.1% | ||||||||
Terraform Global Operating LLC | ||||||||
6.13% due 03/01/264 | 2,880,000 | 2,962,800 | ||||||
Clearway Energy Operating LLC | ||||||||
3.75% due 01/15/324 | 675,000 | 674,156 | ||||||
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp. | ||||||||
5.75% due 05/20/27 | 375,000 | 423,750 | ||||||
Total Utilities | 4,060,706 | |||||||
Total Corporate Bonds | ||||||||
(Cost $295,480,260) | 300,935,749 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
HIGH YIELD FUND |
| Face | Value | ||||||
SENIOR FLOATING RATE INTERESTS††,10 - 12.7% | ||||||||
Industrial - 3.4% | ||||||||
Bhi Investments LLC | ||||||||
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/28/24††† | 2,363,536 | $ | 2,339,900 | |||||
Diversitech Holdings, Inc. | ||||||||
8.50% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25††† | 1,783,737 | 1,779,278 | ||||||
BHI Investments LLC | ||||||||
9.75% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25††† | 1,500,000 | 1,473,750 | ||||||
American Residential Services LLC | ||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/15/27 | 1,169,125 | 1,167,664 | ||||||
Dispatch Terra Acquisition LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28 | 947,625 | 947,625 | ||||||
Arcline FM Holdings LLC | ||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28††† | 925,000 | 925,000 | ||||||
SkyMiles IP Ltd. | ||||||||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | 805,565 | 856,268 | ||||||
YAK MAT (YAK ACCESS LLC) | ||||||||
10.13% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | 1,025,000 | 709,812 | ||||||
Aegion Corp. | ||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28 | 700,000 | 704,375 | ||||||
Pro Mach Group, Inc. | ||||||||
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28 | 645,251 | 648,019 | ||||||
United Airlines, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | 473,813 | 476,722 | ||||||
Air Canada | ||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 430,000 | 431,432 | ||||||
Total Industrial | 12,459,845 | |||||||
Consumer, Cyclical - 3.3% | ||||||||
American Tire Distributors, Inc. | ||||||||
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24 | 1,303,422 | 1,302,001 | ||||||
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23 | 330,924 | 330,262 | ||||||
PetSmart LLC | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | 1,350,000 | 1,351,931 | ||||||
First Brands Group LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | 995,000 | 1,003,955 | ||||||
Alexander Mann | ||||||||
5.17% (6 Month GBP LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25 | GBP | 749,100 | 972,655 | |||||
NES Global Talent | ||||||||
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23 | 870,911 | 816,479 | ||||||
PT Intermediate Holdings III LLC | ||||||||
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 10/15/25 | 784,246 | 782,285 | ||||||
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | ||||||||
4.58% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | 771,544 | 731,038 | ||||||
Mavis Tire Express Services TopCo Corp. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28 | 673,313 | 674,538 | ||||||
Accuride Corp. | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23 | 640,167 | 617,761 | ||||||
Holding SOCOTEC | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/30/28 | 610,000 | 608,981 | ||||||
CCRR Parent, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28††† | 598,500 | 599,996 | ||||||
EnTrans International LLC | ||||||||
6.08% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24 | 502,500 | 466,069 | ||||||
Wabash National Corporation | ||||||||
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/28/27 | 462,551 | 461,972 |
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
HIGH YIELD FUND |
| Face | Value | ||||||
WW International, Inc. | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28 | 423,938 | $ | 423,145 | |||||
Sotheby’s | ||||||||
5.00% (2 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 01/15/27 | 415,132 | 416,170 | ||||||
Blue Nile, Inc. | ||||||||
7.50% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23 | 410,807 | 390,266 | ||||||
Apro LLC | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/16/26 | 208,420 | 208,420 | ||||||
Total Consumer, Cyclical | 12,157,924 | |||||||
Consumer, Non-cyclical - 2.3% | ||||||||
HAH Group Holding Co. LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | 1,170,618 | 1,170,618 | ||||||
SCP Eye Care Services LLC | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28††† | 1,083,931 | 1,082,576 | ||||||
Quirch Foods Holdings LLC | ||||||||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/27/27 | 967,688 | 970,716 | ||||||
National Mentor Holdings, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | 810,570 | 810,368 | ||||||
Blue Ribbon LLC | ||||||||
6.75% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | 740,625 | 725,813 | ||||||
Springs Window Fashions | ||||||||
8.58% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26 | 689,936 | 689,936 | ||||||
Women’s Care Holdings, Inc. | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | 675,000 | 673,947 | ||||||
Gibson Brands, Inc. | ||||||||
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28 | 600,000 | 594,000 | ||||||
Balrog Acquisition, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 09/05/28 | 575,000 | 573,563 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 497,500 | 484,709 | ||||||
Moran Foods LLC | ||||||||
11.75% (1 Month USD LIBOR + 0.00%, Rate Floor: 1.00%) (in-kind rate was 10.75%) due 10/01/2411 | 386,492 | 334,316 | ||||||
Moran Foods LLC | ||||||||
8.00% (1 Month USD LIBOR + 0.00%, Rate Floor: 1.00%) (in-kind rate was 7.00%) due 04/01/24†††,11 | 309,353 | 312,446 | ||||||
HAH Group Holding Co. LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27††† | 148,490 | 148,490 | ||||||
Total Consumer, Non-cyclical | 8,571,498 | |||||||
Technology - 2.0% | ||||||||
Datix Bidco Ltd. | ||||||||
4.50% (3 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25 | GBP | 1,300,000 | 1,716,796 | |||||
7.75% (3 Month GBP LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26 | GBP | 650,000 | 858,398 | |||||
Peraton Corp. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 1,293,500 | 1,293,707 | ||||||
Polaris Newco LLC | ||||||||
4.50% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | 1,100,000 | 1,102,068 | ||||||
Taxware Holdings (Sovos Compliance LLC) | ||||||||
5.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28 | 639,555 | 643,021 | ||||||
Apttus Corp. | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28 | 625,000 | 627,344 | ||||||
Atlas CC Acquisition Corp. | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | 575,000 | 576,598 | ||||||
Planview Parent, Inc. | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27 | 521,063 | 522,042 | ||||||
Total Technology | 7,339,974 | |||||||
Communications - 1.1% | ||||||||
McGraw Hill LLC | ||||||||
5.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 1,350,000 | 1,352,889 | ||||||
Xplornet Communications, Inc. | ||||||||
due 09/28/28 | 925,000 | 920,375 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
HIGH YIELD FUND |
| Face | Value | ||||||
Cengage Learning Acquisitions, Inc. | ||||||||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26 | 625,000 | $ | 628,625 | |||||
GTT Communications, Inc. | ||||||||
2.90% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/30/25 | 742,713 | 626,820 | ||||||
Playtika Holding Corp. | ||||||||
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | 597,000 | 596,523 | ||||||
Total Communications | 4,125,232 | |||||||
Financial - 0.5% | ||||||||
Franchise Group, Inc. | ||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | 958,148 | 961,741 | ||||||
Avison Young (Canada), Inc. | ||||||||
6.13% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 01/30/26 | 534,875 | 527,189 | ||||||
Eisner Advisory Group | ||||||||
6.00% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 07/28/28 | 409,091 | 409,091 | ||||||
Total Financial | 1,898,021 | |||||||
Basic Materials - 0.1% | ||||||||
NIC Acquisition Corp. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | 348,250 | 347,815 | ||||||
Energy - 0.0% | ||||||||
Permian Production Partners LLC | ||||||||
10.00% (1 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) (in-kind rate was 2.00%) due 11/24/25†††,11 | 209,467 | 188,520 | ||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $47,059,015) | 47,088,829 | |||||||
ASSET-BACKED SECURITIES†† - 0.6% | ||||||||
Collateralized Loan Obligations - 0.6% | ||||||||
Barings Middle Market CLO Ltd. | ||||||||
2019-IA, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/15/314,10 | 1,500,000 | 1,500,727 | ||||||
WhiteHorse X Ltd. | ||||||||
2015-10A, 5.43% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/274,10 | 750,000 | 671,602 | ||||||
Total Collateralized Loan Obligations | 2,172,329 | |||||||
Total Asset-Backed Securities | ||||||||
(Cost $2,150,692) | 2,172,329 | |||||||
Total Investments - 103.3% | ||||||||
(Cost $375,568,120) | $ | 383,910,359 | ||||||
Other Assets & Liabilities, net - (3.3)% | (12,289,893 | ) | ||||||
Total Net Assets — 100.0% | $ | 371,620,466 |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | GBP | Sell | 1,910,000 | 2,637,656 USD | 10/18/21 | $ | 63,757 | |||||||||||||||||
Morgan Stanley Capital Services LLC | EUR | Sell | 1,237,000 | 1,461,084 USD | 10/18/21 | 27,652 | ||||||||||||||||||
Bank of America, N.A. | GBP | Sell | 744,000 | 1,026,788 USD | 10/18/21 | 24,180 | ||||||||||||||||||
Goldman Sachs International | CAD | Sell | 573,000 | 451,517 USD | 10/18/21 | (940 | ) | |||||||||||||||||
$ | 114,649 |
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
HIGH YIELD FUND |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Affiliated issuer. |
3 | Rate indicated is the 7-day yield as of September 30, 2021. |
4 | 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 $246,562,957 (cost $242,255,890), or 66.3% of total net assets. |
5 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2021, the total market value of segregated or earmarked securities was $2,103,557 — See Note 6. |
6 | Perpetual maturity. |
7 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
8 | Security is in default of interest and/or principal obligations. |
9 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $105,781 (cost $1,471,729), or less than 0.01% of total net assets — See Note 10. |
10 | Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
11 | Payment-in-kind security. |
CAD — Canadian Dollar | |
EUR — Euro | |
GBP — British Pound | |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
SARL — Société à Responsabilité Limitée | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 3,426,679 | $ | 5,339,648 | $ | 237,484 | $ | 9,003,811 | ||||||||
Preferred Stocks | — | 14,491,050 | — | * | 14,491,050 | |||||||||||
Warrants | 46,596 | 23 | — | 46,619 | ||||||||||||
Money Market Fund | 10,171,972 | — | — | 10,171,972 | ||||||||||||
Corporate Bonds | — | 300,396,543 | 539,206 | 300,935,749 | ||||||||||||
Senior Floating Rate Interests | — | 38,238,873 | 8,849,956 | 47,088,829 | ||||||||||||
Asset-Backed Securities | — | 2,172,329 | — | 2,172,329 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 115,589 | — | 115,589 | ||||||||||||
Total Assets | $ | 13,645,247 | $ | 360,754,055 | $ | 9,626,646 | $ | 384,025,948 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts** | $ | — | $ | 940 | $ | — | $ | 940 | ||||||||
Unfunded Loan Commitments (Note 9) | — | — | 622 | 622 | ||||||||||||
Total Liabilities | $ | — | $ | 940 | $ | 622 | $ | 1,562 |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
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 $1,556,749 are categorized as Level 2 within the disclosure hierarchy — See Note 6.
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
HIGH YIELD FUND |
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending Balance at | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||||
Assets: |
|
|
|
| ||||||||||
Common Stocks | $ | 85,927 | Third Party Pricing | Broker Quote | — | — | ||||||||
Common Stocks | 76,842 | Enterprise Value | Valuation Multiple | 2.1x-12.8x | 5.5x | |||||||||
Common Stocks | 72,426 | Model Price | Market Comparable Yields | 12.1 | % | — | ||||||||
Common Stocks | 2,289 | Model Price | Liquidation Value | — | — | |||||||||
Corporate Bonds | 539,206 | Third Party Pricing | Vendor Price | — | — | |||||||||
Senior Floating Rate Interests | 7,187,686 | Third Party Pricing | Broker Quote | — | — | |||||||||
Senior Floating Rate Interests | 1,662,270 | Model Price | Market Comparable Yields | 10.4%-12.1% | 10.6 | % | ||||||||
Total Assets | $ | 9,626,646 |
|
| ||||||||||
Liabilities: |
|
| ||||||||||||
Unfunded Loan Commitments | $ | 622 | Model Price | Purchase Price | — | — |
* | Inputs are weighted by the fair value of the instruments. |
Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.
Significant changes in a quote, market comparable yields, liquidation value or valuation multiples would generally result in significant changes in the fair value of the security.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2021, the Fund had securities with a total value of $4,211,053 transfer into Level 3 from Level 2 due to lack of observable inputs and had securities with a total value of $2,230,727 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.
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
HIGH YIELD FUND |
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 year ended September 30, 2021:
Assets | Liabilities | |||||||||||||||||||
| Corporate | Senior Floating | Common | Total Assets | Unfunded Loan | |||||||||||||||
Beginning Balance | $ | — | $ | 7,980,655 | $ | 2,790,320 | $ | 10,770,975 | $ | (61,765 | ) | |||||||||
Purchases/(Receipts) | 443,748 | 3,039,045 | 25,200 | 3,507,993 | (48,708 | ) | ||||||||||||||
(Sales, maturities and paydowns)/Fundings | — | (5,632,387 | ) | (1,116,888 | ) | (6,749,275 | ) | 6,228 | ||||||||||||
Amortization of premiums/discounts | — | 187,754 | — | 187,754 | 471 | |||||||||||||||
Total realized gains (losses) included in earnings | — | (1,230,299 | ) | 18,429 | (1,211,870 | ) | 485,742 | |||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | 3,583 | 1,536,805 | (399,645 | ) | 1,140,743 | (382,590 | ) | |||||||||||||
Transfers into Level 3 | 91,875 | 4,119,178 | — | 4,211,053 | — | |||||||||||||||
Transfers out of Level 3 | — | (1,150,795 | ) | (1,079,932 | ) | (2,230,727 | ) | — | ||||||||||||
Ending Balance | $ | 539,206 | $ | 8,849,956 | $ | 237,484 | $ | 9,626,646 | $ | (622 | ) | |||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021 | $ | 3,579 | $ | 127,595 | $ | 466,578 | $ | 597,752 | $ | 1,003 |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||
BP Holdco LLC* | $ | 8,360 | $ | — | $ | — | $ | — | $ | 8,356 | $ | 16,716 | 23,711 | |||||||||||||||
Targus Group International Equity, Inc.* | 26,349 | — | — | — | 4,885 | 31,234 | 12,825 | |||||||||||||||||||||
$ | 34,709 | $ | — | $ | — | $ | — | $ | 13,241 | $ | 47,950 |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
HIGH YIELD FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $375,555,391) | $ | 383,862,409 | ||
Investments in affiliated issuers, at value (cost $12,729) | 47,950 | |||
Foreign currency, at value (cost 1,020) | 1,004 | |||
Cash | 98,855 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 115,589 | |||
Prepaid expenses | 56,824 | |||
Receivables: | ||||
Interest | 4,193,857 | |||
Securities sold | 2,997,453 | |||
Fund shares sold | 412,889 | |||
Dividends | 9,844 | |||
Other assets | 718 | |||
Total assets | 391,797,392 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 9) (commitment fees received $1,625) | 622 | |||
Reverse repurchase agreements (Note 6) | 1,556,749 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 940 | |||
Payable for: | ||||
Securities purchased | 16,900,901 | |||
Fund shares redeemed | 1,280,577 | |||
Management fees | 164,754 | |||
Distributions to shareholders | 120,960 | |||
Distribution and service fees | 26,131 | |||
Fund accounting/administration fees | 23,560 | |||
Transfer agent/maintenance fees | 20,400 | |||
Trustees’ fees* | 4,222 | |||
Due to Investment Adviser | 25 | |||
Miscellaneous | 77,085 | |||
Total liabilities | 20,176,926 | |||
Net assets | $ | 371,620,466 | ||
Net assets consist of: | ||||
Paid in capital | $ | 388,009,041 | ||
Total distributable earnings (loss) | (16,388,575 | ) | ||
Net assets | $ | 371,620,466 | ||
A-Class: | ||||
Net assets | $ | 55,549,511 | ||
Capital shares outstanding | 5,060,251 | |||
Net asset value per share | $ | 10.98 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 11.44 | ||
C-Class: | ||||
Net assets | $ | 16,241,683 | ||
Capital shares outstanding | 1,467,149 | |||
Net asset value per share | $ | 11.07 | ||
P-Class: | ||||
Net assets | $ | 5,660,293 | ||
Capital shares outstanding | 515,324 | |||
Net asset value per share | $ | 10.98 | ||
Institutional Class: | ||||
Net assets | $ | 167,486,232 | ||
Capital shares outstanding | 18,727,164 | �� | ||
Net asset value per share | $ | 8.94 | ||
R6-Class: | ||||
Net assets | $ | 126,682,747 | ||
Capital shares outstanding | 11,552,986 | |||
Net asset value per share | $ | 10.97 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD FUND |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 1,273,632 | ||
Interest from securities of unaffiliated issuers | 20,274,622 | |||
Total investment income | 21,548,254 | |||
Expenses: | ||||
Management fees | 2,325,386 | |||
Distribution and service fees: | ||||
A-Class | 139,376 | |||
C-Class | 165,062 | |||
P-Class | 14,567 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 26,490 | |||
C-Class | 22,267 | |||
P-Class | 7,865 | |||
Institutional Class | 189,905 | |||
R6-Class | 833 | |||
Fund accounting/administration fees | 265,815 | |||
Professional fees | 106,760 | |||
Interest expense | 53,732 | |||
Line of credit fees | 37,084 | |||
Custodian fees | 28,680 | |||
Trustees’ fees* | 26,149 | |||
Miscellaneous | 135,536 | |||
Recoupment of previously waived fees: | ||||
A-Class | 1,993 | |||
C-Class | 1,119 | |||
P-Class | 2,401 | |||
Institutional Class | 11,495 | |||
Total expenses | 3,562,515 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (5,542 | ) | ||
C-Class | (1,616 | ) | ||
P-Class | (1,534 | ) | ||
Institutional Class | (25,904 | ) | ||
Expenses waived by Adviser | (37,558 | ) | ||
Earnings credits applied | (221 | ) | ||
Total waived/reimbursed expenses | (72,375 | ) | ||
Net expenses | 3,490,140 | |||
Net investment income | 18,058,114 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 3,996,280 | |||
Swap agreements | 2,273,490 | |||
Forward foreign currency exchange contracts | (15,405 | ) | ||
Foreign currency transactions | (3,420 | ) | ||
Net realized gain | 6,250,945 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 16,415,326 | |||
Investments in affiliated issuers | 13,241 | |||
Swap agreements | (59,854 | ) | ||
Forward foreign currency exchange contracts | 117,119 | |||
Foreign currency translations | (2,258 | ) | ||
Net change in unrealized appreciation (depreciation) | 16,483,574 | |||
Net realized and unrealized gain | 22,734,519 | |||
Net increase in net assets resulting from operations | $ | 40,792,633 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
HIGH YIELD FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 18,058,114 | $ | 21,668,717 | ||||
Net realized gain (loss) on investments | 6,250,945 | (18,325,259 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 16,483,574 | 360,465 | ||||||
Net increase in net assets resulting from operations | 40,792,633 | 3,703,923 | ||||||
Distributions: | ||||||||
Distributions to shareholders | ||||||||
A-Class | (2,500,210 | ) | (3,450,578 | ) | ||||
C-Class | (610,646 | ) | (971,742 | ) | ||||
P-Class | (256,302 | ) | (404,265 | ) | ||||
Institutional Class | (8,497,760 | ) | (10,045,586 | ) | ||||
R6-Class | (6,056,356 | ) | (8,460,132 | ) | ||||
Return of capital | ||||||||
A-Class | (149,239 | ) | — | |||||
C-Class | (35,772 | ) | — | |||||
P-Class | (14,856 | ) | — | |||||
Institutional Class | (510,774 | ) | — | |||||
R6-Class | (359,597 | ) | — | |||||
Total distributions to shareholders | (18,991,512 | ) | (23,332,303 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 7,498,237 | 10,674,768 | ||||||
C-Class | 3,471,056 | 4,404,185 | ||||||
P-Class | 1,790,815 | 1,606,617 | ||||||
Institutional Class | 50,818,387 | 115,479,278 | ||||||
R6-Class | 8,946,340 | 4,945,592 | ||||||
Redemption fees collected | ||||||||
A-Class | 1,117 | 14,618 | ||||||
C-Class | 327 | 4,701 | ||||||
P-Class | 114 | 1,654 | ||||||
Institutional Class | 3,665 | 39,668 | ||||||
R6-Class | 2,525 | 34,156 | ||||||
Distributions reinvested | ||||||||
A-Class | 2,386,801 | 3,103,401 | ||||||
C-Class | 607,096 | 888,143 | ||||||
P-Class | 271,158 | 404,240 | ||||||
Institutional Class | 6,378,870 | 7,451,076 | ||||||
R6-Class | 6,415,953 | 8,460,132 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (11,470,510 | ) | (24,211,963 | ) | ||||
C-Class | (5,211,217 | ) | (9,558,871 | ) | ||||
P-Class | (2,577,681 | ) | (3,870,858 | ) | ||||
Institutional Class | (71,490,812 | ) | (125,810,891 | ) | ||||
R6-Class | (22,971,558 | ) | (29,504,021 | ) | ||||
Net decrease from capital share transactions | (25,129,317 | ) | (35,444,375 | ) | ||||
Net decrease in net assets | (3,328,196 | ) | (55,072,755 | ) | ||||
Net assets: | ||||||||
Beginning of year | 374,948,662 | 430,021,417 | ||||||
End of year | $ | 371,620,466 | $ | 374,948,662 | ||||
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD FUND |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 692,089 | 1,065,945 | ||||||
C-Class | 317,074 | 411,041 | ||||||
P-Class | 167,163 | 155,836 | ||||||
Institutional Class | 5,775,858 | 14,086,570 | ||||||
R6-Class | 826,869 | 474,234 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 220,568 | 298,678 | ||||||
C-Class | 55,629 | 84,701 | ||||||
P-Class | 25,050 | 38,806 | ||||||
Institutional Class | 723,143 | 878,483 | ||||||
R6-Class | 593,662 | 815,772 | ||||||
Shares redeemed | ||||||||
A-Class | (1,059,043 | ) | (2,389,845 | ) | ||||
C-Class | (477,190 | ) | (920,036 | ) | ||||
P-Class | (239,351 | ) | (381,340 | ) | ||||
Institutional Class | (8,088,067 | ) | (14,964,588 | ) | ||||
R6-Class | (2,130,982 | ) | (2,949,027 | ) | ||||
Net decrease in shares | (2,597,528 | ) | (3,294,770 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
HIGH YIELD FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.37 | $ | 10.90 | $ | 11.04 | $ | 11.50 | $ | 11.16 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .49 | .57 | .64 | .68 | .64 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .63 | (.50 | ) | (.12 | ) | (.46 | ) | .35 | ||||||||||||
Total from investment operations | 1.12 | .07 | .52 | .22 | .99 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.48 | ) | (.60 | ) | (.66 | ) | (.68 | ) | (.65 | ) | ||||||||||
Return of capital | (.03 | ) | — | — | — | — | ||||||||||||||
Total distributions | (.51 | ) | (.60 | ) | (.66 | ) | (.68 | ) | (.65 | ) | ||||||||||
Redemption fees collected | — | b | — | b | — | b | — | b | — | b | ||||||||||
Net asset value, end of period | $ | 10.98 | $ | 10.37 | $ | 10.90 | $ | 11.04 | $ | 11.50 | ||||||||||
| ||||||||||||||||||||
Total Returnc | 11.02 | % | 0.84 | % | 4.99 | % | 2.00 | % | 9.11 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 55,550 | $ | 53,997 | $ | 67,916 | $ | 75,028 | $ | 126,097 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 4.51 | % | 5.44 | % | 5.94 | % | 6.05 | % | 5.63 | % | ||||||||||
Total expensesd | 1.07 | % | 1.21 | % | 1.27 | % | 1.35 | % | 1.31 | % | ||||||||||
Net expensese,f,g | 1.05 | % | 1.20 | % | 1.26 | % | 1.33 | % | 1.29 | % | ||||||||||
Portfolio turnover rate | 86 | % | 81 | % | 61 | % | 61 | % | 62 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.46 | $ | 10.99 | $ | 11.14 | $ | 11.60 | $ | 11.26 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .40 | .49 | .56 | .60 | .56 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .64 | (.49 | ) | (.12 | ) | (.46 | ) | .35 | ||||||||||||
Total from investment operations | 1.04 | — | .44 | .14 | .91 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.40 | ) | (.53 | ) | (.59 | ) | (.60 | ) | (.57 | ) | ||||||||||
Return of capital | (.03 | ) | — | — | — | — | ||||||||||||||
Total distributions | (.43 | ) | (.53 | ) | (.59 | ) | (.60 | ) | (.57 | ) | ||||||||||
Redemption fees collected | — | b | — | b | — | b | — | b | — | b | ||||||||||
Net asset value, end of period | $ | 11.07 | $ | 10.46 | $ | 10.99 | $ | 11.14 | $ | 11.60 | ||||||||||
| ||||||||||||||||||||
Total Returnc | 10.04 | % | 0.09 | % | 4.12 | % | 1.27 | % | 8.38 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,242 | $ | 16,437 | $ | 21,935 | $ | 22,350 | $ | 30,461 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.67 | % | 4.68 | % | 5.17 | % | 5.31 | % | 4.92 | % | ||||||||||
Total expensesd | 1.91 | % | 2.00 | % | 2.03 | % | 2.11 | % | 2.05 | % | ||||||||||
Net expensese,f,g | 1.89 | % | 1.99 | % | 2.02 | % | 2.09 | % | 2.03 | % | ||||||||||
Portfolio turnover rate | 86 | % | 81 | % | 61 | % | 61 | % | 62 | % |
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.38 | $ | 10.91 | $ | 11.05 | $ | 11.51 | $ | 11.17 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .48 | .57 | .64 | .68 | .64 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .62 | (.50 | ) | (.12 | ) | (.46 | ) | .37 | ||||||||||||
Total from investment operations | 1.10 | .07 | .52 | .22 | 1.01 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.47 | ) | (.60 | ) | (.66 | ) | (.68 | ) | (.67 | ) | ||||||||||
Return of capital | (.03 | ) | — | — | — | — | ||||||||||||||
Total distributions | (.50 | ) | (.60 | ) | (.66 | ) | (.68 | ) | (.67 | ) | ||||||||||
Redemption fees collected | — | b | — | b | — | b | — | b | — | b | ||||||||||
Net asset value, end of period | $ | 10.98 | $ | 10.38 | $ | 10.91 | $ | 11.05 | $ | 11.51 | ||||||||||
| ||||||||||||||||||||
Total Return | 10.80 | % | 0.80 | % | 4.98 | % | 1.95 | % | 9.24 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,660 | $ | 5,837 | $ | 8,170 | $ | 12,124 | $ | 16,883 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 4.40 | % | 5.42 | % | 5.93 | % | 6.00 | % | 5.58 | % | ||||||||||
Total expensesd | 1.20 | % | 1.26 | % | 1.30 | % | 1.45 | % | 1.29 | % | ||||||||||
Net expensese,f,g | 1.16 | % | 1.25 | % | 1.28 | % | 1.39 | % | 1.22 | % | ||||||||||
Portfolio turnover rate | 86 | % | 81 | % | 61 | % | 61 | % | 62 | % |
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 8.45 | $ | 8.88 | $ | 9.01 | $ | 9.38 | $ | 9.11 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .41 | .48 | .54 | .58 | .56 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .51 | (.39 | ) | (.10 | ) | (.38 | ) | .28 | ||||||||||||
Total from investment operations | .92 | .09 | .44 | .20 | .84 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.40 | ) | (.52 | ) | (.57 | ) | (.57 | ) | (.57 | ) | ||||||||||
Return of capital | (.03 | ) | — | — | — | — | ||||||||||||||
Total distributions | (.43 | ) | (.52 | ) | (.57 | ) | (.57 | ) | (.57 | ) | ||||||||||
Redemption fees collected | — | b | — | b | — | b | — | b | — | b | ||||||||||
Net asset value, end of period | $ | 8.94 | $ | 8.45 | $ | 8.88 | $ | 9.01 | $ | 9.38 | ||||||||||
| ||||||||||||||||||||
Total Return | 11.14 | % | 1.14 | % | 5.15 | % | 2.27 | % | 9.56 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 167,486 | $ | 171,641 | $ | 180,442 | $ | 125,945 | $ | 194,280 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 4.71 | % | 5.67 | % | 6.17 | % | 6.28 | % | 6.00 | % | ||||||||||
Total expensesd | 0.88 | % | 0.98 | % | 0.99 | % | 1.14 | % | 0.94 | % | ||||||||||
Net expensese,f,g | 0.85 | % | 0.96 | % | 0.97 | % | 1.11 | % | 0.93 | % | ||||||||||
Portfolio turnover rate | 86 | % | 81 | % | 61 | % | 61 | % | 62 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
HIGH YIELD FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
R6-Class | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.36 | $ | 10.89 | $ | 11.03 | $ | 11.49 | $ | 11.45 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .52 | .60 | .68 | .72 | .24 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .63 | (.49 | ) | (.12 | ) | (.46 | ) | .04 | ||||||||||||
Total from investment operations | 1.15 | .11 | .56 | .26 | .28 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.51 | ) | (.64 | ) | (.70 | ) | (.72 | ) | (.24 | ) | ||||||||||
Return of capital | (.03 | ) | — | — | — | — | ||||||||||||||
Total distributions | (.54 | ) | (.64 | ) | (.70 | ) | (.72 | ) | (.24 | ) | ||||||||||
Redemption fees collected | — | b | — | b | — | b | — | b | — | b | ||||||||||
Net asset value, end of period | $ | 10.97 | $ | 10.36 | $ | 10.89 | $ | 11.03 | $ | 11.49 | ||||||||||
| ||||||||||||||||||||
Total Return | 11.35 | % | 1.19 | % | 5.39 | % | 2.34 | % | 2.49 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 126,683 | $ | 127,037 | $ | 151,558 | $ | 190,421 | $ | 200,099 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 4.80 | % | 5.79 | % | 6.31 | % | 6.41 | % | 5.41 | % | ||||||||||
Total expensesd | 0.77 | % | 0.85 | % | 0.89 | % | 1.00 | % | 0.82 | % | ||||||||||
Net expensese,f,g | 0.76 | % | 0.85 | % | 0.88 | % | 1.00 | % | 0.82 | % | ||||||||||
Portfolio turnover rate | 86 | % | 81 | % | 61 | % | 61 | % | 62 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Redemption fees collected are less than $0.01 per share. |
c | Total return does not reflect the impact of any applicable sales charges. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 0.00%* | 0.05% | 0.05% | — | 0.09% | |
C-Class | 0.01% | 0.04% | 0.05% | — | 0.06% | |
P-Class | 0.04% | 0.02% | 0.01% | 0.03% | 0.00%* | |
Institutional Class | 0.01% | 0.02% | 0.02% | 0.04% | 0.00%* | |
R6-Class | — | 0.00%* | 0.00%* | — | — |
* | Less than 0.01%. |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 1.03% | 1.12% | 1.15% | 1.10% | 1.15% | |
C-Class | 1.87% | 1.90% | 1.91% | 1.86% | 1.89% | |
P-Class | 1.14% | 1.16% | 1.16% | 1.16% | 1.08% | |
Institutional Class | 0.83% | 0.87% | 0.88% | 0.88% | 0.79% | |
R6-Class | 0.74% | 0.77% | 0.77% | 0.77% | 0.79% |
h | Since commencement of operations: May 15, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim Core Bond Fund (formerly, Guggenheim Investment Grade Bond Fund) (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, Senior Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.
Investment Approach
The Fund seeks to provide current income and employs a diversified, multi-sector strategy focused on under-researched areas of the fixed income universe, including sectors not typically included in benchmark indices. The Fund takes an actively managed approach, offering an opportunity to potentially capitalize on changing relative values in fixed-income sectors and access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.
Performance Review and Positioning
For the one-year period ended September 30, 2021, Guggenheim Core Bond Fund returned 2.09%1, compared with the -0.90% return of its benchmark, the Bloomberg U.S. Aggregate Bond Index.
Interest rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the backs of accommodative fiscal and monetary policy. Outperformance versus the benchmark was driven by a combination of spread tightening and greater carry (the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant), which was partially offset by the Fund’s overweight duration positioning. The Fund’s overweight allocation to credit has been the largest driver of outperformance on the year, as credit continues its grind tighter on optimism in economic growth recovery and improving credit fundamentals. Measured on an absolute return basis, sectors with floating rate coupons like bank loans and much of structured credit have been standouts in performance, as they have benefitted from spread compression while being somewhat insulated from rising rates. The Fund’s allocation to these sectors coupled with its 2Y-10Y CMS curve caps positions helped mitigate the performance impact from the steepening in the yield curve.
The Fund remains overweight investment grade corporates, which comprised 35% of the Fund at period end. The sector contributed positively to performance on both an absolute basis as well as on a duration-adjusted basis, as it benefited from a combination of carry and spread tightening. Investment grade corporate credit spreads have benefitted from the back-up in rates as yield-focused buyers find the higher-yielding profiles more attractive. In particular, the pace of flows into the investment grade corporate sector from overseas buyers has been greater than usual given the attractiveness of the currency hedge-adjusted yields attainable in the sector fostered by higher rates. We continue to remain constructive on the sector given the supportive macro backdrop and low probability of any sustained selloff. However, we have incrementally reduced our exposure at the margin, rotating out of tighter spread names with limited total return potential in favor for higher carry sectors like structured credit.
Structured credit accounted for nearly 30% of the Fund at period end. The sector broadly and across sub-sectors continued to contribute positively and provided for relative outperformance to the benchmark. Spreads have now largely recovered from the shock of COVID-19, though still offer compelling relative value within the fixed income universe. Primary markets have been very active over the year, particularly in the collateralized loan obligation (CLO) sector, which is on track for a record-setting year, having already priced $125 billion new issue deals and $311 billion total deals (including refinancings, resets, and re-issues). Spreads have been relatively muted in response to the massive amount of issuance which speaks to volume of demand from investors in search of higher carry assets. We continue to look to invest in structurally senior securitized credit, as the sector continues to showcase wider spreads compared to similarly rated corporates. As such, we expect spreads could compress further as the economy rebounds and investors seek out the higher yields and carry offered by the sector.
Below-investment-grade corporate credit, including both high yield corporates and bank loans, comprise roughly 3% of the Fund. The Fund’s below-investment-grade allocation has continued to benefit from a combination of spread tightening and carry contributing significantly to the portfolio return on the year. While we remain positive on long-term economic fundamentals and associated outlook for a low default rate, we have begun to pare exposure recently, as we have increasingly become cautious of valuations and the potential for seasonal weakness. Despite this, we still view the expected loss-adjusted return potential, primarily via carry, favorably within the context of the Fund and therefore continue to anticipate a continued meaningful portfolio allocation.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
Overweight duration positioning negatively impacted performance on the period. U.S. Treasury yields rose as the 10- year ended the period about 80 basis points higher at 1.52%. Overall Fund duration ended the period at 7.1 years versus the benchmark’s duration of 6.6 years. We continue to remain optimistic on U.S. economic growth given potential for additional fiscal stimulus and believe that interest rates will remain relatively range bound as the Fed seeks to remain accommodative to ensure the economic recovery can continue amid the termination of certain fiscal stimulus measures and potential for increasing spread of the COVID-19 Delta variant headed into year end.
Given the current monetary and fiscal backdrop, we continue to view the credit default environment as benign and predict rates are likely to remain low and range bound for some time. As such, we continue to believe a portfolio allowance for both higher credit and duration risk is warranted. As credit spreads have neared historic tights, however, it has become increasingly important to ensure portfolios are prudently positioned as we seek out relative value across sectors. At this particular moment in the credit cycle against the backdrop of current valuations, we see value in rotating into higher carry instruments while maintaining similar credit quality where possible and shortening spread duration to lessen the Fund’s emphasis on credit spread compression.
During the reporting period, the Fund used derivatives to help manage duration positioning, foreign exchange risk, and credit exposure. Over the period, interest rate swaps and interest rate curve caps, options on equities, and credit default swap index (CDX) positions all contributed to performance. In addition, the Fund traded foreign-exchange derivatives, which had a positive impact on performance over the period. Overall, derivative exposure contributed to performance during the period.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
CORE BOND FUND
OBJECTIVE: Seeks to provide current income.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 26.3% |
AA | 12.8% |
A | 18.4% |
BBB | 32.6% |
BB | 1.7% |
B | 0.8% |
CCC | 0.0%* |
CC | 0.1% |
C | 0.1% |
NR2 | 0.9% |
Other Instruments | 6.3% |
Total Investments | 100.0% |
Inception Dates: | |
A-Class | August 15, 1985 |
C-Class | May 1, 2000 |
P-Class | May 1, 2015 |
Institutional Class | January 29, 2013 |
Ten Largest Holdings (% of Total Net Assets) | |
U.S. Treasury Notes, 1.25% | 6.8% |
Uniform MBS 30 Year | 3.1% |
U.S. Treasury Bonds, 2.00% | 0.9% |
Cerberus Loan Funding XXX, LP, 1.98% | 0.8% |
Pershing Square Tontine Holdings Ltd. — Class A | 0.8% |
Woodmont Trust, 2.03% | 0.7% |
Station Place Securitization Trust, 1.08% | 0.7% |
Delta Air Lines, Inc., 7.00% | 0.6% |
Boeing Co., 5.15% | 0.6% |
First Republic Bank, 4.25% | 0.5% |
Top Ten Total | 15.5% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR (not rated) securities do not necessarily indicate low credit quality. |
* | Less than 0.01% |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 2.09% | 4.62% | 4.84% |
A-Class Shares with sales charge‡ | (2.01%) | 3.77% | 4.33% |
C-Class Shares | 1.34% | 3.84% | 4.08% |
C-Class Shares with CDSC§ | 0.36% | 3.84% | 4.08% |
Bloomberg U.S. Aggregate Bond Index | (0.90%) | 2.94% | 3.01% |
| 1 Year | 5 Year | Since |
P-Class Shares | 2.04% | 4.60% | 4.57% |
Bloomberg U.S. Aggregate Bond Index | (0.90%) | 2.94% | 3.13% |
| 1 Year | 5 Year | Since |
Institutional Class Shares | 2.34% | 4.92% | 5.03% |
Bloomberg U.S. Aggregate Bond Index | (0.90%) | 2.94% | 2.95% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only: performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculated performance for periods based on subscriptions made on or after October 1, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
CORE BOND FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 1.2% | ||||||||
Financial - 1.2% | ||||||||
Pershing Square Tontine Holdings Ltd. — Class A*,1 | 622,890 | $ | 12,270,933 | |||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 299,316 | 2,918,331 | ||||||
RXR Acquisition Corp. — Class A*,1 | 66,481 | 646,195 | ||||||
TPG Pace Beneficial II Corp.*,1 | 55,056 | 538,998 | ||||||
MSD Acquisition Corp. — Class A*,1 | 46,697 | 452,961 | ||||||
AfterNext HealthTech Acquisition Corp.*,1 | 38,300 | 381,468 | ||||||
Conyers Park III Acquisition Corp.*,1 | 35,600 | 356,356 | ||||||
TPG Pace Solutions Corp.*,1 | 31,926 | 320,856 | ||||||
Waverley Capital Acquisition Corp. 1*,1 | 28,200 | 278,052 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 24,900 | 241,032 | ||||||
Blue Whale Acquisition Corp. I*,1 | 20,700 | 205,344 | ||||||
Colicity, Inc. — Class A*,1 | 20,290 | 198,233 | ||||||
Colicity, Inc.*,1 | 4,280 | 42,458 | ||||||
RXR Acquisition Corp.*,1 | 1,034 | 10,185 | ||||||
Total Financial | 18,861,402 | |||||||
Communications - 0.0% | ||||||||
Figs, Inc. — Class A* | 12,590 | 467,593 | ||||||
Industrial - 0.0% | ||||||||
Constar International Holdings LLC*,††† | 68 | — | ||||||
Total Common Stocks | ||||||||
(Cost $18,968,668) | 19,328,995 | |||||||
PREFERRED STOCKS†† - 3.3% | ||||||||
Financial - 3.3% | ||||||||
First Republic Bank | ||||||||
4.25% | 372,000 | 9,337,200 | ||||||
4.13% | 53,200 | 1,329,468 | ||||||
W R Berkley Corp. | ||||||||
4.13% due 03/30/61 | 284,159 | 7,558,630 | ||||||
4.25% due 09/30/60 | 13,301 | 360,723 | ||||||
Wells Fargo & Co. | ||||||||
4.38% | 210,000 | 5,355,000 | ||||||
4.70% | 148,000 | 3,889,440 | ||||||
Globe Life, Inc. 4.25% due 06/15/61 | 160,000 | 4,075,200 | ||||||
Bank of America Corp. | ||||||||
4.13% | 148,000 | 3,805,080 | ||||||
4.38% | 106,000 | 2,793,100 | ||||||
Public Storage | ||||||||
4.63% | 112,044 | 3,056,560 | ||||||
4.13% | 22,087 | 576,471 | ||||||
Arch Capital Group Ltd. 4.55% | 102,000 | 2,672,400 | ||||||
American Financial Group, Inc. 4.50% due 09/15/60 | 78,228 | 2,134,842 | ||||||
PartnerRe Ltd. 4.88% | 78,457 | 2,101,863 | ||||||
RenaissanceRe Holdings Ltd. 4.20% | 82,000 | 2,041,800 | ||||||
JPMorgan Chase & Co. 4.63% | 76,000 | 2,006,400 | ||||||
CNO Financial Group, Inc. 5.13% due 11/25/60 | 48,000 | 1,279,200 | ||||||
Assurant, Inc. 5.25% due 01/15/61 | 38,000 | 1,026,760 | ||||||
Total Financial | 55,400,137 | |||||||
Industrial - 0.0% | ||||||||
Constar International Holdings LLC*,††† | 7 | — | ||||||
Total Preferred Stocks | ||||||||
(Cost $53,286,900) | 55,400,137 | |||||||
WARRANTS† - 0.0% | ||||||||
Pershing Square Tontine Holdings, Ltd. | ||||||||
Expiring 07/24/251 | 69,210 | 89,281 | ||||||
KKR Acquisition Holdings I Corp. - Class A | ||||||||
Expiring 12/31/271 | 74,828 | 71,827 | ||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 12/31/27 | 6,510 | 22,069 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/231 | 9,339 | 10,740 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/261 | 13,294 | 9,971 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/261 | 8,300 | 7,636 | ||||||
Colicity, Inc. | ||||||||
Expiring 12/31/271 | 4,056 | 3,366 | ||||||
Total Warrants | ||||||||
(Cost $501,045) | 214,890 | |||||||
CLOSED-END FUNDS† - 0.2% | ||||||||
BlackRock MuniHoldings California Quality Fund, Inc. | 117,258 | 1,837,433 | ||||||
BlackRock MuniYield California Quality Fund, Inc. | 100,717 | 1,600,393 | ||||||
Total Closed-End Funds | ||||||||
(Cost $3,225,498) | 3,437,826 | |||||||
MONEY MARKET FUND† - 1.6% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2 | 25,808,660 | 25,808,660 | ||||||
Total Money Market Fund | ||||||||
(Cost $25,808,660) | 25,808,660 | |||||||
Face | ||||||||
CORPORATE BONDS†† - 42.9% | ||||||||
Financial - 20.1% | ||||||||
Pershing Square Holdings Ltd. | ||||||||
3.25% due 10/01/31 | 6,200,000 | 6,189,646 | ||||||
3.25% due 11/15/303 | 4,500,000 | 4,533,062 | ||||||
5.50% due 07/15/223 | 2,000,000 | 2,061,552 | ||||||
Wells Fargo & Co. | ||||||||
3.07% due 04/30/414 | 8,550,000 | 8,766,909 | ||||||
3.90% 4,5 | 3,250,000 | 3,351,562 | ||||||
JPMorgan Chase & Co. | ||||||||
3.11% due 04/22/414 | 3,530,000 | 3,634,202 | ||||||
3.65% 4,5 | 2,350,000 | 2,352,937 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
2.52% due 04/22/314 | 2,210,000 | $ | 2,252,252 | |||||
2.96% due 05/13/314 | 1,870,000 | 1,942,246 | ||||||
4.49% due 03/24/314 | 1,600,000 | 1,865,145 | ||||||
Bank of America Corp. | ||||||||
2.59% due 04/29/314 | 6,900,000 | 7,034,852 | ||||||
2.68% due 06/19/414 | 2,650,000 | 2,552,665 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
4.35% due 04/30/503 | 7,410,000 | 8,419,677 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.13% due 12/15/513,4 | 5,800,000 | 5,956,309 | ||||||
3.95% due 05/15/603 | 2,150,000 | 2,380,682 | ||||||
Charles Schwab Corp. | ||||||||
4.00% 4,5 | 8,000,000 | 8,227,680 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
3.30% due 05/15/503 | 7,750,000 | 8,125,060 | ||||||
Nippon Life Insurance Co. | ||||||||
2.75% due 01/21/513,4 | 8,150,000 | 7,976,812 | ||||||
BPCE S.A. | ||||||||
2.28% due 01/20/323,4 | 8,200,000 | 7,955,325 | ||||||
Macquarie Bank Ltd. | ||||||||
3.62% due 06/03/303 | 7,470,000 | 7,832,928 | ||||||
Wilton RE Ltd. | ||||||||
6.00% †††,3,4,5 | 6,350,000 | 6,925,628 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.75% due 05/07/253 | 6,170,000 | 6,465,994 | ||||||
GLP Capital Limited Partnership / GLP Financing II, Inc. | ||||||||
4.00% due 01/15/31 | 3,600,000 | 3,884,436 | ||||||
5.30% due 01/15/29 | 1,900,000 | 2,221,406 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.00% due 06/15/27 | 5,036,000 | 5,797,077 | ||||||
Markel Corp. | ||||||||
6.00% 4,5 | 5,210,000 | 5,772,680 | ||||||
Reinsurance Group of America, Inc. | ||||||||
3.15% due 06/15/30 | 5,350,000 | 5,681,629 | ||||||
GA Global Funding Trust | ||||||||
1.63% due 01/15/263 | 5,450,000 | 5,495,636 | ||||||
American International Group, Inc. | ||||||||
4.38% due 06/30/50 | 4,280,000 | 5,256,922 | ||||||
Fidelity National Financial, Inc. | ||||||||
3.40% due 06/15/30 | 3,630,000 | 3,894,321 | ||||||
2.45% due 03/15/31 | 1,210,000 | 1,202,100 | ||||||
Allianz SE | ||||||||
3.20% 3,4,5 | 5,000,000 | 4,850,000 | ||||||
Citigroup, Inc. | ||||||||
2.57% due 06/03/314 | 4,690,000 | 4,775,404 | ||||||
Intercontinental Exchange, Inc. | ||||||||
3.00% due 06/15/50 | 2,430,000 | 2,395,662 | ||||||
2.65% due 09/15/40 | 2,400,000 | 2,292,862 | ||||||
Five Corners Funding Trust II | ||||||||
2.85% due 05/15/303 | 4,332,000 | 4,523,526 | ||||||
Fairfax Financial Holdings Ltd. | ||||||||
3.38% due 03/03/313 | 4,300,000 | 4,453,765 | ||||||
Iron Mountain, Inc. | ||||||||
5.25% due 07/15/303 | 2,350,000 | 2,493,890 | ||||||
5.63% due 07/15/323 | 1,000,000 | 1,072,500 | ||||||
4.50% due 02/15/313 | 850,000 | 862,155 | ||||||
BlackRock, Inc. | ||||||||
1.90% due 01/28/31 | 4,400,000 | 4,360,041 | ||||||
Old Republic International Corp. | ||||||||
3.85% due 06/11/51 | 4,020,000 | 4,332,747 | ||||||
PartnerRe Finance B LLC | ||||||||
4.50% due 10/01/504 | 4,040,000 | 4,255,765 | ||||||
Standard Chartered plc | ||||||||
4.64% due 04/01/313,4 | 3,550,000 | 4,090,875 | ||||||
Crown Castle International Corp. | ||||||||
2.90% due 04/01/41 | 2,800,000 | 2,693,113 | ||||||
3.30% due 07/01/30 | 1,149,000 | 1,223,483 | ||||||
OneAmerica Financial Partners, Inc. | ||||||||
4.25% due 10/15/503 | 3,620,000 | 3,843,998 | ||||||
Host Hotels & Resorts, LP | ||||||||
3.50% due 09/15/30 | 3,685,000 | 3,824,006 | ||||||
National Australia Bank Ltd. | ||||||||
2.99% due 05/21/313 | 2,350,000 | 2,375,361 | ||||||
2.33% due 08/21/303 | 1,500,000 | 1,448,448 | ||||||
Ares Finance Company II LLC | ||||||||
3.25% due 06/15/303 | 3,660,000 | 3,817,598 | ||||||
Aflac, Inc. | ||||||||
3.60% due 04/01/30 | 3,350,000 | 3,742,458 | ||||||
MetLife, Inc. | ||||||||
3.85% 4,5 | 3,520,000 | 3,691,600 | ||||||
KKR Group Finance Company VI LLC | ||||||||
3.75% due 07/01/293 | 3,230,000 | 3,584,086 | ||||||
First American Financial Corp. | ||||||||
4.00% due 05/15/30 | 3,180,000 | 3,510,677 | ||||||
Brookfield Finance, Inc. | ||||||||
3.50% due 03/30/51 | 2,550,000 | 2,657,620 | ||||||
4.70% due 09/20/47 | 650,000 | 785,334 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/313 | 3,150,000 | 3,177,562 | ||||||
Arch Capital Group Ltd. | ||||||||
3.64% due 06/30/50 | 2,900,000 | 3,154,983 | ||||||
Alleghany Corp. | ||||||||
3.63% due 05/15/30 | 2,850,000 | 3,122,754 | ||||||
UBS Group AG | ||||||||
2.10% due 02/11/323,4 | 2,950,000 | 2,866,843 | ||||||
KKR Group Finance Company VIII LLC | ||||||||
3.50% due 08/25/503 | 2,660,000 | 2,799,032 | ||||||
Belrose Funding Trust | ||||||||
2.33% due 08/15/303 | 2,780,000 | 2,739,275 | ||||||
Jefferies Group LLC | ||||||||
2.75% due 10/15/32 | 2,720,000 | 2,721,929 | ||||||
Everest Reinsurance Holdings, Inc. | ||||||||
3.50% due 10/15/50 | 2,560,000 | 2,716,399 | ||||||
Equitable Holdings, Inc. | ||||||||
7.00% due 04/01/28 | 2,050,000 | 2,610,495 | ||||||
Sumitomo Life Insurance Co. | ||||||||
3.38% due 04/15/813,4 | 2,500,000 | 2,595,325 |
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
Visa, Inc. | ||||||||
2.00% due 08/15/50 | 3,000,000 | $ | 2,578,745 | |||||
Massachusetts Mutual Life Insurance Co. | ||||||||
3.38% due 04/15/503 | 2,450,000 | 2,559,347 | ||||||
Societe Generale S.A. | ||||||||
2.89% due 06/09/323,4 | 2,500,000 | 2,511,221 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/283 | 2,450,000 | 2,486,750 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.50% due 04/01/25 | 2,250,000 | 2,418,213 | ||||||
Assured Guaranty US Holdings, Inc. | ||||||||
3.15% due 06/15/31 | 1,450,000 | 1,518,766 | ||||||
3.60% due 09/15/51 | 800,000 | 811,279 | ||||||
Assurant, Inc. | ||||||||
2.65% due 01/15/32 | 2,300,000 | 2,276,954 | ||||||
FS KKR Capital Corp. | ||||||||
2.63% due 01/15/27 | 2,150,000 | 2,154,227 | ||||||
Safehold Operating Partnership, LP | ||||||||
2.80% due 06/15/31 | 2,150,000 | 2,153,446 | ||||||
Americo Life, Inc. | ||||||||
3.45% due 04/15/313 | 2,060,000 | 2,072,473 | ||||||
HS Wildcat LLC | ||||||||
3.83% due 12/31/50††† | 2,000,000 | 1,997,060 | ||||||
Macquarie Group Ltd. | ||||||||
2.69% due 06/23/323,4 | 2,000,000 | 1,994,660 | ||||||
QBE Insurance Group Ltd. | ||||||||
5.88% 3,4,5 | 1,750,000 | 1,951,250 | ||||||
Lincoln National Corp. | ||||||||
4.38% due 06/15/50 | 1,580,000 | 1,909,520 | ||||||
Manulife Financial Corp. | ||||||||
2.48% due 05/19/27 | 1,800,000 | 1,882,110 | ||||||
Fifth Third Bancorp | ||||||||
2.55% due 05/05/27 | 1,750,000 | 1,838,692 | ||||||
Global Atlantic Finance Co. | ||||||||
3.13% due 06/15/313 | 1,800,000 | 1,823,093 | ||||||
Dyal Capital Partners III | ||||||||
4.40% due 06/15/40††† | 1,750,000 | 1,804,635 | ||||||
AmFam Holdings, Inc. | ||||||||
2.81% due 03/11/313 | 1,750,000 | 1,790,871 | ||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
2.57% due 11/25/353,4 | 1,800,000 | 1,745,684 | ||||||
Kemper Corp. | ||||||||
2.40% due 09/30/30 | 1,510,000 | 1,493,487 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75% due 05/15/283 | 1,349,000 | 1,463,665 | ||||||
Raymond James Financial, Inc. | ||||||||
3.75% due 04/01/51 | 1,300,000 | 1,443,687 | ||||||
Prudential Financial, Inc. | ||||||||
3.70% due 10/01/504 | 1,160,000 | 1,207,694 | ||||||
Bank of New York Mellon Corp. | ||||||||
4.70% 4,5 | 1,060,000 | 1,163,350 | ||||||
Camden Property Trust | ||||||||
2.80% due 05/15/30 | 1,100,000 | 1,159,432 | ||||||
Central Storage Safety Project Trust | ||||||||
4.82% due 02/01/386 | 970,560 | 1,093,342 | ||||||
Westpac Banking Corp. | ||||||||
2.96% due 11/16/40 | 1,100,000 | 1,086,965 | ||||||
Kuvare US Holdings, Inc. | ||||||||
7.00% due 02/17/513,4 | 1,000,000 | 1,078,439 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.22% due 09/17/31 | 1,050,000 | 1,032,096 | ||||||
Weyerhaeuser Co. | ||||||||
4.00% due 04/15/30 | 911,000 | 1,028,046 | ||||||
Depository Trust & Clearing Corp. | ||||||||
3.38% 3,4,5 | 1,000,000 | 1,019,700 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
3.80% due 04/29/613 | 950,000 | 985,459 | ||||||
W R Berkley Corp. | ||||||||
4.00% due 05/12/50 | 850,000 | 976,662 | ||||||
Apollo Management Holdings, LP | ||||||||
2.65% due 06/05/303 | 930,000 | 938,158 | ||||||
Western & Southern Life Insurance Co. | ||||||||
3.75% due 04/28/613 | 850,000 | 914,490 | ||||||
Nasdaq, Inc. | ||||||||
3.25% due 04/28/50 | 850,000 | 854,327 | ||||||
CNO Financial Group, Inc. | ||||||||
5.25% due 05/30/29 | 700,000 | 820,267 | ||||||
Brown & Brown, Inc. | ||||||||
2.38% due 03/15/31 | 800,000 | 796,599 | ||||||
Protective Life Corp. | ||||||||
3.40% due 01/15/303 | 740,000 | 785,996 | ||||||
Aviation Capital Group LLC | ||||||||
2.88% due 01/20/223 | 700,000 | 703,658 | ||||||
New York Life Insurance Co. | ||||||||
3.75% due 05/15/503 | 600,000 | 670,630 | ||||||
Brookfield Finance LLC | ||||||||
3.45% due 04/15/50 | 470,000 | 483,599 | ||||||
Hanover Insurance Group, Inc. | ||||||||
2.50% due 09/01/30 | 480,000 | 481,381 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | ||||||||
5.50% due 05/01/253 | 400,000 | 454,331 | ||||||
KKR Group Finance Company III LLC | ||||||||
5.13% due 06/01/443 | 100,000 | 128,998 | ||||||
Total Financial | 333,014,357 | |||||||
Consumer, Non-cyclical - 4.8% | ||||||||
Altria Group, Inc. | ||||||||
3.70% due 02/04/51 | 4,650,000 | 4,392,006 | ||||||
3.40% due 05/06/30 | 3,110,000 | 3,287,660 | ||||||
2.35% due 05/06/25 | 1,180,000 | 1,223,069 | ||||||
4.45% due 05/06/50 | 390,000 | 408,922 | ||||||
CoStar Group, Inc. | ||||||||
2.80% due 07/15/303 | 5,810,000 | 5,902,990 | ||||||
Quanta Services, Inc. | ||||||||
2.90% due 10/01/30 | 4,175,000 | 4,314,111 | ||||||
BAT Capital Corp. | ||||||||
3.98% due 09/25/50 | 2,800,000 | 2,708,158 | ||||||
4.70% due 04/02/27 | 1,410,000 | 1,592,090 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
3.55% due 03/20/30 | 3,850,000 | 4,206,742 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
Sysco Corp. | ||||||||
5.95% due 04/01/30 | 3,176,000 | $ | 4,036,059 | |||||
Royalty Pharma plc | ||||||||
3.55% due 09/02/50 | 2,690,000 | 2,636,037 | ||||||
2.20% due 09/02/30 | 1,410,000 | 1,376,821 | ||||||
Smithfield Foods, Inc. | ||||||||
2.63% due 09/13/313 | 2,400,000 | 2,330,380 | ||||||
3.00% due 10/15/303 | 970,000 | 975,310 | ||||||
Alcon Finance Corp. | ||||||||
2.60% due 05/27/303 | 2,833,000 | 2,889,720 | ||||||
BECLE, S.A.B. DE C.V | ||||||||
2.50% due 10/14/31 | 2,700,000 | 2,672,352 | ||||||
Kraft Heinz Foods Co. | ||||||||
5.50% due 06/01/50 | 1,250,000 | 1,645,603 | ||||||
7.13% due 08/01/393 | 650,000 | 981,163 | ||||||
California Institute of Technology | ||||||||
3.65% due 09/01/19 | 2,000,000 | 2,252,921 | ||||||
Triton Container International Ltd. | ||||||||
3.15% due 06/15/313 | 2,100,000 | 2,117,296 | ||||||
Yale-New Haven Health Services Corp. | ||||||||
2.50% due 07/01/50 | 2,250,000 | 2,080,116 | ||||||
Emory University | ||||||||
2.97% due 09/01/50 | 2,000,000 | 2,073,518 | ||||||
Global Payments, Inc. | ||||||||
2.90% due 05/15/30 | 1,620,000 | 1,669,763 | ||||||
Health Care Service Corporation A Mutual Legal Reserve Co. | ||||||||
3.20% due 06/01/503 | 1,480,000 | 1,518,041 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
6.63% due 08/15/33 | 1,100,000 | 1,513,871 | ||||||
Kimberly-Clark de Mexico SAB de CV | ||||||||
2.43% due 07/01/313 | 1,500,000 | 1,495,050 | ||||||
Johnson & Johnson | ||||||||
2.45% due 09/01/60 | 1,500,000 | 1,394,559 | ||||||
Universal Health Services, Inc. | ||||||||
2.65% due 10/15/303 | 1,320,000 | 1,325,993 | ||||||
Transurban Finance Company Pty Ltd. | ||||||||
2.45% due 03/16/313 | 1,300,000 | 1,301,086 | ||||||
Cheplapharm Arzneimittel GmbH | ||||||||
4.38% due 01/15/28 | EUR 1,000,000 | 1,203,290 | ||||||
Wisconsin Alumni Research Foundation | ||||||||
3.56% due 10/01/49 | 1,000,000 | 1,094,423 | ||||||
OhioHealth Corp. | ||||||||
3.04% due 11/15/50 | 1,000,000 | 1,029,767 | ||||||
Johns Hopkins University | ||||||||
2.81% due 01/01/60 | 1,000,000 | 1,014,499 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
2.96% due 01/01/50 | 1,000,000 | 1,010,040 | ||||||
California Endowment | ||||||||
2.50% due 04/01/51 | 1,000,000 | 960,057 | ||||||
Children’s Hospital Corp. | ||||||||
2.59% due 02/01/50 | 1,000,000 | 951,353 | ||||||
Children’s Health System of Texas | ||||||||
2.51% due 08/15/50 | 1,000,000 | 927,609 | ||||||
Duke University | ||||||||
2.83% due 10/01/55 | 897,000 | 915,401 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
3.38% due 08/31/273 | 925,000 | 889,387 | ||||||
Bimbo Bakeries USA, Inc. | ||||||||
4.00% due 05/17/513 | 800,000 | 864,686 | ||||||
GXO Logistics, Inc. | ||||||||
2.65% due 07/15/313 | 850,000 | 844,169 | ||||||
Moody’s Corp. | ||||||||
3.25% due 05/20/50 | 700,000 | 715,087 | ||||||
Total Consumer, Non-cyclical | 78,741,175 | |||||||
Industrial - 4.7% | ||||||||
Boeing Co. | ||||||||
5.15% due 05/01/30 | 8,000,000 | 9,369,598 | ||||||
5.71% due 05/01/40 | 4,380,000 | 5,578,806 | ||||||
5.81% due 05/01/50 | 3,440,000 | 4,569,113 | ||||||
5.04% due 05/01/27 | 2,150,000 | 2,472,031 | ||||||
3.63% due 02/01/31 | 1,450,000 | 1,551,574 | ||||||
2.20% due 02/04/26 | 1,000,000 | 1,008,688 | ||||||
Textron, Inc. | ||||||||
2.45% due 03/15/31 | 3,600,000 | 3,603,152 | ||||||
3.00% due 06/01/30 | 1,355,000 | 1,422,354 | ||||||
FLNG Liquefaction 3 LLC | ||||||||
3.08% due 06/30/39††† | 4,503,590 | 4,491,115 | ||||||
National Basketball Association | ||||||||
2.51% due 12/16/24††† | 4,000,000 | 4,120,800 | ||||||
Berry Global, Inc. | ||||||||
1.57% due 01/15/263 | 4,100,000 | 4,098,934 | ||||||
SYNNEX Corp. | ||||||||
2.65% due 08/09/313 | 2,550,000 | 2,490,994 | ||||||
2.38% due 08/09/283 | 1,600,000 | 1,582,836 | ||||||
Howmet Aerospace, Inc. | ||||||||
3.00% due 01/15/29 | 3,800,000 | 3,823,750 | ||||||
Vontier Corp. | ||||||||
2.95% due 04/01/313 | 3,450,000 | 3,428,299 | ||||||
Cellnex Finance Company S.A. | ||||||||
3.88% due 07/07/413 | 3,100,000 | 3,044,851 | ||||||
Flowserve Corp. | ||||||||
3.50% due 10/01/30 | 1,810,000 | 1,888,008 | ||||||
2.80% due 01/15/32 | 1,150,000 | 1,136,639 | ||||||
Acuity Brands Lighting, Inc. | ||||||||
2.15% due 12/15/30 | 3,000,000 | 2,924,947 | ||||||
Snap-on, Inc. | ||||||||
3.10% due 05/01/50 | 2,547,000 | 2,663,655 | ||||||
Owens Corning | ||||||||
3.88% due 06/01/30 | 2,380,000 | 2,621,300 | ||||||
IP Lending II Ltd. | ||||||||
3.65% due 07/15/25†††,3 | 2,450,000 | 2,441,008 | ||||||
GATX Corp. | ||||||||
4.00% due 06/30/30 | 2,110,000 | 2,351,787 | ||||||
CNH Industrial Capital LLC | ||||||||
1.88% due 01/15/26 | 1,880,000 | 1,904,571 | ||||||
Ryder System, Inc. | ||||||||
3.35% due 09/01/25 | 1,470,000 | 1,583,669 | ||||||
Amcor Flexibles North America, Inc. | ||||||||
2.63% due 06/19/30 | 1,230,000 | 1,254,580 |
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
Norfolk Southern Corp. | ||||||||
4.10% due 05/15/21 | 600,000 | $ | 671,616 | |||||
Oshkosh Corp. | ||||||||
3.10% due 03/01/30 | 240,000 | 252,007 | ||||||
Sonoco Products Co. | ||||||||
5.75% due 11/01/40 | 150,000 | 202,216 | ||||||
Total Industrial | 78,552,898 | |||||||
Consumer, Cyclical - 4.7% | ||||||||
Marriott International, Inc. | ||||||||
3.50% due 10/15/32 | 3,300,000 | 3,501,688 | ||||||
4.63% due 06/15/30 | 2,830,000 | 3,229,991 | ||||||
2.85% due 04/15/31 | 2,320,000 | 2,347,008 | ||||||
5.75% due 05/01/25 | 1,900,000 | 2,172,116 | ||||||
2.75% due 10/15/33 | 1,000,000 | 976,784 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00% due 05/01/253 | 8,800,000 | 10,262,457 | ||||||
Hyatt Hotels Corp. | ||||||||
5.38% due 04/23/25 | 3,950,000 | 4,410,504 | ||||||
5.75% due 04/23/30 | 3,010,000 | 3,609,909 | ||||||
Choice Hotels International, Inc. | ||||||||
3.70% due 01/15/31 | 7,340,000 | 7,914,795 | ||||||
Whirlpool Corp. | ||||||||
4.60% due 05/15/50 | 6,145,000 | 7,531,515 | ||||||
Smithsonian Institution | ||||||||
2.70% due 09/01/44 | 4,000,000 | 3,941,101 | ||||||
Alt-2 Structured Trust | ||||||||
2.95% due 05/14/31††† | 3,913,660 | 3,883,056 | ||||||
VF Corp. | ||||||||
2.95% due 04/23/30 | 3,306,000 | 3,476,428 | ||||||
Delta Air Lines Inc. / SkyMiles IP Ltd. | ||||||||
4.50% due 10/20/253 | 3,150,000 | 3,370,360 | ||||||
British Airways Class A Pass Through Trust | ||||||||
4.25% due 11/15/323 | 2,267,813 | 2,443,460 | ||||||
2.90% due 03/15/353 | 850,000 | 853,323 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/273 | 2,550,000 | 2,772,226 | ||||||
Steelcase, Inc. | ||||||||
5.13% due 01/18/29 | 2,224,000 | 2,556,427 | ||||||
BorgWarner, Inc. | ||||||||
2.65% due 07/01/27 | 2,310,000 | 2,433,403 | ||||||
Ferguson Finance plc | ||||||||
3.25% due 06/02/303 | 1,772,000 | 1,891,385 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
4.10% due 04/15/50 | 1,541,000 | 1,700,864 | ||||||
Northern Group Housing LLC | ||||||||
6.80% due 08/15/533 | 1,100,000 | 1,595,390 | ||||||
American Airlines Class AA Pass Through Trust | ||||||||
3.20% due 06/15/28 | 787,000 | 791,671 | ||||||
Lowe’s Companies, Inc. | ||||||||
1.70% due 09/15/28 | 450,000 | 445,622 | ||||||
JB Poindexter & Company, Inc. | ||||||||
7.13% due 04/15/263 | 200,000 | 210,500 | ||||||
Total Consumer, Cyclical | 78,321,983 | |||||||
Communications - 2.7% | ||||||||
ViacomCBS, Inc. | ||||||||
4.95% due 01/15/31 | 4,478,000 | 5,343,734 | ||||||
4.95% due 05/19/50 | 2,490,000 | 3,110,376 | ||||||
4.75% due 05/15/25 | 2,260,000 | 2,529,327 | ||||||
2.90% due 01/15/27 | 450,000 | 477,800 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
2.80% due 04/01/31 | 4,525,000 | 4,529,986 | ||||||
3.90% due 06/01/52 | 3,350,000 | 3,322,257 | ||||||
2.25% due 01/15/29 | 2,400,000 | 2,395,889 | ||||||
T-Mobile USA, Inc. | ||||||||
3.88% due 04/15/30 | 4,750,000 | 5,253,072 | ||||||
Level 3 Financing, Inc. | ||||||||
4.25% due 07/01/283 | 2,175,000 | 2,191,813 | ||||||
3.88% due 11/15/293 | 1,150,000 | 1,229,695 | ||||||
AT&T, Inc. | ||||||||
2.75% due 06/01/31 | 3,200,000 | 3,278,349 | ||||||
Vodafone Group plc | ||||||||
4.13% due 06/04/814 | 2,550,000 | 2,581,977 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.50% due 08/15/303 | 2,350,000 | 2,388,188 | ||||||
Walt Disney Co. | ||||||||
3.80% due 05/13/60 | 2,000,000 | 2,304,175 | ||||||
Amazon.com, Inc. | ||||||||
2.70% due 06/03/60 | 1,610,000 | 1,509,835 | ||||||
VeriSign, Inc. | ||||||||
2.70% due 06/15/31 | 1,200,000 | 1,219,608 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/303 | 600,000 | 588,750 | ||||||
Fox Corp. | ||||||||
3.05% due 04/07/25 | 450,000 | 478,788 | ||||||
Altice France S.A. | ||||||||
5.13% due 01/15/293 | 250,000 | 245,000 | ||||||
British Telecommunications plc | ||||||||
9.63% due 12/15/30 | 150,000 | 229,359 | ||||||
Telenet Finance Luxembourg Notes SARL | ||||||||
5.50% due 03/01/28 | 200,000 | 210,100 | ||||||
Total Communications | 45,418,078 | |||||||
Energy - 2.4% | ||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
3.25% due 09/30/403 | 6,250,000 | 6,300,590 | ||||||
2.94% due 09/30/403 | 4,000,000 | 3,991,659 | ||||||
BP Capital Markets plc | ||||||||
4.88%4,5 | 7,530,000 | 8,277,429 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.50% due 05/15/30 | 4,190,000 | 4,824,812 | ||||||
Qatar Petroleum | ||||||||
3.13% due 07/12/413 | 2,375,000 | 2,373,860 | ||||||
3.30% due 07/12/513 | 2,350,000 | 2,373,500 | ||||||
Magellan Midstream Partners, LP | ||||||||
3.95% due 03/01/50 | 2,000,000 | 2,124,972 | ||||||
3.25% due 06/01/30 | 1,500,000 | 1,601,783 | ||||||
Valero Energy Corp. | ||||||||
2.15% due 09/15/27 | 950,000 | 956,149 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
2.85% due 04/15/25 | 750,000 | $ | 789,642 | |||||
4.00% due 04/01/29 | 500,000 | 549,210 | ||||||
Chevron USA, Inc. | ||||||||
2.34% due 08/12/50 | 1,850,000 | 1,662,726 | ||||||
Florida Gas Transmission Company LLC | ||||||||
2.55% due 07/01/303 | 1,000,000 | 1,010,346 | ||||||
NuStar Logistics, LP | ||||||||
6.38% due 10/01/30 | 700,000 | 770,000 | ||||||
6.00% due 06/01/26 | 200,000 | 216,000 | ||||||
Midwest Connector Capital Company LLC | ||||||||
4.63% due 04/01/293 | 910,000 | 977,337 | ||||||
Baker Hughes a GE Company LLC / Baker Hughes Co-Obligor, Inc. | ||||||||
4.49% due 05/01/30 | 410,000 | 479,162 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
2.74% due 12/31/393 | 450,000 | 445,074 | ||||||
Phillips 66 | ||||||||
3.70% due 04/06/23 | 250,000 | 261,857 | ||||||
Total Energy | 39,986,108 | |||||||
Technology - 1.3% | ||||||||
Broadcom, Inc. | ||||||||
4.15% due 11/15/30 | 4,230,000 | 4,684,216 | ||||||
2.45% due 02/15/313 | 3,700,000 | 3,584,450 | ||||||
NetApp, Inc. | ||||||||
2.70% due 06/22/30 | 3,507,000 | 3,600,210 | ||||||
Leidos, Inc. | ||||||||
2.30% due 02/15/31 | 2,350,000 | 2,296,067 | ||||||
3.63% due 05/15/25 | 600,000 | 646,908 | ||||||
4.38% due 05/15/30 | 200,000 | 226,812 | ||||||
Oracle Corp. | ||||||||
3.95% due 03/25/51 | 2,450,000 | 2,596,228 | ||||||
Apple, Inc. | ||||||||
2.55% due 08/20/60 | 1,550,000 | 1,409,507 | ||||||
CGI, Inc. | ||||||||
2.30% due 09/14/313 | 1,300,000 | 1,261,470 | ||||||
Analog Devices, Inc. | ||||||||
2.95% due 04/01/25 | 400,000 | 426,549 | ||||||
Total Technology | 20,732,417 | |||||||
Utilities - 1.1% | ||||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
3.52% due 12/31/39††† | 6,700,000 | 6,763,583 | ||||||
Jersey Central Power & Light Co. | ||||||||
2.75% due 03/01/323 | 3,220,000 | 3,294,530 | ||||||
AES Corp. | ||||||||
3.95% due 07/15/303 | 1,760,000 | 1,935,331 | ||||||
NRG Energy, Inc. | ||||||||
2.45% due 12/02/273 | 1,750,000 | 1,774,577 | ||||||
Arizona Public Service Co. | ||||||||
3.35% due 05/15/50 | 1,300,000 | 1,352,316 | ||||||
Enel Finance International N.V. | ||||||||
2.88% due 07/12/413 | 1,250,000 | 1,215,119 | ||||||
Alexander Funding Trust | ||||||||
1.84% due 11/15/233 | 950,000 | 968,153 | ||||||
Total Utilities | 17,303,609 | |||||||
Basic Materials - 1.0% | ||||||||
Newcrest Finance Pty Ltd. | ||||||||
3.25% due 05/13/303 | 3,600,000 | 3,821,958 | ||||||
4.20% due 05/13/503 | 3,235,000 | 3,691,808 | ||||||
Anglo American Capital plc | ||||||||
5.63% due 04/01/303 | 3,400,000 | 4,099,688 | ||||||
3.95% due 09/10/503 | 970,000 | 1,034,942 | ||||||
2.63% due 09/10/303 | 250,000 | 248,055 | ||||||
WR Grace Holdings LLC | ||||||||
4.88% due 06/15/273 | 1,241,000 | 1,274,358 | ||||||
Yamana Gold, Inc. | ||||||||
2.63% due 08/15/313 | 1,200,000 | 1,170,933 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
2.15% due 08/15/30 | 810,000 | 791,033 | ||||||
Corporation Nacional del Cobre de Chile | ||||||||
3.75% due 01/15/313 | 680,000 | 727,401 | ||||||
Total Basic Materials | 16,860,176 | |||||||
Financial Institutions - 0.1% | ||||||||
Stadco LA, LLC | ||||||||
3.75% due 05/15/56††† | 2,000,000 | 1,960,620 | ||||||
Total Corporate Bonds | ||||||||
(Cost $683,469,046) | 710,891,421 | |||||||
ASSET-BACKED SECURITIES†† - 25.9% | ||||||||
Collateralized Loan Obligations - 17.2% | ||||||||
Octagon Investment Partners 49 Ltd. | ||||||||
2021-5A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/333,7 | 8,500,000 | 8,490,882 | ||||||
2021-5A, 2.18% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 01/15/333,7 | 7,450,000 | 7,452,530 | ||||||
Woodmont Trust | ||||||||
2020-7A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/323,7 | 12,000,000 | 12,067,506 | ||||||
2020-7A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/323,7 | 3,750,000 | 3,793,922 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/333,7 | 13,500,000 | 13,562,934 | ||||||
2020-3A, 2.63% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/333,7 | 2,000,000 | 2,017,081 | ||||||
Dryden 33 Senior Loan Fund | ||||||||
2020-33A, 2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/293,7 | 8,000,000 | 7,983,284 | ||||||
2020-33A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/293,7 | 4,196,027 | 4,195,317 |
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
2020-33A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/293,7 | 3,000,000 | $ | 2,994,296 | |||||
LoanCore Issuer Ltd. | ||||||||
2021-CRE5, 2.43% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 07/15/363,7 | 7,500,000 | 7,506,650 | ||||||
2021-CRE4, 2.67% (30 Day Average U.S. Secured Overnight Financing Rate + 2.61%, Rate Floor: 2.50%) due 07/15/353,7 | 4,426,000 | 4,434,900 | ||||||
2021-CRE4, 1.87% (30 Day Average U.S. Secured Overnight Financing Rate + 1.81%, Rate Floor: 1.70%) due 07/15/353,7 | 1,000,000 | 1,002,007 | ||||||
2018-CRE1, 1.21% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/283,7 | 440,733 | 440,579 | ||||||
Ares LVIII CLO Ltd. | ||||||||
2020-58A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/333,7 | 7,600,000 | 7,578,622 | ||||||
2020-58A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 01/15/333,7 | 3,750,000 | 3,751,952 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2021-3A, 2.67% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/293,7 | 2,000,000 | 2,001,522 | ||||||
2021-1A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/293,7 | 2,000,000 | 2,000,565 | ||||||
2021-1A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/293,7 | 2,000,000 | 1,992,301 | ||||||
2018-4A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/263,7 | 1,371,341 | 1,371,538 | ||||||
2018-4A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/15/263,7 | 1,000,000 | 1,000,511 | ||||||
2021-2A, 2.53% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/293,7 | 1,000,000 | 999,989 | ||||||
2019-3A, 0.98% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/273,7 | 618,009 | 618,062 | ||||||
Benefit Street Partners Clo XXII Ltd. | ||||||||
2020-22A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/20/323,7 | 8,700,000 | 8,699,310 | ||||||
2020-22A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 01/20/323,7 | 1,000,000 | 998,128 | ||||||
Dryden 36 Senior Loan Fund | ||||||||
2020-36A, 2.18% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/293,7 | 8,000,000 | 7,999,970 | ||||||
AMMC CLO XIV Ltd. | ||||||||
2021-14A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/293,7 | 8,000,000 | 7,999,595 | ||||||
Madison Park Funding XLVIII Ltd. | ||||||||
2021-48A, 2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/333,7 | 4,000,000 | 3,999,980 | ||||||
2021-48A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/333,7 | 4,000,000 | 3,954,253 | ||||||
MF1 Multifamily Housing Mortgage Loan Trust | ||||||||
2021-FL6, 2.64% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/363,7 | 4,000,000 | 4,045,184 | ||||||
2021-FL6, 1.94% (1 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/16/363,7 | 3,400,000 | 3,404,660 | ||||||
Golub Capital Partners CLO 33M Ltd. | ||||||||
2021-33A, 1.98% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/333,7 | 6,500,000 | 6,499,668 | ||||||
ABPCI Direct Lending Fund IX LLC | ||||||||
2020-9A, 2.08% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/313,7 | 5,000,000 | 5,015,030 | ||||||
2020-9A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/18/313,7 | 1,000,000 | 1,003,573 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A, 1.70% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/333,7 | 4,000,000 | 4,006,040 | ||||||
2021-16A, 1.89% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/333,7 | 2,000,000 | 2,010,022 | ||||||
MidOcean Credit CLO VII | ||||||||
2020-7A, 1.17% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/293,7 | 3,000,000 | 3,000,929 | ||||||
2020-7A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/293,7 | 2,000,000 | 1,997,149 | ||||||
2020-7A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/293,7 | 1,000,000 | 1,000,782 | ||||||
KREF Funding V LLC | ||||||||
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,7 | 5,638,506 | 5,581,558 | ||||||
0.15% due 06/25/26†††,8 | 21,818,182 | 26,837 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
Cerberus Loan Funding XXXII, LP | ||||||||
2021-2A, 1.75% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/333,7 | 4,250,000 | $ | 4,259,219 | |||||
2021-2A, 2.98% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/333,7 | 1,250,000 | 1,255,626 | ||||||
ABPCI Direct Lending Fund CLO II LLC | ||||||||
2021-1A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/323,7 | 5,500,000 | 5,493,003 | ||||||
Parliament Funding II Ltd. | ||||||||
2020-1A, 2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/303,7 | 4,000,000 | 4,014,903 | ||||||
2020-1A, 3.33% (3 Month USD LIBOR + 3.20%, Rate Floor: 3.20%) due 08/12/303,7 | 1,000,000 | 1,004,383 | ||||||
Cerberus Loan Funding XXXI, LP | ||||||||
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/323,7 | 4,500,000 | 4,500,891 | ||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/333,7 | 4,250,000 | 4,256,715 | ||||||
Venture XIV CLO Ltd. | ||||||||
2020-14A, 1.15% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/293,7 | 4,250,000 | 4,250,365 | ||||||
BXMT Ltd. | ||||||||
2020-FL2, 0.99% (30 Day Average U.S. Secured Overnight Financing Rate + 1.01%, Rate Floor: 0.90%) due 02/15/383,7 | 4,250,000 | 4,244,661 | ||||||
Golub Capital Partners CLO 36M Ltd. | ||||||||
2018-36A, 1.42% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/313,7 | 4,100,000 | 4,077,351 | ||||||
Fortress Credit Opportunities IX CLO Ltd. | ||||||||
2021-9A, due 10/15/333,7 | 3,250,000 | 3,250,000 | ||||||
2017-9A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/293,7 | 636,000 | 636,000 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A, 1.88% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/333,7 | 3,750,000 | 3,756,867 | ||||||
PFP Ltd. | ||||||||
2021-7, 2.50% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/383,7 | 3,749,813 | 3,754,597 | ||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/313,7 | 3,500,000 | 3,499,992 | ||||||
Owl Rock CLO IV Ltd. | ||||||||
2021-4A, 1.74% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/333,7 | 3,250,000 | 3,253,238 | ||||||
Wellfleet CLO Ltd. | ||||||||
2020-2A, 1.19% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/293,7 | 3,250,000 | 3,252,560 | ||||||
ABPCI Direct Lending Fund CLO V Ltd. | ||||||||
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/313,7 | 3,250,000 | 3,244,816 | ||||||
LCCM Trust | ||||||||
2021-FL2, 2.23% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 12/13/383,7 | 3,100,000 | 3,101,291 | ||||||
Whitebox CLO II Ltd. | ||||||||
2020-2A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/24/313,7 | 2,000,000 | 2,004,056 | ||||||
2020-2A, 2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/24/313,7 | 1,000,000 | 1,000,940 | ||||||
GoldenTree Loan Management US CLO 1 Ltd. | ||||||||
2021-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/333,7 | 3,000,000 | 2,980,860 | ||||||
Diamond CLO Ltd. | ||||||||
2021-1A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/293,7 | 1,500,000 | 1,498,878 | ||||||
2018-1A, 1.64% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/303,7 | 1,000,000 | 999,005 | ||||||
BRSP Ltd. | ||||||||
2021-FL1, 2.24% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/383,7 | 2,000,000 | 2,000,890 | ||||||
Ares LVII CLO Ltd. | ||||||||
2020-57A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/25/313,7 | 2,000,000 | 2,000,250 | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/333,7 | 2,000,000 | 1,999,994 | ||||||
Avery Point VI CLO Ltd. | ||||||||
2021-6A, 1.92% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 08/05/273,7 | 2,000,000 | 1,998,557 | ||||||
Apres Static CLO Ltd. | ||||||||
2020-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/283,7 | 2,000,000 | 1,996,949 |
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
Neuberger Berman Loan Advisers CLO 40 Ltd. | ||||||||
2021-40A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/333,7 | 2,000,000 | $ | 1,987,638 | |||||
Fortress Credit Opportunities XI CLO Ltd. | ||||||||
2018-11A, 1.43% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/313,7 | 2,000,000 | 1,984,562 | ||||||
Magnetite Xxix Ltd. | ||||||||
2021-29A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/343,7 | 2,000,000 | 1,975,930 | ||||||
Canyon Capital CLO Ltd. | ||||||||
2018-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/30/313,7 | 1,900,000 | 1,881,829 | ||||||
Denali Capital CLO XI Ltd. | ||||||||
2018-1A, 1.26% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/283,7 | 1,792,798 | 1,792,814 | ||||||
GPMT Ltd. | ||||||||
2019-FL2, 1.38% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/363,7 | 1,576,790 | 1,575,945 | ||||||
Shackleton CLO Ltd. | ||||||||
2018-6RA, 1.15% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/283,7 | 1,512,481 | 1,511,765 | ||||||
OCP CLO Ltd. | ||||||||
2020-4A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/293,7 | 1,500,000 | 1,500,087 | ||||||
Allegro CLO IX Ltd. | ||||||||
2018-3A, 1.29% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/313,7 | 1,500,000 | 1,500,022 | ||||||
Marathon CLO V Ltd. | ||||||||
2017-5A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/273,7 | 1,000,000 | 999,048 | ||||||
2017-5A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/273,7 | 499,860 | 499,524 | ||||||
Golub Capital Partners CLO 54M L.P | ||||||||
2021-54A, 1.97% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/333,7 | 1,500,000 | 1,495,521 | ||||||
STWD Ltd. | ||||||||
2019-FL1, 2.43% (30 Day Average U.S. Secured Overnight Financing Rate + 2.46%, Rate Floor: 2.35%) due 07/15/383,7 | 1,459,000 | 1,459,834 | ||||||
Voya CLO Ltd. | ||||||||
2020-1A, 1.19% (3 Month USD LIBOR + 1.06%, Rate Floor: 1.06%) due 04/15/313,7 | 1,250,000 | 1,249,622 | ||||||
KREF | ||||||||
2021-FL2, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/393,7 | 1,000,000 | 1,000,438 | ||||||
Owl Rock CLO I Ltd. | ||||||||
2019-1A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/313,7 | 1,000,000 | 1,000,317 | ||||||
Owl Rock CLO II Ltd. | ||||||||
2021-2A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/333,7 | 1,000,000 | 997,720 | ||||||
Northwoods Capital XII-B Ltd. | ||||||||
2018-12BA, 1.97% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/313,7 | 1,000,000 | 989,936 | ||||||
NewStar Fairfield Fund CLO Ltd. | ||||||||
2018-2A, 1.40% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/303,7 | 989,329 | 981,436 | ||||||
Newfleet CLO Ltd. | ||||||||
2018-1A, 1.08% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/283,7 | 930,622 | 930,044 | ||||||
KVK CLO Ltd. | ||||||||
2018-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.00%) due 05/20/293,7 | 514,823 | 514,421 | ||||||
2017-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/283,7 | 338,075 | 338,076 | ||||||
Dryden 37 Senior Loan Fund | ||||||||
2015-37A, due 01/15/313,9 | 1,000,000 | 846,924 | ||||||
ACRE Commercial Mortgage Ltd. | ||||||||
2021-FL4, 2.69% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/373,7 | 773,000 | 772,999 | ||||||
610 Funding CLO 3 Ltd. | ||||||||
2018-3A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/283,7 | 753,183 | 753,214 | ||||||
Golub Capital Partners CLO 17 Ltd. | ||||||||
2017-17A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/303,7 | 750,000 | 750,103 | ||||||
Wind River CLO Ltd. | ||||||||
2017-2A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/273,7 | 465,467 | 465,426 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A, due 10/20/283,9 | 500,000 | 408,253 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
Halcyon Loan Advisors Funding Ltd. | ||||||||
2017-3A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/273,7 | 386,324 | $ | 386,280 | |||||
TCP Waterman CLO Ltd. | ||||||||
2016-1A, 2.17% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 12/15/283,7 | 165,794 | 165,793 | ||||||
Babson CLO Ltd. | ||||||||
2014-IA, due 07/20/253,9 | 650,000 | 76,570 | ||||||
Mountain View CLO Ltd. | ||||||||
2018-1A, 0.93% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/263,7 | 43,251 | 43,245 | ||||||
Copper River CLO Ltd. | ||||||||
2007-1A, due 01/20/216,9 | 700,000 | 23,961 | ||||||
Total Collateralized Loan Obligations | 284,945,772 | |||||||
Financial - 2.5% | ||||||||
Station Place Securitization Trust | ||||||||
2020-16, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,3,7 | 11,500,000 | 11,500,000 | ||||||
2021-3, 0.98% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,3,7 | 7,000,000 | 7,000,000 | ||||||
2021-SP1, 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,3,7 | 2,000,000 | 2,000,000 | ||||||
2021-WL1, 2.59% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/26/54†††,3,7 | 1,400,000 | 1,400,000 | ||||||
2021-WL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 01/26/54†††,3,7 | 1,000,000 | 1,000,000 | ||||||
2021-WL1, 0.94% (1 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 01/26/54†††,3,7 | 1,000,000 | 1,000,000 | ||||||
2021-WL1, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 01/26/54†††,3,7 | 1,000,000 | 1,000,000 | ||||||
2021-WL2, 2.09% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 03/25/54†††,3,7 | 250,000 | 250,000 | ||||||
2021-WL2, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 03/25/54†††,3,7 | 150,000 | 150,000 | ||||||
Strategic Partners Fund VIII LP | ||||||||
3.09% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/10/25†††,7 | 3,500,000 | 3,500,315 | ||||||
2.59% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/10/25†††,7 | 1,300,000 | 1,300,026 | ||||||
HarbourVest Structured Solutions IV Holdings, LP | ||||||||
due 09/15/26 | 2,900,000 | 3,058,480 | ||||||
Madison Avenue Secured Funding Trust Series | ||||||||
2020-1, 1.71% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,3,7 | 3,000,000 | 3,000,000 | ||||||
Aesf Vi Verdi, LP | ||||||||
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24†††,7 | EUR | 2,163,556 | 2,505,134 | |||||
KKR Core Holding Company LLC | ||||||||
4.00% due 07/15/31††† | 1,050,000 | 1,035,825 | ||||||
Nassau LLC | ||||||||
2019-1, 3.98% due 08/15/343 | 1,017,433 | 1,028,243 | ||||||
Total Financial | 40,728,023 | |||||||
Whole Business - 1.9% | ||||||||
Domino’s Pizza Master Issuer LLC | ||||||||
2017-1A, 4.12% due 07/25/473 | 6,755,000 | 7,249,750 | ||||||
2021-1A, 3.15% due 04/25/513 | 997,500 | 1,051,371 | ||||||
Arbys Funding LLC | ||||||||
2020-1A, 3.24% due 07/30/503 | 6,682,500 | 6,927,547 | ||||||
Taco Bell Funding LLC | ||||||||
2016-1A, 4.97% due 05/25/463 | 3,590,625 | 3,845,326 | ||||||
2021-1A, 2.29% due 08/25/513 | 1,500,000 | 1,493,104 | ||||||
ServiceMaster Funding LLC | ||||||||
2020-1, 2.84% due 01/30/513 | 3,980,000 | 4,049,097 | ||||||
DB Master Finance LLC | ||||||||
2019-1A, 4.35% due 05/20/493 | 3,675,000 | 3,991,462 | ||||||
SERVPRO Master Issuer LLC | ||||||||
2021-1A, 2.39% due 04/25/513 | 1,995,000 | 2,003,195 | ||||||
Wendy’s Funding LLC | ||||||||
2019-1A, 3.78% due 06/15/493 | 1,365,180 | 1,442,661 | ||||||
Total Whole Business | 32,053,513 | |||||||
Transport-Aircraft - 1.4% | ||||||||
Castlelake Aircraft Structured Trust | ||||||||
2021-1A, 3.47% due 01/15/463 | 5,235,845 | 5,407,995 | ||||||
AASET US Ltd. | ||||||||
2018-2A, 4.45% due 11/18/383 | 3,358,511 | 3,262,129 | ||||||
MACH 1 Cayman Ltd. | ||||||||
2019-1, 3.47% due 10/15/393 | 2,426,840 | 2,421,190 | ||||||
AASET Trust | ||||||||
2020-1A, 3.35% due 01/16/403 | 1,821,563 | 1,800,560 | ||||||
2017-1A, 3.97% due 05/16/423 | 354,809 | 325,341 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
2020-1A, 3.23% due 03/15/403 | 1,989,679 | 1,972,832 | ||||||
Falcon Aerospace Ltd. | ||||||||
2019-1, 3.60% due 09/15/393 | 1,606,106 | 1,592,166 | ||||||
2017-1, 4.58% due 02/15/423 | 322,581 | 321,397 | ||||||
MAPS Ltd. | ||||||||
2018-1A, 4.21% due 05/15/433 | 1,710,156 | 1,724,394 | ||||||
Sapphire Aviation Finance I Ltd. | ||||||||
2018-1A, 4.25% due 03/15/403 | 1,652,932 | 1,632,073 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
2018-1, 4.13% due 06/15/433 | 1,217,756 | 1,214,415 |
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
WAVE LLC | ||||||||
2019-1, 3.60% due 09/15/443 | 898,173 | $ | 894,501 | |||||
AIM Aviation Finance Ltd. | ||||||||
2015-1A, 4.21% due 02/15/403 | 760,152 | 645,445 | ||||||
Raspro Trust | ||||||||
2005-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/243,7 | 282,622 | 282,622 | ||||||
Total Transport-Aircraft | 23,497,060 | |||||||
Net Lease - 1.3% | ||||||||
CARS-DB4, LP | ||||||||
2020-1A, 3.81% due 02/15/503 | 2,244,844 | 2,409,301 | ||||||
2020-1A, 4.95% due 02/15/503 | 1,500,000 | 1,560,285 | ||||||
CMFT Net Lease Master Issuer LLC | ||||||||
2021-1, 3.44% due 07/20/513 | 3,570,000 | 3,563,239 | ||||||
2021-1, 2.57% due 07/20/513 | 398,590 | 397,162 | ||||||
Store Master Funding I-VII | ||||||||
2016-1A, 3.96% due 10/20/463 | 2,628,063 | 2,760,368 | ||||||
Capital Automotive LLC | ||||||||
2017-1A, 3.87% due 04/15/473 | 2,712,265 | 2,718,964 | ||||||
Oak Street Investment Grade Net Lease Fund Series | ||||||||
2020-1A, 2.26% due 11/20/503 | 2,500,000 | 2,475,692 | ||||||
Capital Automotive REIT | ||||||||
2020-1A, 3.48% due 02/15/503 | 1,247,135 | 1,283,001 | ||||||
2021-1A, 2.76% due 08/15/513 | 1,000,000 | 995,996 | ||||||
CF Hippolyta LLC | ||||||||
2020-1, 2.60% due 07/15/603 | 870,038 | 876,633 | ||||||
2020-1, 2.28% due 07/15/603 | 711,591 | 721,812 | ||||||
STORE Master Funding LLC | ||||||||
2014-1A, 5.00% due 04/20/443 | 1,445,000 | 1,495,175 | ||||||
Total Net Lease | 21,257,628 | |||||||
Collateralized Debt Obligations - 1.0% | ||||||||
Anchorage Credit Funding 4 Ltd. | ||||||||
2021-4A, 2.72% due 04/27/393 | 7,250,000 | 7,251,022 | ||||||
2021-4A, 3.12% due 04/27/393 | 2,000,000 | 1,999,093 | ||||||
Anchorage Credit Funding Ltd. | ||||||||
2021-13A, 2.88% due 07/27/393 | 2,500,000 | 2,500,468 | ||||||
2021-13A, 3.15% due 07/27/393 | 2,000,000 | 1,998,491 | ||||||
Anchorage Credit Funding 3 Ltd. | ||||||||
2021-3A, 2.87% due 01/28/393 | 3,750,000 | 3,750,118 | ||||||
Total Collateralized Debt Obligations | 17,499,192 | |||||||
Transport-Container - 0.4% | ||||||||
Textainer Marine Containers VII Ltd. | ||||||||
2020-1A, 2.73% due 08/21/453 | 4,127,316 | 4,182,302 | ||||||
CAL Funding IV Ltd. | ||||||||
2020-1A, 2.22% due 09/25/453 | 1,830,000 | 1,844,414 | ||||||
Total Transport-Container | 6,026,716 | |||||||
Insurance - 0.1% | ||||||||
JGWPT XXV LLC | ||||||||
2012-1A, 4.21% due 02/16/653 | 1,292,380 | 1,456,274 | ||||||
Diversified Payment Rights - 0.1% | ||||||||
Bib Merchant Voucher Receivables Ltd. | ||||||||
4.18% due 04/07/28††† | 1,000,000 | 1,062,210 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $427,021,712) | 428,526,388 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.9% | ||||||||
Government Agency - 8.6% | ||||||||
Fannie Mae | ||||||||
2.81% due 05/01/51 | 8,250,000 | 8,715,075 | ||||||
2.17% due 03/01/51 | 8,347,000 | 8,038,814 | ||||||
2.24% due 01/01/51 | 5,918,985 | 5,726,867 | ||||||
2.00% due 09/01/50 | 5,055,730 | 4,799,541 | ||||||
2.36% due 08/01/50 | 4,500,000 | 4,466,570 | ||||||
2.78% due 05/01/51 | 2,737,253 | 2,909,785 | ||||||
2.20% due 11/01/27 | 2,567,095 | 2,676,905 | ||||||
2.59% due 06/01/51 | 2,489,505 | 2,578,736 | ||||||
4.17% due 02/01/49 | 2,000,000 | 2,383,715 | ||||||
3.09% due 10/01/29 | 2,000,000 | 2,189,590 | ||||||
2.81% due 09/01/39 | 2,000,000 | 2,077,653 | ||||||
2.32% due 02/01/51 | 2,080,131 | 2,038,785 | ||||||
2.40% due 03/01/40 | 2,000,000 | 1,975,091 | ||||||
2.11% due 10/01/50 | 1,868,438 | 1,793,918 | ||||||
2.27% due 02/01/51 | 1,733,192 | 1,698,634 | ||||||
2.06% due 09/01/36 | 1,600,000 | 1,553,769 | ||||||
2.39% due 02/01/51 | 1,443,006 | 1,458,272 | ||||||
1.88% due 01/01/36 | 1,310,000 | 1,268,258 | ||||||
3.74% due 02/01/30 | 1,000,000 | 1,144,923 | ||||||
3.83% due 05/01/49 | 1,000,000 | 1,140,341 | ||||||
3.61% due 04/01/39 | 1,000,000 | 1,133,602 | ||||||
4.24% due 08/01/48 | 1,000,000 | 1,125,965 | ||||||
4.27% due 12/01/33 | 958,437 | 1,117,900 | ||||||
3.46% due 08/01/49 | 967,101 | 1,081,339 | ||||||
2.99% due 01/01/40 | 1,000,000 | 1,064,118 | ||||||
2.79% due 01/01/32 | 973,550 | 1,043,174 | ||||||
3.11% due 04/01/30 | 939,213 | 1,032,328 | ||||||
2.69% due 10/01/34 | 964,223 | 1,024,428 | ||||||
2.68% due 04/01/50 | 973,349 | 1,020,336 | ||||||
2013-124, due 12/25/4310 | 1,126,814 | 1,018,340 | ||||||
2.10% due 07/01/50 | 978,232 | 938,910 | ||||||
1.76% due 08/01/40 | 1,000,000 | 925,791 | ||||||
4.07% due 05/01/49 | 774,648 | 895,569 | ||||||
4.37% due 10/01/48 | 722,110 | 857,263 | ||||||
4.25% due 05/01/48 | 638,114 | 676,652 | ||||||
3.94% due 10/01/36 | 335,006 | 387,578 | ||||||
Uniform MBS 30 Year | ||||||||
due 11/10/2115 | 50,300,000 | 51,734,355 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust | ||||||||
2020-3, 2.00% due 05/25/60 | 4,127,420 | 4,143,110 | ||||||
2020-2, 2.00% due 11/25/59 | 1,614,796 | 1,627,680 | ||||||
Fannie Mae-Aces | ||||||||
2020-M23, 1.58% (WAC) due 03/25/357,8 | 25,286,063 | 3,208,784 | ||||||
Federal National Mortgage Association | ||||||||
3.65% due 03/01/33 | 1,200,000 | 1,208,760 | ||||||
2.27% due 10/01/41 | 1,000,000 | 993,710 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
Freddie Mac | ||||||||
1.98% due 05/01/50 | 1,382,983 | $ | 1,295,665 | |||||
2018-4762, 4.00% due 01/15/46 | 852,585 | 867,033 | ||||||
FARM Mortgage Trust | ||||||||
2021-1, due 01/25/513,7 | 1,000,000 | 1,000,620 | ||||||
Total Government Agency | 142,058,252 | |||||||
Commercial Mortgage Backed Securities - 2.9% | ||||||||
GS Mortgage Securities Trust | ||||||||
2020-GSA2, 2.34% due 12/12/53 | 8,000,000 | 7,884,938 | ||||||
2020-GC45, 0.79% (WAC) due 02/13/537,8 | 18,962,034 | 871,495 | ||||||
2019-GC42, 0.93% (WAC) due 09/01/527,8 | 14,924,906 | 806,670 | ||||||
DBGS Mortgage Trust | ||||||||
2018-C1, 4.78% (WAC) due 10/15/517 | 7,000,000 | 7,976,159 | ||||||
CD Mortgage Trust | ||||||||
2017-CD4, 3.95% (WAC) due 05/10/507 | 4,750,000 | 5,152,523 | ||||||
2016-CD1, 1.53% (WAC) due 08/10/497,8 | 2,271,438 | 122,625 | ||||||
KKR Industrial Portfolio Trust | ||||||||
2021-KDIP, 1.33% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 12/15/373,7 | 4,600,000 | 4,594,467 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
2016-JP3, 3.60% (WAC) due 08/15/497 | 4,000,000 | 4,054,090 | ||||||
BX Commercial Mortgage Trust | ||||||||
2021-VOLT, 2.10% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/363,7 | 3,450,000 | 3,454,321 | ||||||
GS Mortgage Securities Corporation Trust | ||||||||
2020-UPTN, 3.35% (WAC) due 02/10/373,7 | 1,000,000 | 1,025,314 | ||||||
2020-DUNE, 1.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/363,7 | 1,000,000 | 1,001,446 | ||||||
Life Mortgage Trust | ||||||||
2021-BMR, 1.48% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/383,7 | 2,000,000 | 2,003,804 | ||||||
BENCHMARK Mortgage Trust | ||||||||
2019-B14, 0.91% (WAC) due 12/15/627,8 | 19,863,009 | 911,726 | ||||||
2018-B6, 0.57% (WAC) due 10/10/517,8 | 29,539,841 | 647,330 | ||||||
COMM Mortgage Trust | ||||||||
2015-CR24, 0.90% (WAC) due 08/10/487,8 | 43,961,089 | 1,119,667 | ||||||
2015-CR26, 1.08% (WAC) due 10/10/487,8 | 8,997,963 | 280,272 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2019-GC43, 0.75% (WAC) due 11/10/527,8 | 19,939,256 | 865,619 | ||||||
2016-GC37, 1.85% (WAC) due 04/10/497,8 | 3,234,452 | 201,414 | ||||||
2016-C2, 1.89% (WAC) due 08/10/497,8 | 2,399,090 | 165,093 | ||||||
2016-P5, 1.60% (WAC) due 10/10/497,8 | 1,784,051 | 97,503 | ||||||
Extended Stay America Trust | ||||||||
2021-ESH, 2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/383,7 | 1,094,307 | 1,107,872 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
2019-C15, 1.21% (WAC) due 03/15/527,8 | 12,414,398 | 739,032 | ||||||
SG Commercial Mortgage Securities Trust | ||||||||
2016-C5, 2.07% (WAC) due 10/10/487,8 | 9,073,402 | 564,161 | ||||||
UBS Commercial Mortgage Trust | ||||||||
2017-C2, 1.20% (WAC) due 08/15/507,8 | 10,300,732 | 485,454 | ||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
2016-C2, 1.71% (WAC) due 06/15/497,8 | 7,141,676 | 377,935 | ||||||
Morgan Stanley Capital I Trust | ||||||||
2016-UB11, 1.63% (WAC) due 08/15/497,8 | 6,738,671 | 372,630 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2016-NXS5, 1.59% (WAC) due 01/15/597,8 | 3,782,005 | 190,225 | ||||||
2016-C37, 1.07% (WAC) due 12/15/497,8 | 3,193,705 | 98,042 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
2016-C3, 1.15% (WAC) due 01/10/487,8 | 5,615,900 | 210,448 | ||||||
Total Commercial Mortgage Backed Securities | 47,382,275 | |||||||
Residential Mortgage Backed Securities - 1.4% | ||||||||
Mill City Mortgage Loan Trust | ||||||||
2021-NMR1, 2.50% (WAC) due 11/25/603,7 | 4,800,000 | 4,796,773 | ||||||
COLT Mortgage Loan Trust | ||||||||
2021-2, 2.38% (WAC) due 08/25/663,7 | 4,000,000 | 3,977,783 | ||||||
New Residential Mortgage Loan Trust | ||||||||
2018-2A, 3.50% (WAC) due 02/25/583,7 | 904,647 | 940,266 | ||||||
2019-6A, 3.50% (WAC) due 09/25/593,7 | 662,890 | 697,237 | ||||||
2018-1A, 4.00% (WAC) due 12/25/573,7 | 461,267 | 492,212 | ||||||
CSMC Trust | ||||||||
2018-RPL9, 3.85% (WAC) due 09/25/573,7 | 1,374,495 | 1,425,912 | ||||||
2020-NQM1, 1.72% due 05/25/653,11 | 507,430 | 509,055 | ||||||
Starwood Mortgage Residential Trust | ||||||||
2020-1, 2.41% (WAC) due 02/25/503,7 | 924,890 | 932,329 | ||||||
2020-1, 2.56% (WAC) due 02/25/503,7 | 924,890 | 931,301 | ||||||
Verus Securitization Trust | ||||||||
2019-4, 2.85% due 11/25/593,11 | 1,540,170 | 1,562,585 | ||||||
SPS Servicer Advance Receivables Trust | ||||||||
2020-T2, 1.83% due 11/15/553 | 1,250,000 | 1,259,723 | ||||||
American Home Mortgage Investment Trust | ||||||||
2007-1, 2.08% due 05/25/478 | 7,209,844 | 1,171,768 |
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
BRAVO Residential Funding Trust | ||||||||
2021-HE1, 1.55% (30 Day Average U.S. Secured Overnight Financing Rate + 1.50%, Rate Floor: 0.00%) due 01/25/703,7 | 1,000,000 | $ | 998,805 | |||||
Angel Oak Mortgage Trust | ||||||||
2020-1, 2.77% (WAC) due 12/25/593,7 | 895,718 | 899,160 | ||||||
Securitized Asset Backed Receivables LLC Trust | ||||||||
2006-HE2, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/367 | 1,563,577 | 887,454 | ||||||
MFRA Trust | ||||||||
2021-INV1, 2.29% (WAC) due 01/25/563,7 | 700,000 | 675,610 | ||||||
Residential Mortgage Loan Trust | ||||||||
2020-1, 2.68% (WAC) due 02/25/243,7 | 486,195 | 488,921 | ||||||
GS Mortgage-Backed Securities Trust | ||||||||
2020-NQM1, 1.79% (WAC) due 09/27/603,7 | 472,299 | 470,941 | ||||||
RALI Series Trust | ||||||||
2006-QO2, 0.53% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/467 | 1,566,283 | 453,670 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | ||||||||
2006-AR9, 0.93% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/467 | 297,078 | 258,613 | ||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
2003-5, 1.52% (WAC) due 11/25/337 | 265,386 | 253,385 | ||||||
UCFC Manufactured Housing Contract | ||||||||
1997-2, 7.38% due 10/15/28 | 60,661 | 61,690 | ||||||
Total Residential Mortgage Backed Securities | 24,145,193 | |||||||
Military Housing - 0.9% | ||||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | ||||||||
2015-R1, 3.48% (WAC) due 11/25/553,7 | 7,056,906 | 8,355,148 | ||||||
2015-R1, 4.11% (WAC) due 11/25/523,7 | 2,902,123 | 3,289,971 | ||||||
2015-R1, 0.52% (WAC) due 11/25/553,7,8 | 10,328,320 | 686,222 | ||||||
Capmark Military Housing Trust | ||||||||
2006-RILY, 6.15% due 07/10/513 | 2,293,606 | 2,456,964 | ||||||
2007-ROBS, 6.06% due 10/10/523 | 461,553 | 504,837 | ||||||
2007-AETC, 5.75% due 02/10/523 | 272,270 | 297,144 | ||||||
GMAC Commercial Mortgage Asset Corp. | ||||||||
2007-HCKM, 6.11% due 08/10/523 | 1,451,593 | 1,680,891 | ||||||
Total Military Housing | 17,271,177 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $231,402,560) | 230,856,897 | |||||||
U.S. GOVERNMENT SECURITIES†† - 8.0% | ||||||||
U.S. Treasury Notes | ||||||||
1.25% due 08/15/3112 | 115,000,000 | 112,071,094 | ||||||
0.75% due 03/31/26 | 6,000,000 | 5,955,469 | ||||||
U.S. Treasury Bonds | ||||||||
2.00% due 08/15/51 | 15,000,000 | 14,742,187 | ||||||
Total U.S. Government Securities | ||||||||
(Cost $135,454,245) | 132,768,750 | |||||||
SENIOR FLOATING RATE INTERESTS††,7 - 3.9% | ||||||||
Industrial - 1.2% | ||||||||
Mileage Plus Holdings LLC | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 8,450,000 | 8,972,886 | ||||||
Standard Industries, Inc. | ||||||||
due 09/22/28 | 4,000,000 | 4,002,160 | ||||||
SkyMiles IP Ltd. | ||||||||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | 1,700,000 | 1,806,998 | ||||||
Berry Global, Inc. | ||||||||
1.86% (2 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | 1,429,766 | 1,420,830 | ||||||
Air Canada | ||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 1,350,000 | 1,354,495 | ||||||
Pelican Products, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25 | 1,039,258 | 1,034,717 | ||||||
Service Logic Acquisition, Inc. | ||||||||
4.75% (2 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | 702,398 | 703,719 | ||||||
Diversitech Holdings, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/02/24 | 493,985 | 493,678 | ||||||
Total Industrial | 19,789,483 | |||||||
Consumer, Cyclical - 0.8% | ||||||||
Murphy Oil USA, Inc. | ||||||||
2.25% (1 Month USD LIBOR + 1.75%, Rate Floor: 2.25%) due 01/31/28 | 7,980,000 | 7,980,000 | ||||||
Amaya Holdings BV | ||||||||
2.50% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26 | EUR 4,000,000 | 4,629,889 | ||||||
Stars Group (Amaya) | ||||||||
2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26 | 1,000,000 | 996,250 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
Hilton Worldwide Finance LLC | ||||||||
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/22/26 | 383,663 | $ | 380,279 | |||||
Total Consumer, Cyclical | 13,986,418 | |||||||
Consumer, Non-cyclical - 0.6% | ||||||||
Catalent Pharma Solutions, Inc. | ||||||||
due 02/22/28 | 4,200,000 | 4,198,950 | ||||||
Packaging Coordinators Midco, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/30/27 | 2,238,750 | 2,240,160 | ||||||
Southern Veterinary Partners LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 1,311,591 | 1,316,509 | ||||||
HCRX Investments HoldCo, LP | ||||||||
due 07/15/28 | 1,250,000 | 1,245,313 | ||||||
HAH Group Holding Co. LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | 1,016,018 | 1,016,018 | ||||||
Elanco Animal Health, Inc. | ||||||||
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | 387,360 | 382,378 | ||||||
Southern Veterinary Partners LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27††† | 181,818 | 182,500 | ||||||
HAH Group Holding Co. LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27††† | 128,880 | 128,880 | ||||||
Total Consumer, Non-cyclical | 10,710,708 | |||||||
Technology - 0.6% | ||||||||
Datix Bidco Ltd. | ||||||||
4.50% (3 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25 | GBP 2,900,000 | 3,829,776 | ||||||
Ascend Learning LLC | ||||||||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24 | 3,672,250 | 3,674,086 | ||||||
Valkyr Purchaser, LLC | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27 | 1,596,000 | 1,590,685 | ||||||
Total Technology | 9,094,547 | |||||||
Basic Materials - 0.3% | ||||||||
Univar Netherlands Holding BV | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/03/28 | 4,214,438 | 4,203,901 | ||||||
Utilities - 0.2% | ||||||||
Hamilton Projects Acquiror LLC | ||||||||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27 | 3,076,692 | 3,086,322 | ||||||
Financial - 0.1% | ||||||||
Nexus Buyer LLC | ||||||||
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | 893,199 | 892,877 | ||||||
Cross Financial Corp. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27 | 796,005 | 797,661 | ||||||
Alliant Holdings Intermediate LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | 494,898 | 491,186 | ||||||
Total Financial | 2,181,724 | |||||||
Energy - 0.1% | ||||||||
Venture Global Calcasieu Pass LLC | ||||||||
2.46% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26††† | 795,103 | 751,372 | ||||||
DT Midstream, Inc. | ||||||||
2.50% (6 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28 | 500,000 | 499,610 | ||||||
Total Energy | 1,250,982 | |||||||
Communications - 0.0% | ||||||||
Radiate Holdco LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 09/25/26 | 148,875 | 148,661 | ||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $64,175,510) | 64,452,746 | |||||||
FEDERAL AGENCY BONDS†† - 3.3% | ||||||||
Fannie Mae Principal Strips | ||||||||
due 07/15/3710,13 | 13,000,000 | 9,158,162 | ||||||
due 08/06/3813 | 250,000 | 171,173 | ||||||
Freddie Mac Principal Strips | ||||||||
due 07/15/3213 | 10,550,000 | 8,633,213 | ||||||
Federal Farm Credit Bank | ||||||||
3.51% due 06/11/40 | 3,300,000 | 3,929,350 | ||||||
2.43% due 01/29/37 | 3,000,000 | 3,151,662 | ||||||
2.70% due 01/30/45 | 1,053,000 | 1,103,187 | ||||||
2.88% due 10/01/40 | 350,000 | 382,870 | ||||||
Tennessee Valley Authority Principal Strips | ||||||||
due 01/15/4810,13 | 9,700,000 | 4,766,541 | ||||||
due 01/15/3813 | 4,000,000 | 2,694,156 | ||||||
due 12/15/4210,13 | 1,600,000 | 917,251 | ||||||
Tennessee Valley Authority Principal | ||||||||
due 06/15/3810,13 | 9,400,000 | 6,246,939 | ||||||
due 06/15/3510,13 | 1,583,000 | 1,158,481 |
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Face | Value | ||||||
Tennessee Valley Authority | ||||||||
4.25% due 09/15/65 | 2,450,000 | $ | 3,447,111 | |||||
5.38% due 04/01/56 | 600,000 | 973,703 | ||||||
United States International Development Finance Corp. | ||||||||
1.63% due 11/20/37 | 4,000,000 | 3,973,742 | ||||||
Freddie Mac | ||||||||
due 01/02/3413 | 1,850,000 | 1,451,950 | ||||||
due 09/15/3613 | 300,000 | 215,924 | ||||||
U.S. International Development Finance Corp. | ||||||||
due 01/17/2613 | 800,000 | 879,717 | ||||||
1.79% due 10/15/29 | 556,769 | 573,182 | ||||||
Tennessee Valley Authority Generic | ||||||||
due 01/15/2813 | 150,000 | 136,911 | ||||||
Total Federal Agency Bonds | ||||||||
(Cost $50,241,213) | 53,965,225 | |||||||
MUNICIPAL BONDS†† - 1.3% | ||||||||
Texas - 0.4% | ||||||||
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds | ||||||||
3.29% due 09/01/40 | 2,100,000 | 2,171,473 | ||||||
2.78% due 09/01/34 | 700,000 | 716,166 | ||||||
2.69% due 09/01/33 | 500,000 | 510,639 | ||||||
2.57% due 09/01/32 | 475,000 | 483,035 | ||||||
2.41% due 09/01/31 | 450,000 | 454,095 | ||||||
2.08% due 09/01/28 | 300,000 | 301,839 | ||||||
Grand Parkway Transportation Corp. Revenue Bonds | ||||||||
3.31% due 10/01/49 | 1,500,000 | 1,527,167 | ||||||
Dallas/Fort Worth International Airport Revenue Bonds | ||||||||
2.92% due 11/01/50 | 1,000,000 | 1,002,459 | ||||||
Total Texas | 7,166,873 | |||||||
California - 0.3% | ||||||||
Newport Mesa Unified School District General Obligation Unlimited | ||||||||
due 08/01/4413 | 2,000,000 | 920,110 | ||||||
due 08/01/4113 | 1,540,000 | 807,375 | ||||||
due 08/01/4613 | 750,000 | 316,481 | ||||||
California Statewide Communities Development Authority Revenue Bonds | ||||||||
2.68% due 02/01/39 | 1,200,000 | 1,205,246 | ||||||
Beverly Hills Unified School District California General Obligation Unlimited | ||||||||
due 08/01/3913 | 1,410,000 | 767,458 | ||||||
Cypress School District General Obligation Unlimited | ||||||||
due 08/01/4813 | 1,000,000 | 406,424 | ||||||
Hanford Joint Union High School District General Obligation Unlimited | ||||||||
due 08/01/3913 | 500,000 | 261,219 | ||||||
Total California | 4,684,313 | |||||||
New York - 0.2% | ||||||||
Westchester County Local Development Corp. Revenue Bonds | ||||||||
3.85% due 11/01/50 | 2,700,000 | 2,833,250 | ||||||
New York Power Authority Revenue Bonds | ||||||||
2.82% due 11/15/39 | 1,000,000 | 1,018,422 | ||||||
Total New York | 3,851,672 | |||||||
Idaho - 0.1% | ||||||||
Boise State University Revenue Bonds | ||||||||
3.06% due 04/01/40 | 1,150,000 | 1,178,773 | ||||||
Mississippi - 0.1% | ||||||||
Medical Center Educational Building Corp. Revenue Bonds | ||||||||
2.92% due 06/01/41 | 1,000,000 | 988,492 | ||||||
Ohio - 0.1% | ||||||||
County of Franklin Ohio Revenue Bonds | ||||||||
2.88% due 11/01/50 | 1,000,000 | 983,029 | ||||||
Alabama - 0.1% | ||||||||
Auburn University Revenue Bonds | ||||||||
2.68% due 06/01/50 | 1,000,000 | 945,513 | ||||||
Illinois - 0.0% | ||||||||
State of Illinois General Obligation Unlimited | ||||||||
5.65% due 12/01/38 | 500,000 | 607,562 | ||||||
Cook County School District No. 155 Calumet City General Obligation Unlimited | ||||||||
5.30% due 12/01/22 | 5,000 | 5,238 | ||||||
Total Illinois | 612,800 | |||||||
Total Municipal Bonds | ||||||||
(Cost $19,704,704) | 20,411,465 | |||||||
SENIOR FIXED RATE INTERESTS††† - 0.2% | ||||||||
Industrial - 0.2% | ||||||||
CTL Logistics | ||||||||
2.65% due 10/10/42 | 3,642,781 | 3,543,333 | ||||||
Total Senior Fixed Rate Interests | ||||||||
(Cost $3,642,781) | 3,543,333 | |||||||
FOREIGN GOVERNMENT DEBT†† - 0.1% | ||||||||
Panama Government International Bond | ||||||||
4.50% due 04/16/50 | 1,450,000 | 1,571,843 | ||||||
Bermuda Government International Bond | ||||||||
3.38% due 08/20/50 | 500,000 | 501,050 | ||||||
Total Foreign Government Debt | ||||||||
(Cost $2,127,269) | 2,072,893 | |||||||
COMMERCIAL PAPER†† - 1.5% | ||||||||
Societe Generale S.A. | ||||||||
0.04% due 10/01/2114 | 15,000,000 | 15,000,000 | ||||||
Amphenol Corp. | ||||||||
0.08% due 10/01/2114 | 10,000,000 | 10,000,000 | ||||||
Total Commercial Paper | ||||||||
(Cost $25,000,000) | 25,000,000 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
| Notional | Value | ||||||
OTC OPTIONS PURCHASED†† - 0.3% | ||||||||
Call Options on: | ||||||||
Interest Rate Options | ||||||||
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | $ | 455,200,000 | $ | 2,580,984 | ||||
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | 120,600,000 | 477,576 | ||||||
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | 55,700,000 | 315,819 | ||||||
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | 47,400,000 | 187,704 | ||||||
Total Interest Rate Options | 3,562,083 | |||||||
Contracts | ||||||||
Put Options on: | ||||||||
Equity Options | ||||||||
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $4,340.00 (Notional Value $53,844,250) | 125 | 1,676,875 | ||||||
Total Equity Options | 1,676,875 | |||||||
Total OTC Options Purchased | ||||||||
(Cost $3,137,338) | 5,238,958 | |||||||
Total Investments - 107.6% | ||||||||
(Cost $1,747,167,149) | 1,781,918,584 | |||||||
Face | ||||||||
Collateralized Mortgage Obligations Sold Short†† - (3.2)% | ||||||||
Government Agency - (3.2)% | ||||||||
Uniform MBS 30 Year | ||||||||
3.50% due 11/10/2115 | 50,300,000 | (53,256,131 | ) | |||||
Total Collateralized Mortgage Obligations | ||||||||
(Proceeds $53,311,935) | (53,256,131 | ) |
Contracts | Value | |||||||
LISTED OPTIONS WRITTEN† - 0.0% | ||||||||
Call Options on: | ||||||||
Equity Options | ||||||||
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $33,426) | 9 | (4,635 | ) | |||||
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $33,426) | 9 | (5,535 | ) | |||||
Total Equity Options | (10,170 | ) | ||||||
Total Listed Options Written | ||||||||
(Premiums received $18,995) | (10,170 | ) | ||||||
OTC OPTIONS WRITTEN†† - 0.0% | ||||||||
Put Options on: | ||||||||
Equity Options | ||||||||
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $3,980.00 (Notional Value $53,844,250) | 125 | (584,375 | ) | |||||
Total OTC Options Written | ||||||||
(Premiums received $716,875) | (584,375 | ) | ||||||
Other Assets & Liabilities, net - (4.4)% | (71,700,608 | ) | ||||||
Total Net Assets - 100.0% | $ | 1,656,367,300 |
Centrally Cleared Interest Rate Swap Agreements†† | ||||||||||||||||||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | Notional | Value | Upfront | Unrealized | ||||||||||||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 0.82% | Annually | 04/01/26 | $ | 50,000,000 | $ | 46,908 | $ | 472 | $ | 46,436 |
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | GBP | Sell | 2,842,000 | 3,924,723 USD | 10/18/21 | $ | 94,867 | |||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 3,980,000 | 4,686,633 USD | 10/18/21 | 74,620 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | EUR | Sell | 1,022,000 | 1,207,136 USD | 10/18/21 | 22,846 | ||||||||||||||||||
Citibank, N.A. | EUR | Sell | 2,215,000 | 2,592,864 USD | 12/31/21 | 21,523 | ||||||||||||||||||
$ | 213,856 |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Rate indicated is the 7-day yield as of September 30, 2021. |
3 | 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 $734,381,475 (cost $725,650,063), or 44.3% of total net assets. |
4 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
5 | Perpetual maturity. |
6 | 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 $1,117,303 (cost $1,013,092), or 0.1% of total net assets — See Note 10. |
7 | Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
8 | Security is an interest-only strip. |
9 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
10 | Security is a principal-only strip. |
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 September 30, 2021. See table below for additional step information for each security. |
12 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2021, the total market value of segregated or earmarked security was $112,071,094 — See Note 6. |
13 | Zero coupon rate security. |
14 | Rate indicated is the effective yield at the time of purchase. |
15 | Security is unsettled at period end and does not have a stated effective rate. |
BofA — Bank of America | |
CME — Chicago Mercantile Exchange | |
CMS — Constant Maturity Swap | |
CMT — Constant Maturity Treasury | |
EUR — Euro | |
EURIBOR — European Interbank Offered Rate | |
GBP — British Pound | |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
SARL — Société à Responsabilité Limitée | |
WAC — Weighted Average Coupon | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 19,328,995 | $ | — | $ | — | * | $ | 19,328,995 | |||||||
Preferred Stocks | — | 55,400,137 | — | * | 55,400,137 | |||||||||||
Warrants | 214,890 | — | — | 214,890 | ||||||||||||
Closed-End Funds | 3,437,826 | — | — | 3,437,826 | ||||||||||||
Money Market Fund | 25,808,660 | — | — | 25,808,660 | ||||||||||||
Corporate Bonds | — | 676,503,916 | 34,387,505 | 710,891,421 | ||||||||||||
Asset-Backed Securities | — | 385,214,483 | 43,311,905 | 428,526,388 | ||||||||||||
Collateralized Mortgage Obligations | — | 230,856,897 | — | 230,856,897 | ||||||||||||
U.S. Government Securities | — | 132,768,750 | — | 132,768,750 | ||||||||||||
Senior Floating Rate Interests | — | 63,389,994 | 1,062,752 | 64,452,746 | ||||||||||||
Federal Agency Bonds | — | 53,965,225 | — | 53,965,225 | ||||||||||||
Municipal Bonds | — | 20,411,465 | — | 20,411,465 | ||||||||||||
Senior Fixed Rate Interests | — | — | 3,543,333 | 3,543,333 | ||||||||||||
Foreign Government Debt | — | 2,072,893 | — | 2,072,893 | ||||||||||||
Commercial Paper | — | 25,000,000 | — | 25,000,000 | ||||||||||||
Options Purchased | — | 5,238,958 | — | 5,238,958 | ||||||||||||
Interest Rate Swap Agreements** | — | 46,436 | — | 46,436 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 213,856 | — | 213,856 | ||||||||||||
Total Assets | $ | 48,790,371 | $ | 1,651,083,010 | $ | 82,305,495 | $ | 1,782,178,876 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Collateralized Mortgage Obligations Sold Short | $ | — | $ | 53,256,131 | $ | — | $ | 53,256,131 | ||||||||
Options Written | 10,170 | 584,375 | — | 594,545 | ||||||||||||
Unfunded Loan Commitments (Note 9) | — | — | 33,278 | 33,278 | ||||||||||||
Total Liabilities | $ | 10,170 | $ | 53,840,506 | $ | 33,278 | $ | 53,883,954 |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
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 $58,575,378 are categorized as Level 2 within the disclosure hierarchy — See Note 6.
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CORE BOND FUND |
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending Balance | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average* | |||||||||||||||
Assets: | ||||||||||||||||||||
Asset-Backed Securities | $ | 41,213,870 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | ||||||||||||||
Asset-Backed Securities | 2,098,035 | Yield Analysis | Yield | 2.4%-4.2% | 3.3 | % | ||||||||||||||
Corporate Bonds | 21,137,813 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||||||||
Corporate Bonds | 6,925,628 | Third Party Pricing | Vendor Price | — | — | |||||||||||||||
Corporate Bonds | 3,883,056 | Yield Analysis | Yield | 3.2 | % | — | ||||||||||||||
Corporate Bonds | 2,441,008 | Third Party Pricing | Trade Price | — | — | |||||||||||||||
Senior Fixed Rate Interests | 3,543,333 | Yield Analysis | Yield | 2.7 | % | — | ||||||||||||||
Senior Floating Rate Interests | 1,062,752 | Third Party Pricing | Broker Quote | — | — | |||||||||||||||
Total Assets | $ | 82,305,495 |
|
| ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Unfunded Loan Commitments | $ | 33,278 | Model Price | Purchase Price | — | — |
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote or yield would generally result in significant changes in the fair value of the security.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfer 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 year ended September 30, 2021, the Fund had securities with a total value of $9,081,873 transfer into Level 3 from Level 2 due to lack of observable inputs.
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
CORE BOND FUND |
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 year ended September 30, 2021:
Assets | Liabilities | |||||||||||||||||||||||||||
| Asset-Backed | Collateralized | Corporate | Senior | Senior Fixed | Total Assets | Unfunded | |||||||||||||||||||||
Beginning Balance | $ | 33,401,467 | $ | 10,687,442 | $ | 14,037,846 | $ | — | $ | — | $ | 58,126,755 | $ | (163,932 | ) | |||||||||||||
Purchases/(Receipts) | 30,650,000 | — | 25,325,119 | 1,752,552 | 3,642,781 | 61,370,452 | (1,903 | ) | ||||||||||||||||||||
(Sales, maturities and paydowns)/Fundings | (29,875,926 | ) | (10,592,131 | ) | (5,718,758 | ) | (778,264 | ) | — | (46,965,079 | ) | 130,156 | ||||||||||||||||
Amortization of premiums/discounts | — | 6 | 1,341 | 12,492 | — | 13,839 | — | |||||||||||||||||||||
Total realized gains (losses) included in earnings | 299,857 | (7 | ) | 186,007 | 56,766 | — | 542,623 | — | ||||||||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (245,366 | ) | (95,310 | ) | 555,950 | 19,206 | (99,448 | ) | 135,032 | 2,401 | ||||||||||||||||||
Transfers into Level 3 | 9,081,873 | — | — | — | — | 9,081,873 | — | |||||||||||||||||||||
Ending Balance | $ | 43,311,905 | $ | — | $ | 34,387,505 | $ | 1,062,752 | $ | 3,543,333 | $ | 82,305,495 | $ | (33,278 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021 | $ | (247,546 | ) | $ | — | $ | 776,204 | $ | 19,206 | $ | (99,448 | ) | $ | 448,416 | $ | 2,401 |
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, none are scheduled to decrease.
Name | Coupon Rate at | Next Rate | ||||||
CSMC Trust 2020-NQM1, 1.72% due 05/25/65 | 2.72 | % | 09/26/24 | |||||
Verus Securitization Trust 2019-4, 2.85% due 11/25/59 | 3.85 | % | 10/26/23 |
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CORE BOND FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments, at value (cost $1,747,167,149) | $ | 1,781,918,584 | ||
Foreign currency, at value (cost $17,633) | 17,633 | |||
Cash | 36,001,952 | |||
Segregated cash with broker | 1,485,917 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 472 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 213,856 | |||
Prepaid expenses | 64,767 | |||
Receivables: | ||||
Securities sold | 152,041,704 | |||
Interest | 9,841,828 | |||
Fund shares sold | 2,985,114 | |||
Swap settlement | 1,651,750 | |||
Dividends | 24,558 | |||
Foreign tax reclaims | 5,053 | |||
Total assets | 1,986,253,188 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 9) (commitment fees received $36,747) | 33,278 | |||
Reverse repurchase agreements (Note 6) | 58,575,378 | |||
Securities sold short, at value (proceeds $53,311,935) | 53,256,131 | |||
Options written, at value (premiums received $735,870) | 594,545 | |||
Segregated cash due to broker | 2,878,726 | |||
Payable for: | ||||
Securities purchased | 183,330,882 | |||
Fund shares redeemed | 28,634,823 | |||
Variation margin on interest rate swap agreements | 1,476,692 | |||
Management fees | 245,163 | |||
Distributions to shareholders | 183,095 | |||
Fund accounting/administration fees | 92,881 | |||
Distribution and service fees | 77,915 | |||
Transfer agent/maintenance fees | 43,252 | |||
Trustees’ fees* | 20,052 | |||
Due to Investment Adviser | 695 | |||
Miscellaneous | 442,380 | |||
Total liabilities | 329,885,888 | |||
Net assets | $ | 1,656,367,300 | ||
Net assets consist of: | ||||
Paid in capital | $ | 1,601,733,143 | ||
Total distributable earnings (loss) | 54,634,157 | |||
Net assets | $ | 1,656,367,300 | ||
A-Class: | ||||
Net assets | $ | 151,026,273 | ||
Capital shares outstanding | 7,530,000 | |||
Net asset value per share | $ | 20.06 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 20.90 | ||
C-Class: | ||||
Net assets | $ | 33,406,594 | ||
Capital shares outstanding | 1,672,880 | |||
Net asset value per share | $ | 19.97 | ||
P-Class: | ||||
Net assets | $ | 89,223,366 | ||
Capital shares outstanding | 4,444,770 | |||
Net asset value per share | $ | 20.07 | ||
Institutional Class: | ||||
Net assets | $ | 1,382,711,067 | ||
Capital shares outstanding | 69,035,227 | |||
Net asset value per share | $ | 20.03 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
CORE BOND FUND |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends | $ | 2,537,386 | ||
Interest (net of foreign withholding tax of $15,467) | 45,077,412 | |||
Total investment income | 47,614,798 | |||
Expenses: | ||||
Management fees | 6,225,103 | |||
Distribution and service fees: | ||||
A-Class | 399,738 | |||
C-Class | 354,402 | |||
P-Class | 195,550 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 135,343 | |||
C-Class | 33,645 | |||
P-Class | 106,714 | |||
Institutional Class | 1,191,836 | |||
Fund accounting/administration fees | 1,073,376 | |||
Professional fees | 213,875 | |||
Line of credit fees | 163,333 | |||
Custodian fees | 81,849 | |||
Trustees’ fees* | 61,128 | |||
Interest expense | 12,522 | |||
Miscellaneous | 296,479 | |||
Recoupment of previously waived fees: | ||||
A-Class | 15,742 | |||
Total expenses | 10,560,635 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A Class | (80,840 | ) | ||
C Class | (19,031 | ) | ||
P Class | (72,761 | ) | ||
Institutional Class | (1,184,279 | ) | ||
Expenses waived by Adviser | (182,806 | ) | ||
Earnings credits applied | (2,586 | ) | ||
Total waived/reimbursed expenses | (1,542,303 | ) | ||
Net expenses | 9,018,332 | |||
Net investment income | 38,596,466 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 21,449,202 | |||
Investments sold short | (243,650 | ) | ||
Swap agreements | 4,025,357 | |||
Options purchased | 2,581,841 | |||
Forward foreign currency exchange contracts | 4,367,254 | |||
Foreign currency transactions | 13,030 | |||
Net realized gain | 32,193,034 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (31,419,060 | ) | ||
Investments sold short | 55,804 | |||
Swap agreements | (2,135,700 | ) | ||
Options purchased | 910,182 | |||
Options written | 141,325 | |||
Forward foreign currency exchange contracts | (4,132,180 | ) | ||
Foreign currency translations | 507 | |||
Net change in unrealized appreciation (depreciation) | (36,579,122 | ) | ||
Net realized and unrealized loss | (4,386,088 | ) | ||
Net increase in net assets resulting from operations | $ | 34,210,378 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CORE BOND FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 38,596,466 | $ | 21,643,322 | ||||
Net realized gain on investments | 32,193,034 | 38,692,213 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (36,579,122 | ) | 50,287,078 | |||||
Net increase in net assets resulting from operations | 34,210,378 | 110,622,613 | ||||||
Distributions to shareholders: | ||||||||
A-Class | (6,777,135 | ) | (3,767,804 | ) | ||||
C-Class | (1,300,689 | ) | (356,078 | ) | ||||
P-Class | (3,119,744 | ) | (1,024,712 | ) | ||||
Institutional Class | (62,477,661 | ) | (19,218,081 | ) | ||||
Total distributions to shareholders | (73,675,229 | ) | (24,366,675 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 40,344,152 | 110,819,065 | ||||||
C-Class | 12,009,830 | 14,504,419 | ||||||
P-Class | 50,228,861 | 22,554,327 | ||||||
Institutional Class | 818,599,668 | 714,499,854 | ||||||
Distributions reinvested | ||||||||
A-Class | 6,350,495 | 3,613,421 | ||||||
C-Class | 1,147,128 | 305,013 | ||||||
P-Class | 3,119,734 | 1,024,707 | ||||||
Institutional Class | 58,072,751 | 17,587,263 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (111,584,248 | ) | (59,704,941 | ) | ||||
C-Class | (12,039,187 | ) | (6,302,201 | ) | ||||
P-Class | (23,176,345 | ) | (16,990,731 | ) | ||||
Institutional Class | (598,902,302 | ) | (272,307,128 | ) | ||||
Net increase from capital share transactions | 244,170,537 | 529,603,068 | ||||||
Net increase in net assets | 204,705,686 | 615,859,006 | ||||||
Net assets: | ||||||||
Beginning of year | 1,451,661,614 | 835,802,608 | ||||||
End of year | $ | 1,656,367,300 | $ | 1,451,661,614 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,985,400 | 5,657,259 | ||||||
C-Class | 595,114 | 736,544 | ||||||
P-Class | 2,494,993 | 1,125,368 | ||||||
Institutional Class | 40,361,294 | 36,204,919 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 312,565 | 183,005 | ||||||
C-Class | 56,670 | 15,494 | ||||||
P-Class | 153,682 | 51,991 | ||||||
Institutional Class | 2,864,869 | 890,192 | ||||||
Shares redeemed | ||||||||
A-Class | (5,426,999 | ) | (3,072,001 | ) | ||||
C-Class | (600,885 | ) | (324,755 | ) | ||||
P-Class | (1,149,450 | ) | (883,015 | ) | ||||
Institutional Class | (29,741,956 | ) | (13,983,181 | ) | ||||
Net increase in shares | 11,905,297 | 26,601,820 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
CORE BOND FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 20.53 | $ | 18.94 | $ | 18.33 | $ | 18.55 | $ | 18.55 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .44 | .37 | .41 | .49 | .59 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.01 | ) | 1.63 | .63 | (.22 | ) | .02 | |||||||||||||
Total from investment operations | .43 | 2.00 | 1.04 | .27 | .61 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.47 | ) | (.41 | ) | (.43 | ) | (.49 | ) | (.61 | ) | ||||||||||
Net realized gains | (.43 | ) | — | — | — | — | ||||||||||||||
Total distributions | (.90 | ) | (.41 | ) | (.43 | ) | (.49 | ) | (.61 | ) | ||||||||||
Net asset value, end of period | $ | 20.06 | $ | 20.53 | $ | 18.94 | $ | 18.33 | $ | 18.55 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 2.09 | % | 10.68 | % | 5.72 | % | 1.46 | % | 3.39 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 151,026 | $ | 218,856 | $ | 149,442 | $ | 119,066 | $ | 170,624 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.20 | % | 1.87 | % | 2.23 | % | 2.64 | % | 3.19 | % | ||||||||||
Total expensesc | 0.85 | % | 0.85 | % | 0.89 | % | 0.93 | % | 1.07 | % | ||||||||||
Net expensesd,e,f | 0.79 | % | 0.79 | % | 0.80 | % | 0.83 | % | 1.02 | % | ||||||||||
Portfolio turnover rate | 103 | % | 126 | % | 77 | % | 53 | % | 81 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 20.45 | $ | 18.86 | $ | 18.25 | $ | 18.47 | $ | 18.48 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .29 | .22 | .28 | .35 | .45 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.03 | ) | 1.64 | .62 | (.22 | ) | .02 | |||||||||||||
Total from investment operations | .26 | 1.86 | .90 | .13 | .47 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.31 | ) | (.27 | ) | (.29 | ) | (.35 | ) | (.48 | ) | ||||||||||
Net realized gains | (.43 | ) | — | — | — | — | ||||||||||||||
Total distributions | (.74 | ) | (.27 | ) | (.29 | ) | (.35 | ) | (.48 | ) | ||||||||||
Net asset value, end of period | $ | 19.97 | $ | 20.45 | $ | 18.86 | $ | 18.25 | $ | 18.47 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 1.34 | % | 9.86 | % | 4.96 | % | 0.71 | % | 2.59 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 33,407 | $ | 33,163 | $ | 22,531 | $ | 18,799 | $ | 28,083 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.46 | % | 1.13 | % | 1.50 | % | 1.92 | % | 2.47 | % | ||||||||||
Total expensesc | 1.61 | % | 1.62 | % | 1.67 | % | 1.75 | % | 1.85 | % | ||||||||||
Net expensesd,e,f | 1.54 | % | 1.54 | % | 1.55 | % | 1.57 | % | 1.77 | % | ||||||||||
Portfolio turnover rate | 103 | % | 126 | % | 77 | % | 53 | % | 81 | % |
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CORE BOND FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 20.55 | $ | 18.96 | $ | 18.34 | $ | 18.56 | $ | 18.57 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .44 | .36 | .41 | .48 | .56 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.02 | ) | 1.64 | .63 | (.21 | ) | .05 | |||||||||||||
Total from investment operations | .42 | 2.00 | 1.04 | .27 | .61 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.47 | ) | (.41 | ) | (.42 | ) | (.49 | ) | (.62 | ) | ||||||||||
Net realized gains | (.43 | ) | — | — | — | — | ||||||||||||||
Total distributions | (.90 | ) | (.41 | ) | (.42 | ) | (.49 | ) | (.62 | ) | ||||||||||
Net asset value, end of period | $ | 20.07 | $ | 20.55 | $ | 18.96 | $ | 18.34 | $ | 18.56 | ||||||||||
| ||||||||||||||||||||
Total Return | 2.04 | % | 10.67 | % | 5.77 | % | 1.45 | % | 3.33 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 89,223 | $ | 60,534 | $ | 50,258 | $ | 48,263 | $ | 17,303 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.17 | % | 1.86 | % | 2.24 | % | 2.61 | % | 3.06 | % | ||||||||||
Total expensesc | 0.90 | % | 0.91 | % | 0.93 | % | 0.94 | % | 1.13 | % | ||||||||||
Net expensesd,e,f | 0.79 | % | 0.79 | % | 0.80 | % | 0.80 | % | 1.01 | % | ||||||||||
Portfolio turnover rate | 103 | % | 126 | % | 77 | % | 53 | % | 81 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
CORE BOND FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 20.51 | $ | 18.91 | $ | 18.30 | $ | 18.52 | $ | 18.53 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .50 | .42 | .47 | .54 | .64 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.03 | ) | 1.65 | .62 | (.22 | ) | .02 | |||||||||||||
Total from investment operations | .47 | 2.07 | 1.09 | .32 | .66 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.52 | ) | (.47 | ) | (.48 | ) | (.54 | ) | (.67 | ) | ||||||||||
Net realized gains | (.43 | ) | — | — | — | — | ||||||||||||||
Total distributions | (.95 | ) | (.47 | ) | (.48 | ) | (.54 | ) | (.67 | ) | ||||||||||
Net asset value, end of period | $ | 20.03 | $ | 20.51 | $ | 18.91 | $ | 18.30 | $ | 18.52 | ||||||||||
| ||||||||||||||||||||
Total Return | 2.34 | % | 11.07 | % | 6.03 | % | 1.75 | % | 3.67 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,382,711 | $ | 1,139,109 | $ | 613,571 | $ | 380,974 | $ | 142,014 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.49 | % | 2.17 | % | 2.52 | % | 2.92 | % | 3.51 | % | ||||||||||
Total expensesc | 0.60 | % | 0.58 | % | 0.62 | % | 0.60 | % | 0.74 | % | ||||||||||
Net expensesd,e,f | 0.50 | % | 0.50 | % | 0.51 | % | 0.52 | % | 0.70 | % | ||||||||||
Portfolio turnover rate | 103 | % | 126 | % | 77 | % | 53 | % | 81 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | |
A-Class | 0.01% | 0.00%* | — | 0.00%* | 0.05% | |
C-Class | — | 0.00%* | — | 0.00%* | 0.03% | |
P-Class | — | 0.00%* | 0.00%* | 0.00%* | 0.01% | |
Institutional Class | — | 0.00%* | — | 0.00%* | 0.02% |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | |
A-Class | 0.78% | 0.78% | 0.79% | 0.82% | 1.00% | |
C-Class | 1.53% | 1.53% | 1.54% | 1.57% | 1.75% | |
P-Class | 0.78% | 0.78% | 0.79% | 0.80% | 0.99% | |
Institutional Class | 0.49% | 0.49% | 0.50% | 0.52% | 0.68% |
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim Investments Municipal Income Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Allen Li, CFA, Managing Director and Portfolio Manager; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.
Investment Approach
The Fund seeks to provide current income with an emphasis on income exempt from federal income tax, while also considering capital appreciation. The Fund offers a diversified (though, diversification neither assures a profit nor eliminates the risk of experiencing investment losses) portfolio which looks to identify opportunities across municipal landscapes, including military housing projects, Build America Bonds and various municipal geographies, sectors, and security types and offers access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.
Performance Review and Positioning
For the one-year period ended September 30, 2021, Guggenheim Municipal Income Fund returned 3.67%1, compared with the 2.63% return of the Bloomberg Municipal Bond Index, the Fund’s benchmark.
Accommodative monetary policy and optimism for more fiscal stimulus were responsible for the performance of the municipal market over the period. Bullish technical factors–such as mutual fund inflows and negative net supply–and a lack of major negative credit developments provided incremental support for market performance. Multiple rounds of federal stimulus, combined with better-than-expected tax collections, have helped state and local governments weather the budgetary pressures caused by the pandemic.
Issuance in calendar 2021 through September 30 reached $331 billion, compared with $351 billion for the same period in 2020; it is expected to increase into the fourth quarter, following a lull in activity during the late summer. Municipal bond funds flows have been positive for 30 consecutive weeks through the end of the period. Lipper reported inflows of $88.5 billion for the nine months ended September 29.
Rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the backs of accommodative fiscal and monetary policy.
Tax exempt closed-end funds contributed 172 basis points (“bps”) to return during the period, and interest rate swaps added another 50bps. One basis point equals 0.01%. The Fund uses the swaps to align interest rate exposures with Guggenheim’s macroeconomic views relative to the benchmark. Tax-exempt agency commercial mortgage-backed securities also contributed 14bps.
Despite economic challenges brought by the pandemic and new credit paradigms, municipal bond valuations have returned to near pre-COVID-19 levels. While credit quality has suffered across fixed-income asset classes, many municipal issuers’ intrinsic essentiality and durability have been illuminated. Understanding that full economic recovery will neither be a short nor easy road, we continue to emphasize security selection.
While the initial Coronavirus Aid, Relief, and Economic Security Act and its sequels provide vitally needed relief for municipal issuers, we do not view such liquidity injections as a panacea for the long term. Rather than relying on policymakers to apply funding band-aids, we focus on structural creditworthiness that can endure this pandemic as well as future exogenous events.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
MUNICIPAL INCOME FUND
OBJECTIVE: Seeks to provide current income with an emphasis on income exempt from federal income tax, while also considering capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 28.5% |
AA | 40.8% |
A | 11.0% |
BBB | 2.7% |
B | 0.9% |
NR2 | 1.9% |
Other Instruments | 14.2% |
Total Investments | 100.0% |
Inception Dates: | |
A-Class | April 28, 2004 |
C-Class | January 13, 2012 |
P-Class | May 1, 2015 |
Institutional Class | January 13, 2012 |
Ten Largest Holdings (% of Total Net Assets) | |
Freddie Mac Multifamily ML Certificates Revenue Bonds, 2.49% | 2.9% |
El Camino Healthcare District General Obligation Unlimited | 2.8% |
Denton County Housing Finance Corp. Revenue Bonds, 2.15% | 2.6% |
Freddie Mac Multifamily, 1.90% | 2.5% |
Ysleta Independent School District General Obligation Unlimited, 4.00% | 2.1% |
City of Phoenix Civic Improvement Corp. Revenue Bonds, 5.00% | 2.1% |
Dayton-Montgomery County Port Authority Revenue Bonds, 1.84% | 2.0% |
Stockton Unified School District General Obligation Unlimited | 2.0% |
Illinois Finance Authority Revenue Bonds, 5.00% | 1.9% |
City of Los Angeles Department of Airports Revenue Bonds, 5.00% | 1.6% |
Top Ten Total | 22.5% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR (not rated) securities do not necessarily indicate low credit quality. |
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | 10 Year |
A-Class Shares~ | 3.67% | 3.17% | 4.45% |
A-Class Shares with sales charge‡ | (0.47%) | 2.33% | 3.94% |
Bloomberg Municipal Bond Index | 2.63% | 3.26% | 3.87% |
| 1 Year | 5 Year | Since |
C-Class Shares | 2.91% | 2.39% | 2.95% |
C-Class Shares with CDSC§ | 1.91% | 2.39% | 2.95% |
Institutional Class Shares | 3.93% | 3.41% | 3.97% |
Bloomberg Municipal Bond Index | 2.63% | 3.26% | 3.59% |
| 1 Year | 5 Year | Since |
P-Class Shares | 3.67% | 3.14% | 3.21% |
Bloomberg Municipal Bond Index | 2.63% | 3.26% | 3.62% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Municipal Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 1, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
~ | Effective January 13, 2012, the Fund acquired all of the assets and liabilities of the TS&W/Claymore Tax-Advantage Balanced Fund (“TYW”), a registered closed-end management investment company. The A-Class performance prior to that date reflects performance of TYW. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
MUNICIPAL INCOME FUND |
| Shares | Value | ||||||
CLOSED-END FUNDS† - 11.0% | ||||||||
BlackRock MuniYield Quality Fund, Inc. | 74,847 | $ | 1,212,521 | |||||
BlackRock MuniVest Fund, Inc. | 88,098 | 834,288 | ||||||
BlackRock Municipal Income Quality Trust | 53,506 | 816,501 | ||||||
Nuveen California Quality Municipal Income Fund | 49,986 | 784,280 | ||||||
DWS Municipal Income Trust | 53,020 | 630,938 | ||||||
BlackRock MuniHoldings Investment Quality Fund | 40,397 | 586,565 | ||||||
Eaton Vance Municipal Income Trust | 40,499 | 560,101 | ||||||
Invesco Trust for Investment Grade Municipals | 39,562 | 541,604 | ||||||
Invesco Municipal Trust | 35,625 | 477,375 | ||||||
Nuveen Quality Municipal Income Fund | 30,461 | 475,801 | ||||||
Nuveen AMT-Free Quality Municipal Income Fund | 29,451 | 447,361 | ||||||
BlackRock MuniHoldings California Quality Fund, Inc. | 23,394 | 366,584 | ||||||
BlackRock MuniYield California Quality Fund, Inc. | 20,210 | 321,137 | ||||||
Nuveen California AMT-Free Quality Municipal Income Fund | 18,593 | 304,739 | ||||||
BNY Mellon Strategic Municipals, Inc. | 25,024 | 217,709 | ||||||
Total Closed-End Funds | ||||||||
(Cost $7,786,951) | 8,577,504 | |||||||
MONEY MARKET FUND† - 1.7% | ||||||||
Dreyfus AMT-Free Tax Exempt Cash Management Fund — Institutional Shares, 0.01%1 | 1,357,000 | 1,357,000 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,357,000) | 1,357,000 | |||||||
Face | ||||||||
MUNICIPAL BONDS†† - 80.2% | ||||||||
California - 22.8% | ||||||||
Stockton Unified School District General Obligation Unlimited | ||||||||
due 08/01/332 | $ | 2,000,000 | 1,559,601 | |||||
due 08/01/372 | 810,000 | 558,038 | ||||||
due 08/01/422 | 250,000 | 145,439 | ||||||
El Camino Healthcare District General Obligation Unlimited | ||||||||
due 08/01/292 | 2,500,000 | 2,219,370 | ||||||
City of Los Angeles Department of Airports Revenue Bonds | ||||||||
5.00% due 05/15/39 | 1,000,000 | 1,272,939 | ||||||
5.00% due 05/15/44 | 100,000 | 123,861 |
| Face | Value | ||||||
San Diego Unified School District General Obligation Unlimited | ||||||||
due 07/01/462 | 1,360,000 | 730,545 | ||||||
due 07/01/392 | 1,000,000 | 531,075 | ||||||
Los Angeles Department of Water & Power Revenue Bonds | ||||||||
5.00% due 07/01/50 | 1,000,000 | 1,260,183 | ||||||
Sierra Joint Community College District School Facilities District No. 1 General Obligation Unlimited | ||||||||
due 08/01/312 | 705,000 | 588,682 | ||||||
due 08/01/302 | 415,000 | 356,011 | ||||||
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited | ||||||||
due 08/01/423,6 | 1,000,000 | 936,501 | ||||||
Newport Mesa Unified School District General Obligation Unlimited | ||||||||
due 08/01/392 | 1,300,000 | 747,558 | ||||||
Sonoma Valley Unified School District General Obligation Unlimited | ||||||||
4.00% due 08/01/44 | 600,000 | 698,368 | ||||||
Compton Unified School District General Obligation Unlimited | ||||||||
due 06/01/402 | 1,000,000 | 583,175 | ||||||
Los Angeles Department of Water & Power Power System Revenue Revenue Bonds | ||||||||
5.00% due 07/01/43 | 500,000 | 517,523 | ||||||
Kings Canyon Unified School District General Obligation Unlimited | ||||||||
5.00% due 08/01/28 | 445,000 | 517,356 | ||||||
Riverside County Public Financing Authority Tax Allocation | ||||||||
5.00% due 10/01/28 | 300,000 | 368,564 | ||||||
Sacramento Municipal Utility District Revenue Bonds | ||||||||
5.00% due 08/15/37 | 300,000 | 324,325 | ||||||
Delhi Unified School District General Obligation Unlimited | ||||||||
5.00% due 08/01/44 | 250,000 | 301,935 | ||||||
Riverside County Redevelopment Successor Agency Tax Allocation | ||||||||
due 10/01/373,6 | 250,000 | 295,191 | ||||||
El Monte Union High School District General Obligation Unlimited | ||||||||
due 06/01/432 | 500,000 | 284,762 | ||||||
Gustine Unified School District General Obligation Unlimited | ||||||||
5.00% due 08/01/41 | 220,000 | 258,994 | ||||||
Stockton Public Financing Authority Revenue Bonds | ||||||||
5.00% due 10/01/33 | 200,000 | 248,820 | ||||||
M-S-R Energy Authority Revenue Bonds | ||||||||
6.13% due 11/01/29 | 195,000 | 241,917 |
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MUNICIPAL INCOME FUND |
| Face | Value | ||||||
Alameda Corridor Transportation Authority Revenue Bonds | ||||||||
5.00% due 10/01/35 | $ | 200,000 | $ | 238,962 | ||||
Upland Unified School District General Obligation Unlimited | ||||||||
due 08/01/382 | 400,000 | 236,663 | ||||||
Oakland Unified School District/Alameda County General Obligation Unlimited | ||||||||
5.00% due 08/01/40 | 120,000 | 138,625 | ||||||
5.00% due 08/01/22 | 90,000 | 93,506 | ||||||
Stanton Redevelopment Agency Successor Agency Tax Allocation | ||||||||
5.00% due 12/01/40 | 180,000 | 212,875 | ||||||
Culver Redevelopment Agency Successor Agency Tax Allocation | ||||||||
due 11/01/232 | 195,000 | 192,828 | ||||||
Westside Elementary School District General Obligation Unlimited | ||||||||
5.00% due 08/01/48 | 155,000 | 183,650 | ||||||
Rio Hondo Community College District General Obligation Unlimited | ||||||||
due 08/01/292 | 200,000 | 177,826 | ||||||
Department of Veterans Affairs Veteran’s Farm & Home Purchase Program Revenue Bonds | ||||||||
3.45% due 12/01/39 | 150,000 | 161,923 | ||||||
Freddie Mac Multifamily VRD Certificates Revenue Bonds | ||||||||
2.40% due 10/15/29 | 150,000 | 157,839 | ||||||
Coast Community College District General Obligation Unlimited | ||||||||
due 08/01/402 | 250,000 | 152,134 | ||||||
Buena Park School District General Obligation Unlimited | ||||||||
5.00% due 08/01/47 | 100,000 | 121,562 | ||||||
Roseville Joint Union High School District General Obligation Unlimited | ||||||||
due 08/01/302 | 100,000 | 86,237 | ||||||
Total California | 17,825,363 | |||||||
Texas - 14.0% | ||||||||
Denton County Housing Finance Corp. Revenue Bonds | ||||||||
2.15% due 11/01/38 | 2,000,000 | 2,071,265 | ||||||
Central Texas Regional Mobility Authority Revenue Bonds | ||||||||
5.00% due 01/01/45 | 1,250,000 | 1,530,336 | ||||||
5.00% due 01/01/27 | 200,000 | 234,088 | ||||||
Ysleta Independent School District General Obligation Unlimited | ||||||||
4.00% due 08/15/52 | 1,400,000 | 1,642,498 | ||||||
Cleveland Independent School District General Obligation Unlimited | ||||||||
4.00% due 02/15/52 | 1,000,000 | 1,166,484 | ||||||
North Texas Tollway Authority Revenue Bonds | ||||||||
due 01/01/362 | 1,000,000 | 748,082 | ||||||
Southwest Independent School District General Obligation Unlimited | ||||||||
due 02/01/422 | 500,000 | 300,684 | ||||||
Central Texas Turnpike System Revenue Bonds | ||||||||
5.00% due 08/15/34 | 200,000 | 223,967 | ||||||
5.00% due 08/15/22 | 35,000 | 36,449 | ||||||
Bexar County Hospital District General Obligation Limited | ||||||||
5.00% due 02/15/32 | 200,000 | 247,396 | ||||||
Lindale Independent School District General Obligation Unlimited | ||||||||
5.00% due 02/15/49 | 200,000 | 244,421 | ||||||
United Independent School District General Obligation Unlimited | ||||||||
5.00% due 08/15/49 | 200,000 | 244,421 | ||||||
Harris County-Houston Sports Authority Revenue Bonds | ||||||||
due 11/15/532 | 1,000,000 | 244,300 | ||||||
Clifton Higher Education Finance Corp. Revenue Bonds | ||||||||
4.00% due 08/15/33 | 200,000 | 238,325 | ||||||
Dallas Area Rapid Transit Revenue Bonds | ||||||||
5.00% due 12/01/41 | 200,000 | 233,090 | ||||||
Bexar County Health Facilities Development Corp. Revenue Bonds | ||||||||
5.00% due 07/15/22 | 225,000 | 231,923 | ||||||
Arlington Higher Education Finance Corp. Revenue Bonds | ||||||||
5.00% due 12/01/46 | 200,000 | 227,395 | ||||||
Grand Parkway Transportation Corp. Revenue Bonds | ||||||||
5.00% due 10/01/43 | 175,000 | 214,253 | ||||||
Texas Municipal Gas Acquisition and Supply Corporation I Revenue Bonds | ||||||||
6.25% due 12/15/26 | 155,000 | 180,171 | ||||||
City of Fort Worth Texas Water & Sewer System Revenue Revenue Bonds | ||||||||
5.00% due 02/15/32 | 100,000 | 122,939 | ||||||
Hutto Independent School District General Obligation Unlimited | ||||||||
5.00% due 08/01/49 | 100,000 | 121,730 | ||||||
Mansfield Independent School District General Obligation Unlimited | ||||||||
5.00% due 02/15/44 | 100,000 | 121,257 | ||||||
University of North Texas System Revenue Bonds | ||||||||
5.00% due 04/15/44 | 100,000 | 120,339 | ||||||
City of Arlington Texas Special Tax Revenue Special Tax | ||||||||
5.00% due 02/15/48 | 100,000 | 119,022 | ||||||
Dallas Independent School District General Obligation Unlimited | ||||||||
5.00% due 02/15/224 | 15,000 | 15,113 | ||||||
Tarrant County Health Facilities Development Corp. Revenue Bonds | ||||||||
6.00% due 09/01/24 | 10,000 | 10,978 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MUNICIPAL INCOME FUND |
| Face | Value | ||||||
San Antonio Education Facilities Corp. Revenue Bonds | ||||||||
5.00% due 06/01/23 | $ | 10,000 | $ | 10,694 | ||||
City of Austin Texas Water & Wastewater System Revenue Revenue Bonds | ||||||||
5.00% due 11/15/21 | 10,000 | 9,954 | ||||||
Leander Independent School District General Obligation Unlimited | ||||||||
due 08/15/222 | 5,000 | 3,082 | ||||||
due 08/15/242 | 5,000 | 2,905 | ||||||
Total Texas | 10,917,561 | |||||||
Arizona - 4.5% | ||||||||
City of Phoenix Civic Improvement Corp. Revenue Bonds | ||||||||
5.00% due 07/01/45 | 1,250,000 | 1,616,181 | ||||||
Arizona Industrial Development Authority Revenue Bonds | ||||||||
2.12% due 07/01/37 | 1,180,815 | 1,182,362 | ||||||
Maricopa County Industrial Development Authority Revenue Bonds | ||||||||
5.00% due 01/01/41 | 250,000 | 300,776 | ||||||
Salt Verde Financial Corp. Revenue Bonds | ||||||||
5.00% due 12/01/32 | 200,000 | 262,444 | ||||||
Pinal County Elementary School District No. 4 Casa Grande General Obligation Unlimited | ||||||||
5.00% due 07/01/37 | 100,000 | 123,382 | ||||||
Total Arizona | 3,485,145 | |||||||
Illinois - 3.9% | ||||||||
Illinois Finance Authority Revenue Bonds | ||||||||
5.00% due 10/01/37 | 1,000,000 | 1,469,451 | ||||||
5.00% due 10/01/38 | 250,000 | 370,313 | ||||||
City of Chicago Illinois Wastewater Transmission Revenue Revenue Bonds | ||||||||
5.25% due 01/01/42 | 400,000 | 480,966 | ||||||
Chicago O’Hare International Airport Revenue Bonds | ||||||||
5.00% due 01/01/34 | 300,000 | 341,711 | ||||||
University of Illinois Revenue Bonds | ||||||||
6.00% due 10/01/29 | 200,000 | 219,228 | ||||||
Cook County School District No. 104 Summit General Obligation Unlimited | ||||||||
due 12/01/222 | 100,000 | 99,619 | ||||||
County of State Clair Illinois Highway Revenue Revenue Bonds | ||||||||
4.25% due 01/01/23 | 40,000 | 42,018 | ||||||
Boone McHenry & DeKalb Counties Community Unit School District 100 General Obligation Unlimited | ||||||||
due 12/01/212 | 10,000 | 9,895 | ||||||
Total Illinois | 3,033,201 | |||||||
New York - 3.9% | ||||||||
New York City Water & Sewer System Revenue Bonds | ||||||||
5.00% due 06/15/49 | 1,000,000 | 1,256,420 | ||||||
New York City Industrial Development Agency Revenue Bonds | ||||||||
4.00% due 03/01/32 | 500,000 | 595,523 | ||||||
New York Transportation Development Corp. Revenue Bonds | ||||||||
5.00% due 12/01/22 | 250,000 | 262,632 | ||||||
5.00% due 07/01/34 | 200,000 | 221,775 | ||||||
New York State Dormitory Authority Revenue Bonds | ||||||||
4.00% due 08/01/43 | 250,000 | 284,789 | ||||||
New York State Urban Development Corp. Revenue Bonds | ||||||||
5.00% due 03/15/35 | 250,000 | 277,116 | ||||||
New York Power Authority Revenue Bonds | ||||||||
4.00% due 11/15/45 | 100,000 | 116,780 | ||||||
Total New York | 3,015,035 | |||||||
Colorado - 2.9% | ||||||||
E-470 Public Highway Authority Revenue Bonds | ||||||||
5.00% due 09/01/36 | 650,000 | 831,656 | ||||||
Auraria Higher Education Center Revenue Bonds | ||||||||
5.00% due 04/01/28 | 390,000 | 448,105 | ||||||
City & County of Denver Colorado Airport System Revenue Revenue Bonds | ||||||||
5.00% due 12/01/28 | 200,000 | 251,783 | ||||||
Board of Governors of Colorado State University System Revenue Bonds | ||||||||
5.00% due 03/01/41 | 200,000 | 237,595 | ||||||
City & County of Denver Colorado Revenue Bonds | ||||||||
due 08/01/302 | 200,000 | 162,607 | ||||||
Colorado Educational & Cultural Facilities Authority Revenue Bonds | ||||||||
5.00% due 03/01/47 | 110,000 | 131,438 | ||||||
Colorado School of Mines Revenue Bonds | ||||||||
5.00% due 12/01/47 | 100,000 | 121,625 | ||||||
Total Colorado | 2,184,809 | |||||||
Oregon - 2.8% | ||||||||
Clackamas & Washington Counties School District No. 3 General Obligation Unlimited | ||||||||
due 06/15/482 | 2,000,000 | 948,904 | ||||||
due 06/15/502 | 400,000 | 177,064 | ||||||
due 06/15/492 | 350,000 | 160,411 | ||||||
Salem-Keizer School District No. 24J General Obligation Unlimited | ||||||||
due 06/15/402 | 1,250,000 | 772,535 |
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MUNICIPAL INCOME FUND |
| Face | Value | ||||||
University of Oregon Revenue Bonds | ||||||||
5.00% due 04/01/48 | $ | 100,000 | $ | 120,471 | ||||
Total Oregon | 2,179,385 | |||||||
Ohio - 2.6% | ||||||||
Dayton-Montgomery County Port Authority Revenue Bonds | ||||||||
1.84% due 09/01/38 | 1,600,000 | 1,582,963 | ||||||
County of Miami Ohio Revenue Bonds | ||||||||
5.00% due 08/01/33 | 200,000 | 248,702 | ||||||
American Municipal Power, Inc. Revenue Bonds | ||||||||
5.00% due 02/15/41 | 200,000 | 232,554 | ||||||
City of Middleburg Heights Ohio Revenue Bonds | ||||||||
5.00% due 08/01/22 | 15,000 | 15,452 | ||||||
Ohio Higher Educational Facility Commission Revenue Bonds | ||||||||
5.00% due 01/01/22 | 15,000 | 15,027 | ||||||
Total Ohio | 2,094,698 | |||||||
Washington - 2.6% | ||||||||
Greater Wenatchee Regional Events Center Public Facilities District Revenue Bonds | ||||||||
5.25% due 09/01/22 | 500,000 | 522,526 | ||||||
5.00% due 09/01/22 | 500,000 | 521,393 | ||||||
Yakima & Kittitas Counties School District No. 119 Selah General Obligation Unlimited | ||||||||
5.00% due 12/01/42 | 200,000 | 241,683 | ||||||
County of King Washington Sewer Revenue Revenue Bonds | ||||||||
5.00% due 07/01/42 | 200,000 | 239,240 | ||||||
Washington State Convention Center Public Facilities District Revenue Bonds | ||||||||
4.00% due 07/01/48 | 210,000 | 237,847 | ||||||
Central Puget Sound Regional Transit Authority Revenue Bonds | ||||||||
5.00% due 11/01/41 | 200,000 | 237,611 | ||||||
Total Washington | 2,000,300 | |||||||
District of Columbia - 1.9% | ||||||||
District of Columbia Revenue Bonds | ||||||||
4.00% due 03/01/39 | 1,000,000 | 1,175,521 | ||||||
District of Columbia General Obligation Unlimited | ||||||||
5.00% due 06/01/41 | 285,000 | 336,561 | ||||||
Total District of Columbia | 1,512,082 | |||||||
North Carolina - 1.9% | ||||||||
Inlivian Revenue Bonds | ||||||||
2.02% due 04/01/42 | 1,000,000 | 977,170 | ||||||
North Carolina Central University Revenue Bonds | ||||||||
5.00% due 04/01/44 | 300,000 | 364,735 | ||||||
County of New Hanover North Carolina Revenue Bonds | ||||||||
5.00% due 10/01/22 | 150,000 | 156,930 | ||||||
North Carolina Eastern Municipal Power Agency Revenue Bonds | ||||||||
4.50% due 01/01/22 | 10,000 | 10,006 | ||||||
Total North Carolina | 1,508,841 | |||||||
Georgia - 1.9% | ||||||||
Private Colleges & Universities Authority Revenue Bonds | ||||||||
5.00% due 09/01/48 | 1,000,000 | 1,242,338 | ||||||
Savannah Economic Development Authority Revenue Bonds | ||||||||
5.00% due 12/01/28 | 200,000 | 234,161 | ||||||
due 12/01/212 | 20,000 | 19,794 | ||||||
Richmond County Development Authority Revenue Bonds | ||||||||
due 12/01/212 | 10,000 | 9,897 | ||||||
Total Georgia | 1,506,190 | |||||||
Pennsylvania - 1.7% | ||||||||
Pennsylvania Economic Development Financing Authority Revenue Bonds | ||||||||
5.00% due 02/01/27 | 500,000 | 562,802 | ||||||
Reading School District General Obligation Unlimited | ||||||||
5.00% due 02/01/27 | 300,000 | 344,671 | ||||||
Pittsburgh Water & Sewer Authority Revenue Bonds | ||||||||
5.25% due 09/01/36 | 300,000 | 326,972 | ||||||
Allegheny County Hospital Development Authority Revenue Bonds | ||||||||
5.00% due 07/15/32 | 100,000 | 126,638 | ||||||
Owen J Roberts School District General Obligation Unlimited | ||||||||
5.00% due 05/15/23 | 25,000 | 26,933 | ||||||
City of Erie Pennsylvania General Obligation Unlimited | ||||||||
3.10% due 11/15/22 | 5,000 | 5,107 | ||||||
Total Pennsylvania | 1,393,123 | |||||||
West Virginia - 1.5% | ||||||||
West Virginia University Revenue Bonds | ||||||||
5.00% due 10/01/41 | 600,000 | 776,084 | ||||||
West Virginia Hospital Finance Authority Revenue Bonds | ||||||||
5.00% due 06/01/42 | 300,000 | 353,927 | ||||||
Total West Virginia | 1,130,011 | |||||||
Louisiana - 1.3% | ||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority Revenue Bonds | ||||||||
5.00% due 10/01/37 | 500,000 | 577,677 | ||||||
5.00% due 10/01/26 | 150,000 | 180,520 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MUNICIPAL INCOME FUND |
| Face | Value | ||||||
City of Shreveport Louisiana Water & Sewer Revenue Revenue Bonds | ||||||||
5.00% due 12/01/35 | $ | 250,000 | $ | 304,456 | ||||
Louisiana Public Facilities Authority Revenue Bonds | ||||||||
5.00% due 05/15/26 | 5,000 | 5,897 | ||||||
Total Louisiana | 1,068,550 | |||||||
Mississippi - 1.0% | ||||||||
Mississippi Development Bank Revenue Bonds | ||||||||
6.50% due 10/01/31 | 500,000 | 501,557 | ||||||
6.25% due 10/01/26 | 230,000 | 230,740 | ||||||
Total Mississippi | 732,297 | |||||||
New Jersey - 0.9% | ||||||||
New Jersey Turnpike Authority Revenue Bonds | ||||||||
5.00% due 01/01/31 | 300,000 | 372,885 | ||||||
New Jersey Economic Development Authority Revenue Bonds | ||||||||
5.00% due 06/01/28 | 250,000 | 304,059 | ||||||
North Hudson Sewerage Authority Revenue Bonds | ||||||||
due 12/15/212 | 50,000 | 49,974 | ||||||
Total New Jersey | 726,918 | |||||||
Tennessee - 0.9% | ||||||||
City of Shelbyville & Bedford County Health Educational & Housing Facility Board Revenue Bonds | ||||||||
2.21% due 06/01/38 | 500,000 | 492,030 | ||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds | ||||||||
2.48% due 12/01/37 | 200,000 | 211,358 | ||||||
Total Tennessee | 703,388 | |||||||
Oklahoma - 0.8% | ||||||||
Oklahoma Development Finance Authority Revenue Bonds | ||||||||
5.00% due 08/15/28 | 350,000 | 431,447 | ||||||
Oklahoma City Airport Trust Revenue Bonds | ||||||||
5.00% due 07/01/30 | 200,000 | 247,089 | ||||||
Total Oklahoma | 678,536 | |||||||
Arkansas - 0.8% | ||||||||
County of Baxter Arkansas Revenue Bonds | ||||||||
5.00% due 09/01/26 | 330,000 | 386,523 | ||||||
University of Arkansas Revenue Bonds | ||||||||
5.00% due 11/01/47 | 200,000 | 244,125 | ||||||
Total Arkansas | 630,648 | |||||||
Michigan - 0.7% | ||||||||
Michigan State Hospital Finance Authority Revenue Bonds | ||||||||
5.00% due 11/15/47 | 200,000 | 237,498 | ||||||
Michigan State Housing Development Authority Revenue Bonds | ||||||||
3.35% due 12/01/34 | 200,000 | 214,027 | ||||||
Flint Hospital Building Authority Revenue Bonds | ||||||||
5.00% due 07/01/25 | 100,000 | 113,417 | ||||||
Total Michigan | 564,942 | |||||||
Virginia - 0.6% | ||||||||
University of Virginia Revenue Bonds | ||||||||
5.00% due 04/01/38 | 200,000 | 241,441 | ||||||
Loudoun County Economic Development Authority Revenue Bonds | ||||||||
due 07/01/492 | 500,000 | 218,184 | ||||||
City of Norfolk Virginia General Obligation Unlimited | ||||||||
2.50% due 10/01/463 | 5,000 | 5,065 | ||||||
Total Virginia | 464,690 | |||||||
Puerto Rico - 0.5% | ||||||||
Puerto Rico Highway & Transportation Authority Revenue Bonds | ||||||||
5.25% due 07/01/41 | 250,000 | 275,437 | ||||||
Commonwealth of Puerto Rico General Obligation Unlimited | ||||||||
5.25% due 07/01/24 | 45,000 | 45,418 | ||||||
Total Puerto Rico | 320,855 | |||||||
Alaska - 0.4% | ||||||||
University of Alaska Revenue Bonds | ||||||||
5.00% due 10/01/40 | 260,000 | 303,678 | ||||||
Nebraska - 0.3% | ||||||||
Central Plains Energy Project Revenue Bonds | ||||||||
5.00% due 09/01/29 | 200,000 | 250,545 | ||||||
Connecticut - 0.3% | ||||||||
New Haven Housing Authority Revenue Bonds | ||||||||
2.26% due 05/01/38 | 249,357 | 249,092 | ||||||
South Carolina - 0.3% | ||||||||
Charleston County Airport District Revenue Bonds | ||||||||
5.00% due 07/01/43 | 200,000 | 247,579 | ||||||
Vermont - 0.3% | ||||||||
Vermont Educational & Health Buildings Financing Agency Revenue Bonds | ||||||||
5.00% due 12/01/46 | 200,000 | 232,516 | ||||||
Massachusetts - 0.3% | ||||||||
Massachusetts Development Finance Agency Revenue Bonds | ||||||||
5.00% due 10/01/34 | 150,000 | 193,029 | ||||||
3.00% due 10/01/21 | 15,000 | 14,850 | ||||||
Total Massachusetts | 207,879 | |||||||
78 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MUNICIPAL INCOME FUND |
| Face | Value | ||||||
Florida - 0.3% | ||||||||
Greater Orlando Aviation Authority Revenue Bonds | ||||||||
5.00% due 10/01/32 | $ | 100,000 | $ | 126,641 | ||||
City of Tampa Florida Water & Wastewater System Revenue Revenue Bonds | ||||||||
3.00% due 10/01/21 | 40,000 | 40,000 | ||||||
Tampa-Hillsborough County Expressway Authority Revenue Bonds | ||||||||
5.00% due 07/01/22 | 20,000 | 20,514 | ||||||
Florida Higher Educational Facilities Financial Authority Revenue Bonds | ||||||||
3.00% due 12/01/22 | 15,000 | 15,330 | ||||||
Total Florida | 202,485 | |||||||
South Dakota - 0.2% | ||||||||
South Dakota Board of Regents Housing & Auxiliary Facilities System Revenue Bonds | ||||||||
5.00% due 04/01/34 | 150,000 | 182,330 | ||||||
Indiana - 0.2% | ||||||||
Indiana Finance Authority Revenue Bonds | ||||||||
5.00% due 10/01/41 | 100,000 | 118,567 | ||||||
Jeffersonville Housing, Inc. Revenue Bonds | ||||||||
7.25% due 11/15/21 | 50,000 | 50,387 | ||||||
Total Indiana | 168,954 | |||||||
Idaho - 0.2% | ||||||||
Idaho Housing & Finance Association Revenue Bonds | ||||||||
5.00% due 07/15/30 | 100,000 | 127,802 | ||||||
Rhode Island - 0.2% | ||||||||
Rhode Island Health and Educational Building Corp. Revenue Bonds | ||||||||
5.00% due 05/15/42 | 100,000 | 122,845 | ||||||
Kansas - 0.2% | ||||||||
University of Kansas Hospital Authority Revenue Bonds | ||||||||
5.00% due 09/01/48 | 100,000 | 121,477 | ||||||
Utah - 0.2% | ||||||||
South Davis Metro Fire Service Area Revenue Bonds | ||||||||
5.00% due 12/01/34 | 100,000 | 121,425 | ||||||
Montana - 0.2% | ||||||||
Montana State Board of Regents Revenue Bonds | ||||||||
5.00% due 11/15/43 | 100,000 | 120,982 | ||||||
Iowa - 0.1% | ||||||||
PEFA, Inc. Revenue Bonds | ||||||||
5.00% due 09/01/264 | 100,000 | 118,431 | ||||||
New Hampshire - 0.1% | ||||||||
New Hampshire Health and Education Facilities Authority Act Revenue Bonds | ||||||||
5.00% due 01/01/23 | 60,000 | 63,546 | ||||||
Maryland - 0.0% | ||||||||
Maryland Health & Higher Educational Facilities Authority Revenue Bonds | ||||||||
5.00% due 07/01/22 | 15,000 | 15,391 | ||||||
4.25% due 07/01/22 | 10,000 | 10,190 | ||||||
4.00% due 07/01/22 | 10,000 | 10,172 | ||||||
5.00% due 07/01/27 | 5,000 | 5,700 | ||||||
Total Maryland | 41,453 | |||||||
New Mexico - 0.0% | ||||||||
City of Albuquerque New Mexico Revenue Bonds | ||||||||
5.00% due 07/01/25 | 30,000 | 33,007 | ||||||
Wisconsin - 0.0% | ||||||||
State of Wisconsin General Obligation Unlimited | ||||||||
5.00% due 05/01/22 | 25,000 | 25,700 | ||||||
Total Municipal Bonds | ||||||||
(Cost $60,014,244) | 62,618,294 | |||||||
Collateralized Mortgage Obligations†† - 5.4% | ||||||||
Government - 5.4% | ||||||||
Freddie Mac Multifamily ML Certificates Revenue Bonds | ||||||||
2.49% due 07/25/35 | 2,198,605 | 2,270,728 | ||||||
Freddie Mac Multifamily | ||||||||
1.90% due 11/25/37 | 1,987,372 | 1,988,109 | ||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $4,351,523) | 4,258,837 | |||||||
U.S. TREASURY BILLS††,5 - 1.6% | ||||||||
U.S. Treasury Bills | ||||||||
0.04% due 02/03/22 | 600,000 | 599,906 | ||||||
0.05% due 06/16/22 | 400,000 | 399,828 | ||||||
0.02% due 11/12/21 | 155,000 | 154,992 | ||||||
0.02% due 04/21/22 | 56,000 | 55,985 | ||||||
0.03% due 11/18/21 | 30,000 | 29,999 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,240,742) | 1,240,710 | |||||||
Total Investments - 99.9% | ||||||||
(Cost $74,750,460) | $ | 78,052,345 | ||||||
Other Assets & Liabilities, net - 0.1% | 67,383 | |||||||
Total Net Assets - 100.0% | $ | 78,119,728 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MUNICIPAL INCOME FUND |
Centrally Cleared Interest Rate Swap Agreements†† | ||||||||||||||||||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | Notional | Value | Upfront | Unrealized | ||||||||||||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.21% | Quarterly | 11/24/50 | $ | 1,600,000 | $ | 242,480 | $ | 319 | $ | 242,161 | ||||||||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.28% | Quarterly | 11/04/50 | 1,200,000 | 163,680 | 311 | 163,369 | ||||||||||||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.67% | Quarterly | 09/27/51 | 2,850,000 | 133,514 | 350 | 133,164 | ||||||||||||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.60% | Quarterly | 08/06/51 | 1,300,000 | 81,378 | 321 | 81,057 | ||||||||||||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.64% | Quarterly | 08/19/51 | 500,000 | 26,882 | 307 | 26,575 | ||||||||||||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.71% | Quarterly | 09/27/51 | 300,000 | 10,881 | 305 | 10,576 | ||||||||||||||||||
$ | 658,815 | $ | 1,913 | $ | 656,902 |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of September 30, 2021. |
2 | Zero coupon rate security. |
3 | 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 September 30, 2021. See table below for additional step information for each security. |
4 | The rate is adjusted periodically by the counterparty, allows the holder to tender the security upon a rate reset, and is not based upon a set reference rate and spread. |
5 | Rate indicated is the rate effective at September 30, 2021. |
6 | Rate indicated is the effective yield at the time of purchase. Security has no current coupon. However, a coupon rate will come into effect at a future rate reset date. |
BofA — Bank of America | |
CME — Chicago Mercantile Exchange | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Closed-End Funds | $ | 8,577,504 | $ | — | $ | — | $ | 8,577,504 | ||||||||
Money Market Fund | 1,357,000 | — | — | 1,357,000 | ||||||||||||
Municipal Bonds | — | 62,618,294 | — | 62,618,294 | ||||||||||||
Collateralized Mortgage Obligations | — | 4,258,837 | — | 4,258,837 | ||||||||||||
U.S. Treasury Bills | — | 1,240,710 | — | 1,240,710 | ||||||||||||
Interest Rate Swap Agreements** | — | 656,902 | — | 656,902 | ||||||||||||
Total Assets | $ | 9,934,504 | $ | 68,774,743 | $ | — | $ | 78,709,247 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
80 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
MUNICIPAL INCOME FUND |
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, none are scheduled to decrease.
Name | Coupon Rate at | Next Rate | Future Reset Rate(s) | Future Reset Date(s) | ||||||||||||
City of Norfolk Virginia General Obligation Unlimited, 2.50% due 10/01/46 | 3.00 | % | 10/01/22 | 3.75% - 5.00% | 10/01/26 - 10/01/41 | |||||||||||
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited, due 08/01/42 | 6.85 | % | 08/01/32 | — | — | |||||||||||
Riverside County Redevelopment Successor Agency Tax Allocation, due 10/01/37 | 5.00 | % | 10/01/21 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 81 |
MUNICIPAL INCOME FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments, at value (cost $74,750,460) | $ | 78,052,345 | ||
Segregated cash with broker | 17,535 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 1,913 | |||
Prepaid expenses | 24,713 | |||
Receivables: | ||||
Interest | 446,362 | |||
Fund shares sold | 33,203 | |||
Dividends | 25,163 | |||
Total assets | 78,601,234 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 6,086 | |||
Payable for: | ||||
Securities purchased | 303,591 | |||
Fund shares redeemed | 48,194 | |||
Variation margin on interest rate swap agreements | 26,520 | |||
Distribution and service fees | 14,657 | |||
Management fees | 9,548 | |||
Distributions to shareholders | 8,214 | |||
Fund accounting/administration fees | 7,981 | |||
Transfer agent/maintenance fees | 4,469 | |||
Trustees’ fees* | 2,143 | |||
Miscellaneous | 50,103 | |||
Total liabilities | 481,506 | |||
Net assets | $ | 78,119,728 | ||
Net assets consist of: | ||||
Paid in capital | $ | 73,858,402 | ||
Total distributable earnings (loss) | 4,261,326 | |||
Net assets | $ | 78,119,728 | ||
A-Class: | ||||
Net assets | $ | 63,359,050 | ||
Capital shares outstanding | 4,707,177 | |||
Net asset value per share | $ | 13.46 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 14.02 | ||
C-Class: | ||||
Net assets | $ | 1,768,674 | ||
Capital shares outstanding | 131,510 | |||
Net asset value per share | $ | 13.45 | ||
P-Class: | ||||
Net assets | $ | 219,950 | ||
Capital shares outstanding | 16,351 | |||
Net asset value per share | $ | 13.45 | ||
Institutional Class: | ||||
Net assets | $ | 12,772,054 | ||
Capital shares outstanding | 948,894 | |||
Net asset value per share | $ | 13.46 |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends | $ | 472,997 | ||
Interest | 1,570,216 | |||
Total investment income | 2,043,213 | |||
Expenses: | ||||
Management fees | 390,088 | |||
Distribution and service fees: | ||||
A-Class | 155,080 | |||
C-Class | 19,046 | |||
P-Class | 533 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 43,417 | |||
C-Class | 2,090 | |||
P-Class | 606 | |||
Institutional Class | 15,287 | |||
Registration fees | 89,075 | |||
Fund accounting/administration fees | 60,572 | |||
Professional fees | 45,272 | |||
Trustees’ fees* | 17,907 | |||
Custodian fees | 9,667 | |||
Line of credit fees | 7,515 | |||
Interest expense | 123 | |||
Miscellaneous | 44,436 | |||
Total expenses | 900,714 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A Class | (44,382 | ) | ||
C Class | (2,142 | ) | ||
P Class | (611 | ) | ||
Institutional Class | (15,538 | ) | ||
Expenses waived by Adviser | (237,609 | ) | ||
Total waived/reimbursed expenses | (300,282 | ) | ||
Net expenses | 600,432 | |||
Net investment income | 1,442,781 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 665,830 | |||
Swap agreements | (305,430 | ) | ||
Net realized gain | 360,400 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 376,668 | |||
Swap agreements | 656,902 | |||
Net change in unrealized appreciation (depreciation) | 1,033,570 | |||
Net realized and unrealized gain | 1,393,970 | |||
Net increase in net assets resulting from operations | $ | 2,836,751 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
82 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MUNICIPAL INCOME FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,442,781 | $ | 1,256,299 | ||||
Net realized gain on investments | 360,400 | 115,856 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,033,570 | 344,828 | ||||||
Net increase in net assets resulting from operations | 2,836,751 | 1,716,983 | ||||||
Distributions to shareholders: | ||||||||
A-Class | (1,163,850 | ) | (938,323 | ) | ||||
C-Class | (21,932 | ) | (24,954 | ) | ||||
P-Class | (3,987 | ) | (4,476 | ) | ||||
Institutional Class | (298,334 | ) | (288,553 | ) | ||||
Total distributions to shareholders | (1,488,103 | ) | (1,256,306 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 5,705,743 | 31,221,279 | ||||||
C-Class | 15,573 | 611,241 | ||||||
P-Class | 56,120 | 902,089 | ||||||
Institutional Class | 6,430,829 | 13,484,207 | ||||||
Distributions reinvested | ||||||||
A-Class | 1,058,269 | 802,587 | ||||||
C-Class | 20,578 | 22,789 | ||||||
P-Class | 3,987 | 4,476 | ||||||
Institutional Class | 294,007 | 283,837 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (7,038,305 | ) | (12,445,554 | ) | ||||
C-Class | (481,275 | ) | (439,495 | ) | ||||
P-Class | (44,766 | ) | (915,765 | ) | ||||
Institutional Class | (7,617,977 | ) | (14,294,302 | ) | ||||
Net increase (decrease) from capital share transactions | (1,597,217 | ) | 19,237,389 | |||||
Net increase (decrease) in net assets | (248,569 | ) | 19,698,066 | |||||
Net assets: | ||||||||
Beginning of year | 78,368,297 | 58,670,231 | ||||||
End of year | $ | 78,119,728 | $ | 78,368,297 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 421,464 | 2,381,376 | ||||||
C-Class | 1,157 | 46,635 | ||||||
P-Class | 4,134 | 67,519 | ||||||
Institutional Class | 478,875 | 1,026,721 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 78,479 | 61,069 | ||||||
C-Class | 1,529 | 1,738 | ||||||
P-Class | 296 | 341 | ||||||
Institutional Class | 21,808 | 21,612 | ||||||
Shares redeemed | ||||||||
A-Class | (524,684 | ) | (949,737 | ) | ||||
C-Class | (35,903 | ) | (34,716 | ) | ||||
P-Class | (3,349 | ) | (68,344 | ) | ||||
Institutional Class | (565,459 | ) | (1,098,996 | ) | ||||
Net increase (decrease) in shares | (121,653 | ) | 1,455,218 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
MUNICIPAL INCOME FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.23 | $ | 13.12 | $ | 12.46 | $ | 12.70 | $ | 12.86 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .25 | .26 | .30 | .30 | .27 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .23 | .11 | .70 | (.24 | ) | (.15 | ) | |||||||||||||
Total from investment operations | .48 | .37 | 1.00 | .06 | .12 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.23 | ) | (.26 | ) | (.30 | ) | (.30 | ) | (.28 | ) | ||||||||||
Net realized gains | (.02 | ) | — | (.04 | ) | — | — | |||||||||||||
Total distributions | (.25 | ) | (.26 | ) | (.34 | ) | (.30 | ) | (.28 | ) | ||||||||||
Net asset value, end of period | $ | 13.46 | $ | 13.23 | $ | 13.12 | $ | 12.46 | $ | 12.70 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 3.67 | % | 2.85 | % | 8.13 | % | 0.44 | % | 0.94 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 63,359 | $ | 62,583 | $ | 42,512 | $ | 25,570 | $ | 33,515 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.82 | % | 1.95 | % | 2.31 | % | 2.35 | % | 2.19 | % | ||||||||||
Total expensesc | 1.17 | % | 1.21 | % | 1.34 | % | 1.30 | % | 1.20 | % | ||||||||||
Net expensesd,e,f | 0.80 | % | 0.81 | % | 0.81 | % | 0.80 | % | 0.82 | % | ||||||||||
Portfolio turnover rate | 22 | % | 58 | % | 30 | % | 13 | % | 31 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.22 | $ | 13.11 | $ | 12.45 | $ | 12.69 | $ | 12.86 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .15 | .16 | .21 | .20 | .18 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .23 | .11 | .69 | (.24 | ) | (.17 | ) | |||||||||||||
Total from investment operations | .38 | .27 | .90 | (.04 | ) | .01 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.13 | ) | (.16 | ) | (.20 | ) | (.20 | ) | (.18 | ) | ||||||||||
Net realized gains | (.02 | ) | — | (.04 | ) | — | — | |||||||||||||
Total distributions | (.15 | ) | (.16 | ) | (.24 | ) | (.20 | ) | (.18 | ) | ||||||||||
Net asset value, end of period | $ | 13.45 | $ | 13.22 | $ | 13.11 | $ | 12.45 | $ | 12.69 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 2.91 | % | 2.09 | % | 7.33 | % | (0.30 | %) | 0.12 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,769 | $ | 2,177 | $ | 1,981 | $ | 2,403 | $ | 3,768 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.08 | % | 1.23 | % | 1.63 | % | 1.60 | % | 1.44 | % | ||||||||||
Total expensesc | 1.97 | % | 1.97 | % | 2.12 | % | 2.11 | % | 1.92 | % | ||||||||||
Net expensesd.e.f | 1.55 | % | 1.56 | % | 1.56 | % | 1.55 | % | 1.57 | % | ||||||||||
Portfolio turnover rate | 22 | % | 58 | % | 30 | % | 13 | % | 31 | % |
84 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MUNICIPAL INCOME FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.22 | $ | 13.13 | $ | 12.46 | $ | 12.70 | $ | 12.86 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .25 | .26 | .29 | .29 | .25 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .23 | .09 | .72 | (.23 | ) | (.14 | ) | |||||||||||||
Total from investment operations | .48 | .35 | 1.01 | .06 | .11 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.23 | ) | (.26 | ) | (.30 | ) | (.30 | ) | (.27 | ) | ||||||||||
Net realized gains | (.02 | ) | — | (.04 | ) | — | — | |||||||||||||
Total distributions | (.25 | ) | (.26 | ) | (.34 | ) | (.30 | ) | (.27 | ) | ||||||||||
Net asset value, end of period | $ | 13.45 | $ | 13.22 | $ | 13.13 | $ | 12.46 | $ | 12.70 | ||||||||||
| ||||||||||||||||||||
Total Return | 3.67 | % | 2.69 | % | 8.20 | % | 0.44 | % | 0.89 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 220 | $ | 202 | $ | 207 | $ | 37 | $ | 111 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.83 | % | 1.96 | % | 2.25 | % | 2.32 | % | 2.01 | % | ||||||||||
Total expensesc | 1.38 | % | 1.40 | % | 1.55 | % | 1.72 | % | 1.27 | % | ||||||||||
Net expensesd.e.f | 0.80 | % | 0.81 | % | 0.81 | % | 0.80 | % | 0.82 | % | ||||||||||
Portfolio turnover rate | 22 | % | 58 | % | 30 | % | 13 | % | 31 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 85 |
MUNICIPAL INCOME FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.23 | $ | 13.13 | $ | 12.46 | $ | 12.71 | $ | 12.87 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .28 | .29 | .33 | .33 | .30 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .24 | .10 | .71 | (.25 | ) | (.15 | ) | |||||||||||||
Total from investment operations | .52 | .39 | 1.04 | .08 | .15 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.27 | ) | (.29 | ) | (.33 | ) | (.33 | ) | (.31 | ) | ||||||||||
Net realized gains | (.02 | ) | — | (.04 | ) | — | — | |||||||||||||
Total distributions | (.29 | ) | (.29 | ) | (.37 | ) | (.33 | ) | (.31 | ) | ||||||||||
Net asset value, end of period | $ | 13.46 | $ | 13.23 | $ | 13.13 | $ | 12.46 | $ | 12.71 | ||||||||||
| ||||||||||||||||||||
Total Return | 3.93 | % | 3.03 | % | 8.48 | % | 0.61 | % | 1.19 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,772 | $ | 13,406 | $ | 13,970 | $ | 9,067 | $ | 15,914 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.08 | % | 2.23 | % | 2.59 | % | 2.59 | % | 2.43 | % | ||||||||||
Total expensesc | 0.96 | % | 1.00 | % | 1.08 | % | 1.09 | % | 0.88 | % | ||||||||||
Net expensesd.e.f | 0.55 | % | 0.56 | % | 0.56 | % | 0.55 | % | 0.57 | % | ||||||||||
Portfolio turnover rate | 22 | % | 58 | % | 30 | % | 13 | % | 31 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | |
A-Class | 0.79% | 0.80% | 0.80% | 0.80% | 0.80% | |
C-Class | 1.54% | 1.55% | 1.55% | 1.55% | 1.55% | |
P-Class | 0.79% | 0.80% | 0.80% | 0.80% | 0.80% | |
Institutional Class | 0.54% | 0.55% | 0.55% | 0.55% | 0.55% |
f | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | |
A-Class | — | 0.00%* | 0.00%* | — | — | |
C-Class | — | 0.00%* | — | — | — | |
P-Class | — | 0.00%* | — | — | 0.04% | |
Institutional Class | — | 0.00%* | — | — | — |
* | Less than 0.01%. |
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. The High Yield Fund Offers R6-Class shares. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds.
As of January 1, 2012, A-Class, C-Class and Institutional Class shares of High Yield Fund are subject to a 2% redemption fee when shares are redeemed or exchanged within 90 days of purchase.
This report covers the following funds (collectively, the “Funds”):
Fund Name | Investment |
Diversified Income Fund | Diversified |
High Yield Fund | Diversified |
Core Bond Fund (formerly, Investment Grade Bond Fund) | Diversified |
Municipal Income Fund | Diversified |
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”), which operate under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
GPIM, an affiliate of GI, serves as investment sub-advisor (the “Sub-Advisor”) to the Municipal Income Fund and is responsible for the day-to-day management of the Fund’s portfolio.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow 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 Trust. 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.
The NAV of each Class of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures,
THE GUGGENHEIM FUNDS ANNUAL REPORT | 87 |
NOTES TO FINANCIAL STATEMENTS (continued) |
including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.
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.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued 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.
The value of interest rate swap agreements entered into by a fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s Chicago Mercantile Exchange close price, adjusted for the current day’s spreads.
The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. 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.
(b) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Trust invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Funds’ Schedules of Investments.
The Funds invest in loans and other similar debt obligations (“obligations”). A portion of the Funds’ investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Funds may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Funds may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Funds are subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Funds may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.
(d) Interest on When-Issued Securities
The Funds may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Funds on such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.
(e) Short Sales
When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
(f) Options
Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
NOTES TO FINANCIAL STATEMENTS (continued) |
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
(g) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(h) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(i) Forward Foreign Currency Exchange Contracts
The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
(j) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(k) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded
90 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
Certain Funds may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Funds and included in interest income on the Statements of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.
(l) Distributions
The Funds declare dividends from investment income daily, except for Diversified Income Fund, which declares monthly. Each Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.
(m) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(n) Earnings Credits
Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statements of Operations.
(o) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.
(p) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
(q) Special Purpose Acquisition Companies
The Funds 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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 91 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 Funds invest will complete an acquisition or that any acquisitions that are completed will be profitable.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize 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 following table represents the Funds’ use and volume of call/put options purchased on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Call | Put | ||||||
Core Bond Fund | Income, Hedge, Duration | $ | 835,358,333 | $ | 9,198,146 |
92 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The risk in writing a call option is that a 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 a 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 a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Funds’ use and volume of call/put options written on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Call | Put | ||||||
Core Bond Fund | Income, Hedge, Duration | $ | 5,571 | $ | 9,198,146 |
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, a 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. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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, a 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.
The following table represents the Funds’ use and volume of total return swaps on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
High Yield Fund | Income, Index exposure | $ | 10,893,615 | $ | — | ||||
Core Bond Fund | Income, Index exposure | 2,891,403 | 509,456 |
Interest rate swaps involve the exchange by the Funds with another party for their 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.
The following table represents the Funds’ use and volume of interest rate swaps on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Pay Floating Rate | Receive Floating Rate | ||||||
Municipal Income Fund | Duration, Hedge | $ | — | $ | 5,102,500 | ||||
Core Bond Fund | Duration, Hedge | 47,000,000 | 22,100,000 |
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. A 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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 93 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 event 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 selling the credit protection. For a fund utilizing 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, a 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.
The following table represents the Funds’ use and volume of credit default swaps on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Protection Sold | Protection Purchased | ||||||
High Yield Fund | Index exposure | $ | 10,291,667 | $ | — | ||||
Core Bond Fund | Index exposure, Income | 7,889,167 | — |
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 Funds 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.
The following table represents the Funds’ use and volume of forward foreign currency exchange contracts on a monthly basis:
Average Value | |||||||||
Fund | Use | Purchased | Sold | ||||||
High Yield Fund | Hedge | $ | 75,511 | $ | 2,448,869 | ||||
Core Bond Fund | Hedge | 13,815,836 | 20,966,530 |
94 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2021:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Interest rate swap contracts | Variation margin on interest rate swap agreements | Variation margin on interest rate swap agreements |
Unamortized upfront premiums paid on interest rate swap agreements | ||
Equity/Interest rate option contracts | Investments in unaffiliated issuers, at value | Options written, at value |
Currency forward contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2021:
Asset Derivative Investments Value | ||||||||||||||||||||||||
Fund | Swaps | Options | Options | Forward | Options | Total | ||||||||||||||||||
High Yield Fund | $ | — | $ | — | $ | — | $ | 115,589 | $ | — | $ | 115,589 | ||||||||||||
Core Bond Fund | 46,436 | — | 1,676,875 | 213,856 | 3,562,083 | 5,499,250 | ||||||||||||||||||
Municipal Income Fund | 656,902 | — | — | — | — | 656,902 |
Liability Derivative Investments Value | ||||||||||||||||||||||||
Fund | Swaps | Options | Options | Forward | Options | Total | ||||||||||||||||||
High Yield Fund | $ | — | $ | — | $ | — | $ | 940 | $ | — | $ | 940 | ||||||||||||
Core Bond Fund | — | 594,545 | — | — | — | 594,545 |
* | Includes cumulative appreciation (depreciation) of OTC and centrally-cleared swap agreements as reported on the Schedules of Investments. For centrally-cleared swap agreements, variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2021:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Interest rate option contracts | Net realized gain (loss) on options purchased |
| Net change in unrealized appreciation (depreciation) on options purchased |
Net change in unrealized appreciation (depreciation) on options written | |
Interest rate/Credit swap contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
Currency forward contracts | Net realized gain (loss) on forward foreign currency exchange contracts |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended September 30, 2021:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||
Fund | Swaps Interest | Swaps | Options | Options | Forward | Options | Total | |||||||||||||||||||||
High Yield Fund | $ | — | $ | 2,273,490 | $ | — | $ | — | $ | (15,405 | ) | $ | — | $ | 2,258,085 | |||||||||||||
Core Bond Fund | 1,235,166 | 2,790,191 | — | 2,581,841 | 4,367,254 | — | 10,974,452 | |||||||||||||||||||||
Municipal Income Fund | (305,430 | ) | — | — | — | — | — | (305,430 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||
Fund | Swaps Interest | Swaps | Options | Options | Forward | Options | Total | |||||||||||||||||||||
High Yield Fund | $ | — | $ | (59,854 | ) | $ | — | $ | — | $ | 117,119 | $ | — | $ | 57,265 | |||||||||||||
Core Bond Fund | (717,275 | ) | (1,418,425 | ) | 141,325 | 140,000 | (4,132,180 | ) | 770,182 | (5,216,373 | ) | |||||||||||||||||
Municipal Income Fund | 656,902 | — | — | — | — | — | 656,902 |
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A 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 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 Funds.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
96 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 3 – Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
High Yield Fund | Forward foreign currency exchange contracts | $ | 115,589 | $ | — | $ | 115,589 | $ | — | $ | — | $ | 115,589 | ||||||||||||
Core Bond Fund | Forward foreign currency exchange contracts | 213,856 | — | 213,856 | — | (22,846 | ) | 191,010 | |||||||||||||||||
Core Bond Fund | Options Purchased | 5,238,958 | — | 5,238,958 | — | (763,456 | ) | 4,475,502 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 97 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
High Yield Fund | Forward foreign currency exchange contracts | $ | 940 | $ | — | $ | 940 | $ | — | $ | — | $ | 940 | ||||||||||||
Core Bond Fund | Options Written | 584,375 | — | 584,375 | — | — | 584,375 |
1 | Centrally-cleared derivatives are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.
Fund | Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Core Bond Fund | BofA Securities, Inc. | Interest rate swap agreements | $ | 1,485,917 | $ | — | ||||
BofA Securities, Inc. | Reverse repurchase agreements | — | 1,260,000 | |||||||
Citibank, N.A. | Forward foreign currency exchange contracts, Options | — | 820,000 | |||||||
Goldman Sachs International | Options | — | 490,000 | |||||||
| Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts, Options | — | 308,726 | ||||||
|
|
| 1,485,917 | 2,878,726 | ||||||
Municipal Income Fund | BofA Securities, Inc. | Interest rate swap agreements | 17,535 | — |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 — | 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. |
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.
98 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Independent pricing services are used to value a majority of the Funds’ 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 Funds’ 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 Funds’ 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 Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees | |||
Diversified Income Fund | 0.75 | % | ||
High Yield Fund | 0.60 | % | ||
Core Bond Fund | 0.39 | % | ||
Municipal Income Fund | 0.50 | % |
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 99 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Contractual expense limitation agreements for the following Funds provide that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
Diversified Income Fund - A-Class | 1.30 | % | 01/29/16 | 02/01/23 | ||||||||
Diversified Income Fund - C-Class | 2.05 | % | 01/29/16 | 02/01/23 | ||||||||
Diversified Income Fund - P-Class | 1.30 | % | 01/29/16 | 02/01/23 | ||||||||
Diversified Income Fund - Institutional Class | 1.05 | % | 01/29/16 | 02/01/23 | ||||||||
High Yield Fund - A-Class | 1.16 | % | 11/30/12 | 02/01/23 | ||||||||
High Yield Fund - C-Class | 1.91 | % | 11/30/12 | 02/01/23 | ||||||||
High Yield Fund - P-Class | 1.16 | % | 05/01/15 | 02/01/23 | ||||||||
High Yield Fund - Institutional Class | 0.91 | % | 11/30/12 | 02/01/23 | ||||||||
High Yield Fund - R6-Class | 0.91 | % | 05/15/17 | 02/01/23 | ||||||||
Core Bond Fund - A-Class | 0.79 | % | 11/30/12 | 02/01/23 | ||||||||
Core Bond Fund - C-Class | 1.54 | % | 11/30/12 | 02/01/23 | ||||||||
Core Bond Fund - P-Class | 0.79 | % | 05/01/15 | 02/01/23 | ||||||||
Core Bond Fund - Institutional Class | 0.50 | % | 11/30/12 | 02/01/23 | ||||||||
Municipal Income Fund - A-Class | 0.80 | % | 11/30/12 | 02/01/23 | ||||||||
Municipal Income Fund - C-Class | 1.55 | % | 11/30/12 | 02/01/23 | ||||||||
Municipal Income Fund - P-Class | 0.80 | % | 05/01/15 | 02/01/23 | ||||||||
Municipal Income Fund - Institutional Class | 0.55 | % | 11/30/12 | 02/01/23 |
GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:
Fund | 2022 | 2023 | 2024 | Total | ||||||||||||
Diversified Income Fund | ||||||||||||||||
A-Class | $ | 4,237 | $ | 7,853 | $ | 8,022 | $ | 20,112 | ||||||||
C-Class | 14,152 | 13,188 | 5,885 | 33,225 | ||||||||||||
P-Class | 3,371 | 3,667 | 3,708 | 10,746 | ||||||||||||
Institutional Class | 148,929 | 161,912 | 164,958 | 475,799 | ||||||||||||
High Yield Fund | ||||||||||||||||
A-Class | — | — | 3,549 | 3,549 | ||||||||||||
C-Class | — | — | 497 | 497 | ||||||||||||
P-Class | 1,761 | 1,010 | 1,534 | 4,305 | ||||||||||||
Institutional Class | — | — | 14,409 | 14,409 | ||||||||||||
R6-Class | — | — | — | — | ||||||||||||
Core Bond Fund | ||||||||||||||||
A-Class | 114,831 | 101,962 | 98,028 | 314,821 | ||||||||||||
C-Class | 23,323 | 20,037 | 23,013 | 66,373 | ||||||||||||
P-Class | 66,557 | 60,229 | 82,001 | 208,787 | ||||||||||||
Institutional Class | 535,891 | 633,157 | 1,336,675 | 2,505,723 | ||||||||||||
Municipal Income Fund | ||||||||||||||||
A-Class | 153,746 | 194,998 | 233,041 | 581,785 | ||||||||||||
C-Class | 11,587 | 8,471 | 7,997 | 28,055 | ||||||||||||
P-Class | 838 | 1,347 | 1,251 | 3,436 | ||||||||||||
Institutional Class | 58,964 | 57,034 | 57,993 | 173,991 |
For the year ended September 30, 2021, GI recouped amounts from the Funds as follows:
High Yield Fund | $ | 17,008 | ||
Core Bond Fund | 15,742 |
100 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
Diversified Income Fund | $ | 39,017 | ||
High Yield Fund | 37,558 |
For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Funds’ custodian. As custodian, BNY is responsible for the custody of the Funds’ assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Funds’ average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
At September 30, 2021, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:
Fund | Percent of Outstanding |
Diversified Income Fund | 94% |
Note 6 – Reverse Repurchase Agreements
Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
For the year ended September 30, 2021, the following Funds entered into reverse repurchase agreements:
Fund | Number of Days | Balance at | Average Balance | Average | ||||||||||||
High Yield Fund | 322 | $ | 1,556,749 | $ | 9,525,182 | 0.41 | % | |||||||||
Core Bond Fund | 281 | 58,575,378 | 38,322,996 | 0.04 | % |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 101 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
High Yield Fund | Reverse repurchase Agreements | $ | 1,556,749 | $ | — | $ | 1,556,749 | $ | (1,556,749 | ) | $ | — | $ | — | |||||||||||
Core Bond Fund | Reverse repurchase Agreements | 58,575,378 | — | 58,575,378 | (58,575,378 | ) | — | — |
As of September 30, 2021, the High Yield Fund and the Core Bond Fund had $1,566,749 and $58,575,378, respectively, in reverse repurchase agreements outstanding with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:
Fund | Counterparty | Interest Rate(s) | Maturity Date(s) | Face Value | ||||||
High Yield Fund | Credit Suisse | (2.00%) | Open Maturity | $ | 128,791 | |||||
|
| (1.50%) | Open Maturity | 1,427,958 | ||||||
|
|
|
| $ | 1,556,749 | |||||
Core Bond Fund | J.P. Morgan | (0.09%) | 10/01/21 | $ | 29,287,926 | |||||
| Bank of America | (0.06%) | 10/01/21 | 29,287,452 | ||||||
|
|
|
| $ | 58,575,378 |
The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of year-end, aggregated by asset class of the related collateral pledged by the Funds:
Fund | Asset Type | Overnight and | Up to 30 days | Total | ||||||||||||
High Yield Fund | Corporate Bonds | $ | 1,556,749 | $ | — | $ | 1,556,749 | |||||||||
Gross amount of recoginized liabilities for reverse repurchase agreements |
| $ | 1,556,749 | $ | — | $ | 1,556,749 | |||||||||
Core Bond Fund | U.S. Government Securities | $ | — | $ | 58,575,378 | $ | 58,575,378 | |||||||||
Gross amount of recoginized liabilities for reverse repurchase agreements |
| $ | — | $ | 58,575,378 | $ | 58,575,378 |
Note 7 – Federal Income Tax Information
The Funds intend 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 Funds 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 Funds’ 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 Funds’ 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 Funds’ financial statements. The Funds’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
102 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
Fund | Ordinary | Long-Term | Tax-Exempt | Return | Total | |||||||||||||||
Diversified Income Fund | $ | 238,449 | $ | — | $ | — | $ | — | $ | 238,449 | ||||||||||
High Yield Fund | 17,921,274 | — | — | 1,070,238 | 18,991,512 | |||||||||||||||
Core Bond Fund | 65,247,275 | 8,427,954 | — | — | 73,675,229 | |||||||||||||||
Municipal Income Fund | — | 111,351 | 1,376,752 | — | 1,488,103 |
The tax character of distributions paid during the year ended September 30, 2020 was as follows:
Fund | Ordinary | Long-Term | Tax-Exempt | Total | ||||||||||||
Diversified Income Fund | $ | 230,515 | $ | 21,270 | $ | — | $ | 251,785 | ||||||||
High Yield Fund | 23,332,303 | — | — | 23,332,303 | ||||||||||||
Core Bond Fund | 24,366,675 | — | — | 24,366,675 | ||||||||||||
Municipal Income Fund | — | — | 1,256,306 | 1,256,306 |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:
Fund | Undistributed | Undistributed | Net Unrealized | Accumulated | Other | Total | ||||||||||||||||||
Diversified Income Fund | $ | 19,423 | $ | — | $ | 763,735 | $ | (3,725 | ) | $ | (12,744 | ) | $ | 766,689 | ||||||||||
High Yield Fund | — | — | 8,033,405 | (23,222,807 | ) | (1,199,173 | ) | (16,388,575 | ) | |||||||||||||||
Core Bond Fund | 10,835,129 | 13,626,451 | 33,281,005 | — | (3,108,428 | ) | 54,634,157 | |||||||||||||||||
Municipal Income Fund | 108,694 | * | 309,370 | 3,956,211 | — | (112,949 | ) | 4,261,326 |
* | For Municipal Income Fund, the amount shown represents Undistributed Tax-Exempt Income. |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, capital loss carryforwards for the Funds were as follows:
Unlimited | ||||||||||||
Fund | Short-Term | Long-Term | Total Capital Loss Carryforward | |||||||||
Diversified Income Fund | $ | (3,725 | ) | $ | — | $ | (3,725 | ) | ||||
High Yield Fund | — | (23,191,229 | ) | (23,191,229 | ) |
For the year ended September 30, 2021, the following capital loss carryforward amounts were utilized:
Fund | Utilized | |||
Diversified Income Fund | $ | 298,126 | ||
High Yield Fund | 5,400,917 | |||
Municipal Income Fund | 10,477 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 103 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements and CLO securities, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, the deferral of qualified late-year losses, reclassification of distributions received, distributions in connection with redemption of fund shares, dividends payable, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, net operating losses, paydown reclasses, non-deductible expenses, income accruals on certain investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:
Fund | Paid In | Total | ||||||
Diversified Income Fund | $ | (921 | ) | $ | 921 | |||
Core Bond Fund | 5,308,891 | (5,308,891 | ) | |||||
Municipal Income Fund | (622 | ) | 622 |
At September 30, 2021, 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:
Fund | Tax | Tax | Tax | Net Tax | ||||||||||||
Diversified Income Fund | $ | 6,825,403 | $ | 768,666 | $ | (4,931 | ) | $ | 763,735 | |||||||
High Yield Fund | 375,876,629 | 12,076,276 | (4,042,546 | ) | 8,033,730 | |||||||||||
Core Bond Fund | 1,694,837,502 | 46,765,583 | (13,488,741 | ) | 33,276,842 | |||||||||||
Municipal Income Fund | 74,753,036 | 4,375,200 | (418,989 | ) | 3,956,211 |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2021, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2021:
Fund | Ordinary | Capital | ||||||
High Yield Fund | $ | (31,578 | ) | $ | — |
Note 8 – Securities Transactions
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Diversified Income Fund | $ | 3,859,092 | $ | 3,590,696 | ||||
High Yield Fund | 329,135,701 | 360,524,453 | ||||||
Core Bond Fund | 1,342,201,721 | 1,285,481,338 | ||||||
Municipal Income Fund | 19,230,582 | 16,506,378 |
104 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | Purchases | Sales | ||||||
Core Bond Fund | $ | 363,508,174 | $ | 321,086,552 |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized | |||||||||
High Yield Fund | $ | 3,024,006 | $ | 95,287,059 | $ | 4,815,610 | ||||||
Core Bond Fund | 28,909,242 | 57,508,857 | 3,367,799 |
Note 9 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of September 30, 2021. The Funds are obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of September 30, 2021, were as follows:
Fund | Borrower | Maturity Date | Face Amount | Value | |||||||||
High Yield Fund | |||||||||||||
Eisner Advisory Group | 07/28/28 | $ | 40,909 | $ | — | ||||||||
Medline Industries, Inc. | 08/06/22 | 4,000,000 | — | ||||||||||
National Mentor Holdings, Inc. | 03/02/28 | 35,733 | 163 | ||||||||||
Pro Mach Group, Inc. | 08/31/28 | 104,749 | — | ||||||||||
PT Intermediate Holdings III LLC | 10/15/25 | 47,489 | 223 | ||||||||||
SCP Eye Care Services LLC | 03/16/28 | 188,352 | 236 | ||||||||||
Taxware Holdings (Sovos Compliance LLC) | 08/11/28 | 110,445 | — | ||||||||||
$ | 4,527,677 | $ | 622 | ||||||||||
Core Bond Fund | |||||||||||||
CTL Logistics | 08/10/42 | $ | 357,219 | $ | 9,752 | ||||||||
Service Logic Acquisition, Inc. | 10/29/27 | 145,896 | — | ||||||||||
Venture Global Calcasieu Pass LLC | 08/19/26 | 427,737 | 23,526 | ||||||||||
KKR Core Holding Company LLC | 07/15/31 | 4,200,000 | — | ||||||||||
$ | 5,130,852 | $ | 33,278 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 105 |
NOTES TO FINANCIAL STATEMENTS (concluded) |
Note 10 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Fund | Restricted Securities | Acquisition Date | Cost | Value | |||||||||
High Yield Fund | Basic Energy Services, Inc. | ||||||||||||
due 10/15/232 | 09/25/18 | $ | 1,219,360 | $ | 91,875 | ||||||||
Mirabela Nickel Ltd. | |||||||||||||
due 06/24/192 | 12/31/13 | 252,369 | 13,906 | ||||||||||
$ | 1,471,729 | $ | 105,781 | ||||||||||
Core Bond Fund | Central Storage Safety Project Trust | ||||||||||||
4.82% due 02/01/38 | 03/20/18 | $ | 993,465 | $ | 1,093,342 | ||||||||
Copper River CLO Ltd. | |||||||||||||
2007-1A, due 01/20/211 | 05/09/14 | 19,627 | 23,961 | ||||||||||
$ | 1,013,092 | $ | 1,117,303 |
1 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
2 | Security is in default of interest and/or principal obligations. |
Note 11 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2021.
On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.
Note 12 – COVID-19
The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Note 13 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
106 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Guggenheim Diversified Income Fund, Guggenheim High Yield Fund, Guggenheim Core Bond Fund (formerly, Guggenheim Investment Grade Bond Fund) and Guggenheim Municipal Income Fund and the Board of Trustees of Guggenheim Funds Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Guggenheim Diversified Income Fund, Guggenheim High Yield Fund, Guggenheim Core Bond Fund (formerly, Guggenheim Investment Grade Bond Fund) and Guggenheim Municipal Income Fund (collectively referred to as the “Funds”), (four of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedules of investments, as of September 30, 2021, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (four of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodians, transfer agent, brokers, and paying agents or by other appropriate auditing procedures where replies from brokers or paying agents were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2021
THE GUGGENHEIM FUNDS ANNUAL REPORT | 107 |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2022, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2021.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Municipal Income Fund designates $1,376,752 as tax-exempt interest income according to IRC Section 852(b)(5)(A).
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
Fund | Qualified | Dividend | Qualified | Qualified | ||||||||||||
Diversified Income Fund | 20.26 | % | 19.16 | % | 45.52 | % | 0.00 | % | ||||||||
High Yield Fund | 4.38 | % | 4.27 | % | 82.15 | % | 0.00 | % | ||||||||
Core Bond Fund | 1.91 | % | 1.78 | % | 57.84 | % | 100.00 | % |
With respect to the taxable year ended September 30, 2021, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | From long-term | From long-term capital | ||||||
Core Bond Fund | $ | 8,427,954 | $ | 5,308,891 | ||||
Municipal Income Fund | 111,351 | — |
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
108 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Information regarding how the Funds’ voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/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.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)
● Guggenheim High Yield Fund (“High Yield Fund”)
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)
● Guggenheim Municipal Income Fund (“Municipal Income Fund”)
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)
● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)
● Guggenheim World Equity Income Fund (“World Equity Income Fund”) | ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
● Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”)
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 109 |
OTHER INFORMATION (Unaudited)(continued) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.4 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021. |
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OTHER INFORMATION (Unaudited)(continued) |
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.5 As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.
5 | Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements. |
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OTHER INFORMATION (Unaudited)(continued) |
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and
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OTHER INFORMATION (Unaudited)(continued) |
disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.
Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
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OTHER INFORMATION (Unaudited)(continued) |
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.
Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.
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OTHER INFORMATION (Unaudited)(concluded) |
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee)
Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 158 | Current: Purpose Investments Funds (2013-present).
Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present).
Former: Senior Leader, TIAA (1987-2012). | 157 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present).
Former: Infinity Property & Casualty Corp. (2014-2018). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 157 | Current: US Global Investors (GROW) (1995-present).
Former: Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 158 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present).
Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Audit Committee) | Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 157 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: SSGA Master Trust (1) (2018-2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present).
Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 157 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE |
|
|
|
| |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014 (Chief Legal Officer)
Since 2007 (Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds Investment Manager and/or the parent of the Investment Manager. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 119 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present).
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2014 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments. Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present).
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
120 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2014 | Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 121 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
122 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 123 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
124 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk.
In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond
to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 125 |
9.30.2021
Guggenheim Funds Annual Report
Guggenheim SMid Cap Value Fund |
GuggenheimInvestments.com | SBMCV-ANN-0921x0922 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
GUGGENHEIM SMID CAP VALUE FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 27 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 37 |
OTHER INFORMATION | 39 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 52 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 59 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 63 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2021 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim SMid Cap Value Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Fund. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 2021
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2021 |
The SMid Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means investors could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. ● Investments in small- and/or mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2021 |
In the 12 months ending September 30, 2021, the equity market experienced a relatively steady upward climb that reversed amid seasonal pressures, inflation worry, and market uncertainty about the economic damage brought about by the potential emergence of new COVID variants.
The ten-year Treasury climbed 83 basis points to 1.52% from 0.69% over the period. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.
Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.
As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.
As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.
Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2021 |
For the 12-month period ended September 30, 2021, the S&P 500® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
Russell 2500® Value Index measures the performance of the small-to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.
The following tables illustrate the Fund’s costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
A-Class | 1.19% | (0.68%) | $ 1,000.00 | $ 993.20 | $ 5.95 |
C-Class | 2.02% | (1.07%) | 1,000.00 | 989.30 | 10.07 |
P-Class | 1.27% | (0.74%) | 1,000.00 | 992.60 | 6.34 |
Institutional Class | 1.02% | (0.56%) | 1,000.00 | 994.40 | 5.10 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
A-Class | 1.19% | 5.00% | $ 1,000.00 | $ 1,019.10 | $ 6.02 |
C-Class | 2.02% | 5.00% | 1,000.00 | 1,014.94 | 10.20 |
P-Class | 1.27% | 5.00% | 1,000.00 | 1,018.70 | 6.43 |
Institutional Class | 1.02% | 5.00% | 1,000.00 | 1,019.95 | 5.16 |
1 | Annualized and excludes expenses of the underlying funds in which the Fund invests, if any. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
��
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders:
Guggenheim SMid Cap Value Fund is managed by a team of seasoned professionals led by James Schier, CFA, Senior Managing Director and Portfolio Manager; David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the following paragraphs, the team discusses performance of the Fund for the fiscal year ended September 30, 2021.
For the year ended September 30, 2021, Guggenheim SMid Cap Value Fund returned 44.65%1, compared with the Russell 2500® Value Index, which returned 54.38%.
Strategy and Market Overview
Our investment approach focuses on understanding how companies make money and how easily companies can improve returns, maintain existing high levels of profitability, or benefit from change that occurs within the industries in which they operate. In today’s rapidly changing environment marked by very sharp and quick, but constrained, volatility, our long-term orientation and discipline are a competitive advantage. This should become especially critical when the environment of indiscriminant valuation expansion subsides, and fundamentals once again become a more dominant factor in the market.
Performance Review
Rising interest rates, the reopening of the economy following the pandemic, and a historically wide valuation gap between growth and value sectors were among the factors that, in a reversal from the last few years, saw value stocks solidly outperform growth stocks over the period, particularly in the small capitalization space. Early on, the smallest and most sensitive to an improving economy advanced the most, but larger, more growth-focused names stepped up as the market grew concerned about the Delta variant, peak profitability, rising input prices, logistical challenges, and shortages. The Fund, which tends to own the larger, higher quality, and more growthy companies in the benchmark, lagged its benchmark at times throughout the period.
The largest headwind to the Fund was stock selection in the Information Technology and Industrials sectors, as earnings reports of companies indicated supply chain issues, cost input inflation, or impairments related to Hurricane Ida. In Technology, communication equipment names as well as the hand-set chip suppliers were weak, as component availability either impaired the ability to get sufficient product out the door or delayed customer orders. Stocks that fell from highs in the period included Infinera Corp., Qorvo, Inc., and Skyworks Solutions. Equities in the Industrials sector declined 10 percentage points more than those in the benchmark, led by Parsons Corp., which reported a 56% decline in operating income for the summer quarter due to reserves taken on federal solutions and critical infrastructure programs, and Enersys, which fell on raw material cost inflation and availability issues.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
Selection in REITs was poor against the benchmark, offset by a beneficial underweighting to the sector. A lack of exposure to cyclical office retail REITs and an overweighting to healthcare REITs was entirely the cause, as opposed to any issues with individual companies. A large position in mediocre performer Physicians REIT was the main individual detractor.
Selection in Financials was also a negative influence in the period. An over-exposure to insurance and reinsurance names was detrimental as the market feared the impact of Hurricane Ida and other storms. Alleghany Corp. fell on these concerns. A bright spot was Pinnacle Financial Partners, which had strong earnings growth during the year.
Also detracting from performance was the fact that the Fund did not own Gamestop and AMC, volatile meme stocks that soared earlier in 2021, based on the view that the companies’ earnings fundamentals did not justify their valuations.
A positive contribution from underweighting the Health Care sector was offset by poor selection, led by Emergent BioSolutions, which fell as the company in a manufacturing contract for Johnson and Johnson’s vaccine had to dispose of millions of contaminated doses. The company’s facility has subsequently corrected the outstanding issues at the facility and is once again manufacturing. Not owning hospitals or life science tools companies also detracted from performance. Evolent Health was a large individual contributor in the sector, rising on speculation that the company could become a takeover target after involvement by activist investors.
The leading contributors to relative performance for the year were stock selection in Consumer Discretionary and Consumer Staples. In Consumer Discretionary, the Fund was helped by holdings in retailers selling apparel (Abercrombie & Fitch), autos and auto parts (Penske Automotive, LKQ Corp.), and sporting equipment (Dick’s Sporting Goods). Meritage Homes detracted from performance; investors became cautious on the sector as homebuilders faced higher raw materials costs and concerns over affordability. Consumer Staples names in the Fund also outgained those in the benchmark, led by Bunge, one of the Fund’s largest holdings.
Selection in Energy was also a relative contributor to performance, as the sector benefitted from the rise in price of both oil and natural gas. An emphasis on exploration and production companies was helpful, especially for natural gas-oriented Range Resources. Another significant contributor was Parsley Energy, an oil and gas company which was acquired by Pioneer Natural Resources during the period.
Portfolio Positioning
While this strategy is balanced relative to the benchmark, it does possess defensive characteristics in virtue of emphasizing relatively larger companies found in the benchmark as well as an overweight in Utilities.
Over the period, the Fund’s largest sector overweights on average relative to the benchmark were in Staples, Materials, Industrials, and Utilities. The Fund’s largest sector underweights were in REITs, Financials, and Health Care.
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
Portfolio and Market Outlook
The market outlook is indeed murkier than usual. The expectation of a government and a Federal Reserve willing to do whatever is necessary to help the economy and the markets will need to meet the growing limitations that an increasingly indebted nation must eventually face. However, near term benefits of stimulus money and a Federal Reserve willing to commit to near zero interest rates for an indefinite period suggest a buoyant near-term outlook. The eventual outcome of the stimulus bill being debated in Congress and the Fed’s tapering process also promise to be significant but unpredictable market movers.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
GUGGENHEIM SMID CAP VALUE FUND
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | May 1, 1997 |
C-Class | January 29, 1999 |
P-Class | May 1, 2015 |
Institutional Class | January 3, 2020 |
Ten Largest Holdings (% of Total Net Assets) | |
Pioneer Natural Resources Co. | 2.8% |
Bunge Ltd. | 2.4% |
Range Resources Corp. | 2.2% |
Evolent Health, Inc. — Class A | 2.2% |
First Horizon Corp. | 2.2% |
Alleghany Corp. | 2.0% |
LKQ Corp. | 2.0% |
Physicians Realty Trust | 1.6% |
Rexnord Corp. | 1.5% |
Huntsman Corp. | 1.5% |
Top Ten Total | 20.4% |
“Ten Largest Holdings” excludes any temporary cash investments. |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 44.65% | 10.93% | 11.81% |
A-Class Shares with sales charge‡ | 37.78% | 9.86% | 11.27% |
C-Class Shares | 43.48% | 10.04% | 10.95% |
C-Class Shares with CDSC§ | 42.48% | 10.04% | 10.95% |
Institutional Class Shares1 | 44.92% | 11.16% | 12.19% |
Russell 2500 Value Index | 54.38% | 10.49% | 13.35% |
| 1 Year | 5 Year | Since |
P-Class Shares | 44.55% | 10.87% | 9.19% |
Russell 2500 Value Index | 54.38% | 10.49% | 9.06% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2500 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to difference in fee structures. |
1 | The Institutional Class shares commenced operations on January 3, 2020 in connection with the reorganization of the SMid Cap Value Institutional Fund. The performance of the Institutional Class shares of the Fund for periods prior to January 3, 2020 reflects the performance of the Guggenheim SMid Cap Value Institutional Fund. The returns for the SMid Cap Value Institutional Fund have not been restated to reflect the fees and expenses applicable to the Institutional Class shares of the Fund. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
SMID CAP VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 98.0% | ||||||||
Financial - 23.8% | ||||||||
First Horizon Corp. | 574,471 | $ | 9,358,133 | |||||
Alleghany Corp.* | 13,849 | 8,647,454 | ||||||
Physicians Realty Trust REIT | 382,791 | 6,744,778 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 33,157 | 6,335,308 | ||||||
Voya Financial, Inc. | 87,970 | 5,400,478 | ||||||
VICI Properties, Inc. REIT | 165,679 | 4,706,940 | ||||||
BOK Financial Corp. | 51,259 | 4,590,244 | ||||||
Sun Communities, Inc. REIT | 24,554 | 4,544,945 | ||||||
STAG Industrial, Inc. REIT | 112,390 | 4,411,308 | ||||||
Prosperity Bancshares, Inc. | 61,965 | 4,407,570 | ||||||
Radian Group, Inc. | 190,807 | 4,335,135 | ||||||
Stifel Financial Corp. | 61,030 | 4,147,599 | ||||||
KeyCorp | 168,845 | 3,650,429 | ||||||
Unum Group | 134,415 | 3,368,440 | ||||||
Axis Capital Holdings Ltd. | 70,346 | 3,238,730 | ||||||
Apple Hospitality REIT, Inc. | 191,498 | 3,012,264 | ||||||
GoHealth, Inc. — Class A* | 576,392 | 2,899,252 | ||||||
Zions Bancorp North America | 43,006 | 2,661,641 | ||||||
Old Republic International Corp. | 109,037 | 2,522,026 | ||||||
Medical Properties Trust, Inc. REIT | 124,560 | 2,499,919 | ||||||
Heartland Financial USA, Inc. | 48,817 | 2,347,121 | ||||||
Park Hotels & Resorts, Inc. REIT* | 119,020 | 2,278,043 | ||||||
Gaming and Leisure Properties, Inc. REIT | 46,248 | 2,142,207 | ||||||
Virtu Financial, Inc. — Class A | 85,662 | 2,092,722 | ||||||
Heritage Insurance Holdings, Inc. | 280,423 | 1,909,680 | ||||||
Total Financial | 102,252,366 | |||||||
Industrial - 21.2% | ||||||||
Rexnord Corp. | 102,246 | 6,573,395 | ||||||
Jacobs Engineering Group, Inc. | 45,754 | 6,063,777 | ||||||
Graphic Packaging Holding Co. | 279,720 | 5,325,869 | ||||||
Johnson Controls International plc | 76,754 | 5,225,412 | ||||||
Knight-Swift Transportation Holdings, Inc. | 99,408 | 5,084,719 | ||||||
EnerSys | 68,081 | 5,067,950 | ||||||
Plexus Corp.* | 50,906 | 4,551,505 | ||||||
Valmont Industries, Inc. | 18,655 | 4,386,164 | ||||||
Kirby Corp.* | 90,242 | 4,328,007 | ||||||
Colfax Corp.* | 93,835 | 4,307,026 | ||||||
Littelfuse, Inc. | 15,724 | 4,296,897 | ||||||
Altra Industrial Motion Corp. | 75,605 | 4,184,737 | ||||||
Energizer Holdings, Inc. | 94,764 | 3,700,534 | ||||||
PGT Innovations, Inc.* | 186,565 | 3,563,391 | ||||||
Southwest Gas Holdings, Inc. | 50,360 | 3,368,077 | ||||||
Curtiss-Wright Corp. | 25,342 | 3,197,654 | ||||||
Terex Corp. | 74,032 | 3,116,747 | ||||||
Owens Corning | 32,815 | 2,805,683 | ||||||
GATX Corp. | 27,068 | 2,424,210 | ||||||
Kennametal, Inc. | 66,439 | 2,274,207 | ||||||
Advanced Energy Industries, Inc. | 24,186 | 2,122,322 | ||||||
Park Aerospace Corp. | 143,193 | 1,958,880 | ||||||
II-VI, Inc.* | 32,071 | 1,903,735 | ||||||
Howmet Aerospace, Inc. | 37,205 | 1,160,796 | ||||||
Total Industrial | 90,991,694 |
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
SMID CAP VALUE FUND |
| Shares | Value | ||||||
Consumer, Cyclical - 13.9% | ||||||||
LKQ Corp.* | 169,119 | $ | 8,510,068 | |||||
Avient Corp. | 109,330 | 5,067,445 | ||||||
Kohl’s Corp. | 96,304 | 4,534,955 | ||||||
Alaska Air Group, Inc.* | 75,819 | 4,442,994 | ||||||
PVH Corp.* | 42,818 | 4,401,262 | ||||||
KAR Auction Services, Inc.* | 261,709 | 4,289,411 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 52,550 | 4,213,985 | ||||||
Ralph Lauren Corp. — Class A | 31,603 | 3,509,197 | ||||||
Abercrombie & Fitch Co. — Class A* | 88,592 | 3,333,717 | ||||||
Methode Electronics, Inc. | 62,648 | 2,634,349 | ||||||
DR Horton, Inc. | 29,990 | 2,518,260 | ||||||
Dick’s Sporting Goods, Inc. | 17,203 | 2,060,403 | ||||||
Dana, Inc. | 91,572 | 2,036,561 | ||||||
Penske Automotive Group, Inc. | 20,167 | 2,028,800 | ||||||
Newell Brands, Inc. | 82,513 | 1,826,838 | ||||||
Lakeland Industries, Inc.* | 82,219 | 1,726,599 | ||||||
Zumiez, Inc.* | 30,721 | 1,221,467 | ||||||
La-Z-Boy, Inc. | 30,826 | 993,522 | ||||||
Total Consumer, Cyclical | 59,349,833 | |||||||
Consumer, Non-cyclical - 11.2% | ||||||||
Bunge Ltd. | 128,258 | 10,429,941 | ||||||
Encompass Health Corp. | 72,511 | 5,441,225 | ||||||
Ingredion, Inc. | 60,823 | 5,413,855 | ||||||
Henry Schein, Inc.* | 59,134 | 4,503,645 | ||||||
Central Garden & Pet Co. — Class A* | 100,456 | 4,319,608 | ||||||
US Foods Holding Corp.* | 104,944 | 3,637,359 | ||||||
Integer Holdings Corp.* | 40,418 | 3,610,944 | ||||||
Tyson Foods, Inc. — Class A | 44,697 | 3,528,381 | ||||||
Emergent BioSolutions, Inc.* | 53,452 | 2,676,342 | ||||||
J M Smucker Co. | 18,610 | 2,233,759 | ||||||
Pacira BioSciences, Inc.* | 37,350 | 2,091,600 | ||||||
Total Consumer, Non-cyclical | 47,886,659 | |||||||
Technology - 7.5% | ||||||||
Evolent Health, Inc. — Class A* | 302,928 | 9,390,768 | ||||||
DXC Technology Co.* | 144,637 | 4,861,249 | ||||||
Science Applications International Corp. | 54,403 | 4,654,721 | ||||||
Leidos Holdings, Inc. | 45,214 | 4,346,422 | ||||||
Skyworks Solutions, Inc. | 20,517 | 3,380,791 | ||||||
Qorvo, Inc.* | 20,214 | 3,379,579 | ||||||
Parsons Corp.* | 66,700 | 2,251,792 | ||||||
Total Technology | 32,265,322 | |||||||
Basic Materials - 6.8% | ||||||||
Huntsman Corp. | 221,662 | 6,558,978 | ||||||
Westlake Chemical Corp. | 54,340 | 4,952,548 | ||||||
Ashland Global Holdings, Inc. | 41,548 | 3,702,758 | ||||||
Element Solutions, Inc. | 156,948 | 3,402,633 | ||||||
Reliance Steel & Aluminum Co. | 22,854 | 3,254,867 | ||||||
Kraton Corp.* | 69,755 | 3,183,618 | ||||||
Nucor Corp. | 22,336 | 2,199,872 | ||||||
Commercial Metals Co. | 65,341 | 1,990,287 | ||||||
Total Basic Materials | 29,245,561 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
SMID CAP VALUE FUND |
| Shares | Value | ||||||
Energy - 6.4% | ||||||||
Pioneer Natural Resources Co. | 72,588 | $ | 12,086,627 | |||||
Range Resources Corp.* | 418,464 | 9,469,840 | ||||||
Patterson-UTI Energy, Inc. | 668,139 | 6,013,251 | ||||||
HydroGen Corp.*,†††,1 | 1,265,700 | 2 | ||||||
Total Energy | 27,569,720 | |||||||
Communications - 5.1% | ||||||||
Infinera Corp.* | 668,796 | 5,564,383 | ||||||
TEGNA, Inc. | 245,076 | 4,832,899 | ||||||
Viavi Solutions, Inc.* | 282,669 | 4,449,210 | ||||||
Ciena Corp.* | 60,437 | 3,103,440 | ||||||
FireEye, Inc.* | 163,784 | 2,915,355 | ||||||
ViacomCBS, Inc. — Class B | 26,420 | 1,043,854 | ||||||
Total Communications | 21,909,141 | |||||||
Utilities - 2.1% | ||||||||
Black Hills Corp. | 54,696 | 3,432,721 | ||||||
Pinnacle West Capital Corp. | 42,487 | 3,074,359 | ||||||
Spire, Inc. | 42,220 | 2,583,020 | ||||||
Total Utilities | 9,090,100 | |||||||
Total Common Stocks | ||||||||
(Cost $338,434,183) | 420,560,396 | |||||||
CONVERTIBLE PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
Thermoenergy Corp.*,2 | 1,652,084 | 482 | ||||||
Total Convertible Preferred Stocks | ||||||||
(Cost $1,577,634) | 482 | |||||||
RIGHTS† - 0.1% | ||||||||
Basic Materials - 0.1% | ||||||||
Pan American Silver Corp.* | 516,551 | 371,917 | ||||||
Total Rights | ||||||||
(Cost $—) | 371,917 | |||||||
MONEY MARKET FUND† - 1.8% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3 | 7,822,677 | 7,822,677 | ||||||
Total Money Market Fund | ||||||||
(Cost $7,822,677) | 7,822,677 | |||||||
Total Investments - 99.9% | ||||||||
(Cost $347,834,494) | $ | 428,755,472 | ||||||
Other Assets & Liabilities, net - 0.1% | 462,826 | |||||||
Total Net Assets - 100.0% | $ | 429,218,298 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
3 | Rate indicated is the 7-day yield as of September 30, 2021. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
SMID CAP VALUE FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 420,560,394 | $ | — | $ | 2 | $ | 420,560,396 | ||||||||
Convertible Preferred Stocks | — | — | 482 | 482 | ||||||||||||
Rights | 371,917 | — | — | 371,917 | ||||||||||||
Money Market Fund | 7,822,677 | — | — | 7,822,677 | ||||||||||||
Total Assets | $ | 428,754,988 | $ | — | $ | 484 | $ | 428,755,472 |
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 year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | |||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||
HydroGen Corp.* | $ | 2 | $ | — | $ | — | $ | — | $ | — | $ | 2 | 1,265,700 |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
STATEMENT OF ASSETS AND LIABILITIES |
SMID CAP VALUE FUND |
September 30, 2021
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $347,831,963) | $ | 428,755,470 | ||
Investments in affiliated issuers, at value (cost $2,531) | 2 | |||
Prepaid expenses | 36,913 | |||
Receivables: | ||||
Securities sold | 5,438,514 | |||
Dividends | 712,430 | |||
Fund shares sold | 197,164 | |||
Foreign tax reclaims | 303 | |||
Interest | 41 | |||
Total assets | 435,140,837 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 4,780,900 | |||
Fund shares redeemed | 580,793 | |||
Management fees | 251,834 | |||
Distribution and service fees | 75,322 | |||
Transfer agent/maintenance fees | 41,876 | |||
Fund accounting/administration fees | 26,777 | |||
Trustees’ fees* | 4,181 | |||
Due to Investment Adviser | 51 | |||
Miscellaneous | 160,805 | |||
Total liabilities | 5,922,539 | |||
Net assets | $ | 429,218,298 | ||
Net assets consist of: | ||||
Paid in capital | $ | 307,540,559 | ||
Total distributable earnings (loss) | 121,677,739 | |||
Net assets | $ | 429,218,298 | ||
A-Class: | ||||
Net assets | $ | 315,323,070 | ||
Capital shares outstanding | 8,297,901 | |||
Net asset value per share | $ | 38.00 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 39.90 | ||
C-Class: | ||||
Net assets | $ | 10,015,140 | ||
Capital shares outstanding | 403,066 | |||
Net asset value per share | $ | 24.85 | ||
P-Class: | ||||
Net assets | $ | 6,907,489 | ||
Capital shares outstanding | 183,375 | |||
Net asset value per share | $ | 37.67 | ||
Institutional Class: | ||||
Net assets | $ | 96,972,599 | ||
Capital shares outstanding | 7,808,715 | |||
Net asset value per share | $ | 12.42 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF OPERATIONS |
SMID CAP VALUE FUND |
Year Ended September 30, 2021
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 7,273,105 | ||
Interest | 594 | |||
Total investment income | 7,273,699 | |||
Expenses: | ||||
Management fees | 3,162,515 | |||
Distribution and service fees: | ||||
A-Class | 784,410 | |||
C-Class | 129,317 | |||
P-Class | 18,150 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 228,001 | |||
C-Class | 22,249 | |||
P-Class | 8,715 | |||
Institutional Class | 96,841 | |||
Fund accounting/administration fees | 288,997 | |||
Professional fees | 67,877 | |||
Trustees’ fees* | 26,430 | |||
Line of credit fees | 18,607 | |||
Custodian fees | 12,630 | |||
Miscellaneous | 170,313 | |||
Recoupment of previously waived fees: | ||||
C-Class | 17 | |||
P-Class | 5,439 | |||
Total expenses | 5,040,508 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (9,687 | ) | ||
C-Class | (4,260 | ) | ||
P-Class | (2,971 | ) | ||
Institutional Class | (28,324 | ) | ||
Expenses waived by Adviser | (103 | ) | ||
Total waived/reimbursed expenses | (45,345 | ) | ||
Net expenses | 4,995,163 | |||
Net investment income | 2,278,536 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | $ | 49,091,986 | ||
Net realized gain | 49,091,986 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 89,702,415 | |||
Net change in unrealized appreciation (depreciation) | 89,702,415 | |||
Net realized and unrealized gain | 138,794,401 | |||
Net increase in net assets resulting from operations | $ | 141,072,937 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
STATEMENTS OF CHANGES IN NET ASSETS |
SMID CAP VALUE FUND |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 2,278,536 | $ | 5,810,547 | ||||
Net realized gain (loss) on investments | 49,091,986 | (3,604,141 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 89,702,415 | (48,873,555 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 141,072,937 | (46,667,149 | ) | |||||
Distributions to shareholders: | ||||||||
A-Class | — | (13,545,510 | ) | |||||
C-Class | — | (1,423,333 | ) | |||||
P-Class | — | (560,321 | ) | |||||
Return of capital | ||||||||
A-Class | — | (423,603 | ) | |||||
C-Class | — | (33,103 | ) | |||||
P-Class | — | (16,100 | ) | |||||
Total distributions to shareholders | — | (16,001,970 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 20,445,417 | 17,615,688 | ||||||
C-Class | 1,277,246 | 594,137 | ||||||
P-Class | 858,767 | 574,319 | ||||||
Institutional Class | 31,236,075 | 33,393,908 | * | |||||
Distributions reinvested | ||||||||
A-Class | — | 13,561,746 | ||||||
C-Class | — | 1,311,431 | ||||||
P-Class | — | 576,421 | ||||||
Institutional Class | — | — | * | |||||
Net proceeds from the issuance of shares due to mergera | — | 66,601,569 | * | |||||
Cost of shares redeemed | ||||||||
A-Class | (54,126,198 | ) | (80,108,800 | ) | ||||
C-Class | (11,088,501 | ) | (14,705,656 | ) | ||||
P-Class | (4,270,396 | ) | (5,966,542 | ) | ||||
Institutional Class | (21,979,519 | ) | (26,177,847 | )* | ||||
Net increase (decrease) from capital share transactions | (37,647,109 | ) | 7,270,374 | |||||
Net increase (decrease) in net assets | 103,425,828 | (55,398,745 | ) | |||||
Net assets: | ||||||||
Beginning of year | 325,792,470 | 381,191,215 | ||||||
End of year | $ | 429,218,298 | $ | 325,792,470 | ||||
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
SMID CAP VALUE FUND |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 561,341 | 668,823 | ||||||
C-Class | 52,040 | 30,801 | ||||||
P-Class | 23,190 | 21,752 | ||||||
Institutional Class | 2,623,977 | 3,796,574 | * | |||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 433,009 | ||||||
C-Class | — | 63,136 | ||||||
P-Class | — | 18,546 | ||||||
Issuance of shares due to mergera | — | 6,532,159 | ||||||
Shares redeemed | ||||||||
A-Class | (1,516,668 | ) | (2,853,016 | ) | ||||
C-Class | (473,341 | ) | (793,779 | ) | ||||
P-Class | (133,809 | ) | (214,531 | ) | ||||
Institutional Class | (1,907,686 | ) | (3,236,309 | )* | ||||
Net increase (decrease) in shares | (770,956 | ) | 4,467,165 |
* | Since commencement of operations, as of close of business January 3, 2020. |
a | Fund merger — See Note 7. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
FINANCIAL HIGHLIGHTS |
SMID CAP VALUE FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.27 | $ | 30.52 | $ | 36.20 | $ | 35.37 | $ | 30.27 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .19 | .46 | .22 | .06 | .03 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 11.54 | (3.37 | ) | (1.89 | ) | 3.37 | 6.09 | |||||||||||||
Total from investment operations | 11.73 | (2.91 | ) | (1.67 | ) | 3.43 | 6.12 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.26 | ) | (.03 | ) | — | (.37 | ) | ||||||||||||
Net realized gains | — | (1.04 | ) | (3.98 | ) | (2.60 | ) | (.65 | ) | |||||||||||
Return of capital | — | (.04 | ) | — | — | — | ||||||||||||||
Total distributions | — | (1.34 | ) | (4.01 | ) | (2.60 | ) | (1.02 | ) | |||||||||||
Net asset value, end of period | $ | 38.00 | $ | 26.27 | $ | 30.52 | $ | 36.20 | $ | 35.37 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 44.65 | % | (10.25 | %) | (2.51 | %) | 10.05 | % | 20.62 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 315,323 | $ | 243,072 | $ | 335,806 | $ | 392,495 | $ | 396,408 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.53 | % | 1.64 | % | 0.72 | % | 0.17 | % | 0.11 | % | ||||||||||
Total expensesc | 1.20 | % | 1.25 | % | 1.23 | % | 1.26 | % | 1.27 | % | ||||||||||
Net expensesd,e,f | 1.19 | % | 1.24 | % | 1.23 | % | 1.26 | % | 1.27 | % | ||||||||||
Portfolio turnover rate | 34 | % | 41 | % | 45 | % | 54 | % | 55 | % |
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
SMID CAP VALUE FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 17.32 | $ | 20.48 | $ | 26.05 | $ | 26.33 | $ | 22.78 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | (.06 | ) | .16 | (.02 | ) | (.17 | ) | (.17 | ) | |||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.59 | (2.22 | ) | (1.57 | ) | 2.49 | 4.55 | |||||||||||||
Total from investment operations | 7.53 | (2.06 | ) | (1.59 | ) | 2.32 | 4.38 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.03 | ) | — | — | (.18 | ) | |||||||||||||
Net realized gains | — | (1.04 | ) | (3.98 | ) | (2.60 | ) | (.65 | ) | |||||||||||
Return of capital | — | (.03 | ) | — | — | — | ||||||||||||||
Total distributions | — | (1.10 | ) | (3.98 | ) | (2.60 | ) | (.83 | ) | |||||||||||
Net asset value, end of period | $ | 24.85 | $ | 17.32 | $ | 20.48 | $ | 26.05 | $ | 26.33 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 43.48 | % | (10.95 | %) | (3.35 | %) | 9.22 | % | 19.63 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 10,015 | $ | 14,276 | $ | 31,221 | $ | 52,996 | $ | 87,508 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.27 | %) | 0.86 | % | (0.11 | %) | (0.65 | %) | (0.68 | %) | ||||||||||
Total expensesc | 2.05 | % | 2.14 | % | 2.07 | % | 2.03 | % | 2.07 | % | ||||||||||
Net expensesd,e,f | 2.02 | % | 2.07 | % | 2.06 | % | 2.03 | % | 2.06 | % | ||||||||||
Portfolio turnover rate | 34 | % | 41 | % | 45 | % | 54 | % | 55 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
FINANCIAL HIGHLIGHTS (continued) |
SMID CAP VALUE FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.06 | $ | 30.25 | $ | 35.94 | $ | 35.15 | $ | 30.18 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .15 | .46 | .19 | .05 | .01 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 11.46 | (3.37 | ) | (1.88 | ) | 3.34 | 6.08 | |||||||||||||
Total from investment operations | 11.61 | (2.91 | ) | (1.69 | ) | 3.39 | 6.09 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (.20 | ) | (.02 | ) | — | (.47 | ) | ||||||||||||
Net realized gains | — | (1.04 | ) | (3.98 | ) | (2.60 | ) | (.65 | ) | |||||||||||
Return of capital | — | (.04 | ) | — | — | — | ||||||||||||||
Total distributions | — | (1.28 | ) | (4.00 | ) | (2.60 | ) | (1.12 | ) | |||||||||||
Net asset value, end of period | $ | 37.67 | $ | 26.06 | $ | 30.25 | $ | 35.94 | $ | 35.15 | ||||||||||
| ||||||||||||||||||||
Total Return | 44.55 | % | (10.30 | %) | (2.61 | %) | 10.03 | % | 20.57 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,907 | $ | 7,662 | $ | 14,165 | $ | 19,889 | $ | 22,203 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.43 | % | 1.64 | % | 0.63 | % | 0.13 | % | 0.02 | % | ||||||||||
Total expensesc | 1.32 | % | 1.33 | % | 1.35 | % | 1.35 | % | 1.25 | % | ||||||||||
Net expensesd,e,f | 1.28 | % | 1.31 | % | 1.32 | % | 1.28 | % | 1.23 | % | ||||||||||
Portfolio turnover rate | 34 | % | 41 | % | 45 | % | 54 | % | 55 | % |
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
SMID CAP VALUE FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year | Period | ||||||
Per Share Data | ||||||||
Net asset value, beginning of period | $ | 8.57 | $ | 10.20 | ||||
Income (loss) from investment operations: | ||||||||
Net investment income (loss)a | .08 | .11 | ||||||
Net gain (loss) on investments (realized and unrealized) | 3.77 | (1.74 | ) | |||||
Total from investment operations | 3.85 | (1.63 | ) | |||||
Net asset value, end of period | $ | 12.42 | $ | 8.57 | ||||
| ||||||||
Total Return | 44.92 | % | (15.98 | %) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $ | 96,973 | $ | 60,783 | ||||
Ratios to average net assets: | ||||||||
Net investment income (loss) | 0.70 | % | 1.87 | % | ||||
Total expensesc | 1.06 | % | 1.09 | % | ||||
Net expensesd,e,f | 1.02 | % | 1.03 | % | ||||
Portfolio turnover rate | 34 | % | 41 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
FINANCIAL HIGHLIGHTS (concluded) |
SMID CAP VALUE FUND |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests, if any. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 0.00% | 0.00%* | 0.00%* | 0.01% | 0.00%* | |
C-Class | 0.00%* | 0.00%* | 0.01% | 0.01% | 0.00%* | |
P-Class | 0.07% | 0.01% | 0.04% | 0.04% | 0.00%* | |
Institutional Class | 0.00% | 0.00%*,g | N/A | N/A | N/A |
* | Less than 0.01% | |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 1.19% | 1.24% | 1.23% | 1.26% | 1.25% | |
C-Class | 2.01% | 2.07% | 2.06% | 2.03% | 2.04% | |
P-Class | 1.28% | 1.30% | 1.32% | 1.28% | 1.21% | |
Institutional Class | 1.02% | 1.03%g | N/A | N/A | N/A |
g | Since commencement of operations: January 3, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Guggenheim SMid Cap Value Fund (the “Fund”), a diversified investment company. At September 30, 2021, A-Class, C-Class, P-Class and Institutional Class shares have been issued by the Fund.
Security Investors, LLC, which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
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 GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. 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.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
(b) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
(c) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(d) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
NOTES TO FINANCIAL STATEMENTS (continued) |
(e) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(f) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.
(g) Cash
The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.
(h) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note 2 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.75% of the average daily net assets of the Fund.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 1.30 | %1 | 01/03/20 | 02/01/23 | ||||||||
C-Class | 2.05 | %1 | 01/03/20 | 02/01/23 | ||||||||
P-Class | 1.30 | %1 | 01/03/20 | 02/01/23 | ||||||||
Institutional Class | 1.05 | % | 01/03/20 | 02/01/23 |
1 | Prior to January 3, 2020, the expense limit for A-Class, C-Class and P-Class shares of the Fund was 1.42%, 2.12% and 1.32%, respectively. |
GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:
| 2022 | 2023 | 2024 | Total | ||||||||||||
A-Class | $ | — | $ | 19,600 | $ | 9,790 | $ | 29,390 | ||||||||
C-Class | 1,135 | 15,935 | 4,260 | 21,330 | ||||||||||||
P-Class | 765 | 2,961 | 2,971 | 6,697 | ||||||||||||
Institutional Class | — | 26,262 | 28,324 | 54,586 |
For the year ended September 30, 2021, GI recouped $5,456 from the Fund.
For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services,
THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
NOTES TO FINANCIAL STATEMENTS (continued) |
MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 3 – 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 (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2020 was as follows:
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | ||||||||||||
$ | 8,292,712 | $ | 7,236,452 | $ | 472,806 | $ | 16,001,970 |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:
| Undistributed | Undistributed | Net Unrealized | Accumulated | Total | |||||||||||||||
$ | 14,921,793 | $ | 26,105,304 | $ | 80,650,642 | $ | — | $ | 121,677,739 |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, losses deferred due to wash sales, and distributions in connection with redemption of fund shares. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:
Paid In Capital | Total Distributable Earnings/(Loss) | |||||||||
$ | 2,785,048 | $ | (2,785,048 | ) |
At September 30, 2021, 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) | |||||||||||||||
$ | 348,104,830 | $ | 93,467,881 | $ | (12,817,239 | ) | $ | 80,650,642 |
Note 4 – 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 with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 — | 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. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Securities Transactions
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:
| Purchases | Sales | ||||||
$ | 140,356,789 | $ | 181,703,271 |
Note 6 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The allocated commitment fee amount for the Fund is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.
On October 1, 2021, the Trust along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.
Note 7 – Merger
Effective on the close of business January 3, 2020, the Guggenheim SMid Cap Value Institutional Fund (the “Acquired Fund”) reorganized with and into newly formed Institutional Class shares of the Fund (the “Acquiring Fund”). The purpose of the reorganization was to combine two funds managed by GI with comparable investment objectives and strategies. The reorganization was treated as a tax-free reorganization for federal income tax purposes and, accordingly, the basis of the assets of the Acquiring Fund reflected the historical basis of the assets of the Acquired Fund
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
as of the date of the Reorganization. For financial reporting purposes, the Acquiring Fund was deemed to be the accounting survivor and assets received and shares issued by the Acquiring Fund were recorded at fair value.
In the merger, shareholders of the Acquired Fund received newly issued shares of the Acquiring Fund’s Institutional Class shares, having a NAV equal to the NAV of their holdings of the Acquired Fund’s shares as determined at the close of business on January 3, 2020, which was $10.20. Accordingly, shareholders received the same number of shares of the newly created Institutional Class of the Acquiring Fund with an equivalent value to shares of the Acquired Fund held immediately prior to the merger. As such, no share ratio conversions were required to effect this merger. Relevant details pertaining to the merger as of January 3, 2020 are as follows:
| Acquired Fund | Institutional Class | Net Assets | |||||||||
Acquiring Fund | $ | 381,345,573 | ||||||||||
Acquired Fund | 6,532,159 | 6,532,159 | 66,601,569 | |||||||||
$ | 447,947,142 |
Investments
The cost, fair value and net unrealized appreciation (depreciation) of the investments of the Acquired Fund as of the date of the merger, is as follows:
Cost of investments | $ | 61,009,544 | ||
Fair value of investments | $ | 66,604,886 | ||
Net unrealized appreciation (depreciation) on investments | $ | 5,595,342 |
Cost and Expenses
The Investment Adviser agreed to cover all costs and expenses associated with the merger (“merger fees”). No merger fees were borne by the Acquired Fund or the Acquiring Fund.
Pro Forma Results of Operations
Assuming the acquisition had been completed on October 1, 2019, the beginning of the fiscal reporting period of the Fund, the pro forma results of operations for the year ended September 30, 2020, would be as follows:
SMid Cap Value Fund |
| |||
Net investment income (loss) | $ | 6,013,737 | ||
Net realized and unrealized gains (loss) | $ | (48,729,551 | ) | |
Change in net assets resulting from operations | $ | (42,715,814 | ) |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
NOTES TO FINANCIAL STATEMENTS (concluded) |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Guggenheim SMid Cap Value Institutional Fund that have been included in the Fund’s Statement of Operations since January 3, 2020.
Note 8 – COVID-19
The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Note 9 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim SMid Cap Value Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim SMid Cap Value Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian, brokers, or by other appropriate auditing procedures where replies from brokers were not received. Our
THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2021
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2022, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2021.
With respect to the taxable year ended September 30, 2021, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| From long-term | From long-term capital | ||||||
| $ | — | $ | 3,014,914 |
Delivery of Shareholder Reports
Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment
THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
OTHER INFORMATION (Unaudited)(continued) |
policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/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.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● | Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”) | ● | Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”) |
● | Guggenheim Diversified Income Fund (“Diversified Income Fund”) | ● | Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”) |
● | Guggenheim High Yield Fund (“High Yield Fund”) | ● | Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”) |
● | Guggenheim Large Cap Value Fund (“Large Cap Value Fund”) | ● | Guggenheim Limited Duration Fund (“Limited Duration Fund”) |
● | Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”) | ● | Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”) |
● | Guggenheim Municipal Income Fund (“Municipal Income Fund”) | ● | Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”) |
● | Guggenheim Small Cap Value Fund (“Small Cap Value Fund”) | ● | Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”) |
● | Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”) | ● | Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”) |
● | Guggenheim Total Return Bond Fund (“Total Return Bond Fund”) | ● | Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
● | Guggenheim World Equity Income Fund (“World Equity Income Fund”) |
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund””).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
OTHER INFORMATION (Unaudited)(continued) |
direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.4 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees,
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021. |
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
OTHER INFORMATION (Unaudited)(continued) |
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.5 As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods,
5 | Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements. |
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OTHER INFORMATION (Unaudited)(continued) |
as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s
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OTHER INFORMATION (Unaudited)(continued) |
statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that,
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional
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OTHER INFORMATION (Unaudited)(continued) |
securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.
Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
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OTHER INFORMATION (Unaudited)(continued) |
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of
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OTHER INFORMATION (Unaudited)(continued) |
the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.
Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(concluded) |
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee) | Current: Private Investor (2001-present). | 158 | Current: Purpose Investments Funds (2013-present). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). | 157 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). |
Thomas F. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 157 | Current: US Global Investors (GROW) (1995-present). |
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present). | 158 | Current: PPM Funds (2) (2018 - present); Edward-Elmhurst Healthcare System (2012-present). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee) | Current: Retired. | 157 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: SSGA Master Trust (1) (2018-2020). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald E. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 157 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Assistant Treasurer | Since 2014 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - continued | |||
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2014 | Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and
THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
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9.30.2021
Guggenheim Funds Annual Report
Guggenheim Capital Stewardship Fund |
GuggenheimInvestments.com | CSF-ANN-0921x0922 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
CAPITAL STEWARDSHIP FUND | 7 |
NOTES TO FINANCIAL STATEMENTS | 15 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 20 |
OTHER INFORMATION | 21 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 27 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 32 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 35 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2021 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Capital Stewardship Fund (the “Fund”). The report covers the annual fiscal period ended September 30, 2021.
Concinnity Advisors, LP, serves as the Fund’s sub-adviser (the “Sub-Adviser”).
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, (“Guggenheim”) a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
October 31, 2021
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Capital Stewardship Fund may not be suitable for all investors. ● There can be no assurance that any investment product will achieve its investment objective(s). ● There are risks associated with investing, including the entire loss of principal invested. ● Investing involves market risks. The investment return and principal value of any investment product will fluctuate with changes in market conditions. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2021 |
In the 12 months ending September 30, 2021, the equity market experienced a relatively steady upward climb that reversed amid seasonal pressures, inflation worry, and market uncertainty about the economic damage brought about by the potential emergence of new COVID variants.
The ten-year Treasury climbed 83 basis points to 1.52% from 0.69% over the period. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.
Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.
As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.
As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.
Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.
For the 12-month period ended September 30, 2021, the S&P 500® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2021 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
|
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.
The following tables illustrate the Fund’s costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
1.01% | 4.41% | $ 1,000.00 | $ 1,044.10 | $ 5.18 | |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
1.01% | 5.00% | $ 1,000.00 | $ 1,020.00 | $ 5.11 |
1 | Annualized and excludes expenses of the underlying funds in which the Fund invests. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021. |
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim Capital Stewardship Fund (the “Fund”) is managed by a team of seasoned professionals led by Farhan Sharaff, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Peter Derby, Portfolio Manager at Concinnity Partners, LP, an unaffiliated Sub-adviser (the “Sub-adviser”) to the Fund. The following paragraphs discuss the Fund for the fiscal year ended September 30, 2021.
For the one year period ended September 30, 2021, Guggenheim Capital Stewardship Fund Institutional Shares returned 25.11%, compared with the 30.00% return of its benchmark, the S&P 500 Index.
Strategy Overview
The Fund’s investment objective is to seek long-term capital appreciation. It pursues its investment objective by investing in equity securities that the Fund believes will provide attractive long-term returns relative to the S&P 500 Index. Guggenheim Partners Investment Management, LLC, the Fund’s adviser (the “Investment Adviser or Manager”), and Concinnity Advisors, LP, the Fund’s sub-adviser (the “Sub-Adviser”), believe that companies that successfully implement multi-stakeholder management systems are generally better positioned to create sustained long-term value for their shareholders than competing companies that do not implement such systems. The Investment Adviser and Sub-Adviser believe that companies implementing such systems do so by aligning the interests of all of a company’s core stakeholders, including investors, customers, employees, business partners, and communities in which a company does business.
To identify an initial universe of companies that it believes have exemplary multi-stakeholder management systems, the Sub-Adviser uses its proprietary research methodology system, which seeks to identify the components of those management systems, including, but not limited to: (1) customer loyalty; (2) employee engagement, as demonstrated by high levels of loyalty; (3) efficient use of “intangible” assets; and (4) high supplier loyalty, as demonstrated by the maturity of supply chain activities and (5) community engagement.
Performance Review
Both allocation and security selection detracted from return for the period.
The leading attribution effect was the negative contribution in Financials (-1.76%), where the Fund was underweight and had worse selection than the benchmark. Similarly, in Health Care, poor selection and an overweight made it the second-leading detractor (-1.52%), whereas an underweight in Energy, which was the best-returning sector in the benchmark, caused that sector to be the next-leading detractor (-1.18%).
Contributing to performance for the period was an overweight and better selection than the benchmark in Consumer Discretionary (+0.59%), followed by an underweight and better selection in Utilities (+0.51%).
The top individual contributors to return were Microsoft Corp., Alphabet.com, Inc., and Apple Computer, Inc. The top individual detractors were Vertex Pharmaceuticals, Inc., Citrix Systems, Inc., and Amgen, Inc.
Performance displayed represents past performance which is no guarantee of future results.
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
CAPITAL STEWARDSHIP FUND
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Cumulative Fund Performance*
Inception Date: September 26, 2014 |
Ten Largest Holdings (% of Total Net Assets) | |
Microsoft Corp. | 5.4% |
Apple, Inc. | 5.0% |
Amazon.com, Inc. | 4.0% |
Alphabet, Inc. — Class A | 2.6% |
Intel Corp. | 2.2% |
Bristol-Myers Squibb Co. | 2.1% |
3M Co. | 1.7% |
Citigroup, Inc. | 1.7% |
International Business Machines Corp. | 1.7% |
Netflix, Inc. | 1.5% |
Top Ten Total | 27.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | Since |
Capital Stewardship Fund | 25.11% | 14.49% | 11.58% |
S&P 500 Index | 30.00% | 16.90% | 13.90% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
CAPITAL STEWARDSHIP FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 101.5% | ||||||||
Technology - 28.5% | ||||||||
Microsoft Corp. | 43,418 | $ | 12,240,403 | |||||
Apple, Inc. | 79,127 | 11,196,470 | ||||||
Intel Corp. | 92,062 | 4,905,064 | ||||||
International Business Machines Corp. | 27,005 | 3,751,805 | ||||||
Oracle Corp. | 36,652 | 3,193,489 | ||||||
Texas Instruments, Inc. | 16,468 | 3,165,314 | ||||||
Accenture plc — Class A | 8,919 | 2,853,366 | ||||||
HP, Inc. | 100,691 | 2,754,906 | ||||||
QUALCOMM, Inc. | 20,739 | 2,674,916 | ||||||
Lam Research Corp. | 4,178 | 2,377,909 | ||||||
Micron Technology, Inc. | 28,886 | 2,050,328 | ||||||
Cognizant Technology Solutions Corp. — Class A | 23,399 | 1,736,440 | ||||||
Applied Materials, Inc. | 10,600 | 1,364,538 | ||||||
Dell Technologies, Inc. — Class C* | 12,430 | 1,293,217 | ||||||
Science Applications International Corp. | 14,288 | 1,222,481 | ||||||
Skyworks Solutions, Inc. | 6,799 | 1,120,339 | ||||||
Jack Henry & Associates, Inc. | 6,776 | 1,111,670 | ||||||
Citrix Systems, Inc. | 10,305 | 1,106,448 | ||||||
Teradyne, Inc. | 8,086 | 882,749 | ||||||
ON Semiconductor Corp.* | 17,048 | 780,287 | ||||||
NVIDIA Corp. | 3,119 | 646,132 | ||||||
Activision Blizzard, Inc. | 7,888 | 610,452 | ||||||
Leidos Holdings, Inc. | 4,547 | 437,103 | ||||||
Advanced Micro Devices, Inc.* | 3,849 | 396,062 | ||||||
Autodesk, Inc.* | 1,187 | 338,497 | ||||||
Adobe, Inc.* | 543 | 312,616 | ||||||
Total Technology | 64,523,001 | |||||||
Consumer, Non-cyclical - 19.5% | ||||||||
Bristol-Myers Squibb Co. | 79,527 | 4,705,613 | ||||||
Merck & Company, Inc. | 43,600 | 3,274,796 | ||||||
Quest Diagnostics, Inc. | 20,048 | 2,913,175 | ||||||
Laboratory Corporation of America Holdings* | 9,401 | 2,645,817 | ||||||
AbbVie, Inc. | 20,464 | 2,207,452 | ||||||
Amgen, Inc. | 9,922 | 2,109,913 | ||||||
CVS Health Corp. | 24,770 | 2,101,982 | ||||||
Gilead Sciences, Inc. | 29,159 | 2,036,756 | ||||||
Johnson & Johnson | 12,528 | 2,023,272 | ||||||
McKesson Corp. | 8,151 | 1,625,146 | ||||||
PerkinElmer, Inc. | 8,728 | 1,512,475 | ||||||
Thermo Fisher Scientific, Inc. | 2,569 | 1,467,747 | ||||||
Pfizer, Inc. | 32,515 | 1,398,470 | ||||||
Vertex Pharmaceuticals, Inc.* | 6,876 | 1,247,238 | ||||||
Cigna Corp. | 5,923 | 1,185,548 | ||||||
Chemed Corp. | 2,476 | 1,151,637 | ||||||
Humana, Inc. | 2,868 | 1,116,082 | ||||||
Cooper Companies, Inc. | 2,671 | 1,103,951 | ||||||
Kroger Co. | 24,167 | 977,072 | ||||||
Moody’s Corp. | 2,672 | 948,854 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 1,198 | 893,648 | ||||||
Becton Dickinson and Co. | 3,150 | 774,333 | ||||||
Regeneron Pharmaceuticals, Inc.* | 1,186 | 717,744 | ||||||
S&P Global, Inc. | 1,683 | 715,090 | ||||||
United Rentals, Inc.* | 1,939 | 680,453 | ||||||
Biogen, Inc.* | 2,283 | 646,066 | ||||||
UnitedHealth Group, Inc. | 1,485 | 580,249 | ||||||
Molson Coors Beverage Co. — Class B | 7,651 | 354,853 | ||||||
PayPal Holdings, Inc.* | 1,261 | 328,125 | ||||||
Clorox Co. | 1,842 | 305,054 | ||||||
Kellogg Co. | 3,817 | 243,982 | ||||||
Total Consumer, Non-cyclical | 43,992,593 | |||||||
Consumer, Cyclical - 14.9% | ||||||||
Home Depot, Inc. | 7,885 | 2,588,330 | ||||||
Domino’s Pizza, Inc. | 5,389 | 2,570,337 | ||||||
Whirlpool Corp. | 12,503 | 2,548,862 | ||||||
Lear Corp. | 15,950 | 2,495,856 | ||||||
AutoZone, Inc.* | 1,441 | 2,446,804 | ||||||
Cummins, Inc. | 10,554 | 2,370,006 | ||||||
General Motors Co.* | 38,247 | 2,015,999 | ||||||
O’Reilly Automotive, Inc.* | 3,272 | 1,999,388 | ||||||
BorgWarner, Inc. | 45,648 | 1,972,450 | ||||||
Best Buy Company, Inc. | 15,461 | 1,634,382 | ||||||
Dolby Laboratories, Inc. — Class A | 18,144 | 1,596,672 | ||||||
Target Corp. | 6,382 | 1,460,010 | ||||||
Starbucks Corp. | 11,205 | 1,236,024 | ||||||
PACCAR, Inc. | 13,482 | 1,064,000 | ||||||
McDonald’s Corp. | 4,320 | 1,041,595 | ||||||
WW Grainger, Inc. | 2,623 | 1,030,996 | ||||||
Lowe’s Companies, Inc. | 4,603 | 933,765 | ||||||
Tractor Supply Co. | 3,625 | 734,461 | ||||||
Thor Industries, Inc. | 5,835 | 716,305 | ||||||
Pool Corp. | 1,585 | 688,540 | ||||||
Tesla, Inc.* | 813 | 630,465 | ||||||
Total Consumer, Cyclical | 33,775,247 | |||||||
Communications - 14.9% | ||||||||
Amazon.com, Inc.* | 2,728 | 8,961,589 | ||||||
Alphabet, Inc. — Class A* | 2,208 | 5,903,132 | ||||||
Netflix, Inc.* | 5,618 | 3,428,890 | ||||||
Motorola Solutions, Inc. | 12,915 | 3,000,413 | ||||||
Cisco Systems, Inc. | 43,887 | 2,388,769 | ||||||
Facebook, Inc. — Class A* | 4,565 | 1,549,316 | ||||||
Verizon Communications, Inc. | 26,509 | 1,431,751 | ||||||
F5 Networks, Inc.* | 6,854 | 1,362,438 | ||||||
Nexstar Media Group, Inc. — Class A | 8,634 | 1,312,023 | ||||||
CDW Corp. | 6,415 | 1,167,658 | ||||||
Arista Networks, Inc.* | 3,350 | 1,151,194 | ||||||
Omnicom Group, Inc. | 9,080 | 657,937 | ||||||
AT&T, Inc. | 22,658 | 611,993 | ||||||
Walt Disney Co.* | 2,020 | 341,723 | ||||||
FactSet Research Systems, Inc. | 793 | 313,061 | ||||||
Total Communications | 33,581,887 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
CAPITAL STEWARDSHIP FUND |
| Shares | Value | ||||||
Financial - 12.9% | ||||||||
Citigroup, Inc. | 53,790 | $ | 3,774,982 | |||||
Allstate Corp. | 24,343 | 3,099,107 | ||||||
American Tower Corp. — Class A REIT | 9,009 | 2,391,079 | ||||||
Progressive Corp. | 26,303 | 2,377,528 | ||||||
Capital One Financial Corp. | 12,644 | 2,047,949 | ||||||
MetLife, Inc. | 31,864 | 1,966,965 | ||||||
Aflac, Inc. | 34,099 | 1,777,581 | ||||||
Hartford Financial Services Group, Inc. | 23,407 | 1,644,342 | ||||||
Jones Lang LaSalle, Inc.* | 6,328 | 1,569,914 | ||||||
Equinix, Inc. REIT | 1,783 | 1,408,802 | ||||||
Crown Castle International Corp. REIT | 7,723 | 1,338,550 | ||||||
Prologis, Inc. REIT | 7,923 | 993,782 | ||||||
Prudential Financial, Inc. | 8,420 | 885,784 | ||||||
American Express Co. | 5,138 | 860,769 | ||||||
Blackstone, Inc. — Class A | 6,729 | 782,852 | ||||||
Duke Realty Corp. REIT | 11,886 | 568,983 | ||||||
Bank of New York Mellon Corp. | 9,948 | 515,704 | ||||||
Visa, Inc. — Class A | 2,096 | 466,884 | ||||||
CBRE Group, Inc. — Class A* | 3,962 | 385,740 | ||||||
Nasdaq, Inc. | 1,583 | 305,550 | ||||||
Total Financial | 29,162,847 | |||||||
Industrial - 7.6% | ||||||||
3M Co. | 21,908 | 3,843,101 | ||||||
Keysight Technologies, Inc.* | 10,701 | 1,758,067 | ||||||
Expeditors International of Washington, Inc. | 12,270 | 1,461,725 | ||||||
Mettler-Toledo International, Inc.* | 974 | 1,341,549 | ||||||
Owens Corning | 15,135 | 1,294,043 | ||||||
Waters Corp.* | 2,937 | 1,049,390 | ||||||
Lennox International, Inc. | 3,559 | 1,046,951 | ||||||
FedEx Corp. | 4,555 | 998,866 | ||||||
Ryder System, Inc. | 10,841 | 896,659 | ||||||
Ball Corp. | 8,820 | 793,535 | ||||||
Illinois Tool Works, Inc. | 3,068 | 633,941 | ||||||
Deere & Co. | 1,655 | 554,541 | ||||||
Rockwell Automation, Inc. | 1,385 | 407,245 | ||||||
Littelfuse, Inc. | 1,484 | 405,533 | ||||||
CH Robinson Worldwide, Inc. | 4,446 | 386,802 | ||||||
Caterpillar, Inc. | 1,583 | 303,889 | ||||||
Total Industrial | 17,175,837 | |||||||
Energy - 1.6% | ||||||||
Chevron Corp. | 24,606 | 2,496,279 | ||||||
ONEOK, Inc. | 20,498 | 1,188,679 | ||||||
Total Energy | 3,684,958 | |||||||
Basic Materials - 1.6% | ||||||||
Celanese Corp. — Class A | 7,623 | 1,148,329 | ||||||
FMC Corp. | 12,444 | 1,139,372 | ||||||
Steel Dynamics, Inc. | 15,720 | 919,306 | ||||||
Newmont Corp. | 6,934 | 376,516 | ||||||
Total Basic Materials | 3,583,523 | |||||||
Total Common Stocks | ||||||||
(Cost $208,079,069) | 229,479,893 | |||||||
EXCHANGE-TRADED FUNDS† - 1.0% | ||||||||
SPDR S&P 500 ETF Trust | 4,956 | 2,126,818 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $1,888,424) | 2,126,818 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%1 | 533,861 | 533,861 | ||||||
Total Money Market Fund | ||||||||
(Cost $533,861) | 533,861 | |||||||
Total Investments - 102.7% | ||||||||
(Cost $210,501,354) | $ | 232,140,572 | ||||||
Other Assets & Liabilities, net - (2.7)% | (6,027,750 | ) | ||||||
Total Net Assets - 100.0% | $ | 226,112,822 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of September 30, 2021. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
CAPITAL STEWARDSHIP FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 229,479,893 | $ | — | $ | — | $ | 229,479,893 | ||||||||
Exchange-Traded Funds | 2,126,818 | — | — | 2,126,818 | ||||||||||||
Money Market Fund | 533,861 | — | — | 533,861 | ||||||||||||
Total Assets | $ | 232,140,572 | $ | — | $ | — | $ | 232,140,572 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
CAPITAL STEWARDSHIP FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments, at value (cost $210,501,354) | $ | 232,140,572 | ||
Cash | 5,029 | |||
Prepaid expenses | 5,439 | |||
Receivables: | ||||
Dividends | 208,388 | |||
Interest | 4 | |||
Total assets | 232,359,432 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 6,014,854 | |||
Management fees | 177,901 | |||
Fund accounting/administration fees | 16,513 | |||
Trustees’ fees* | 2,410 | |||
Transfer agent/maintenance fees | 2,286 | |||
Miscellaneous | 32,646 | |||
Total liabilities | 6,246,610 | |||
Net assets | $ | 226,112,822 | ||
Net assets consist of: | ||||
Paid in capital | $ | 153,906,868 | ||
Total distributable earnings (loss) | 72,205,954 | |||
Net assets | $ | 226,112,822 | ||
Capital shares outstanding | 6,162,851 | |||
Net asset value per share | $ | 36.69 |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends | $ | 4,065,032 | ||
Interest | 86 | |||
Total investment income | 4,065,118 | |||
Expenses: | ||||
Management fees | 2,128,319 | |||
Transfer agent/maintenance fees | 25,274 | |||
Fund accounting/administration fees | 165,822 | |||
Professional fees | 41,728 | |||
Trustees’ fees* | 22,105 | |||
Custodian fees | 13,552 | |||
Miscellaneous | 10,886 | |||
Total expenses | 2,407,686 | |||
Less: | ||||
Earnings credit applied | (22 | ) | ||
Net expenses | 2,407,664 | |||
Net investment income | 1,657,454 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 56,921,577 | |||
Net realized gain | 56,921,577 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (6,631,844 | ) | ||
Net change in unrealized appreciation (depreciation) | (6,631,844 | ) | ||
Net realized and unrealized gain | 50,289,733 | |||
Net increase in net assets resulting from operations | $ | 51,947,187 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CAPITAL STEWARDSHIP FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,657,454 | $ | 1,987,550 | ||||
Net realized gain on investments | 56,921,577 | 10,490,126 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (6,631,844 | ) | 12,587,690 | |||||
Net increase in net assets resulting from operations | 51,947,187 | 25,065,366 | ||||||
Distributions to shareholders | (13,020,049 | ) | (6,304,168 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 8,500,000 | — | ||||||
Distributions reinvested | 12,936,786 | 6,179,931 | ||||||
Cost of shares redeemed | (41,001,933 | ) | (28,243,155 | ) | ||||
Net decrease from capital share transactions | (19,565,147 | ) | (22,063,224 | ) | ||||
Net increase (decrease) in net assets | 19,361,991 | (3,302,026 | ) | |||||
Net assets: | ||||||||
Beginning of year | 206,750,831 | 210,052,857 | ||||||
End of year | $ | 226,112,822 | $ | 206,750,831 | ||||
Capital share activity: | ||||||||
Shares sold | 271,840 | — | ||||||
Shares issued from reinvestment of distributions | 402,138 | 210,847 | ||||||
Shares redeemed | (1,164,212 | ) | (998,019 | ) | ||||
Net decrease in shares | (490,234 | ) | (787,172 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
CAPITAL STEWARDSHIP FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 31.08 | $ | 28.23 | $ | 31.23 | $ | 29.11 | $ | 26.55 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .25 | .28 | .33 | .28 | .34 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.28 | 3.43 | .05 | 4.34 | 3.51 | |||||||||||||||
Total from investment operations | 7.53 | 3.71 | .38 | 4.62 | 3.85 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.28 | ) | (.39 | ) | (.32 | ) | (.34 | ) | (.37 | ) | ||||||||||
Net realized gains | (1.64 | ) | (.47 | ) | (3.06 | ) | (2.16 | ) | (.92 | ) | ||||||||||
Total distributions | (1.92 | ) | (.86 | ) | (3.38 | ) | (2.50 | ) | (1.29 | ) | ||||||||||
Net asset value, end of period | $ | 36.69 | $ | 31.08 | $ | 28.23 | $ | 31.23 | $ | 29.11 | ||||||||||
| ||||||||||||||||||||
Total Return | 25.11 | % | 13.31 | % | 3.56 | % | 16.50 | % | 15.01 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 226,113 | $ | 206,751 | $ | 210,053 | $ | 220,587 | $ | 216,008 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.70 | % | 0.96 | % | 1.23 | % | 0.93 | % | 1.23 | % | ||||||||||
Total expensesb | 1.02 | % | 1.04 | % | 1.05 | % | 1.05 | % | 1.03 | % | ||||||||||
Portfolio turnover rate | 154 | % | 147 | % | 131 | % | 164 | % | 156 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Does not include expenses of the underlying funds in which the Fund invests. |
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Capital Stewardship Fund (the “Fund”), a diversified investment company. At September 30, 2021, Institutional Class shares have been issued by the Fund.
Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Concinnity Advisors, LP (the “Sub-Adviser”) serves as the subadviser to the Fund.
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 Trust. 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.
The NAV of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the Fund.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
NOTES TO FINANCIAL STATEMENTS (continued) |
shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
(b) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(c) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.
(d) Expenses
Certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(e) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.
(f) Cash
The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.
(g) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note 2 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.90% of the average daily net assets of the Fund.
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 3 – 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 (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Total | |||||||||
$ | 3,520,938 | $ | 9,499,111 | $ | 13,020,049 |
The tax character of distributions paid during the year ended September 30, 2020 was as follows:
| Ordinary | Long-Term | Total | |||||||||
$ | 4,327,928 | $ | 1,976,240 | $ | 6,304,168 |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:
| Undistributed | Undistributed | Net Unrealized | Accumulated | Total | |||||||||||||||
$ | 37,244,875 | $ | 14,254,283 | $ | 20,706,796 | $ | — | $ | 72,205,954 |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to distributions in connection with redemption of fund shares and losses deferred due to wash sales. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:
| Paid In | Total | ||||||
$ | 3,535,255 | $ | (3,535,255 | ) |
At September 30, 2021, 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 | Tax | Tax | Net Tax | ||||||||||||
$ | 211,433,776 | $ | 27,190,658 | $ | (6,483,862 | ) | $ | 20,706,796 |
Note 4 – 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 with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 — | 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. |
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.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Securities Transactions
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:
| Purchases | Sales | ||||||
$ | 360,392,443 | $ | 394,719,103 |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
Note 6 – COVID-19
The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Note 7 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Capital Stewardship Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim Capital Stewardship Fund (the “Fund”) (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2021
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2022, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2021.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Qualified | Dividend | Qualified | Qualified | ||||||||||||
60.55 | % | 60.55 | % | 0.06 | % | 100.00 | % |
With respect to the taxable year ended September 30, 2021, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| From long-term | From long-term | ||||||
$ | 9,499,111 | $ | 3,535,255 |
Delivery of Shareholder Reports
Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
OTHER INFORMATION (Unaudited)(continued) |
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/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.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee – Guggenheim Capital Stewardship Fund
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust is authorized to issue an unlimited number of shares of beneficial interest in separate series, with each such series representing interests in a separate portfolio of securities and other assets. Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund” or the “Fund”), a series of the Trust, pursuant to an investment advisory agreement between the Trust, with respect to Capital Stewardship Fund, and GPIM (the “Investment Advisory Agreement”). (Guggenheim Partners, GPIM and their affiliates may be referred to herein together as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes GPIM, Guggenheim Funds Investment Advisors, LLC, Security Investors, LLC and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), GPIM provides certain investment advisory and management services to the Fund and is responsible for, among other things, arranging for the purchase and sale of securities and other assets on behalf of the Fund and supervising the Fund’s investment program. Under the terms of the Investment Advisory Agreement, GPIM may delegate some or all of its duties and obligations to one or more sub-advisers and, in this connection, is responsible for overseeing the activities of Concinnity Advisors, LP (“Concinnity” or the “Sub-Adviser”), with respect to its service as investment sub-adviser to the Fund, pursuant to an investment sub-advisory agreement between GPIM and Concinnity (the “Sub-Advisory Agreement” and together with the Investment Advisory Agreement, the “Advisory Agreements”).
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of the Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.1 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Fund, and other information relevant to its evaluation of the Advisory Agreements.
1 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreements at a meeting of the Board held by videoconference on May 26, 2021. |
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE report, noting that the peer group identified by FUSE included 14 other large blend funds with similar pricing characteristics.
In addition, Guggenheim and Concinnity provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”).
The Committee also considered the circumstances unique to Capital Stewardship Fund, including its organizational history. In this connection, the assets of Guggenheim Concinnity Master Strategy Fund SPC, a Cayman Islands exempted segregated portfolio company which relied on the exclusion from the definition of an “investment company” provided by Section 3(c)(7) of the 1940 Act (the “Predecessor Fund”) and for which GPIM served as investment adviser and Concinnity served as investment sub-adviser, were reorganized with and into Capital Stewardship Fund (the “Reorganization”). The Predecessor Fund was a master fund in a set of unregistered offshore and domestic master-feeder funds (collectively, the “Private Funds”), which had certain bank investors. The investors issued notes that provided coupon payments based on the after-tax return of the Private Funds and the notes, in turn, were held by a single holder affiliated with Guggenheim. The Reorganization enabled the bank investors and the noteholder to continue to benefit from the strategies previously offered by the Private Funds by converting the Predecessor Fund into a registered investment company structure that pursues the same investment strategies, because Capital Stewardship Fund’s investment objective and strategies are, in all material respects, the same as those of the Predecessor Fund. The Board had authorized the launch of Capital Stewardship Fund on the condition that it not be offered to other investors unless and until such time as the Board determines to permit additional sales. The Committee considered the foregoing and the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of the Fund to recommend that the Board approve the renewal of each of the Advisory Agreements for an additional annual term.
Investment Advisory Agreement
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee noted that the Adviser delegated certain, but not all, portfolio management responsibilities to the Sub-Adviser. Unlike many traditional sub-advisory arrangements, the Sub-Adviser does not execute trades for the Fund’s portfolio. Rather, the Sub-Adviser provides a list of eligible investments to the Adviser based on the Sub-Adviser’s proprietary screening methodology, and the Adviser selects investments and engages in securities transactions for the Fund. In this connection, the Committee considered the scope of services provided by each of the Adviser and the Sub-Adviser, and took into account the Adviser’s responsibility to oversee the Sub-Adviser and information provided by Guggenheim describing the Adviser’s processes and activities for providing oversight of sub-advisers (including Concinnity), including information regarding Guggenheim’s Sub-Advisory Oversight Committee.
The Committee also considered the qualifications, experience and skills of key personnel performing services for the Fund, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Fund. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including Capital Stewardship Fund.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
OTHER INFORMATION (Unaudited)(continued) |
The Committee’s review of the services provided by Guggenheim to the Fund included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Fund, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s and Concinnity’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, custodian and other service providers to the Fund. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Fund and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Investment Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of the Investment Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Fund in such capacity and may reasonably be expected to continue to provide a high quality of services under the Investment Advisory Agreement with respect to the Fund.
Investment Performance: The Fund commenced investment operations on September 26, 2014 and its investment objective is to seek long-term capital appreciation. The Committee received investment returns for the five-year, three-year, one-year and three-month periods ended December 31, 2020. In addition, the Committee received a comparison of the Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods. The Committee considered that the Fund pursues its investment objective, under normal market conditions, by primarily investing in equity securities that the Fund believes will provide attractive long-term returns relative to the S&P 500 Index and that have implemented “multi-stakeholder management systems.” The Committee also received certain updated performance information as of March 31, 2021.
The Committee took into account the roles and responsibilities of each of the Adviser and the Sub-Adviser in implementing the Fund’s investment strategy, including the manner in which the relationship between the advisory firms differs in certain respects from traditional fund management structures with an adviser and an unaffiliated sub-adviser. The Committee noted that the Sub-Adviser uses its proprietary research methodology system to identify a list of companies eligible for investment by the Fund. From that list, the Adviser selects, based on desired factor tilts and subject to a risk management process, a portfolio composed of a sub-set of the eligible companies compiled by the Sub-Adviser. The Adviser retains the responsibility for executing the trades based on the Fund’s investment policies and limitations.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the universe of funds identified by FUSE. The Committee observed that the returns of the Fund’s Institutional Class shares ranked in the 51st and 52nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted that the Fund’s investment results were consistent with its investment objective of seeking long-term capital appreciation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the Adviser’s investment performance was acceptable and that the Adviser had appropriately reviewed and monitored the Sub-Adviser’s investment performance.
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Fund: The Committee compared the Fund’s contractual advisory fee, net effective management fee2 and total net expense ratio to the peer group of funds identified by FUSE. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of the Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure the Fund is able to deliver on shareholder return expectations.
The Committee observed that the contractual advisory fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the third quartile (64th and 71st percentiles, respectively) of its peer group and the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. In evaluating the foregoing, the Committee considered that the Fund was launched to accommodate certain bank clients that were invested in an unregistered private fund (previously defined as the Predecessor Fund) with a unique investment strategy. Shares of the Fund are not registered under the Securities Act of 1933, as amended, and thus are available only to accredited investors in a single institutional share class. Accordingly, in evaluating the reasonableness of the advisory fee, the Committee considered the sophistication of the Fund’s bank client investors and the Fund’s purpose.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Fund, the Committee reviewed a profitability analysis and data from management for the Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, earnings and the operating margin/profitability rate (noting the negative rate reported with respect to the Fund), including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability with respect to the Guggenheim funds generally, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided and noted the negative profitability rate to Guggenheim Investments with respect to the Fund.
The Committee also considered other benefits available to the Adviser because of its relationship with the Capital Stewardship Fund and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by the Adviser from its relationship with the Fund were appropriate and that the Adviser’s profitability from its relationship with the Fund was not unreasonable.
Economies of Scale: With respect to economies of scale, the Committee considered that the Fund is not available to retail investors. The Committee concluded that the advisory fee schedule reflected an appropriate level of sharing of any economies of scale.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the Fund’s advisory fee was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser: With respect to the nature, extent and quality of services provided by the Sub-Adviser, the Committee considered the Fund’s investment objective and Concinnity’s investment strategy and method for implementing such investment strategy, including, but not limited to, the investment decision processes employed for the Fund. In this connection, the Committee also noted that the Sub-Adviser is experienced in identifying companies with elements of the multi-stakeholder management system. In addition, the Committee took into account the information provided by the Sub-Adviser regarding, among other things: its current advisory services and clients and the principal activities in which it is engaged; the qualifications, experience and skills of key
2 | The “net effective management fee” for the Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
OTHER INFORMATION (Unaudited)(continued) |
personnel responsible for providing services to the Fund; the Sub-Adviser’s evaluation of its success in meeting the Fund’s investment objective; the Fund’s portfolio construction process and the sources of information generally relied upon by the Sub-Adviser in providing investment advisory, statistical and research services to the Fund; and the Sub-Adviser’s process, in collaboration with Guggenheim, for portfolio risk management.
With respect to the Sub-Adviser’s resources and its ability to carry out its responsibilities under the Sub-Advisory Agreement, the Committee noted that the Sub-Adviser provided its tax return filing. The Committee also considered the Sub-Adviser’s statement that it is an ongoing viable business enterprise that currently has the resources necessary to provide the contracted-for services to the Fund. In further assessing the Sub-Adviser’s resources, as well as the nature and quality of the services it provides, the Committee took into account Guggenheim’s statement that, given the limited scope of services provided by Concinnity and its role in the Fund’s management, and Guggenheim’s oversight of such services, the Sub-Adviser’s resources are sufficient to provide the contracted-for services to the Fund.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, the Committee concluded that the Sub-Adviser and its personnel were qualified to serve the Fund in such capacity and may reasonably be expected to continue to provide a high quality of services under the Sub-Advisory Agreement.
Investment Performance: The Committee considered the Fund’s performance, as described above, and based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, concluded that the investment performance of the Sub-Adviser was acceptable.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee noted that the sub-advisory fees payable to Concinnity are paid by GPIM and do not impact the advisory fee paid by the Fund (which the Committee concluded to be reasonable). The Committee considered the total amount of sub-advisory fees paid to the Sub-Adviser for the twelve months ended December 31, 2020, as compared to the prior year, noting that the sub-advisory fees paid by GPIM to Concinnity are the product of arm’s-length negotiations between GPIM and Concinnity. The Committee considered the allocation of the advisory fee charged to the Fund between GPIM and Concinnity in light of the nature, extent and quality of the investment advisory services provided by GPIM and Concinnity.
With respect to the costs of services provided and benefits realized by the Sub-Adviser from its relationship with the Fund, the Committee considered Concinnity’s size and partnership structure, the aggregate management fees paid to Concinnity and the methodology used to calculate its profitability. The Committee also considered that no other benefits to the Sub-Adviser as a result of its relationship with the Fund were reported.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the benefits realized by the Sub-Adviser from its relationship with the Fund were appropriate and that the Sub-Adviser’s profitability from its relationship with the Fund was not unreasonable.
Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the Investment Advisory Agreement, which was separately considered. (See “Investment Advisory Agreement – Economies of Scale” above.)
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the Fund’s sub-advisory fee was reasonable.
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each Advisory Agreement is in the best interest of the Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee)
Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 158 | Current: Purpose Investments Funds (2013-present).
Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present).
Former: Senior Leader, TIAA (1987-2012). | 157 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present).
Former: Infinity Property & Casualty Corp. (2014-2018). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 157 | Current: US Global Investors (GROW) (1995-present).
Former: Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 158 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present).
Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Audit Committee) | Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 157 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present).
Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 157 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE |
|
|
|
| |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014 (Chief Legal Officer)
Since 2007 (Vice President | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present).
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2014 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present).
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2014 | Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
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9.30.2021
Guggenheim Funds Annual Report
Guggenheim Macro Opportunities Fund |
GuggenheimInvestments.com | MO-ANN-0921x0922 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
MACRO OPPORTUNITIES FUND | 9 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 92 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 123 |
OTHER INFORMATION | 125 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 139 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 146 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 150 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2021 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Macro Opportunities Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
October 31, 2021
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2021 |
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Macro Opportunities Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The intrinsic value of the underlying stocks in which the Fund invests may never be realized or the stock may decline in value. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The use of short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. Theoretically, stocks sold short have the risk of unlimited losses. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● A highly liquid secondary market may not exist for the commodity-linked structured notes the Fund invests in, and there can be no assurance that a highly liquid secondary market will develop. ● The Fund’s exposure to the commodity markets may subject the Fund to greater volatility as commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity such as droughts, floods, weather, embargos, tariffs and international economic, political and regulatory developments. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2021 |
In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.
Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.
As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.
As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.
Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2021 |
For the 12-month period ended September 30, 2021, the S&P 500® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.
The following tables illustrate the Fund’s costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
A-Class | 1.37% | 1.55% | $ 1,000.00 | $ 1,015.50 | $ 6.92 |
C-Class | 2.12% | 1.17% | 1,000.00 | 1,011.70 | 10.69 |
P-Class | 1.37% | 1.55% | 1,000.00 | 1,015.50 | 6.92 |
Institutional Class | 0.96% | 1.76% | 1,000.00 | 1,017.60 | 4.86 |
R6-Class | 0.96% | 1.75% | 1,000.00 | 1,017.50 | 4.86 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
A-Class | 1.37% | 5.00% | $ 1,000.00 | $ 1,018.20 | $ 6.93 |
C-Class | 2.12% | 5.00% | 1,000.00 | 1,014.44 | 10.71 |
P-Class | 1.37% | 5.00% | 1,000.00 | 1,018.20 | 6.93 |
Institutional Class | 0.96% | 5.00% | 1,000.00 | 1,020.26 | 4.86 |
R6-Class | 0.96% | 5.00% | 1,000.00 | 1,020.26 | 4.86 |
1 | This ratio represents annualized net expenses, which may include short interest expense. Excluding these expenses, the operating expense ratios for the Fund would be 1.33%, 2.08%, 1.33%, 0.92% and 0.92% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively. Excludes expenses of the underlying funds in which the Fund invests. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim Macro Opportunities Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.
Investment Approach
The Fund seeks to provide total return, comprised of current income and capital appreciation. Unconstrained to a benchmark, the Fund has the flexibility to invest across a broad array of fixed-income securities. The Fund may also opportunistically allocate to other asset classes to potentially enhance return and/or mitigate risk and offers access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.
Performance Review and Positioning
For the one year period ended September 30, 2021, Guggenheim Macro Opportunities Fund returned 7.49%1, compared with the 0.07% return of the ICE Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index.
Interest rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the backs of accommodative fiscal and monetary policy. Performance was driven by a combination of spread tightening and greater carry (the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant), which was partially offset by the Fund’s duration positioning. The Fund’s allocation to credit has been the largest driver of outperformance on the year, as credit continues its grind tighter on optimism in economic growth recovery and improving credit fundamentals. Measured on an absolute return basis, sectors with floating rate coupons like bank loans and much of structured credit have been standouts in performance, as they have benefited from spread compression, while being somewhat insulated from rising rates. The Fund’s allocation to these sectors coupled with its curve caps positions helped mitigate the performance impact from the steepening in the yield curve.
Below-investment-grade corporate credit, including both high yield corporates and bank loans, comprise roughly 42% of the Fund. Our below-investment-grade allocation has continued to benefit from a combination of spread tightening and carry, contributing significantly to the portfolio return on the year. While we remain positive on long-term economic fundamentals and associated outlook for a low default rate, we have begun to pare exposure recently, as we have increasingly become cautious of valuations and the potential for seasonal weakness. Despite
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited)(continued) | September 30, 2021 |
this, we still view the expected loss-adjusted return potential, primarily via carry, favorably within the context of the Fund and therefore continue to anticipate a continued meaningful portfolio allocation.
Structured credit accounted for 22% of the Fund at period end. The sector broadly and across sub-sectors continued to contribute positively . Spreads have now largely recovered from the shock of COVID-19, though still offer compelling relative value within the fixed income universe. Primary markets have been very active over the year, particularly in the collateralized loan obligation (“CLO”) sector, which is on track for a record setting year, having already priced $125 billion new issue deals and $311 billion total deals (including refinancings, resets, and re-issues). Spreads have been relatively muted in response to the massive amount of issuance, which speaks to volume of demand from investors in search of higher carry assets. We continue to look to invest in structurally senior securitized credit, as the sector continues to showcase wider spreads compared to similarly rated corporates. As such, we expect spreads could compress further as the economy rebounds and investors seek out the higher yields and carry offered by the sector.
Investment grade corporates comprised 9% of the Fund at period end. The sector contributed positively to performance on both an absolute basis as well as on a duration-adjusted basis as it benefited from a combination of carry and spread tightening. Investment grade corporate credit spreads have benefitted from the back-up in rates as yield-focused buyers find the higher-yielding profiles more attractive. In particular, the pace of flows into the investment grade corporate sector from overseas buyers has been greater than usual given the attractiveness of the currency hedge-adjusted yields attainable in the sector fostered by higher rates. We continue to remain constructive on the sector given the supportive macro backdrop and low probability of any sustained selloff. However, we have incrementally reduced our exposure at the margin, rotating out of tighter spread names with limited total return potential in favor of higher carry sectors like structured credit.
The portfolio’s duration positioning detracted slightly from performance as U.S. Treasury yields rose across the curve. The portfolio’s overall duration ended the period at 2.2 years. We continue to remain optimistic on U.S. economic growth given potential for additional fiscal stimulus and believe that interest rates will remain relatively range bound as the Federal Reserve (“Fed”) seeks to remain accommodative to help the economic recovery continue amid the termination of certain fiscal stimulus measures and potential for increasing spread of the COVID-19 Delta variant headed into year end.
Given the current monetary and fiscal backdrop, we continue to view the credit default environment as benign and predict rates are likely to remain low and range bound for some time. As such, we continue to believe a portfolio allowance for both higher credit and duration risk is warranted. As credit spreads have neared historic tights, however, it has become increasingly important to ensure portfolios are prudently positioned as we seek out relative value across sectors. At this particular moment in the credit cycle and against the backdrop of current
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
valuations, we see value in rotating into higher carry instruments while maintaining similar credit quality where possible and shortening spread duration to lessen the Fund’s emphasis on credit spread compression.
During the period, the Fund used interest rate futures, options, swaptions, and swaps to help manage duration, generate additional yield, and for hedging purposes. Credit default swaps and total return swaps were used to both obtain and hedge existing index exposure. Forward foreign currency contracts and currency options were used for hedging and income producing purposes. Management also employed futures, options, total return swaps and interest rate swaps opportunistically for speculative purposes. Over the period, foreign currency options, credit default swaps, forwards, swaptions and interest rate options all contributed to performance. Futures, total return swaps, and interest rate swaps detracted from performance. Overall, derivative exposure contributed to Fund performance during the period.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the one-year period ended September 30, 2021, investment in the Short Term Investment Vehicles benefited Fund performance.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
MACRO OPPORTUNITIES FUND
OBJECTIVE: Seeks to provide total return, comprised of current income and capital appreciation.
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
Inception Dates: | |
A-Class | November 30, 2011 |
C-Class | November 30, 2011 |
P-Class | May 1, 2015 |
Institutional Class | November 30, 2011 |
R6-Class | March 13, 2019 |
Ten Largest Holdings (% of Total Net Assets) | |
Uniform MBS 30 Year | 3.1% |
Pershing Square Tontine Holdings Ltd. — Class A | 1.7% |
Government of Japan, (0.11)% due 10/25/21 | 1.1% |
Guggenheim Risk Managed Real Estate Fund — Institutional Class | 0.9% |
Province of Quebec, 0.18% | 0.7% |
Province of Ontario, 0.17% due 10/20/21 | 0.7% |
KKR Acquisition Holdings I Corp. — Class A | 0.6% |
KDAC Aviation Finance Ltd., 4.21% | 0.6% |
Delta Air Lines, Inc., 7.00% | 0.6% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 0.6% |
Top Ten Total | 10.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2021 |
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 0.4% |
AA | 8.0% |
A | 7.1% |
BBB | 19.0% |
BB | 15.8% |
B | 21.6% |
CCC | 2.2% |
CC | 3.4% |
C | 0.2% |
NR2 | 4.1% |
Other Instruments | 18.2% |
Total Investments | 100.0% |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR (not rated) securities do not necessarily indicate low credit quality. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2021 |
Cumulative Fund Performance*
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | Since |
A-Class Shares | 7.49% | 4.37% | 5.18% |
A-Class Shares with sales charge‡ | 3.17% | 3.53% | 4.66% |
C-Class Shares | 6.70% | 3.60% | 4.41% |
C-Class Shares with CDSC§ | 5.70% | 3.60% | 4.41% |
Institutional Class Shares | 7.91% | 4.78% | 5.57% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.07% | 1.16% | 0.64% |
| 1 Year | 5 Year | Since |
P-Class Shares | 7.48% | 4.37% | 4.14% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.07% | 1.16% | 0.95% |
| 1 Year | Since |
R6-Class Shares | 7.91% | 5.87% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.07% | 0.98% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after October 1, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
CONSOLIDATED SCHEDULE OF INVESTMENTS | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 3.5% | ||||||||
Financial - 3.3% | ||||||||
Pershing Square Tontine Holdings Ltd. — Class A*,1 | 6,864,930 | $ | 135,239,121 | |||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 5,062,315 | 49,357,571 | ||||||
RXR Acquisition Corp. — Class A*,1 | 1,084,974 | 10,545,947 | ||||||
Aequi Acquisition Corp. — Class A*,1 | 999,157 | 9,741,781 | ||||||
AfterNext HealthTech Acquisition Corp.*,1 | 895,600 | 8,920,176 | ||||||
Conyers Park III Acquisition Corp.*,1 | 832,100 | 8,329,321 | ||||||
MSD Acquisition Corp. — Class A*,1 | 833,026 | 8,080,352 | ||||||
TPG Pace Beneficial II Corp.*,1 | 800,778 | 7,839,617 | ||||||
Waverley Capital Acquisition Corp. 1*,1 | 786,700 | 7,756,862 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 578,278 | 5,597,731 | ||||||
TPG Pace Solutions Corp.*,1 | 503,817 | 5,063,361 | ||||||
Blue Whale Acquisition Corp. I*,1 | 477,700 | 4,738,784 | ||||||
Colicity, Inc. — Class A*,1 | 213,157 | 2,082,544 | ||||||
Colicity, Inc.*,1 | 4,007 | 39,750 | ||||||
RXR Acquisition Corp.*,1 | 404 | 3,979 | ||||||
Total Financial | 263,336,897 | |||||||
Utilities - 0.1% | ||||||||
Texgen Power LLC*,†† | 180,169 | 7,296,844 | ||||||
Consumer, Non-cyclical - 0.1% | ||||||||
ATD New Holdings, Inc.*,†† | 42,478 | 2,909,743 | ||||||
Cengage Learning Holdings II, Inc.*,†† | 21,660 | 476,520 | ||||||
Save-A-Lot*,††† | 22,703 | 113,516 | ||||||
Targus Group International Equity, Inc.*,†††,2 | 12,773 | 31,107 | ||||||
Chef Holdings, Inc.††† | 59 | 3,037 | ||||||
Total Consumer, Non-cyclical | 3,533,923 | |||||||
Technology - 0.0% | ||||||||
Matterport, Inc.*,16 | 157,800 | 2,983,998 | ||||||
Qlik Technologies, Inc. - Class A*,††† | 177 | 254,364 | ||||||
Qlik Technologies, Inc. - Class B*,††† | 43,738 | — | ||||||
Total Technology | 3,238,362 | |||||||
Communications - 0.0% | ||||||||
Figs, Inc. — Class A*,16 | 55,695 | 2,068,512 | ||||||
Energy - 0.0% | ||||||||
Permian Production Partners LLC††† | 573,522 | 728,373 | ||||||
Industrial - 0.0% | ||||||||
BP Holdco LLC*,†††,2 | 37,539 | 26,465 | ||||||
Vector Phoenix Holdings, LP*,††† | 37,539 | 10,323 | ||||||
API Heat Transfer Parent LLC*,††† | 1,763,707 | 2 | ||||||
Total Industrial | 36,790 | |||||||
Total Common Stocks | ||||||||
(Cost $271,408,169) | 280,239,701 | |||||||
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Shares | Value | ||||||
PREFERRED STOCKS†† - 3.1% | ||||||||
Financial - 3.0% | ||||||||
Bank of America Corp. | ||||||||
4.13% | 1,002,000 | $ | 25,761,420 | |||||
4.38% | 736,000 | 19,393,600 | ||||||
First Republic Bank | ||||||||
4.25% | 1,168,000 | 29,316,800 | ||||||
4.13% | 369,600 | 9,236,304 | ||||||
Public Storage | ||||||||
4.63% | 914,312 | 24,942,432 | ||||||
4.13% | 265,621 | 6,932,708 | ||||||
W R Berkley Corp. | ||||||||
4.13% due 03/30/61 | 884,644 | 23,531,530 | ||||||
4.25% due 09/30/60 | 129,365 | 3,508,379 | ||||||
Wells Fargo & Co., 4.70% | 982,000 | 25,806,960 | ||||||
Prudential Financial, Inc., 4.13% due 09/01/60 | 686,550 | 17,754,183 | ||||||
Equitable Holdings, Inc., 4.30% | 616,000 | 15,400,000 | ||||||
CNO Financial Group, Inc., 5.13% due 11/25/60 | 324,000 | 8,634,600 | ||||||
American Financial Group, Inc., 4.50% due 09/15/60 | 271,104 | 7,398,428 | ||||||
Assurant, Inc., 5.25% due 01/15/61 | 258,000 | 6,971,160 | ||||||
Selective Insurance Group, Inc., 4.60% | 246,000 | 6,403,380 | ||||||
PartnerRe Ltd., 4.88% | 208,352 | 5,581,750 | ||||||
Total Financial | 236,573,634 | |||||||
Government - 0.1% | ||||||||
Farmer Mac, 5.75% | 378,000 | 10,228,680 | ||||||
Industrial - 0.0% | ||||||||
API Heat Transfer Intermediate*,††† | 218 | — | ||||||
Total Preferred Stocks | ||||||||
(Cost $236,163,112) | 246,802,314 | |||||||
WARRANTS† - 0.1% | ||||||||
Matterport, Inc. | ||||||||
Expiring 08/24/27* | 269,461 | 2,096,407 | ||||||
KKR Acquisition Holdings I Corp. - Class A | ||||||||
Expiring 12/31/27*,1 | 1,265,578 | 1,214,828 | ||||||
Pershing Square Tontine Holdings Ltd. | ||||||||
Expiring 07/24/25*,1 | 762,770 | 983,973 | ||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 12/31/27* | 128,004 | 433,934 | ||||||
Aequi Acquisition Corp. | ||||||||
Expiring 11/30/27*,1 | 333,052 | 199,498 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/23*,1 | 166,604 | 191,595 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/26*,1 | 192,759 | 177,338 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 216,993 | 162,745 | ||||||
Colicity, Inc. - Class A | ||||||||
Expiring 12/31/27*,1 | 42,630 | 35,383 | ||||||
Total Warrants | ||||||||
(Cost $8,919,727) | 5,495,701 | |||||||
EXCHANGE-TRADED FUNDS† - 0.5% | ||||||||
VanEck Vectors Gold Miners ETF | 1,430,590 | 42,159,487 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $54,624,676) | 42,159,487 | |||||||
MUTUAL FUNDS† - 2.2% | ||||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class2 | 1,907,399 | 71,222,266 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 4,702,153 | 46,880,462 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Shares | Value | ||||||
Guggenheim Alpha Opportunity Fund — Institutional Class2 | 1,003,137 | $ | 26,522,954 | |||||
Guggenheim Strategy Fund II2 | 702,382 | 17,552,529 | ||||||
Guggenheim Strategy Fund III2 | 621,971 | 15,636,354 | ||||||
Total Mutual Funds | ||||||||
(Cost $165,962,218) | 177,814,565 | |||||||
CLOSED-END FUNDS† - 0.9% | ||||||||
BlackRock Corporate High Yield Fund, Inc. | 2,543,550 | 31,031,310 | ||||||
Blackstone Strategic Credit Fund | 943,140 | 13,062,489 | ||||||
BlackRock Credit Allocation Income Trust | 601,028 | 9,105,574 | ||||||
Ares Dynamic Credit Allocation Fund, Inc. | 471,432 | 7,632,484 | ||||||
BlackRock Debt Strategies Fund, Inc. | 236,675 | 2,731,229 | ||||||
Eaton Vance Limited Duration Income Fund | 206,753 | 2,725,005 | ||||||
Western Asset High Income Opportunity Fund, Inc. | 370,552 | 1,923,165 | ||||||
Total Closed-End Funds | ||||||||
(Cost $47,643,616) | 68,211,256 | |||||||
MONEY MARKET FUNDS† - 7.7% | ||||||||
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.01%3 | 601,967,479 | 601,967,479 | ||||||
Western Asset Institutional U.S. Treasury Reserves Institutional Shares, 0.01%3 | 4,296,693 | 4,296,693 | ||||||
Total Money Market Funds | ||||||||
(Cost $606,264,172) | 606,264,172 | |||||||
Face | ||||||||
CORPORATE BONDS†† - 31.1% | ||||||||
Financial - 9.1% | ||||||||
Pershing Square Holdings Ltd. | ||||||||
3.25% due 10/01/31 | 33,500,000 | 33,444,055 | ||||||
3.25% due 11/15/304 | 15,100,000 | 15,202,906 | ||||||
Citigroup, Inc. | ||||||||
3.88%5,6 | 29,500,000 | 30,157,850 | ||||||
4.00% 5,6 | 12,000,000 | 12,434,400 | ||||||
Markel Corp. | ||||||||
6.00%5,6 | 32,370,000 | 35,865,960 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.30% due 02/01/614 | 36,940,000 | 35,189,775 | ||||||
Wilton RE Ltd. | ||||||||
6.00%†††,4,5,6 | 31,350,000 | 34,191,878 | ||||||
GLP Capital Limited Partnership / GLP Financing II, Inc. | ||||||||
4.00% due 01/15/31 | 22,640,000 | 24,428,786 | ||||||
5.30% due 01/15/29 | 6,950,000 | 8,125,669 | ||||||
LPL Holdings, Inc. | ||||||||
4.00% due 03/15/294 | 23,300,000 | 23,931,430 | ||||||
4.38% due 05/15/314 | 6,350,000 | 6,627,812 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/314 | 21,650,000 | 21,839,438 | ||||||
2.88% due 10/15/264 | 8,750,000 | 8,684,375 | ||||||
Home Point Capital, Inc. | ||||||||
5.00% due 02/01/264 | 33,010,000 | 29,924,225 | ||||||
Iron Mountain, Inc. | ||||||||
5.63% due 07/15/324 | 25,025,000 | 26,839,313 | ||||||
4.50% due 02/15/314 | 925,000 | 938,228 |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Equitable Holdings, Inc. | ||||||||
4.95%5,6 | 24,550,000 | $ | 26,636,750 | |||||
Host Hotels & Resorts, LP | ||||||||
3.50% due 09/15/30 | 24,000,000 | 24,905,330 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
4.35% due 04/30/504 | 21,150,000 | 24,031,871 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/284 | 23,000,000 | 23,345,000 | ||||||
Global Atlantic Finance Co. | ||||||||
4.70% due 10/15/514,6 | 22,350,000 | 23,106,135 | ||||||
Kuvare US Holdings, Inc. | ||||||||
7.00% due 02/17/514,6 | 19,150,000 | 20,652,100 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 11/15/254 | 12,600,000 | 12,694,500 | ||||||
5.50% due 04/15/294 | 7,150,000 | 6,941,962 | ||||||
Wells Fargo & Co. | ||||||||
3.90%5,6 | 18,000,000 | 18,562,500 | ||||||
Hampton Roads PPV LLC | ||||||||
6.62% due 06/15/534 | 15,969,496 | 17,668,631 | ||||||
Charles Schwab Corp. | ||||||||
4.00%5,6 | 16,400,000 | 16,866,744 | ||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/294 | 17,200,000 | 16,856,000 | ||||||
Kennedy-Wilson, Inc. | ||||||||
5.00% due 03/01/31 | 16,000,000 | 16,360,000 | ||||||
NFP Corp. | ||||||||
6.88% due 08/15/284 | 12,200,000 | 12,456,810 | ||||||
4.88% due 08/15/284 | 3,450,000 | 3,493,125 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75% due 05/15/284 | 13,931,000 | 15,115,135 | ||||||
First American Financial Corp. | ||||||||
4.00% due 05/15/30 | 11,760,000 | 12,982,881 | ||||||
MetLife, Inc. | ||||||||
3.85% 5,6 | 12,200,000 | 12,794,750 | ||||||
OneAmerica Financial Partners, Inc. | ||||||||
4.25% due 10/15/504 | 11,550,000 | 12,264,691 | ||||||
OneMain Finance Corp. | ||||||||
4.00% due 09/15/30 | 11,650,000 | 11,591,750 | ||||||
QBE Insurance Group Ltd. | ||||||||
5.88%4,5,6 | 7,550,000 | 8,418,250 | ||||||
Atlas Mara Ltd. | ||||||||
due 12/31/21†††,7,8 | 14,400,000 | 6,942,240 | ||||||
PartnerRe Finance B LLC | ||||||||
4.50% due 10/01/506 | 6,460,000 | 6,805,010 | ||||||
AmWINS Group, Inc. | ||||||||
4.88% due 06/30/294 | 6,025,000 | 6,115,375 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.00% due 06/15/27 | 4,813,000 | 5,540,376 | ||||||
Bank of New York Mellon Corp. | ||||||||
4.70% 5,6 | 4,500,000 | 4,938,750 | ||||||
SBA Communications Corp. | ||||||||
3.13% due 02/01/294 | 4,200,000 | 4,058,250 | ||||||
HUB International Ltd. | ||||||||
7.00% due 05/01/264 | 750,000 | 775,313 | ||||||
Wilton Re Finance LLC | ||||||||
5.88% due 03/30/334,6 | 600,000 | 625,215 | ||||||
Total Financial | 721,371,544 | |||||||
Industrial - 4.3% | ||||||||
Boeing Co. | ||||||||
5.15% due 05/01/30 | 32,030,000 | 37,513,529 | ||||||
5.81% due 05/01/50 | 16,010,000 | 21,264,973 | ||||||
5.71% due 05/01/40 | 16,010,000 | 20,391,937 | ||||||
New Enterprise Stone & Lime Company, Inc. | ||||||||
9.75% due 07/15/284 | 10,350,000 | 11,229,750 | ||||||
5.25% due 07/15/284 | 10,750,000 | 10,870,937 | ||||||
6.25% due 03/15/264 | 850,000 | 878,900 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Standard Industries, Inc. | ||||||||
4.38% due 07/15/304 | 7,125,000 | $ | 7,267,500 | |||||
3.38% due 01/15/314 | 6,400,000 | 6,090,880 | ||||||
5.00% due 02/15/274 | 3,015,000 | 3,109,219 | ||||||
IP Lending I LLC | ||||||||
4.00% due 09/08/25†††,4 | 15,700,000 | 15,700,000 | ||||||
Artera Services LLC | ||||||||
9.03% due 12/04/254 | 14,385,000 | 15,607,725 | ||||||
TopBuild Corp. | ||||||||
4.13% due 02/15/324 | 8,850,000 | 8,938,500 | ||||||
3.63% due 03/15/294 | 5,550,000 | 5,586,353 | ||||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | ||||||||
4.13% due 08/15/264 | 11,680,000 | 12,117,182 | ||||||
Intertape Polymer Group, Inc. | ||||||||
4.38% due 06/15/294 | 11,050,000 | 11,233,541 | ||||||
Dyal Capital Partners IV | ||||||||
3.65% due 02/22/41††† | 10,950,000 | 10,753,185 | ||||||
Flowserve Corp. | ||||||||
3.50% due 10/01/30 | 10,270,000 | 10,712,622 | ||||||
Boxer Parent Co., Inc. | ||||||||
6.50% due 10/02/25 | EUR | 8,500,000 | 10,338,489 | |||||
Great Lakes Dredge & Dock Corp. | ||||||||
5.25% due 06/01/294 | 9,780,000 | 10,122,300 | ||||||
Deuce FinCo plc | ||||||||
5.50% due 06/15/27 | GBP | 7,350,000 | 10,042,762 | |||||
Cleaver-Brooks, Inc. | ||||||||
7.88% due 03/01/234 | 9,852,000 | 9,704,220 | ||||||
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC/Reynolds Gro | ||||||||
4.00% due 10/15/274 | 9,650,000 | 9,553,500 | ||||||
Arcosa, Inc. | ||||||||
4.38% due 04/15/294 | 9,400,000 | 9,517,500 | ||||||
GrafTech Finance, Inc. | ||||||||
4.63% due 12/15/284 | 7,905,000 | 8,112,506 | ||||||
Atkore, Inc. | ||||||||
4.25% due 06/01/314 | 7,625,000 | 7,853,750 | ||||||
IP Lending II Ltd. | ||||||||
3.65% due 07/15/25†††,4 | 7,450,000 | 7,422,659 | ||||||
BWX Technologies, Inc. | ||||||||
4.13% due 06/30/284 | 6,700,000 | 6,875,875 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
8.50% due 04/15/244 | 6,550,000 | 6,779,250 | ||||||
PGT Innovations, Inc. | ||||||||
4.38% due 10/01/294 | 6,000,000 | 6,045,000 | ||||||
Howmet Aerospace, Inc. | ||||||||
5.95% due 02/01/37 | 2,925,000 | 3,641,625 | ||||||
6.75% due 01/15/28 | 434,000 | 528,395 | ||||||
6.88% due 05/01/25 | 53,000 | 62,011 | ||||||
Adevinta ASA | ||||||||
3.00% due 11/15/27 | EUR | 3,433,000 | 4,093,868 | |||||
Harsco Corp. | ||||||||
5.75% due 07/31/274 | 3,900,000 | 4,041,375 | ||||||
Grinding Media, Inc. / Moly-Cop AltaSteel Ltd. | ||||||||
7.38% due 12/15/234 | 3,050,000 | 3,109,475 | ||||||
Hillenbrand, Inc. | ||||||||
5.75% due 06/15/25 | 2,525,000 | 2,657,562 | ||||||
Crown Americas LLC / Crown Americas Capital Corporation VI | ||||||||
4.75% due 02/01/26 | 1,923,000 | 1,981,844 | ||||||
EnerSys | ||||||||
5.00% due 04/30/234 | 1,325,000 | 1,371,375 | ||||||
Graphic Packaging International LLC | ||||||||
3.50% due 03/01/294 | 1,148,000 | 1,142,260 | ||||||
Princess Juliana International Airport Operating Company N.V. | ||||||||
5.50% due 12/20/278 | 1,111,841 | 1,012,698 |
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | ||||||||
4.00% due 09/01/294 | 950,000 | $ | 960,687 | |||||
EnPro Industries, Inc. | ||||||||
5.75% due 10/15/26 | 790,000 | 824,563 | ||||||
Waste Pro USA, Inc. | ||||||||
5.50% due 02/15/264 | 600,000 | 606,000 | ||||||
JELD-WEN, Inc. | ||||||||
6.25% due 05/15/254 | 100,000 | 105,500 | ||||||
Total Industrial | 337,773,782 | |||||||
Consumer, Cyclical - 4.3% | ||||||||
Delta Air Lines, Inc. | ||||||||
7.00% due 05/01/254 | 41,320,000 | 48,186,901 | ||||||
Marriott International, Inc. | ||||||||
2.85% due 04/15/31 | 14,730,000 | 14,901,480 | ||||||
4.63% due 06/15/30 | 10,900,000 | 12,440,600 | ||||||
5.75% due 05/01/25 | 8,440,000 | 9,648,767 | ||||||
3.50% due 10/15/32 | 8,150,000 | 8,648,108 | ||||||
Hilton Domestic Operating Company, Inc. | ||||||||
4.00% due 05/01/314 | 23,200,000 | 23,548,000 | ||||||
3.63% due 02/15/324 | 4,150,000 | 4,087,750 | ||||||
5.75% due 05/01/284 | 525,000 | 565,425 | ||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd. | ||||||||
4.75% due 10/20/284 | 24,150,000 | 26,925,033 | ||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
4.00% due 10/15/304 | 22,200,000 | 21,978,000 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/274 | 19,700,000 | 21,416,806 | ||||||
Hyatt Hotels Corp. | ||||||||
5.38% due 04/23/25 | 7,350,000 | 8,206,888 | ||||||
5.75% due 04/23/30 | 6,530,000 | 7,831,463 | ||||||
JB Poindexter & Company, Inc. | ||||||||
7.13% due 04/15/264 | 11,725,000 | 12,340,563 | ||||||
JetBlue Class A Pass Through Trust | ||||||||
4.00% due 11/15/32 | 10,949,627 | 11,898,671 | ||||||
Scotts Miracle-Gro Co. | ||||||||
4.00% due 04/01/314 | 9,900,000 | 9,881,388 | ||||||
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | ||||||||
5.00% due 06/01/314 | 9,325,000 | 9,674,688 | ||||||
British Airways Class A Pass Through Trust | ||||||||
4.25% due 11/15/324 | 8,514,072 | 9,173,505 | ||||||
Wabash National Corp. | ||||||||
4.50% due 10/15/284 | 7,800,000 | 7,790,250 | ||||||
Penn National Gaming, Inc. | ||||||||
4.13% due 07/01/294 | 6,600,000 | 6,523,440 | ||||||
Papa John’s International, Inc. | ||||||||
3.88% due 09/15/294 | 6,425,000 | 6,376,041 | ||||||
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | ||||||||
5.75% due 01/20/264 | 5,950,000 | 6,225,187 | ||||||
American Airlines Class AA Pass Through Trust | ||||||||
3.58% due 01/15/28 | 2,481,417 | 2,529,850 | ||||||
3.35% due 10/15/29 | 1,340,213 | 1,349,212 | ||||||
3.65% due 02/15/29 | 1,157,813 | 1,194,419 | ||||||
3.15% due 02/15/32 | 1,102,460 | 1,112,420 | ||||||
Six Flags Theme Parks, Inc. | ||||||||
7.00% due 07/01/254 | 5,475,000 | 5,830,875 | ||||||
Boyne USA, Inc. | ||||||||
4.75% due 05/15/294 | 4,960,000 | 5,121,200 | ||||||
Superior Plus Limited Partnership / Superior General Partner, Inc. | ||||||||
4.50% due 03/15/294 | 4,800,000 | 4,956,000 | ||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Beacon Roofing Supply, Inc. | ||||||||
4.13% due 05/15/294 | 4,151,000 | $ | 4,125,056 | |||||
Air Canada Class A Pass Through Trust | ||||||||
5.25% due 04/01/294 | 3,500,249 | 3,777,194 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. | ||||||||
4.75% due 02/15/284 | 2,800,000 | 2,885,750 | ||||||
Allison Transmission, Inc. | ||||||||
3.75% due 01/30/314 | 2,925,000 | 2,844,562 | ||||||
Air Canada | ||||||||
4.63% due 08/15/29†††,4 | CAD | 3,550,000 | 2,810,230 | |||||
Murphy Oil USA, Inc. | ||||||||
3.75% due 02/15/314 | 2,525,000 | 2,540,781 | ||||||
WMG Acquisition Corp. | ||||||||
3.00% due 02/15/314 | 1,875,000 | 1,830,469 | ||||||
United Airlines, Inc. | ||||||||
4.63% due 04/15/294 | 1,700,000 | 1,756,865 | ||||||
United Airlines Class AA Pass Through Trust | ||||||||
4.15% due 08/25/31 | 1,065,294 | 1,145,377 | ||||||
Vail Resorts, Inc. | ||||||||
6.25% due 05/15/254 | 1,075,000 | 1,136,812 | ||||||
Hanesbrands, Inc. | ||||||||
5.38% due 05/15/254 | 910,000 | 952,661 | ||||||
Wyndham Hotels & Resorts, Inc. | ||||||||
4.38% due 08/15/284 | 700,000 | 730,751 | ||||||
Total Consumer, Cyclical | 336,899,438 | |||||||
Communications - 4.2% | ||||||||
Level 3 Financing, Inc. | ||||||||
4.25% due 07/01/284 | 22,035,000 | 22,205,331 | ||||||
3.75% due 07/15/294 | 7,600,000 | 7,345,248 | ||||||
3.88% due 11/15/294 | 2,600,000 | 2,780,180 | ||||||
Mav Acquisition Corp. | ||||||||
8.00% due 08/01/294 | 26,800,000 | 25,601,504 | ||||||
5.75% due 08/01/284 | 4,250,000 | 4,175,625 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/304 | 21,250,000 | 20,851,562 | ||||||
3.38% due 02/15/314 | 2,975,000 | 2,766,750 | ||||||
4.63% due 12/01/304 | 2,715,000 | 2,572,463 | ||||||
Altice France S.A. | ||||||||
5.50% due 10/15/294 | 11,610,000 | 11,492,536 | ||||||
5.13% due 07/15/294 | 8,200,000 | 8,052,646 | ||||||
7.38% due 05/01/264 | 4,834,000 | 5,016,290 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50% due 06/01/334 | 14,265,000 | 14,517,776 | ||||||
4.25% due 02/01/314 | 9,410,000 | 9,551,150 | ||||||
Virgin Media Finance plc | ||||||||
5.00% due 07/15/304 | 21,150,000 | 21,601,764 | ||||||
UPC Broadband Finco BV | ||||||||
4.88% due 07/15/314 | 20,200,000 | 20,681,972 | ||||||
Vodafone Group plc | ||||||||
5.13% due 06/04/816 | 16,875,000 | 17,383,612 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
5.13% due 07/15/294 | 16,250,000 | 16,778,125 | ||||||
ViacomCBS, Inc. | ||||||||
4.95% due 05/19/509 | 10,340,000 | 12,916,178 | ||||||
Cable One, Inc. | ||||||||
4.00% due 11/15/304 | 12,575,000 | 12,527,844 | ||||||
Switch Ltd. | ||||||||
3.75% due 09/15/284 | 12,100,000 | 12,281,500 | ||||||
Booking Holdings, Inc. | ||||||||
3.55% due 03/15/2817 | 10,000,000 | 11,095,553 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.50% due 08/15/304 | 10,150,000 | 10,314,938 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
4.50% due 09/15/264 | 9,300,000 | 9,602,250 | ||||||
AMC Networks, Inc. | ||||||||
4.25% due 02/15/29 | 9,600,000 | 9,546,000 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.13% due 07/01/304 | 8,900,000 | 8,941,274 | ||||||
Lamar Media Corp. | ||||||||
4.00% due 02/15/30 | 8,600,000 | 8,853,700 | ||||||
Match Group Holdings II LLC | ||||||||
4.63% due 06/01/284 | 7,700,000 | 8,027,250 | ||||||
Cengage Learning, Inc. | ||||||||
9.50% due 06/15/244 | 5,039,000 | 5,156,610 |
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Ziggo BV | ||||||||
4.88% due 01/15/304 | 4,850,000 | $ | 4,984,830 | |||||
Virgin Media Vendor Financing Notes IV DAC | ||||||||
5.00% due 07/15/284 | 3,650,000 | 3,769,902 | ||||||
TripAdvisor, Inc. | ||||||||
7.00% due 07/15/254 | 1,800,000 | 1,908,000 | ||||||
T-Mobile USA, Inc. | ||||||||
2.88% due 02/15/31 | 1,750,000 | 1,764,875 | ||||||
Total Communications | 335,065,238 | |||||||
Consumer, Non-cyclical - 3.8% | ||||||||
Mozart Debt Merger Sub, Inc. | ||||||||
3.88% due 04/01/294 | 42,100,000 | 42,100,000 | ||||||
5.25% due 10/01/29 | 7,200,000 | 7,200,000 | ||||||
Kraft Heinz Foods Co. | ||||||||
4.38% due 06/01/46 | 6,320,000 | 7,190,235 | ||||||
5.20% due 07/15/45 | 5,725,000 | 7,170,083 | ||||||
5.50% due 06/01/50 | 2,800,000 | 3,686,151 | ||||||
5.00% due 06/04/42 | 2,490,000 | 3,052,774 | ||||||
4.88% due 10/01/49 | 2,025,000 | 2,464,341 | ||||||
US Foods, Inc. | ||||||||
6.25% due 04/15/254 | 10,800,000 | 11,328,660 | ||||||
4.75% due 02/15/294 | 6,550,000 | 6,721,938 | ||||||
Bausch Health Companies, Inc. | ||||||||
4.88% due 06/01/284 | 13,200,000 | 13,678,500 | ||||||
Carriage Services, Inc. | ||||||||
4.25% due 05/15/294 | 13,225,000 | 13,338,074 | ||||||
Jaguar Holding Company II / PPD Development, LP | ||||||||
4.63% due 06/15/254 | 8,645,000 | 8,979,994 | ||||||
5.00% due 06/15/284 | 2,460,000 | 2,647,796 | ||||||
Post Holdings, Inc. | ||||||||
4.63% due 04/15/304 | 7,325,000 | 7,381,622 | ||||||
4.50% due 09/15/314 | 4,100,000 | 4,051,333 | ||||||
Sabre GLBL, Inc. | ||||||||
7.38% due 09/01/254 | 7,300,000 | 7,792,385 | ||||||
9.25% due 04/15/254 | 1,680,000 | 1,941,727 | ||||||
DaVita, Inc. | ||||||||
4.63% due 06/01/304 | 8,974,000 | 9,230,753 | ||||||
Sotheby’s/Bidfair Holdings, Inc. | ||||||||
5.88% due 06/01/294 | 8,900,000 | 9,155,875 | ||||||
Central Garden & Pet Co. | ||||||||
4.13% due 04/30/314 | 8,900,000 | 9,038,181 | ||||||
Avantor Funding, Inc. | ||||||||
4.63% due 07/15/284 | 8,175,000 | 8,604,596 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
5.00% due 12/31/264 | 5,500,000 | 5,491,860 | ||||||
7.00% due 12/31/274 | 2,991,000 | 2,863,883 | ||||||
Cheplapharm Arzneimittel GmbH | ||||||||
5.50% due 01/15/284 | 8,035,000 | 8,324,822 | ||||||
CPI CG, Inc. | ||||||||
8.63% due 03/15/264 | 7,315,000 | 7,936,775 | ||||||
TreeHouse Foods, Inc. | ||||||||
4.00% due 09/01/289 | 7,575,000 | 7,413,425 | ||||||
Smithfield Foods, Inc. | ||||||||
3.00% due 10/15/304 | 7,000,000 | 7,038,319 | ||||||
Service Corporation International | ||||||||
3.38% due 08/15/30 | 5,275,000 | 5,268,406 | ||||||
4.00% due 05/15/31 | 1,650,000 | 1,705,688 | ||||||
Grifols Escrow Issuer S.A. | ||||||||
4.75% due 10/15/284 | 6,750,000 | 6,891,413 | ||||||
WW International, Inc. | ||||||||
4.50% due 04/15/294 | 7,050,000 | 6,891,375 | ||||||
Spectrum Brands, Inc. | ||||||||
5.50% due 07/15/304 | 5,600,000 | 6,202,000 | ||||||
HealthEquity, Inc. | ||||||||
4.50% due 10/01/294 | 5,400,000 | 5,495,310 | ||||||
Rent-A-Center, Inc. | ||||||||
6.38% due 02/15/294 | 4,250,000 | 4,584,687 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
3.38% due 08/31/274 | 2,650,000 | 2,547,975 | ||||||
5.25% due 04/15/244 | 1,900,000 | 2,026,445 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | ||||||||
6.13% due 04/01/294 | 4,400,000 | $ | 4,400,000 | |||||
Hologic, Inc. | ||||||||
3.25% due 02/15/294 | 4,350,000 | 4,366,400 | ||||||
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. | ||||||||
3.75% due 12/01/314 | 3,400,000 | 3,537,802 | ||||||
HCRX Investments Holdco, LP | ||||||||
4.50% due 08/01/294 | 3,475,000 | 3,492,375 | ||||||
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | ||||||||
5.63% due 08/15/264 | 2,953,000 | 3,035,979 | ||||||
Charles River Laboratories International, Inc. | ||||||||
4.00% due 03/15/314 | 2,500,000 | 2,619,325 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
4.50% due 07/15/294 | 2,550,000 | 2,493,390 | ||||||
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc. | ||||||||
5.00% due 02/01/264 | 2,300,000 | 2,357,500 | ||||||
Par Pharmaceutical, Inc. | ||||||||
7.50% due 04/01/274 | 1,825,000 | 1,859,219 | ||||||
Molina Healthcare, Inc. | ||||||||
4.38% due 06/15/284 | 1,770,000 | 1,836,375 | ||||||
Altria Group, Inc. | ||||||||
4.45% due 05/06/50 | 1,670,000 | 1,751,027 | ||||||
Syneos Health, Inc. | ||||||||
3.63% due 01/15/294 | 1,600,000 | 1,595,520 | ||||||
Tenet Healthcare Corp. | ||||||||
4.63% due 06/15/284 | 975,000 | 1,010,256 | ||||||
Total Consumer, Non-cyclical | 301,792,569 | |||||||
Energy - 2.0% | ||||||||
BP Capital Markets plc | ||||||||
4.88%5,6 | 39,360,000 | 43,266,878 | ||||||
ITT Holdings LLC | ||||||||
6.50% due 08/01/294 | 34,450,000 | 34,751,438 | ||||||
Occidental Petroleum Corp. | ||||||||
7.95% due 06/15/39 | 4,700,000 | 6,227,500 | ||||||
6.63% due 09/01/30 | 3,600,000 | 4,441,500 | ||||||
4.50% due 07/15/44 | 2,850,000 | 2,863,709 | ||||||
6.13% due 01/01/31 | 2,250,000 | 2,700,000 | ||||||
4.10% due 02/15/47 | 2,250,000 | 2,139,525 | ||||||
3.00% due 02/15/27 | 2,130,000 | 2,128,360 | ||||||
4.63% due 06/15/45 | 1,700,000 | 1,738,250 | ||||||
4.40% due 04/15/46 | 900,000 | 896,211 | ||||||
NuStar Logistics, LP | ||||||||
6.38% due 10/01/30 | 18,750,000 | 20,625,000 | ||||||
5.63% due 04/28/27 | 450,000 | 479,250 | ||||||
Midwest Connector Capital Company LLC | ||||||||
4.63% due 04/01/294 | 17,713,000 | 19,023,699 | ||||||
DT Midstream, Inc. | ||||||||
4.13% due 06/15/294 | 5,250,000 | 5,323,815 | ||||||
Rattler Midstream, LP | ||||||||
5.63% due 07/15/254 | 4,125,000 | 4,295,362 | ||||||
Global Partners Limited Partnership / GLP Finance Corp. | ||||||||
6.88% due 01/15/29 | 4,050,000 | 4,203,778 | ||||||
Atlantica Sustainable Infrastructure plc | ||||||||
4.13% due 06/15/284 | 1,550,000 | 1,601,925 | ||||||
Basic Energy Services, Inc. | ||||||||
due 10/15/23†††,7,8 | 1,500,000 | 112,500 | ||||||
Total Energy | 156,818,700 | |||||||
Basic Materials - 1.2% | ||||||||
Alcoa Nederland Holding BV | ||||||||
5.50% due 12/15/274 | 15,125,000 | 16,235,629 | ||||||
6.13% due 05/15/284 | 7,450,000 | 8,073,937 | ||||||
4.13% due 03/31/294 | 4,900,000 | 5,108,250 |
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
WR Grace Holdings LLC | ||||||||
4.88% due 06/15/274 | 13,225,000 | $ | 13,580,488 | |||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/284 | 10,755,000 | 11,158,312 | ||||||
Kaiser Aluminum Corp. | ||||||||
4.50% due 06/01/314 | 10,000,000 | 10,250,000 | ||||||
4.63% due 03/01/284 | 375,000 | 387,188 | ||||||
Carpenter Technology Corp. | ||||||||
6.38% due 07/15/28 | 8,015,000 | 8,619,653 | ||||||
Novelis Sheet Ingot GmbH | ||||||||
3.38% due 04/15/29 | EUR | 4,500,000 | 5,444,625 | |||||
HB Fuller Co. | ||||||||
4.25% due 10/15/28 | 5,250,000 | 5,341,875 | ||||||
Clearwater Paper Corp. | ||||||||
4.75% due 08/15/284 | 4,817,000 | 4,949,467 | ||||||
ArcelorMittal S.A. | ||||||||
4.55% due 03/11/26 | 2,450,000 | 2,732,024 | ||||||
Arconic Corp. | ||||||||
6.00% due 05/15/254 | 2,225,000 | 2,337,763 | ||||||
Mirabela Nickel Ltd. | ||||||||
due 06/24/197,8 | 1,885,418 | 94,271 | ||||||
Total Basic Materials | 94,313,482 | |||||||
Technology - 1.1% | ||||||||
Qorvo, Inc. | ||||||||
4.38% due 10/15/29 | 11,220,000 | 12,229,800 | ||||||
3.38% due 04/01/314 | 9,225,000 | 9,726,840 | ||||||
NCR Corp. | ||||||||
5.25% due 10/01/304 | 11,425,000 | 11,979,455 | ||||||
5.13% due 04/15/294 | 6,350,000 | 6,548,438 | ||||||
Twilio, Inc. | ||||||||
3.88% due 03/15/31 | 15,100,000 | 15,459,531 | ||||||
TeamSystem SpA | ||||||||
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/2810 | EUR | 11,750,000 | 13,612,141 | |||||
Booz Allen Hamilton, Inc. | ||||||||
3.88% due 09/01/284 | 11,800,000 | 12,096,416 | ||||||
Playtika Holding Corp. | ||||||||
4.25% due 03/15/294 | 8,750,000 | 8,777,912 | ||||||
MSCI, Inc. | ||||||||
3.88% due 02/15/314 | 883,000 | 926,046 | ||||||
Total Technology | 91,356,579 | |||||||
Utilities - 1.1% | ||||||||
Midcap Funding XLVI Trust | ||||||||
5.58% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/29/24†††,10 | 32,750,000 | 32,755,240 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
3.52% due 12/31/39††† | 21,800,000 | 22,006,882 | ||||||
Clearway Energy Operating LLC | ||||||||
3.75% due 02/15/314 | 13,450,000 | 13,483,625 | ||||||
AES Corp. | ||||||||
3.95% due 07/15/304 | 9,760,000 | 10,732,291 | ||||||
Terraform Global Operating LLC | ||||||||
6.13% due 03/01/264 | 5,435,000 | 5,591,257 | ||||||
Total Utilities | 84,569,295 | |||||||
Total Corporate Bonds | ||||||||
(Cost $2,377,575,748) | 2,459,960,627 | |||||||
SENIOR FLOATING RATE INTERESTS††,10 - 21.3% | ||||||||
Consumer, Cyclical - 4.5% | ||||||||
Zephyr Bidco Ltd. | ||||||||
4.80% (1 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 07/23/25 | GBP | 20,850,000 | 27,943,574 | |||||
7.55% (1 Month GBP LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26 | GBP | 1,540,417 | 2,055,051 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
MB2 Dental Solutions LLC | ||||||||
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | 20,770,588 | $ | 20,401,670 | |||||
7.19% (3 Month USD LIBOR + 6.00% and Commercial Prime Lending Rate + 5.00%, Rate Floor: 7.00%) due 01/29/27††† | 5,149,418 | 5,057,957 | ||||||
Packers Holdings LLC | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | 21,045,240 | 20,935,595 | ||||||
BGIS (BIFM CA Buyer, Inc.) | ||||||||
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26 | 18,084,993 | 17,994,568 | ||||||
Mavis Tire Express Services TopCo Corp. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28 | 17,356,500 | 17,388,089 | ||||||
SP PF Buyer LLC | ||||||||
4.58% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 | 15,426,706 | 15,145,169 | ||||||
Truck Hero, Inc. | ||||||||
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28 | 14,825,500 | 14,785,323 | ||||||
CNT Holdings I Corp. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/08/27 | 12,139,000 | 12,146,648 | ||||||
Cast & Crew Payroll LLC | ||||||||
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26 | 11,568,913 | 11,515,927 | ||||||
Flamingo | ||||||||
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28 | EUR | 10,000,000 | 11,489,226 | |||||
CD&R Firefly Bidco Ltd. | ||||||||
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 06/23/25 | EUR | 6,000,000 | 6,935,867 | |||||
due 06/23/25 | GBP | 3,350,000 | 4,484,995 | |||||
Verisure Holding AB | ||||||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26 | EUR | 7,651,053 | 8,814,133 | |||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28 | EUR | 1,770,000 | 2,037,304 | |||||
Loire Finco Luxembourg SARL | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27 | 10,746,068 | 10,665,472 |
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
EnTrans International LLC | ||||||||
6.08% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24 | 11,267,545 | $ | 10,450,648 | |||||
American Trailer World Corp. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/03/28 | 9,426,375 | 9,376,887 | ||||||
BCPE Empire Holdings, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/11/26 | 8,960,000 | 8,926,400 | ||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26 | 223,292 | 221,803 | ||||||
CHG Healthcare Services, Inc. | ||||||||
due 09/20/28 | 8,400,000 | 8,408,988 | ||||||
United Petfood | ||||||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 04/24/28 | EUR | 7,000,000 | 8,048,540 | |||||
PetSmart LLC | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | 7,500,000 | 7,510,725 | ||||||
Accuride Corp. | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23 | 7,690,334 | 7,421,172 | ||||||
Rent-A-Center, Inc. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 02/17/28††† | 7,231,875 | 7,277,074 | ||||||
ImageFIRST Holdings LLC | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 04/27/28 | 7,274,361 | 7,256,175 | ||||||
Holding SOCOTEC | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/30/28 | 7,150,000 | 7,138,060 | ||||||
Camin Cargo Control, Inc. | ||||||||
7.50% (1 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/04/26††† | 6,900,000 | 6,831,000 | ||||||
First Brands Group LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | 5,024,750 | 5,069,973 | ||||||
ScribeAmerica Intermediate Holdco LLC (Healthchannels) | ||||||||
4.58% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 | 4,845,466 | 4,591,079 | ||||||
Galls LLC | ||||||||
7.25% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/25††† | 3,667,419 | 3,636,822 | ||||||
7.25% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/24††† | 452,857 | 429,906 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Alexander Mann | ||||||||
5.17% (6 Month GBP LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25 | GBP | 3,000,000 | $ | 3,895,294 | ||||
Alterra Mountain Co. | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28 | 3,738,727 | 3,724,707 | ||||||
Sovos Brands Intermediate, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 06/08/28 | 3,677,983 | 3,677,983 | ||||||
SHO Holding I Corp. | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24††† | 3,642,774 | 3,442,421 | ||||||
6.23% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24††† | 60,373 | 57,053 | ||||||
Apro LLC | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/16/26 | 3,291,750 | 3,291,750 | ||||||
Checkers Drive-In Restaurants, Inc. | ||||||||
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24 | 3,304,815 | 3,103,221 | ||||||
Adevinta ASA | ||||||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/26/28 | EUR | 2,600,000 | 3,007,651 | |||||
Blue Nile, Inc. | ||||||||
7.50% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23 | 2,756,250 | 2,618,438 | ||||||
WESCO | ||||||||
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24††† | 2,306,764 | 2,301,605 | ||||||
BRE/Everbright M6 Borrower LLC | ||||||||
5.75% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26 | 2,250,000 | 2,255,625 | ||||||
Situs AMC Holdings Corp. | ||||||||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/30/25 | 1,989,975 | 1,960,125 | ||||||
CCRR Parent, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28††† | 1,895,250 | 1,899,988 | ||||||
TTF Holdings Intermediate LLC | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 03/31/28††† | 1,734,375 | 1,730,039 | ||||||
Rent-A-Center, Inc. | ||||||||
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28 | 1,600,000 | 1,604,000 | ||||||
EG Finco Ltd. | ||||||||
4.88% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 02/07/25 | GBP | 967,500 | 1,295,854 |
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
American Tire Distributors, Inc. | ||||||||
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23 | 249,634 | $ | 249,135 | |||||
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24 | 161,866 | 161,689 | ||||||
Total Consumer, Cyclical | 352,668,398 | |||||||
Industrial - 4.3% | ||||||||
United Airlines, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | 25,436,250 | 25,592,429 | ||||||
CapStone Acquisition Holdings, Inc. | ||||||||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27 | 24,934,245 | 24,934,245 | ||||||
American Bath Group LLC | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27 | 20,484,095 | 20,407,280 | ||||||
Diversitech Holdings, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/02/24 | 16,918,426 | 16,907,936 | ||||||
Mileage Plus Holdings LLC | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 15,250,000 | 16,193,670 | ||||||
Dispatch Terra Acquisition LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28 | 15,231,825 | 15,231,825 | ||||||
TK Elevator Midco GmbH | ||||||||
3.63% (3 Month EURIBOR + 3.63%, Rate Floor: 3.63%) due 07/30/27 | EUR | 7,000,000 | 8,115,443 | |||||
4.00% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | 6,500,998 | 6,510,034 | ||||||
Arcline FM Holdings LLC | ||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28††† | 14,300,000 | 14,300,000 | ||||||
Fugue Finance BV | ||||||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24 | EUR | 12,545,690 | 14,246,305 | |||||
TransDigm, Inc. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | 14,151,163 | 13,972,858 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
NA Rail Hold Co. LLC | ||||||||
4.63% (3 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 10/19/26 | 13,847,079 | $ | 13,881,697 | |||||
Charter Next Generation, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | 13,084,250 | 13,106,755 | ||||||
DXP Enterprises, Inc. | ||||||||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27 | 13,150,625 | 13,097,233 | ||||||
Pelican Products, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25 | 12,561,222 | 12,506,329 | ||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28 | 10,383,872 | 10,419,073 | ||||||
Service Logic Acquisition, Inc. | ||||||||
4.75% (2 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | 10,246,749 | 10,266,013 | ||||||
Air Canada | ||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 9,800,000 | 9,832,634 | ||||||
Filtration Group Corp. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/25 | 5,625,156 | 5,633,594 | ||||||
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25 | EUR | 3,585,619 | 4,143,483 | |||||
AI Convoy Luxembourg SARL | ||||||||
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27 | EUR | 8,324,708 | 9,587,784 | |||||
YAK MAT (YAK ACCESS LLC) | ||||||||
10.13% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | 12,220,199 | 8,462,488 | ||||||
TricorBraun Holdings, Inc. | ||||||||
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 | 8,263,657 | 8,213,083 | ||||||
Valcour Packaging LLC | ||||||||
due 09/28/28 | 6,300,000 | 6,268,500 | ||||||
Park River Holdings, Inc. | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27 | 6,085,500 | 6,058,906 | ||||||
BWAY Holding Co. | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | 4,824,929 | 4,721,627 |
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
MI Windows And Doors LLC | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/20/27 | 3,970,000 | $ | 3,974,963 | |||||
STS Operating, Inc. (SunSource) | ||||||||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 | 3,827,701 | 3,816,945 | ||||||
ILPEA Parent, Inc. | ||||||||
5.25% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 06/22/28 | 3,473,949 | 3,465,264 | ||||||
Fortis Solutions Group LLC | ||||||||
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 12/15/23††† | 3,056,724 | 3,026,156 | ||||||
Titan Acquisition Ltd. (Husky) | ||||||||
3.17% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 2,980,336 | 2,924,127 | ||||||
Protective Industrial Products, Inc. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27 | 2,693,250 | 2,686,517 | ||||||
Bhi Investments LLC | ||||||||
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/28/24††† | 2,496,892 | 2,471,923 | ||||||
Waterlogic USA Holdings, Inc. | ||||||||
5.25% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 08/17/28 | 2,000,000 | 1,998,760 | ||||||
Pro Mach Group, Inc. | ||||||||
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28 | 1,849,721 | 1,857,656 | ||||||
LTI Holdings, Inc. | ||||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25 | 1,455,000 | 1,433,408 | ||||||
Diversitech Holdings, Inc. | ||||||||
8.50% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25††† | 1,000,000 | 997,500 | ||||||
Duran Group Holding GMBH | ||||||||
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/29/24 | EUR | 416,090 | 475,404 | |||||
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 12/20/24 | EUR | 106,858 | 122,091 | |||||
API Heat Transfer | ||||||||
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 01/01/24†††,11 | 1,177,125 | 411,994 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 10/02/23†††,11 | 203,763 | $ | 147,728 | |||||
Transcendia Holdings, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24 | 566,414 | 501,277 | ||||||
Total Industrial | 342,922,937 | |||||||
Consumer, Non-cyclical - 3.8% | ||||||||
Women’s Care Holdings, Inc. | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | 31,900,000 | 31,850,236 | ||||||
Mission Veterinary Partners | ||||||||
4.75% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | 21,450,000 | 21,450,000 | ||||||
Blue Ribbon LLC | ||||||||
6.75% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | 17,380,000 | 17,032,400 | ||||||
PetIQ LLC | ||||||||
4.75% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28 | 15,800,000 | 15,681,500 | ||||||
National Mentor Holdings, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | 14,811,990 | 14,808,287 | ||||||
Southern Veterinary Partners LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 14,417,606 | 14,471,672 | ||||||
SCP Eye Care Services LLC | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28††† | 13,857,315 | 13,839,994 | ||||||
Sigma Holding BV (Flora Food) | ||||||||
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25 | EUR | 12,019,549 | 13,520,879 | |||||
Nidda Healthcare Holding GmbH | ||||||||
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26 | EUR | 11,387,239 | 13,014,591 | |||||
Kronos Acquisition Holdings, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 12,537,000 | 12,214,674 |
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Quirch Foods Holdings LLC | ||||||||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/27/27 | 12,158,125 | $ | 12,196,180 | |||||
HAH Group Holding Co. LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | 10,911,110 | 10,911,110 | ||||||
Cambrex Corp. | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 12/04/26 | 10,400,718 | 10,409,974 | ||||||
Zep, Inc. | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24 | 10,117,311 | 9,834,836 | ||||||
Sunshine Investments BV | ||||||||
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25 | EUR | 8,400,000 | 9,656,399 | |||||
Springs Window Fashions | ||||||||
8.58% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26 | 5,500,000 | 5,500,000 | ||||||
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/16/25 | 3,121,805 | 3,121,805 | ||||||
Gibson Brands, Inc. | ||||||||
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28 | 8,100,000 | 8,019,000 | ||||||
Resonetics LLC | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28 | 8,000,000 | 8,000,000 | ||||||
Endo Luxembourg Finance Company I SARL | ||||||||
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28 | 7,711,250 | 7,527,028 | ||||||
CAB (Biogroup) | ||||||||
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/28 | EUR | 6,500,000 | 7,489,307 | |||||
Option Care Health, Inc. | ||||||||
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26 | 7,145,455 | 7,141,882 | ||||||
Hearthside Group Holdings LLC | ||||||||
3.77% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25 | 5,358,793 | 5,339,823 | ||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25 | 1,110,759 | 1,111,459 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Osmosis Holdings Australia II Pty Ltd. | ||||||||
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/31/28 | 5,822,222 | $ | 5,838,233 | |||||
Pearl Intermediate Parent LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.00%, Rate Floor: 0.75%) due 02/14/25 | 5,755,949 | 5,754,165 | ||||||
MDVIP LLC | ||||||||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/14/24 | 4,550,771 | 4,542,261 | ||||||
Mamba Purchaser, Inc. | ||||||||
due 09/28/28 | 2,000,000 | 1,998,760 | ||||||
Certara Holdco, Inc. | ||||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/17/26 | 1,616,232 | 1,611,189 | ||||||
Southern Veterinary Partners LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27††† | 1,478,788 | 1,484,333 | ||||||
HAH Group Holding Co. LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27††† | 1,384,051 | 1,384,051 | ||||||
EyeCare Partners LLC | ||||||||
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27 | 1,284,608 | 1,276,104 | ||||||
Recess Holdings, Inc. | ||||||||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24 | 1,065,691 | 1,059,478 | ||||||
Moran Foods LLC | ||||||||
11.75% (1 Month USD LIBOR + 0.00%, Rate Floor: 1.00%) (in-kind rate was 10.75%) due 10/01/2411 | 510,583 | 441,655 | ||||||
Moran Foods LLC | ||||||||
8.00% (1 Month USD LIBOR + 0.00%, Rate Floor: 1.00%) (in-kind rate was 7.00%) due 04/01/24†††,11 | 408,677 | 412,764 | ||||||
Total Consumer, Non-cyclical | 299,946,029 | |||||||
Technology - 3.8% | ||||||||
Planview Parent, Inc. | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27 | 23,323,750 | 23,367,599 | ||||||
Peraton Corp. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 18,061,744 | 18,064,634 | ||||||
Project Ruby Ultimate Parent Corp. | ||||||||
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28 | 17,512,000 | 17,484,681 | ||||||
Apttus Corp. | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28 | 17,300,000 | 17,364,875 |
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Aston FinCo SARL | ||||||||
4.83% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 10/09/26 | GBP | 12,967,500 | $ | 17,114,206 | ||||
Cologix Holdings, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/01/28 | 16,758,000 | 16,763,195 | ||||||
Polaris Newco LLC | ||||||||
3.59% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/04/26††† | 9,315,287 | 8,186,377 | ||||||
4.50% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | 7,950,000 | 7,964,946 | ||||||
Atlas CC Acquisition Corp. | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | 15,650,000 | 15,693,507 | ||||||
Sitecore Holding III A/S | ||||||||
6.50% (3 Month EURIBOR + 5.75%, Rate Floor: 5.75%) (in-kind rate was 0.75%) due 03/12/26†††,11 | EUR | 8,084,430 | 9,240,980 | |||||
7.50% (3 Month USD LIBOR + 7.00%, Rate Floor: 0.50%) due 03/12/26††† | 3,632,221 | 3,583,871 | ||||||
7.00% (3 Month USD LIBOR + 7.00%, Rate Floor: 0.00%) due 03/12/26††† | 2,893,782 | 2,855,262 | ||||||
Team.Blue Finco SARL | ||||||||
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/27/28 | EUR | 13,243,243 | 15,306,440 | |||||
Transact Holdings, Inc. | ||||||||
4.83% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26 | 14,690,373 | 14,520,552 | ||||||
Provation Software Group, Inc. | ||||||||
5.50% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 12/22/27 | 13,631,500 | 13,461,106 | ||||||
Valkyr Purchaser, LLC | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27 | 12,468,750 | 12,427,229 | ||||||
Sportradar Capital SARL | ||||||||
4.25% (6 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 11/22/27 | EUR | 10,600,000 | 12,301,379 | |||||
Ascend Learning LLC | ||||||||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24 | 9,577,625 | 9,582,414 | ||||||
Datix Bidco Ltd. | ||||||||
4.21% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/28/25††† | 9,112,505 | 9,066,319 | ||||||
7.96% (6 Month USD LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26††† | 461,709 | 458,831 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Project Boost Purchaser LLC | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26 | 6,982,500 | $ | 6,978,729 | |||||
Datix Bidco Ltd. | ||||||||
7.75% (3 Month GBP LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26 | GBP | 4,225,000 | 5,579,587 | |||||
4.50% (3 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25 | GBP | 1,000,000 | 1,320,612 | |||||
Wrench Group LLC | ||||||||
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/30/26 | 6,699,375 | 6,682,627 | ||||||
AVS Group GmbH | ||||||||
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 09/10/26 | EUR | 3,750,000 | 4,333,570 | |||||
1A Smart Start LLC | ||||||||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 08/19/27 | 4,257,108 | 4,260,641 | ||||||
Sitecore USA, Inc. | ||||||||
7.00% (3 Month USD LIBOR + 6.50%, Rate Floor: 0.50%) due 03/12/26 | 3,701,615 | 3,646,091 | ||||||
Concorde Lux | ||||||||
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/01/28 | EUR | 3,100,000 | 3,587,553 | |||||
Greenway Health LLC | ||||||||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24 | 3,473,048 | 3,319,643 | ||||||
Taxware Holdings (Sovos Compliance LLC) | ||||||||
5.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28 | 3,240,411 | 3,257,974 | ||||||
Ministry Brands LLC | ||||||||
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 12/02/22††† | 2,628,110 | 2,588,689 | ||||||
Verscend Holding Corp. | ||||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25 | 2,400,000 | 2,401,992 | ||||||
24-7 Intouch, Inc. | ||||||||
4.83% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25 | 2,241,576 | 2,219,160 | ||||||
Misys Ltd. | ||||||||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 | 1,696,577 | 1,681,902 | ||||||
Boxer Parent Co., Inc. | ||||||||
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 | 1,580,223 | 1,570,679 |
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Kar Finland Bidco Oy | ||||||||
4.50% (6 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 11/27/23††† | EUR | 1,000,000 | $ | 1,138,207 | ||||
Brave Parent Holdings, Inc. | ||||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25 | 311,046 | 310,713 | ||||||
Total Technology | 299,686,772 | |||||||
Financial - 2.5% | ||||||||
Jones Deslauriers Insurance Management, Inc. | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28††† | CAD | 28,649,000 | 22,650,672 | |||||
Orion Advisor Solutions, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27 | 21,513,019 | 21,513,019 | ||||||
Camelia Bidco Banc Civica | ||||||||
4.83% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 10/14/24 | GBP | 12,975,000 | 17,397,215 | |||||
HighTower Holding LLC | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | 13,680,000 | 13,662,900 | ||||||
Duff & Phelps | ||||||||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27 | 13,035,000 | 13,061,461 | ||||||
Franchise Group, Inc. | ||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | 12,884,031 | 12,932,346 | ||||||
PAI Holdco, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/28/27 | 12,537,000 | 12,542,265 | ||||||
Higginbotham | ||||||||
6.25% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26††† | 12,369,683 | 12,210,813 | ||||||
Teneo Holdings LLC | ||||||||
6.25% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 07/11/25 | 11,123,706 | 11,063,416 | ||||||
Alter Domus | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/17/28 | 10,473,750 | 10,429,237 | ||||||
USI, Inc. | ||||||||
3.38% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26 | 10,196,541 | 10,123,228 | ||||||
Jones Deslauriers Insurance Management, Inc. | ||||||||
8.00% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.00%) due 03/26/29 | CAD | 10,612,000 | 8,426,836 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
AlixPartners, LLP | ||||||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 02/04/28 | EUR | 5,970,000 | $ | 6,885,903 | ||||
Aretec Group, Inc. | ||||||||
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25 | 6,329,707 | 6,305,970 | ||||||
Eisner Advisory Group | ||||||||
6.00% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 07/28/28 | 5,454,545 | 5,454,546 | ||||||
Sandy Bidco BV | ||||||||
due 09/15/28 | EUR | 4,700,000 | 5,444,856 | |||||
HUB International Ltd. | ||||||||
2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 | 5,159,806 | 5,107,692 | ||||||
Cross Financial Corp. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27 | 4,735,631 | 4,745,481 | ||||||
Total Financial | 199,957,856 | |||||||
Communications - 1.1% | ||||||||
Xplornet Communications, Inc. | ||||||||
4.84% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27 | 21,695,375 | 21,668,256 | ||||||
due 09/28/28 | 20,100,000 | 19,999,500 | ||||||
Syndigo LLC | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27††† | 27,412,250 | 27,480,780 | ||||||
Zayo Group Holdings, Inc. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | 6,146,447 | 6,089,101 | ||||||
McGraw Hill LLC | ||||||||
5.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 4,250,000 | 4,259,095 | ||||||
Recorded Books, Inc. | ||||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25 | 4,143,341 | 4,144,626 | ||||||
Trader Interactive LLC | ||||||||
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/28/28††† | 2,000,000 | 1,995,000 | ||||||
Flight Bidco, Inc. | ||||||||
7.58% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26 | 1,000,000 | 965,000 | ||||||
Total Communications | 86,601,358 | |||||||
Basic Materials - 0.9% | ||||||||
Illuminate Buyer LLC | ||||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | 12,054,597 | 12,029,523 | ||||||
NIC Acquisition Corp. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | 10,596,750 | 10,583,504 |
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Meridian Adhesives Group, Inc. | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 07/24/28 | 9,800,000 | $ | 9,775,500 | |||||
GrafTech Finance, Inc. | ||||||||
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | 6,906,010 | 6,906,010 | ||||||
Pregis TopCo LLC | ||||||||
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/31/26 | 6,550,000 | 6,550,000 | ||||||
Barentz Midco BV | ||||||||
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 11/30/27 | EUR | 2,400,000 | 2,783,828 | |||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 11/30/27 | 1,985,037 | 1,985,037 | ||||||
Patriot Container Corp. (Wastequip) | ||||||||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/20/25 | 4,729,462 | 4,717,639 | ||||||
SCHUR Flexibles GmbH | ||||||||
due 09/17/28 | EUR | 3,150,000 | 3,641,622 | |||||
American Rock Salt Company LLC | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/09/28 | 2,344,125 | 2,353,501 | ||||||
Invictus MD Strategies Corp. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 1,991,458 | 1,985,245 | ||||||
Vectra Co. | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/10/25 | 1,926,085 | 1,888,045 | ||||||
DCG Acquisition Corp. | ||||||||
4.59% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26 | 937,758 | 937,758 | ||||||
Ascend Performance Materials Operations LLC | ||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26 | 394,008 | 398,377 | ||||||
Total Basic Materials | 66,535,589 | |||||||
Utilities - 0.3% | ||||||||
Hamilton Projects Acquiror LLC | ||||||||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27 | 24,454,712 | 24,531,255 | ||||||
Panda Stonewall | ||||||||
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 11/12/21 | 717,526 | 652,948 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Granite Generation LLC | ||||||||
4.75% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/09/26 | 508,891 | $ | 499,477 | |||||
Total Utilities | 25,683,680 | |||||||
Energy - 0.1% | ||||||||
Venture Global Calcasieu Pass LLC | ||||||||
2.46% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26††† | 5,168,169 | 4,883,919 | ||||||
SeaPort Financing LLC | ||||||||
5.59% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/31/25††† | 3,052,933 | 3,022,404 | ||||||
Permian Production Partners LLC | ||||||||
9.00% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/24/25†††,11 | 2,069,533 | 1,862,580 | ||||||
Buckeye Partners LP | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/02/26 | 591,034 | 587,866 | ||||||
Total Energy | 10,356,769 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $1,679,232,063) | 1,684,359,388 | |||||||
ASSET-BACKED SECURITIES†† - 14.9% | ||||||||
Collateralized Loan Obligations - 8.5% | ||||||||
Fortress Credit Opportunities IX CLO Ltd. | ||||||||
2021-9A, due 10/15/334,10 | 42,750,000 | 42,750,000 | ||||||
LoanCore Issuer Ltd. | ||||||||
2021-CRE4, 2.67% (30 Day Average U.S. Secured Overnight Financing Rate + 2.61%, Rate Floor: 2.50%) due 07/15/354,10 | 20,500,000 | 20,541,223 | ||||||
2019-CRE2, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/364,10 | 12,850,000 | 12,813,870 | ||||||
2021-CRE5, 3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/364,10 | 8,250,000 | 8,257,311 | ||||||
Diamond CLO Ltd. | ||||||||
2018-1A, 2.74% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/304,10 | 13,500,000 | 13,469,394 | ||||||
2018-1A, 1.94% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/22/304,10 | 11,000,000 | 10,999,951 | ||||||
2021-1A, 3.53% (3 Month USD LIBOR + 3.40%, Rate Floor: 3.40%) due 04/25/294,10 | 5,500,000 | 5,499,913 | ||||||
2018-1A, 3.84% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/304,10 | 5,000,000 | 4,989,939 | ||||||
2021-1A, 2.53% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/294,10 | 1,322,000 | 1,319,201 |
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
BXMT Ltd. | ||||||||
2020-FL2, 1.74% (30 Day Average U.S. Secured Overnight Financing Rate + 1.76%, Rate Floor: 1.65%) due 02/15/384,10 | 15,640,000 | $ | 15,603,168 | |||||
2020-FL2, 2.04% (30 Day Average U.S. Secured Overnight Financing Rate + 2.06%, Rate Floor: 1.95%) due 02/15/384,10 | 8,000,000 | 7,980,981 | ||||||
2020-FL3, 2.97% (30 Day Average U.S. Secured Overnight Financing Rate + 2.91%, Rate Floor: 2.80%) due 03/15/374,10 | 7,350,000 | 7,408,346 | ||||||
Voya CLO Ltd. | ||||||||
2021-2A, 3.73% (3 Month USD LIBOR + 3.60%, Rate Floor: 3.60%) due 06/07/304,10 | 16,500,000 | 16,450,868 | ||||||
2013-1A, due 10/15/304,12 | 28,970,307 | 9,452,519 | ||||||
Golub Capital Partners CLO Ltd. | ||||||||
2018-36A, 2.22% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/314,10 | 20,000,000 | 19,571,752 | ||||||
2018-39A, 2.33% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 10/20/284,10 | 5,000,000 | 5,000,558 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A, due 10/20/284,12 | 32,400,000 | 21,567,894 | ||||||
MidOcean Credit CLO VII | ||||||||
2020-7A, 2.33% (3 Month USD LIBOR + 2.20%, Rate Floor: 0.00%) due 07/15/294,10 | 21,000,000 | 20,871,898 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2018-4A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 11/15/264,10 | 9,050,000 | 9,051,887 | ||||||
2021-3A, 2.67% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/294,10 | 8,300,000 | 8,306,315 | ||||||
2018-5A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/20/274,10 | 3,000,000 | 3,000,310 | ||||||
KREF Funding V LLC | ||||||||
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,10 | 19,029,959 | 18,837,756 | ||||||
0.15% due 06/25/26†††,13 | 73,636,363 | 90,573 | ||||||
BSPRT Issuer Ltd. | ||||||||
2021-FL6, 3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/15/364,10 | 18,425,000 | 18,424,971 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Golub Capital Partners CLO 49M Ltd. | ||||||||
2021-49A, 3.95% (3 Month USD LIBOR + 3.85%, Rate Floor: 3.85%) due 08/26/334,10 | 18,100,000 | $ | 18,062,135 | |||||
Anchorage Capital CLO 6 Ltd. | ||||||||
2021-6A, 3.58% (3 Month USD LIBOR + 3.45%, Rate Floor: 3.45%) due 07/15/304,10 | 17,350,000 | 17,354,114 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A, 3.78% (3 Month USD LIBOR + 3.65%, Rate Floor: 3.65%) due 01/15/334,10 | 14,500,000 | 14,698,698 | ||||||
First Eagle Clarendon Fund CLO LLC | ||||||||
2019-1A, 2.18% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 01/25/274,10 | 8,302,812 | 8,303,525 | ||||||
2019-1A, 3.18% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/274,10 | 4,500,000 | 4,500,519 | ||||||
2015-1A, 4.48% (3 Month USD LIBOR + 4.35%, Rate Floor: 0.00%) due 01/25/274,10 | 1,300,000 | 1,299,854 | ||||||
OZLM XIII Ltd. | ||||||||
2018-13A, 2.23% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 07/30/274,10 | 12,650,000 | 12,631,673 | ||||||
Neuberger Berman Loan Advisers CLO 32 Ltd. | ||||||||
2021-32A, 2.83% (3 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 01/20/324,10 | 11,500,000 | 11,498,481 | ||||||
Atlas Senior Loan Fund IX Ltd. | ||||||||
2018-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/284,10 | 10,250,000 | 10,233,168 | ||||||
2018-9A, due 04/20/284,12 | 9,600,000 | 880,502 | ||||||
TCP Waterman CLO Ltd. | ||||||||
2016-1A, 3.12% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 12/15/284,10 | 11,000,000 | 10,990,397 | ||||||
GoldenTree Loan Management US CLO 1 Ltd. | ||||||||
2021-9A, 3.03% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 01/20/334,10 | 9,950,000 | 9,949,899 | ||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A, 3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/15/334,10 | 9,900,000 | 9,885,157 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A, 2.99% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 07/25/334,10 | 9,300,000 | 9,334,050 |
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
ABPCI DIRECT LENDING FUND CLO V Ltd. | ||||||||
2021-5A, 3.03% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/20/314,10 | 9,200,000 | $ | 9,151,675 | |||||
FS RIALTO | ||||||||
2021-FL2, 2.89% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 04/16/284,10 | 8,850,000 | 8,881,095 | ||||||
Magnetite Xxix Ltd. | ||||||||
2021-29A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/344,10 | 8,800,000 | 8,799,942 | ||||||
Marathon CLO V Ltd. | ||||||||
2017-5A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/274,10 | 7,920,233 | 7,912,693 | ||||||
2013-5A, due 11/21/274,12 | 5,500,000 | 765,600 | ||||||
CIFC Funding 2017-II Ltd. | ||||||||
2021-2A, 3.23% (3 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 04/20/304,10 | 8,100,000 | 8,099,906 | ||||||
Dryden 37 Senior Loan Fund | ||||||||
2015-37A, due 01/15/314,12 | 9,500,000 | 8,045,777 | ||||||
Flagship CLO VIII Ltd. | ||||||||
2018-8A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 0.00%) due 01/16/264,10 | 8,025,000 | 8,015,062 | ||||||
Venture XIV CLO Ltd. | ||||||||
2020-14A, 2.37% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/294,10 | 8,000,000 | 8,000,862 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
2017-2A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 01/18/294,10 | 3,500,000 | 3,474,511 | ||||||
2012-3A, due 01/14/324,12 | 6,400,000 | 2,594,765 | ||||||
2013-3X SUB, due 10/15/3012 | 4,938,326 | 1,487,290 | ||||||
Madison Park Funding XLVIII Ltd. | ||||||||
2021-48A, 3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/19/334,10 | 7,500,000 | 7,504,108 | ||||||
Newstar Commercial Loan Funding LLC | ||||||||
2017-1A, 3.62% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/274,10 | 7,500,000 | 7,502,311 | ||||||
Telos CLO Ltd. | ||||||||
2017-6A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 0.00%) due 01/17/274,10 | 7,500,000 | 7,491,879 | ||||||
ACRE Commercial Mortgage Ltd. | ||||||||
2021-FL4, 2.69% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/374,10 | 7,350,000 | 7,349,993 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
ACRES Commercial Realty Ltd. | ||||||||
2021-FL1, 2.73% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/364,10 | 7,250,000 | $ | 7,323,075 | |||||
Marathon CRE Ltd. | ||||||||
2018-FL1, 3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/15/284,10 | 6,000,000 | 5,994,661 | ||||||
2018-FL1, 2.68% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 06/15/284,10 | 650,000 | 649,564 | ||||||
Octagon Loan Funding Ltd. | ||||||||
2014-1A, due 11/18/314,12 | 19,435,737 | 6,389,984 | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A, 2.93% (3 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 07/23/334,10 | 5,900,000 | 5,924,100 | ||||||
LCCM 2021-FL2 Trust | ||||||||
2021-FL2, 2.98% (1 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 12/13/384,10 | 5,750,000 | 5,752,567 | ||||||
Hull Street CLO Ltd. | ||||||||
2014-1A, 3.73% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/18/264,10 | 5,785,000 | 5,662,253 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A, 3.18% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/20/334,10 | 5,550,000 | 5,550,122 | ||||||
CHCP Ltd. | ||||||||
2021-FL1, 3.17% (30 Day Average U.S. Secured Overnight Financing Rate + 3.11%, Rate Floor: 3.00%) due 02/15/384,10 | 5,500,000 | 5,525,875 | ||||||
Silvermore CLO Ltd. | ||||||||
2014-1A, 3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 05/15/264,10 | 5,500,000 | 5,499,192 | ||||||
Dryden 41 Senior Loan Fund | ||||||||
2015-41A, due 04/15/314,12 | 11,700,000 | 5,388,295 | ||||||
Cerberus Loan Funding XXXV, LP | ||||||||
2021-5A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 09/22/334,10 | 5,150,000 | 5,150,000 | ||||||
Dryden 50 Senior Loan Fund | ||||||||
2017-50A, due 07/15/304,12 | 7,895,000 | 5,050,384 | ||||||
WhiteHorse X Ltd. | ||||||||
2015-10A, 5.43% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/274,10 | 4,980,000 | 4,459,441 |
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
BNPP IP CLO Ltd. | ||||||||
2014-2A, 5.38% (3 Month USD LIBOR + 5.25%, Rate Floor: 0.00%) due 10/30/254,10 | 5,847,392 | $ | 4,385,544 | |||||
Venture XIII CLO Ltd. | ||||||||
2013-13A, due 09/10/294,12 | 13,790,000 | 4,172,564 | ||||||
Neuberger Berman Loan Advisers CLO 40 Ltd. | ||||||||
2021-40A, 2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/16/334,10 | 4,050,000 | 4,049,965 | ||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A, 3.03% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/15/314,10 | 4,000,000 | 4,015,957 | ||||||
Adams Mill CLO Ltd. | ||||||||
2014-1A, 5.13% (3 Month USD LIBOR + 5.00%, Rate Floor: 0.00%) due 07/15/264,10 | 4,000,000 | 3,904,820 | ||||||
STWD Ltd. | ||||||||
2021-FL2, 2.88% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 04/18/384,10 | 3,750,000 | 3,762,374 | ||||||
Monroe Capital CLO Ltd. | ||||||||
2017-1A, 3.74% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/264,10 | 3,000,000 | 2,995,053 | ||||||
HGI CRE CLO Ltd. | ||||||||
2021-FL2, 2.25% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 10/19/264,10 | 1,600,000 | 1,600,000 | ||||||
2021-FL2, 2.55% (1 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 10/19/264,10 | 1,200,000 | 1,200,000 | ||||||
KVK CLO Ltd. | ||||||||
2013-1A, due 01/14/284,12 | 11,900,000 | 2,750,983 | ||||||
AMMC CLO XI Ltd. | ||||||||
2012-11A, due 04/30/314,12 | 5,650,000 | 2,653,466 | ||||||
Denali Capital CLO XI Ltd. | ||||||||
2018-1A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/284,10 | 2,500,000 | 2,483,618 | ||||||
Goldentree Loan Management US CLO 4 Ltd. | ||||||||
2021-4A, 3.28% (3 Month USD LIBOR + 3.15%, Rate Floor: 3.15%) due 04/24/314,10 | 2,000,000 | 2,000,333 | ||||||
PFP Ltd. | ||||||||
2021-7, 3.10% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/14/384,10 | 1,789,911 | 1,792,174 | ||||||
Babson CLO Ltd. | ||||||||
2014-IA, due 07/20/254,12 | 11,900,000 | 1,401,820 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
KKR CLO 19 Ltd. | ||||||||
2017-19, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 10/15/304,10 | 1,350,000 | $ | 1,345,118 | |||||
Avery Point II CLO Ltd. | ||||||||
2013-3X COM, due 01/18/2512 | 6,270,000 | 1,014,486 | ||||||
West CLO Ltd. | ||||||||
2013-1A, due 11/07/254,12 | 5,300,000 | 905,770 | ||||||
Dryden Senior Loan Fund | ||||||||
due 01/15/3112 | 1,897,598 | 900,638 | ||||||
Great Lakes CLO Ltd. | ||||||||
2014-1A, due 10/15/294,12 | 1,500,000 | 578,161 | ||||||
Copper River CLO Ltd. | ||||||||
2007-1A, due 01/20/218,12 | 8,150,000 | 278,974 | ||||||
TICP CLO III-2 Ltd. | ||||||||
2018-3R, 0.97% (3 Month USD LIBOR + 0.84%, Rate Floor: 0.84%) due 04/20/284,10 | 160,527 | 160,527 | ||||||
OHA Credit Partners IX Ltd. | ||||||||
2013-9A, due 10/20/254,12 | 4,219,178 | 4,725 | ||||||
Total Collateralized Loan Obligations | 669,636,822 | |||||||
Transport-Aircraft - 3.0% | ||||||||
KDAC Aviation Finance Ltd. | ||||||||
2017-1A, 4.21% due 12/15/424 | 49,478,119 | 49,292,516 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
2018-1, 4.13% due 06/15/434 | 21,040,123 | 20,982,400 | ||||||
2016-1, 4.45% due 08/15/41 | 7,852,670 | 7,852,226 | ||||||
2019-1A, 3.97% due 04/15/394 | 7,055,774 | 7,055,688 | ||||||
AASET Trust | ||||||||
2017-1A, 3.97% due 05/16/424 | 26,078,492 | 23,912,524 | ||||||
2020-1A, 4.34% due 01/16/404 | 6,611,667 | 4,787,919 | ||||||
Falcon Aerospace Ltd. | ||||||||
2017-1, 4.58% due 02/15/424 | 15,337,235 | 15,280,978 | ||||||
2019-1, 3.60% due 09/15/394 | 6,574,327 | 6,517,266 | ||||||
2017-1, 6.30% due 02/15/424 | 3,838,675 | 3,702,090 | ||||||
Raspro Trust | ||||||||
2005-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/244,10 | 20,391,173 | 20,391,157 | ||||||
Sapphire Aviation Finance I Ltd. | ||||||||
2018-1A, 4.25% due 03/15/404 | 20,556,468 | 20,297,053 | ||||||
AASET US Ltd. | ||||||||
2018-2A, 4.45% due 11/18/384 | 17,573,602 | 17,069,279 | ||||||
JOL Air Ltd. | ||||||||
2019-1, 3.97% due 04/15/444 | 9,003,654 | 8,923,985 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
2020-1A, 4.34% due 03/15/404 | 9,117,555 | 7,998,649 | ||||||
2020-1A, 3.23% due 03/15/404 | 635,004 | 629,627 | ||||||
MAPS Ltd. | ||||||||
2018-1A, 4.21% due 05/15/434 | 5,438,981 | 5,484,263 | ||||||
GAIA Aviation Ltd. | ||||||||
2019-1, 3.97% due 12/15/444,14 | 4,128,937 | 4,116,035 | ||||||
WAVE LLC | ||||||||
2019-1, 3.60% due 09/15/444 | 4,032,795 | 4,016,310 | ||||||
Slam Ltd. | ||||||||
2021-1A, 3.42% due 06/15/464 | 3,543,840 | 3,557,242 |
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
Castlelake Aircraft Structured Trust | ||||||||
2021-1A, 6.66% due 01/15/464 | 3,042,893 | $ | 3,287,895 | |||||
Stripes Aircraft Ltd. | ||||||||
2013-1 A1, 3.59% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23†††,10 | 2,305,264 | 2,222,389 | ||||||
Airplanes Pass Through Trust | ||||||||
2001-1A, due 03/15/19†††,7,8 | 2,097,481 | 210 | ||||||
Total Transport-Aircraft | 237,377,701 | |||||||
Financial - 1.5% | ||||||||
HarbourVest Structured Solutions IV Holdings, LP | ||||||||
due 09/15/2610 | 24,100,000 | 24,100,000 | ||||||
due 09/15/2610 | EUR | 12,900,000 | 14,944,393 | |||||
HV Eight LLC | ||||||||
2.90% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25†††,10 | EUR | 28,000,000 | 32,392,354 | |||||
Nassau LLC | ||||||||
2019-1, 3.98% due 08/15/344 | 16,889,389 | 17,068,835 | ||||||
Lam Trade Finance Group LLC | ||||||||
2.50% due 09/29/22 | 12,000,000 | 12,000,000 | ||||||
Aesf Vi Verdi, LP | ||||||||
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24†††,10 | EUR | 9,086,937 | 10,521,562 | |||||
Ceamer Finance LLC | ||||||||
3.69% due 03/22/31††† | 6,000,000 | 5,890,080 | ||||||
KKR Core Holding Company LLC | ||||||||
4.00% due 07/15/31††† | 4,880,000 | 4,814,120 | ||||||
Total Financial | 121,731,344 | |||||||
Whole Business - 0.6% | ||||||||
TSGE | ||||||||
2017-1, 6.25% due 09/25/31††† | 42,550,000 | 43,735,007 | ||||||
Taco Bell Funding LLC | ||||||||
2016-1A, 4.97% due 05/25/464 | 2,704,938 | 2,896,812 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
2019-1A, 4.19% due 06/07/494 | 2,079,000 | 2,115,237 | ||||||
Wendy’s Funding LLC | ||||||||
2018-1A, 3.88% due 03/15/484 | 385,000 | 406,840 | ||||||
Total Whole Business | 49,153,896 | |||||||
Infrastructure - 0.5% | ||||||||
VB-S1 Issuer LLC | ||||||||
2020-1A, 6.66% due 06/15/504 | 23,700,000 | 25,678,175 | ||||||
2020-1A, 4.09% due 06/15/504 | 5,183,000 | 5,447,321 | ||||||
Secured Tenant Site Contract Revenue Notes Series | ||||||||
2018-1A, 4.70% due 06/15/488 | 6,722,247 | 6,893,760 | ||||||
Total Infrastructure | 38,019,256 | |||||||
Collateralized Debt Obligations - 0.3% | ||||||||
Anchorage Credit Funding 3 Ltd. | ||||||||
2021-3A, 3.47% due 01/28/394 | 14,250,000 | 14,250,764 | ||||||
Anchorage Credit Funding 4 Ltd. | ||||||||
2021-4A, 3.12% due 04/27/394 | 9,200,000 | 9,195,827 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
2021-4A, 3.52% due 04/27/394 | 4,250,000 | $ | 4,250,824 | |||||
Total Collateralized Debt Obligations | 27,697,415 | |||||||
Net Lease - 0.3% | ||||||||
CARS-DB4, LP | ||||||||
2020-1A, 4.95% due 02/15/504 | 21,105,000 | 21,953,210 | ||||||
Diversified Payment Rights - 0.2% | ||||||||
Bib Merchant Voucher Receivables Ltd. | ||||||||
4.18% due 04/07/28††† | 15,300,000 | 16,251,813 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $1,162,147,661) | 1,181,821,457 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 10.2% | ||||||||
Residential Mortgage Backed Securities - 6.0% | ||||||||
JP Morgan Mortgage Acquisition Trust | ||||||||
2006-WMC4, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/3610 | 23,727,382 | 15,294,713 | ||||||
2006-WMC3, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 08/25/3610 | 10,003,123 | 8,004,286 | ||||||
2006-HE3, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 11/25/3610 | 6,229,953 | 5,773,276 | ||||||
2006-WMC4, 0.21% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/3610 | 8,167,174 | 5,237,032 | ||||||
2006-WMC4, 0.17% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 12/25/3610 | 3,453,367 | 2,198,873 | ||||||
Ameriquest Mortgage Securities Trust | ||||||||
2006-M3, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 10/25/3610 | 34,436,904 | 14,952,449 | ||||||
2006-M3, 0.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/3610 | 22,486,904 | 14,941,626 | ||||||
2006-M3, 0.19% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/3610 | 14,316,056 | 6,092,514 | ||||||
FKRT | ||||||||
2.21% due 11/30/58 | 33,850,000 | 33,859,140 | ||||||
Lehman XS Trust Series | ||||||||
2006-16N, 0.51% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 11/25/4610 | 15,914,322 | 16,220,153 | ||||||
2006-18N, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 12/25/3610 | 12,027,835 | 12,534,937 | ||||||
2006-10N, 0.51% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/4610 | 3,219,050 | 3,326,705 | ||||||
WaMu Asset-Backed Certificates WaMu Series | ||||||||
2007-HE2, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/3710 | 25,879,890 | 12,865,833 |
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
2007-HE2, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/3710 | 19,720,247 | $ | 9,560,319 | |||||
2007-HE4, 0.26% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/4710 | 7,559,324 | 6,363,644 | ||||||
2007-HE4, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/4710 | 2,357,989 | 1,768,009 | ||||||
RALI Series Trust | ||||||||
2006-QO6, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/4610 | 32,092,959 | 9,969,354 | ||||||
2007-QO2, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/4710 | 14,529,391 | 7,237,941 | ||||||
2006-QO8, 0.49% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 10/25/4610 | 4,985,855 | 4,943,245 | ||||||
2006-QO6, 0.55% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 06/25/4610 | 8,350,150 | 2,644,276 | ||||||
2006-QO2, 0.63% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/4610 | 6,264,123 | 1,853,883 | ||||||
2006-QO6, 0.61% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 06/25/4610 | 5,268,234 | 1,711,440 | ||||||
2006-QO2, 0.77% (1 Month USD LIBOR + 0.68%, Rate Floor: 0.68%) due 02/25/4610 | 3,351,837 | 1,035,435 | ||||||
2006-QO2, 0.53% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/4610 | 224,675 | 65,076 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
2006-6, 0.59% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/3610 | 14,984,089 | 8,011,697 | ||||||
2006-8, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/3610 | 17,809,050 | 6,954,210 | ||||||
2006-4, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 05/25/3610 | 10,577,466 | 4,386,845 | ||||||
2006-1, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 02/25/3610 | 4,146,455 | 3,798,614 | ||||||
2006-6, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/3610 | 4,665,864 | 2,441,906 | ||||||
2006-8, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/3610 | 4,825,918 | 1,851,854 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
2006-6, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 07/25/3610 | 2,700,970 | $ | 1,398,113 | |||||
Structured Asset Securities Corporation Mortgage Loan Trust | ||||||||
2008-BC4, 0.72% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/3710 | 24,556,346 | 24,513,947 | ||||||
FKRT | ||||||||
2020-C2A, 3.25% due 12/30/23†††,8 | 22,382,728 | 22,382,728 | ||||||
American Home Mortgage Assets Trust | ||||||||
2006-6, 0.30% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/4610 | 9,576,057 | 8,334,778 | ||||||
2006-1, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 05/25/4610 | 8,713,818 | 8,278,474 | ||||||
2006-3, 1.03% (1 Year CMT Rate + 0.94%, Rate Floor: 0.94%) due 10/25/4610 | 5,839,350 | 4,768,592 | ||||||
Morgan Stanley IXIS Real Estate Capital Trust | ||||||||
2006-2, 0.31% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/3610 | 23,611,059 | 10,714,590 | ||||||
2006-2, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/3610 | 18,012,283 | 8,087,421 | ||||||
Morgan Stanley ABS Capital I Incorporated Trust | ||||||||
2006-HE8, 0.31% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/3610 | 21,410,110 | 12,750,800 | ||||||
2006-HE6, 0.19% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 09/25/3610 | 4,631,591 | 2,164,165 | ||||||
2007-HE4, 0.32% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/3710 | 4,062,510 | 1,778,922 | ||||||
IXIS Real Estate Capital Trust | ||||||||
2007-HE1, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/3710 | 25,225,673 | 8,573,762 | ||||||
2007-HE1, 0.32% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/3710 | 17,872,034 | 6,154,035 | ||||||
GSAMP Trust | ||||||||
2007-NC1, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/4610 | 20,800,909 | 14,478,317 |
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
GSAA Home Equity Trust | ||||||||
2006-3, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/3610 | 12,302,329 | $ | 8,190,075 | |||||
2006-9, 0.57% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/3610 | 8,255,805 | 3,315,101 | ||||||
2007-7, 0.63% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/3710 | 737,669 | 733,843 | ||||||
Master Asset Backed Securities Trust | ||||||||
2006-WMC3, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/3610 | 10,906,207 | 4,949,882 | ||||||
2006-HE3, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 08/25/3610 | 10,036,263 | 3,923,800 | ||||||
2006-HE3, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/3610 | 8,438,101 | 3,345,259 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
2007-AMC3, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/3710 | 12,457,466 | 11,560,060 | ||||||
Nationstar Home Equity Loan Trust | ||||||||
2007-C, 0.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/3710 | 9,319,188 | 9,157,422 | ||||||
Home Equity Loan Trust | ||||||||
2007-FRE1, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/3710 | 9,221,729 | 8,812,030 | ||||||
First NLC Trust | ||||||||
2007-1, 0.37% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/374,10 | 7,463,884 | 4,990,848 | ||||||
2007-1, 0.16% (1 Month USD LIBOR + 0.07%, Rate Floor: 0.07%) due 08/25/374,10 | 5,660,102 | 3,670,286 | ||||||
Argent Securities Trust | ||||||||
2006-W5, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/3610 | 10,455,168 | 8,328,509 | ||||||
Alternative Loan Trust | ||||||||
2007-OA7, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 05/25/4710 | 8,400,005 | 8,062,328 | ||||||
WaMu Asset-Backed Certificates WaMu Series Trust | ||||||||
2007-HE1, 0.32% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/3710 | 8,287,570 | 5,197,127 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
2007-HE4, 0.26% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/4710 | 3,302,505 | $ | 2,450,275 | |||||
ACE Securities Corporation Home Equity Loan Trust Series | ||||||||
2007-ASP1, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 03/25/3710 | 11,898,685 | 7,465,253 | ||||||
HSI Asset Securitization Corporation Trust | ||||||||
2007-HE1, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/25/3710 | 6,744,707 | 5,830,741 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | ||||||||
2006-AR9, 0.93% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/4610 | 4,664,123 | 4,060,224 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
2006-9AR, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/3610 | 9,198,661 | 3,491,363 | ||||||
Nomura Resecuritization Trust | ||||||||
2015-4R, 1.38% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/364,10 | 2,689,317 | 2,714,112 | ||||||
Alliance Bancorp Trust | ||||||||
2007-OA1, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 07/25/3710 | 2,391,523 | 2,290,622 | ||||||
Wachovia Asset Securitization Issuance II LLC Trust | ||||||||
2007-HE1, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/374,10 | 906,670 | 870,092 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
2010-R5, 1.76% due 06/26/364 | 704,627 | 655,893 | ||||||
Asset Backed Securities Corporation Home Equity Loan Trust | ||||||||
2006-HE5, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/3610 | 431,336 | 426,829 | ||||||
Total Residential Mortgage Backed Securities | 474,769,903 | |||||||
Government Agency - 3.1% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/10/2119 | 236,000,000 | 242,729,776 | ||||||
Commercial Mortgage Backed Securities - 0.7% | ||||||||
GS Mortgage Securities Corporation Trust | ||||||||
2017-STAY, 2.73% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.15%) due 07/15/324,10 | 16,531,000 | 16,503,853 | ||||||
2020-UPTN, 3.35% (WAC) due 02/10/374,10 | 8,256,000 | 8,359,040 |
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
2020-DUNE, 2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/364,10 | 7,340,000 | $ | 7,148,024 | |||||
2020-DUNE, 1.98% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/364,10 | 2,750,000 | 2,741,005 | ||||||
BX Commercial Mortgage Trust | ||||||||
2021-VOLT, 2.10% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/364,10 | 19,750,000 | 19,774,735 | ||||||
2019-XL, 2.38% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 10/15/364,10 | 2,067,786 | 2,073,587 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2015-NXS1, 2.63% due 05/15/48 | 1,019,831 | 1,019,587 | ||||||
Total Commercial Mortgage Backed Securities | 57,619,831 | |||||||
Military Housing - 0.4% | ||||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | ||||||||
2015-R1, 0.65% (WAC) due 11/25/524,10,13 | 160,732,968 | 9,090,076 | ||||||
2015-R1, 0.52% (WAC) due 11/25/554,10,13 | 65,755,411 | 4,368,842 | ||||||
GMAC Commercial Mortgage Asset Corp. | ||||||||
2004-POKA, 6.36% due 09/10/44†††,4 | 9,000,000 | 11,238,660 | ||||||
Capmark Military Housing Trust | ||||||||
2007-AET2, 6.06% due 10/10/524 | 5,597,654 | 6,297,496 | ||||||
Total Military Housing | 30,995,074 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $850,406,260) | 806,114,584 | |||||||
FOREIGN GOVERNMENT DEBT†† - 4.6% | ||||||||
Government of Japan | ||||||||
(0.11)% due 10/25/2115 | JPY | 10,070,200,000 | 90,491,140 | |||||
(0.11)% due 11/01/2115 | JPY | 4,750,400,000 | 42,688,281 | |||||
(0.12)% due 10/18/2115 | JPY | 2,780,600,000 | 24,985,972 | |||||
(0.09)% due 10/04/2115 | JPY | 1,960,500,000 | 17,615,964 | |||||
Province of Ontario | ||||||||
0.17% due 10/20/2115 | CAD | 67,088,000 | 52,967,947 | |||||
0.16% due 10/06/2115 | CAD | 27,718,000 | 21,886,583 | |||||
0.17% due 10/27/2115 | CAD | 15,857,000 | 12,519,567 | |||||
Province of Quebec | ||||||||
0.18% due 11/19/2115 | CAD | 70,000,000 | 55,252,684 | |||||
0.17% due 10/22/2115 | CAD | 12,950,000 | 10,224,098 | |||||
0.14% due 10/01/2115 | CAD | 1,095,000 | 864,647 | |||||
Province of Nova Scotia | ||||||||
0.17% due 10/07/2115 | CAD | 27,040,000 | 21,351,010 | |||||
Province of Newfoundland | ||||||||
0.19% due 11/04/2115 | CAD | 8,200,000 | 6,473,882 | |||||
0.17% due 10/12/2115 | CAD | 1,700,000 | 1,342,294 | |||||
Government of United Kingdom | ||||||||
0.01% due 10/11/2115 | GBP | 1,000,000 | 1,347,550 | |||||
Total Foreign Government Debt | ||||||||
(Cost $362,158,940) | 360,011,619 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Face | Value | ||||||
U.S. GOVERNMENT SECURITIES†† - 0.6% | ||||||||
U.S. Treasury Notes | ||||||||
0.38% due 07/15/2417 | 24,800,000 | $ | 24,728,312 | |||||
0.13% due 08/31/23 | 19,870,000 | 19,815,668 | ||||||
Total U.S. Government Securities | ||||||||
(Cost $44,634,646) | 44,543,980 | |||||||
SENIOR FIXED RATE INTERESTS††† - 0.0% | ||||||||
Consumer, Cyclical - 0.0% | ||||||||
WESCO | ||||||||
5.25% due 06/14/24 | CAD | 3,864,740 | 3,044,928 | |||||
Total Senior Fixed Rate Interests | ||||||||
(Cost $2,934,187) | 3,044,928 | |||||||
COMMERCIAL PAPER†† - 3.6% | ||||||||
Swedbank AB | ||||||||
0.05% due 10/07/2115 | 70,000,000 | 69,999,416 | ||||||
McCormick & Co., Inc. | ||||||||
0.14% due 10/04/214,15 | 50,000,000 | 49,999,417 | ||||||
Prudential plc | ||||||||
0.06% due 10/01/214,15 | 40,000,000 | 40,000,000 | ||||||
Amcor Flexibles North America, Inc. | ||||||||
0.12% due 10/12/214,15 | 31,590,000 | 31,588,842 | ||||||
Fidelity National Information Services, Inc. | ||||||||
0.20% due 10/21/214,15 | 25,000,000 | 24,997,222 | ||||||
Reed Elsevier, Inc. | ||||||||
0.10% due 10/04/214,15 | 24,240,000 | 24,239,798 | ||||||
Consolidated Edison Company of New York, Inc. | ||||||||
0.09% due 10/01/214,15 | 20,000,000 | 20,000,000 | ||||||
Societe Generale S.A. | ||||||||
0.04% due 10/01/2115 | 20,000,000 | 20,000,000 | ||||||
BASF SE | ||||||||
0.09% due 10/05/214,15 | 1,750,000 | 1,749,981 | ||||||
Total Commercial Paper | ||||||||
(Cost $282,574,676) | 282,574,676 |
| Contracts/ | Value | ||||||
OTC OPTIONS PURCHASED†† - 0.4% | ||||||||
Call Options on: | ||||||||
Interest Rate Options | ||||||||
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | USD | 1,424,100,000 | $ | 8,074,647 | ||||
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | USD | 709,900,000 | 4,025,133 | |||||
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | USD | 661,700,000 | 2,620,332 | |||||
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | USD | 126,600,000 | 717,822 | |||||
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | USD | 82,200,000 | 325,512 | |||||
Total Interest Rate Options | 15,763,446 | |||||||
Foreign Exchange Options | ||||||||
J.P. Morgan Securities plc Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.62 | USD | 8,809,000 | 129,434 |
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
Citibank, N.A. Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.71 | USD | 10,308,000 | $ | 77,493 | ||||
Barclays Bank plc Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.78 | USD | 10,121,000 | 58,906 | |||||
UBS AG Foreign Exchange USD/CHF Expiring October 2021 with strike price of USD 0.94 | USD | 10,403,000 | 53,920 | |||||
Citibank, N.A. Foreign Exchange EUR/GBP Expiring October 2021 with strike price of EUR 0.86 (Notional Value $9,992,467) | EUR | 8,622,000 | 44,393 | |||||
Barclays Bank plc Foreign Exchange EUR/GBP Expiring October 2021 with strike price of EUR 0.85 (Notional Value $3,257,808) | EUR | 2,811,000 | 31,685 | |||||
Barclays Bank plc Foreign Exchange NOK/SEK Expiring October 2021 with strike price of NOK 1.00 (Notional Value $3,542,687) | NOK | 30,925,000 | 28,908 | |||||
Deutsche Bank AG Foreign Exchange NOK/SEK Expiring October 2021 with strike price of NOK 1.01 (Notional Value $10,010,826) | NOK | 87,387,000 | 25,289 | |||||
Bank of America, N.A. Foreign Exchange EUR/NOK Expiring October 2021 with strike price of EUR 10.32 (Notional Value $9,937,996) | EUR | 8,575,000 | 19,779 | |||||
Barclays Bank plc Foreign Exchange EUR/NOK Expiring October 2021 with strike price of EUR 10.19 (Notional Value $3,530,162) | EUR | 3,046,000 | 18,693 | |||||
Bank of America, N.A. Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.18 (Notional Value $4,344,903) | EUR | 3,749,000 | 14,547 | |||||
Goldman Sachs International Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.27 (Notional Value $10,318,132) | EUR | 8,903,000 | 13,227 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
J.P. Morgan Securities plc Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.17 (Notional Value $3,530,162) | EUR | 3,046,000 | $ | 11,053 | ||||
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.26 (Notional Value $9,937,996) | EUR | 8,575,000 | 9,031 | |||||
Morgan Stanley Capital Services LLC Foreign Exchange GBP/CAD Expiring October 2021 with strike price of GBP 1.73 (Notional Value $3,474,698) | GBP | 2,577,000 | 8,462 | |||||
Bank of America, N.A. Foreign Exchange EUR/USD Expiring October 2021 with strike price of EUR 1.17 (Notional Value $3,530,162) | EUR | 3,046,000 | 3,323 | |||||
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.18 (Notional Value $3,366,750) | EUR | 2,905,000 | 2,476 | |||||
Total Foreign Exchange Options | 550,619 | |||||||
Put Options on: | ||||||||
Equity Options | ||||||||
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $4,340.00 (Notional Value $501,397,656) | 1,164 | 15,615,060 | ||||||
Total Equity Options | 15,615,060 | |||||||
Foreign Exchange Options | ||||||||
Morgan Stanley Capital Services LLC Foreign Exchange GBP/CAD Expiring October 2021 with strike price of GBP 1.73 (Notional Value $3,474,698) | GBP | 2,577,000 | 54,255 | |||||
Bank of America, N.A. Foreign Exchange EUR/USD Expiring October 2021 with strike price of EUR 1.17 (Notional Value $3,530,162) | EUR | 3,046,000 | 47,150 | |||||
Barclays Bank plc Foreign Exchange EUR/NOK Expiring October 2021 with strike price of EUR 10.19 (Notional Value $3,530,162) | EUR | 3,046,000 | 42,357 | |||||
Bank of America, N.A. Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.18 (Notional Value $4,344,903) | EUR | 3,749,000 | 30,720 |
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
Bank of America, N.A. Foreign Exchange EUR/NOK Expiring October 2021 with strike price of EUR 10.01 (Notional Value $9,937,996) | EUR | 8,575,000 | $ | 28,879 | ||||
Goldman Sachs International Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.09 (Notional Value $10,318,132) | EUR | 8,903,000 | 28,629 | |||||
J.P. Morgan Securities plc Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.17 (Notional Value $3,530,162) | EUR | 3,046,000 | 21,441 | |||||
Barclays Bank plc Foreign Exchange NOK/SEK Expiring October 2021 with strike price of NOK 1.00 (Notional Value $3,542,687) | NOK | 30,925,000 | 20,337 | |||||
Deutsche Bank AG Foreign Exchange NOK/SEK Expiring October 2021 with strike price of NOK 0.99 (Notional Value $10,010,825) | NOK | 87,387,000 | 16,281 | |||||
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.08 (Notional Value $9,937,996) | EUR | 8,575,000 | 16,037 | |||||
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.18 (Notional Value $3,366,750) | EUR | 2,905,000 | 15,263 | |||||
UBS AG Foreign Exchange USD/CHF Expiring October 2021 with strike price of USD 0.91 | USD | 10,403,000 | 12,441 | |||||
Barclays Bank plc Foreign Exchange EUR/GBP Expiring October 2021 with strike price of EUR 0.85 (Notional Value $3,257,808) | EUR | 2,811,000 | 7,635 | |||||
Barclays Bank plc Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.51 | USD | 10,121,000 | 5,805 | |||||
Citibank, N.A. Foreign Exchange EUR/GBP Expiring October 2021 with strike price of EUR 0.85 (Notional Value $9,992,467) | EUR | 8,622,000 | 4,829 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
J.P. Morgan Securities plc Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.62 | USD | 8,809,000 | $ | 1,688 | ||||
Citibank, N.A. Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.45 | USD | 10,308,000 | 348 | |||||
Total Foreign Exchange Options | 354,095 | |||||||
Total OTC Options Purchased | ||||||||
(Cost $21,717,797) | 32,283,220 | |||||||
OTC INTEREST RATE SWAPTIONS PURCHASED††,18 - 0.3% | ||||||||
Call Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
Goldman Sachs International 5-Year Interest Rate Swap Expiring August 2031 with exercise rate of 2.03% | USD | 64,178,000 | 2,281,570 | |||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2031 with exercise rate of 1.85% | USD | 17,801,000 | 1,863,126 | |||||
Citibank, N.A. 20-Year Interest Rate Swap Expiring August 2028 with exercise rate of 1.84% | USD | 20,237,000 | 1,794,885 | |||||
J.P. Morgan Securities plc 30-Year Interest Rate Swap Expiring August 2031 with exercise rate of 1.70% | USD | 12,648,000 | 1,758,317 | |||||
Goldman Sachs International 20-Year Interest Rate Swap Expiring August 2026 with exercise rate of 0.65% (Notional Value $20,717,398) | GBP | 15,365,000 | 1,307,113 | |||||
Total Interest Rate Swaptions | 9,005,011 | |||||||
Put Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
Goldman Sachs International 20-Year Interest Rate Swap Expiring August 2026 with exercise rate of 0.65% (Notional Value $20,717,398) | GBP | 15,365,000 | 2,895,936 | |||||
Goldman Sachs International 5-Year Interest Rate Swap Expiring August 2031 with exercise rate of 2.03% | USD | 64,178,000 | 2,696,968 | |||||
Citibank, N.A. 20-Year Interest Rate Swap Expiring August 2028 with exercise rate of 1.84% | USD | 20,237,000 | 2,567,280 |
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2031 with exercise rate of 1.85% | USD | 17,801,000 | $ | 2,398,432 | ||||
J.P. Morgan Securities plc 30-Year Interest Rate Swap Expiring August 2031 with exercise rate of 1.70% | USD | 12,648,000 | 2,312,550 | |||||
Total Interest Rate Swaptions | 12,871,166 | |||||||
Total OTC Interest Rate Swaptions Purchased | ||||||||
(Cost $22,376,084) | 21,876,177 | |||||||
Total Investments — 105.0% | ||||||||
(Cost $8,196,743,752) | $ | 8,303,577,852 |
Face | ||||||||
Collateralized Mortgage Obligations Sold Short†† - (3.2)% | ||||||||
Government Agency - (3.2)% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/10/2119 | $ | 236,000,000 | (249,869,720 | ) | ||||
Total Collateralized Mortgage Obligations Sold Short | ||||||||
(Proceeds $250,128,511) | (249,869,720 | ) | ||||||
Contracts | ||||||||
LISTED OPTIONS WRITTEN† - (0.0)% | ||||||||
Call Options on: | ||||||||
Equity Options | ||||||||
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $148,560) | 40 | (20,600 | ) | |||||
| Contracts/ | Value | ||||||
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $152,274) | 41 | (25,215 | ) | |||||
Matterport, Inc. Expiring March 2022 with strike price of $17.50 (Notional Value $705,343) | 373 | (165,985 | ) | |||||
Matterport, Inc. Expiring March 2022 with strike price of $15.00 (Notional Value $2,278,655) | 1,205 | (692,875 | ) | |||||
Total Equity Options | (904,675 | ) | ||||||
Total Listed Options Written | ||||||||
(Premiums received $658,479) | (904,675 | ) | ||||||
OTC INTEREST RATE SWAPTIONS WRITTEN††,18 - (0.0)% | ||||||||
Call Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2024 with exercise rate of 0.70% (Notional Value $4,080,107) | GBP | 3,026,000 | (198,429 | ) | ||||
Barclays Bank plc 5-Year Interest Rate Swap Expiring August 2023 with exercise rate of 1.43% | USD | 18,926,000 | (245,537 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2023 with exercise rate of 1.78% | USD | 5,340,000 | $ | (260,128 | ) | |||
Citibank, N.A. 20-Year Interest Rate Swap Expiring August 2024 with exercise rate of 1.89% | USD | 4,403,000 | (289,081 | ) | ||||
Morgan Stanley Capital Services LLC 30-Year Interest Rate Swap Expiring August 2024 with exercise rate of 1.87% | USD | 3,185,000 | (293,808 | ) | ||||
Total Interest Rate Swaptions | (1,286,983 | ) | ||||||
Put Swaptions on: | ||||||||
Interest Rate Swaptions | ||||||||
Morgan Stanley Capital Services LLC 30-Year Interest Rate Swap Expiring August 2024 with exercise rate of 1.87% | USD | 3,185,000 | (372,926 | ) | ||||
Citibank, N.A. 20-Year Interest Rate Swap Expiring August 2024 with exercise rate of 1.89% | USD | 4,403,000 | (396,937 | ) | ||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2023 with exercise rate of 1.78% | USD | 5,340,000 | (446,832 | ) | ||||
| Contracts/ | Value | ||||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2024 with exercise rate of 0.70% (Notional Value $4,080,107) | GBP | 3,026,000 | (477,377 | ) | ||||
Barclays Bank plc 5-Year Interest Rate Swap Expiring August 2023 with exercise rate of 1.43% | USD | 18,926,000 | (485,709 | ) | ||||
Total Interest Rate Swaptions | (2,179,781 | ) | ||||||
Total OTC Interest Rate Swaptions Written | ||||||||
(Premiums received $3,533,712) | (3,466,764 | ) | ||||||
OTC OPTIONS WRITTEN†† - (0.1)% | ||||||||
Call Options on: | ||||||||
Equity Options | ||||||||
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $35.00 (Notional Value $29,550) | 15 | — | ||||||
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $30.00 (Notional Value $358,540) | 182 | — |
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $40.00 (Notional Value $539,780) | 274 | $ | — | |||||
Total Equity Options | — | |||||||
Foreign Exchange Options | ||||||||
BNP Paribas Foreign Exchange EUR/CHF Expiring October 2021 with strike price of EUR 1.10 (Notional Value $2,389,755) | EUR | 2,062,000 | (24 | ) | ||||
Deutsche Bank AG Foreign Exchange EUR/JPY Expiring October 2021 with strike price of EUR 132.17 (Notional Value $2,443,067) | EUR | 2,108,000 | (146 | ) | ||||
Citibank, N.A. Foreign Exchange NZD/USD Expiring October 2021 with strike price of NZD 0.72 (Notional Value $2,327,554) | NZD | 3,374,000 | (602 | ) | ||||
J.P. Morgan Securities plc Foreign Exchange EUR/CAD Expiring October 2021 with strike price of EUR 1.49 (Notional Value $16,996,002) | EUR | 14,665,000 | (2,021 | ) | ||||
Deutsche Bank AG Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.28 | USD | 2,577,000 | (2,468 | ) | ||||
Morgan Stanley Capital Services LLC Foreign Exchange AUD/USD Expiring October 2021 with strike price of AUD 0.74 (Notional Value $2,437,209) | AUD | 3,374,000 | (2,711 | ) | ||||
Goldman Sachs International Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.29 | USD | 2,577,000 | (3,562 | ) | ||||
UBS AG Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 78.89 (Notional Value $2,391,710) | NZD | 3,467,000 | (4,258 | ) | ||||
Deutsche Bank AG Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 79.02 (Notional Value $2,586,248) | NZD | 3,749,000 | (5,696 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
Goldman Sachs International Foreign Exchange CAD/JPY Expiring October 2021 with strike price of CAD 88.60 (Notional Value $2,514,899) | CAD | 3,186,000 | $ | (6,615 | ) | |||
Citibank, N.A. Foreign Exchange NZD/USD Expiring October 2021 with strike price of NZD 0.71 (Notional Value $17,034,466) | NZD | 24,693,000 | (10,983 | ) | ||||
Morgan Stanley Capital Services LLC Foreign Exchange AUD/JPY Expiring October 2021 with strike price of AUD 81.39 (Notional Value $16,922,493) | AUD | 23,427,000 | (16,128 | ) | ||||
Barclays Bank plc Foreign Exchange AUD/USD Expiring October 2021 with strike price of AUD 0.73 (Notional Value $17,329,176) | AUD | 23,990,000 | (38,785 | ) | ||||
Barclays Bank plc Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.26 | USD | 18,273,000 | (82,423 | ) | ||||
Goldman Sachs International Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 77.35 (Notional Value $17,002,043) | NZD | 24,646,000 | (123,839 | ) | ||||
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2021 with strike price of AUD 1.04 (Notional Value $18,278,344) | AUD | 25,304,000 | (199,331 | ) | ||||
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2021 with strike price of AUD 1.03 (Notional Value $17,464,978) | AUD | 24,178,000 | (238,394 | ) | ||||
Total Foreign Exchange Options | (737,986 | ) |
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
Put Options on: | ||||||||
Foreign Exchange Options | ||||||||
Deutsche Bank AG Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.25 | USD | 2,577,000 | $ | (139 | ) | |||
BNP Paribas Foreign Exchange EUR/CHF Expiring October 2021 with strike price of EUR 1.08 (Notional Value $2,389,755) | EUR | 2,062,000 | (715 | ) | ||||
Goldman Sachs International Foreign Exchange CAD/JPY Expiring October 2021 with strike price of CAD 85.60 (Notional Value $2,514,899) | CAD | 3,186,000 | (794 | ) | ||||
Goldman Sachs International Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.25 | USD | 2,577,000 | (3,529 | ) | ||||
Barclays Bank plc Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.26 | USD | 18,273,000 | (5,132 | ) | ||||
Deutsche Bank AG Foreign Exchange EUR/JPY Expiring October 2021 with strike price of EUR 129.14 (Notional Value $2,443,067) | EUR | 2,108,000 | (6,919 | ) | ||||
Morgan Stanley Capital Services LLC Foreign Exchange AUD/USD Expiring October 2021 with strike price of AUD 0.72 (Notional Value $2,437,209) | AUD | 3,374,000 | (11,289 | ) | ||||
UBS AG Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 75.87 (Notional Value $2,391,710) | NZD | 3,467,000 | (11,306 | ) | ||||
Deutsche Bank AG Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 75.89 (Notional Value $2,586,248) | NZD | 3,749,000 | (15,325 | ) | ||||
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2021 with strike price of AUD 1.03 (Notional Value $17,464,978) | AUD | 24,178,000 | (25,152 | ) | ||||
Citibank, N.A. Foreign Exchange NZD/USD Expiring October 2021 with strike price of NZD 0.69 (Notional Value $2,327,554) | NZD | 3,374,000 | (28,600 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
| Contracts/ | Value | ||||||
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2021 with strike price of AUD 1.04 (Notional Value $18,278,344) | AUD | 25,304,000 | $ | (53,313 | ) | |||
Morgan Stanley Capital Services LLC Foreign Exchange AUD/JPY Expiring October 2021 with strike price of AUD 81.39 (Notional Value $16,922,493) | AUD | 23,427,000 | (182,988 | ) | ||||
Goldman Sachs International Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 77.35 (Notional Value $17,002,043) | NZD | 24,646,000 | (211,606 | ) | ||||
J.P. Morgan Securities plc Foreign Exchange EUR/CAD Expiring October 2021 with strike price of EUR 1.49 (Notional Value $16,996,002) | EUR | 14,665,000 | (276,185 | ) | ||||
Bank of America, N.A. Foreign Exchange AUD/USD Expiring October 2021 with strike price of AUD 0.73 (Notional Value $17,329,177) | AUD | 23,990,000 | (329,271 | ) | ||||
Citibank, N.A. Foreign Exchange NZD/USD Expiring October 2021 with strike price of NZD 0.71 (Notional Value $17,034,466) | NZD | 24,693,000 | (582,269 | ) | ||||
Total Foreign Exchange Options | (1,744,532 | ) | ||||||
Equity Options | ||||||||
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $3,980.00 (Notional Value $501,397,656) | 1,164 | (5,441,700 | ) | |||||
Total OTC Options Written | ||||||||
(Premiums received $9,617,430) | (7,924,218 | ) | ||||||
Other Assets & Liabilities, net - (1.7)% | (131,850,500 | ) | ||||||
Total Net Assets - 100.0% | $ | 7,909,561,975 |
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||||
Gold 100 oz. Futures Contracts | 389 | Dec 2021 | $ | 68,327,850 | $ | (1,816,057 | ) | |||||||||
Silver Futures Contracts | 572 | Dec 2021 | 63,334,700 | (5,346,280 | ) | |||||||||||
$ | 131,662,550 | $ | (7,162,337 | ) | ||||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||||
Silver Futures Contracts | 1 | Dec 2021 | $ | 110,725 | $ | 13,823 | ||||||||||
WTI Crude Futures Contracts | 466 | Oct 2021 | 34,922,040 | (2,070,121 | ) | |||||||||||
$ | 35,032,765 | $ | (2,056,298 | ) |
Centrally Cleared Credit Default Swap Agreements Protection Purchased†† | ||||||||||||||
Counterparty | Exchange | Index | Protection | Payment | Maturity | |||||||||
J.P. Morgan Securities LLC | ICE | CDX.NA.HY.36.V1 | 5.00 | % | Quarterly | 06/20/26 |
Notional | Value | Upfront | Unrealized | |||||||||||||
$ | 176,300,000 | $ | (16,250,742 | ) | $ | (16,110,272 | ) | $ | (140,470 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
Centrally Cleared Interest Rate Swap Agreements†† | ||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | ||||||
JPM | LCH | Pay | Sterling Overnight Interbank Average Rate | 0.65% | Annually | 08/17/46 | ||||||
JPM | LCH | Receive | 3-Month USD LIBOR | 1.70% | Quarterly | 08/20/61 | ||||||
JPM | LCH | Receive | 3-Month USD LIBOR | 1.85% | Quarterly | 08/20/51 | ||||||
JPM | LCH | Receive | 3-Month USD LIBOR | 2.03% | Quarterly | 08/14/36 | ||||||
JPM | LCH | Receive | 3-Month USD LIBOR | 1.84% | Quarterly | 08/18/48 | ||||||
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 1.02% | Annually | 08/20/31 | ||||||
JPM | LCH | Receive | 3-Month USD LIBOR | 1.43% | Quarterly | 08/16/28 | ||||||
JPM | LCH | Receive | 3-Month USD LIBOR | 1.78% | Quarterly | 08/16/43 | ||||||
JPM | LCH | Receive | Sterling Overnight Interbank Average Rate | 0.37% | Annually | 08/12/24 | ||||||
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 0.36% | Annually | 08/14/24 | ||||||
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 0.38% | Annually | 08/14/24 | ||||||
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 0.18% | Annually | 08/16/23 |
Notional | Value | Upfront | Unrealized | |||||||||||||
GBP | 1,140,000 | $ | 113,159 | $ | (114,715 | ) | $ | 227,874 | ||||||||
3,851,000 | 147,802 | (4,527 | ) | 152,329 | ||||||||||||
4,237,000 | 105,967 | (16,246 | ) | 122,213 | ||||||||||||
12,628,000 | 69,580 | (46,572 | ) | 116,152 | ||||||||||||
2,283,000 | 78,650 | (877 | ) | 79,527 | ||||||||||||
4,418,000 | 46,160 | 279 | 45,881 | |||||||||||||
2,695,000 | 32,744 | 16,268 | 16,476 | |||||||||||||
240,000 | 8,191 | 179 | 8,012 | |||||||||||||
GBP | 487,000 | 4,527 | 2 | 4,525 | ||||||||||||
707,000 | 1,611 | 240 | 1,371 | |||||||||||||
695,000 | 1,261 | 240 | 1,021 | |||||||||||||
736,000 | 483 | 236 | 247 | |||||||||||||
$ | 610,135 | $ | (165,493 | ) | $ | 775,628 |
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
Centrally Cleared Interest Rate Swap Agreements†† (continued) | ||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | ||||||
JPM | LCH | Receive | U.S. Secured Overnight Financing Rate | 0.18% | Annually | 08/16/23 | ||||||
JPM | LCH | Pay | 3-Month Canadian Bankers Acceptances Rate | 1.11% | Semi-Annually | 06/23/23 | ||||||
JPM | LCH | Pay | 3-Month Australian Bank Bill Rate | 0.43% | Semi-Annually | 08/09/23 | ||||||
JPM | LCH | Pay | 3-Month USD LIBOR | 1.89% | Quarterly | 08/14/44 | ||||||
JPM | LCH | Pay | 3-Month USD LIBOR | 1.87% | Quarterly | 08/14/54 | ||||||
JPM | LCH | Pay | 3-Month USD LIBOR | 0.41% | Quarterly | 08/09/23 | ||||||
JPM | LCH | Pay | 3-Month KRW Certificate of Deposit Rate | 1.58% | Quarterly | 08/09/23 | ||||||
JPM | LCH | Receive | Sterling Overnight Interbank Average Rate | 0.70% | Annually | 08/12/44 | ||||||
JPM | LCH | Pay | Sterling Overnight Interbank Average Rate | 0.45% | Annually | 08/17/26 | ||||||
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 0.81% | Annually | 08/20/28 | ||||||
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 1.11% | Annually | 08/14/31 | ||||||
JPM | LCH | Pay | 3-Month New Zealand Bank Bill Rate | 1.43% | Quarterly | 08/05/23 | ||||||
JPM | LCH | Pay | U.S. Secured Overnight Financing Rate | 1.03% | Annually | 08/20/31 | ||||||
JPM | LCH | Pay | 6-Month NOK NIBOR | 1.28% | Semi-Annually | 08/05/23 | ||||||
JPM | CME | Receive | 3-Month USD LIBOR | 1.58% | Quarterly | 04/28/31 | ||||||
JPM | CME | Receive | 3-Month USD LIBOR | 1.65% | Quarterly | 03/17/31 |
Notional | Value | Upfront |
| |||||||||||||
724,000 | $ | (537 | ) | $ | 236 | $ | (773 | ) | ||||||||
CAD | 44,047,000 | (2,085 | ) | 70 | (2,155 | ) | ||||||||||
AUD | 34,930,000 | (3,029 | ) | 54 | (3,083 | ) | ||||||||||
188,000 | (4,519 | ) | 77 | (4,596 | ) | |||||||||||
349,000 | (7,982 | ) | 2,049 | (10,031 | ) | |||||||||||
34,700,000 | (33,312 | ) | 303 | (33,615 | ) | |||||||||||
KRW | 40,294,000,000 | (47,293 | ) | – | (47,293 | ) | ||||||||||
GBP | 317,000 | (28,271 | ) | 26,473 | (54,744 | ) | ||||||||||
GBP | 3,076,000 | (58,013 | ) | 501 | (58,514 | ) | ||||||||||
3,498,000 | (63,512 | ) | (1,162 | ) | (62,350 | ) | ||||||||||
5,025,000 | (81,887 | ) | 282 | (82,169 | ) | |||||||||||
NZD | 50,000,000 | (91,166 | ) | 73 | (91,239 | ) | ||||||||||
4,405,000 | (106,540 | ) | 385 | (106,925 | ) | |||||||||||
NOK | 307,000,000 | (110,990 | ) | 414 | (111,404 | ) | ||||||||||
79,560,000 | (335,742 | ) | 147,222 | (482,964 | ) | |||||||||||
180,000,000 | (1,943,998 | ) | 1,598 | (1,945,596 | ) | |||||||||||
$ | (2,918,876 | ) | $ | 178,575 | $ | (3,097,451 | ) | |||||||||
Total interest rate swap agreements | $ | (2,308,741 | ) | $ | 13,082 | $ | (2,321,823 | ) |
JPM — J.P. Morgan Securities LLC |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
Forward Foreign Currency Exchange Contracts††
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Morgan Stanley Capital Services LLC | EUR | Sell | 207,500,000 | 245,088,833 USD | 10/18/21 | $ | 4,638,420 | |||||||||||||||||
Goldman Sachs International | ILS | Buy | 92,228,427 | 24,775,937 USD | 08/01/22 | 4,012,074 | ||||||||||||||||||
Bank of America, N.A. | GBP | Sell | 82,145,000 | 113,367,657 USD | 10/18/21 | 2,669,748 | ||||||||||||||||||
Goldman Sachs International | ILS | Buy | 64,798,100 | 17,651,727 USD | 01/31/22 | 2,504,522 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | JPY | Sell | 10,070,200,000 | 91,790,601 USD | 10/25/21 | 1,292,393 | ||||||||||||||||||
Goldman Sachs International | JPY | Sell | 4,750,400,000 | 43,325,870 USD | 11/01/21 | 633,132 | ||||||||||||||||||
Goldman Sachs International | NZD | Sell | 91,863,043 | 63,871,033 USD | 10/20/21 | 430,511 | ||||||||||||||||||
BNP Paribas | CHF | Sell | 16,812,757 | 18,415,238 USD | 10/07/21 | 368,039 | ||||||||||||||||||
Goldman Sachs International | JPY | Sell | 2,780,600,000 | 25,321,482 USD | 10/18/21 | 334,231 | ||||||||||||||||||
UBS AG | JPY | Sell | 1,960,500,000 | 17,928,424 USD | 10/04/21 | 312,602 | ||||||||||||||||||
Deutsche Bank AG | EUR | Sell | 55,340,000 | 563,452,807 SEK | 10/07/21 | 278,335 | ||||||||||||||||||
BNP Paribas | EUR | Sell | 16,947,859 | 19,890,190 USD | 10/04/21 | 256,433 | ||||||||||||||||||
BNP Paribas | EUR | Sell | 51,775,000 | 56,111,219 CHF | 10/07/21 | 247,245 | ||||||||||||||||||
BNP Paribas | EUR | Sell | 52,210,000 | 60,719,404 USD | 10/07/21 | 231,610 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | GBP | Sell | 5,121,000 | 7,071,958 USD | 10/18/21 | 170,941 | ||||||||||||||||||
Goldman Sachs International | USD | Buy | 31,230,000 | 3,457,061,039 JPY | 10/12/21 | 165,226 | ||||||||||||||||||
Deutsche Bank AG | AUD | Sell | 45,965,698 | 33,355,174 USD | 10/07/21 | 132,890 | ||||||||||||||||||
Deutsche Bank AG | GBP | Sell | 8,010,000 | 10,918,469 USD | 10/22/21 | 124,197 | ||||||||||||||||||
Deutsche Bank AG | NOK | Sell | 59,625,773 | 6,914,216 USD | 10/04/21 | 92,896 | ||||||||||||||||||
Citibank, N.A. | EUR | Sell | 9,100,000 | 10,652,397 USD | 12/31/21 | 88,425 | ||||||||||||||||||
Goldman Sachs International | USD | Sell | 29,540,000 | 3,293,856,489 JPY | 10/12/21 | 58,235 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 2,175,001 | 3,252,684 CAD | 10/07/21 | 48,596 | ||||||||||||||||||
BNP Paribas | CAD | Sell | 37,700,000 | 29,813,684 USD | 10/20/21 | 44,823 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | GBP | Sell | 1,000,000 | 1,385,425 USD | 10/12/21 | 37,845 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 17,000,000 | 13,445,261 USD | 10/07/21 | 21,430 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Buy | 42,941,247 | 49,729,273 USD | 10/07/21 | 20,224 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | GBP | Sell | 730,000 | 1,000,341 USD | 10/22/21 | 16,594 | ||||||||||||||||||
UBS AG | EUR | Sell | 763,000 | 896,026 USD | 10/07/21 | 12,054 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | USD | Sell | 53,770,000 | 68,108,336 CAD | 10/04/21 | 11,061 | ||||||||||||||||||
Citibank, N.A. | EUR | Sell | 7,600,000 | 8,211,726 CHF | 10/07/21 | 9,690 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | GBP | Sell | 520,000 | 709,945 USD | 10/22/21 | 9,193 | ||||||||||||||||||
Citibank, N.A. | EUR | Buy | 760,000 | 7,626,021 NOK | 10/04/21 | 8,011 | ||||||||||||||||||
Citibank, N.A. | CAD | Sell | 12,950,000 | 10,231,910 USD | 10/22/21 | 6,291 | ||||||||||||||||||
UBS AG | GBP | Sell | 320,000 | 436,862 USD | 10/22/21 | 5,631 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | USD | Sell | 5,640,000 | 7,147,939 CAD | 10/07/21 | 4,278 | ||||||||||||||||||
Barclays Bank plc | EUR | Sell | 4,880,000 | 49,506,199 SEK | 10/07/21 | 3,942 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 330,000 | 358,001 CHF | 10/07/21 | 1,966 | ||||||||||||||||||
UBS AG | EUR | Sell | 230,000 | 2,346,859 SEK | 10/07/21 | 1,737 | ||||||||||||||||||
UBS AG | USD | Sell | 140,000 | 15,666,644 JPY | 10/12/21 | 779 |
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
Forward Foreign Currency Exchange Contracts†† (continued)
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 1,095,000 | 865,218 USD | 10/01/21 | $ | 562 | |||||||||||
Morgan Stanley Capital Services LLC | EUR | Sell | 710,000 | 7,194,416 NOK | 10/20/21 | 185 | ||||||||||||
Barclays Bank plc | JPY | Buy | 2,387,335 | 21,414 USD | 10/05/21 | 37 | ||||||||||||
Barclays Bank plc | CAD | Sell | 1,700,000 | 1,342,342 USD | 10/12/21 | (33 | ) | |||||||||||
Citibank, N.A. | CAD | Sell | 116,000 | 91,419 USD | 10/18/21 | (177 | ) | |||||||||||
UBS AG | EUR | Buy | 210,000 | 227,354 CHF | 10/07/21 | (752 | ) | |||||||||||
Deutsche Bank AG | CAD | Sell | 7,062,258 | 5,575,696 USD | 10/07/21 | (925 | ) | |||||||||||
JPMorgan Chase Bank, N.A. | NOK | Sell | 33,251,257 | 3,801,591 USD | 10/20/21 | (1,993 | ) | |||||||||||
Citibank, N.A. | GBP | Sell | 720,000 | 968,040 USD | 10/22/21 | (2,232 | ) | |||||||||||
Morgan Stanley Capital Services LLC | EUR | Sell | 1,790,000 | 18,103,173 NOK | 10/04/21 | (2,635 | ) | |||||||||||
Barclays Bank plc | GBP | Buy | 180,000 | 245,435 USD | 10/22/21 | (2,867 | ) | |||||||||||
Morgan Stanley Capital Services LLC | EUR | Buy | 670,000 | 6,811,580 NOK | 10/04/21 | (3,078 | ) | |||||||||||
UBS AG | CAD | Sell | 8,200,000 | 6,471,292 USD | 11/04/21 | (3,517 | ) | |||||||||||
UBS AG | GBP | Buy | 200,000 | 273,627 USD | 10/22/21 | (4,107 | ) | |||||||||||
Goldman Sachs International | CAD | Sell | 10,040,000 | 7,923,386 USD | 10/07/21 | (4,570 | ) | |||||||||||
Barclays Bank plc | USD | Sell | 1,874,200 | 2,364,303 CAD | 10/04/21 | (7,252 | ) | |||||||||||
Barclays Bank plc | EUR | Buy | 900,000 | 978,315 CHF | 10/07/21 | (7,452 | ) | |||||||||||
Goldman Sachs International | AUD | Sell | 12,610,000 | 9,105,832 USD | 10/07/21 | (8,203 | ) | |||||||||||
Goldman Sachs International | NZD | Buy | 1,874,200 | 145,034,967 JPY | 10/22/21 | (9,055 | ) | |||||||||||
Morgan Stanley Capital Services LLC | CHF | Sell | 20,103,259 | 21,569,713 USD | 10/07/21 | (9,587 | ) | |||||||||||
Deutsche Bank AG | EUR | Sell | 4,180,000 | 42,240,356 NOK | 10/04/21 | (10,057 | ) | |||||||||||
Citibank, N.A. | EUR | Buy | 760,000 | 891,000 USD | 10/07/21 | (10,503 | ) | |||||||||||
Morgan Stanley Capital Services LLC | GBP | Buy | 960,000 | 1,304,282 USD | 10/22/21 | (10,586 | ) | |||||||||||
Deutsche Bank AG | EUR | Buy | 21,010,000 | 212,890,938 NOK | 10/04/21 | (15,526 | ) | |||||||||||
Morgan Stanley Capital Services LLC | AUD | Buy | 1,874,200 | 152,595,114 JPY | 10/07/21 | (16,552 | ) | |||||||||||
Citibank, N.A. | CAD | Sell | 27,718,000 | 21,861,287 USD | 10/06/21 | (25,900 | ) | |||||||||||
Citibank, N.A. | CAD | Sell | 15,857,000 | 12,494,619 USD | 10/27/21 | (26,360 | ) | |||||||||||
JPMorgan Chase Bank, N.A. | GBP | Buy | 2,160,000 | 2,938,928 USD | 10/22/21 | (28,113 | ) | |||||||||||
Goldman Sachs International | CAD | Sell | 29,388,000 | 23,175,687 USD | 10/20/21 | (29,811 | ) | |||||||||||
Deutsche Bank AG | EUR | Buy | 3,080,000 | 3,599,861 USD | 10/07/21 | (31,533 | ) | |||||||||||
Deutsche Bank AG | SEK | Buy | 28,114,648 | 3,248,139 USD | 10/07/21 | (35,147 | ) | |||||||||||
JPMorgan Chase Bank, N.A. | CHF | Buy | 17,204,424 | 18,504,434 USD | 10/07/21 | (36,811 | ) | |||||||||||
Goldman Sachs International | NZD | Buy | 7,470,000 | 5,200,855 USD | 10/20/21 | (42,082 | ) | |||||||||||
Goldman Sachs International | CAD | Sell | 47,035,000 | 37,062,982 USD | 10/18/21 | (77,116 | ) | |||||||||||
Deutsche Bank AG | EUR | Buy | 51,203,000 | 519,824,385 SEK | 10/07/21 | (85,316 | ) | |||||||||||
JPMorgan Chase Bank, N.A. | USD | Buy | 37,110,000 | 47,131,963 CAD | 10/04/21 | (107,279 | ) | |||||||||||
Bank of America, N.A. | ILS | Sell | 7,363,900 | 2,183,190 USD | 01/31/22 | (107,442 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
Forward Foreign Currency Exchange Contracts†† (concluded)
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||
BNP Paribas | CAD | Sell | 30,402,934 | 23,879,465 USD | 10/04/21 | $ | (127,905 | ) | ||||||||||
BNP Paribas | EUR | Buy | 29,830,000 | 34,704,433 USD | 10/07/21 | (144,946 | ) | |||||||||||
Deutsche Bank AG | GBP | Buy | 11,780,000 | 16,025,899 USD | 10/22/21 | (151,176 | ) | |||||||||||
Deutsche Bank AG | AUD | Buy | 47,795,000 | 34,754,213 USD | 10/07/21 | (209,777 | ) | |||||||||||
BNP Paribas | EUR | Buy | 36,990,000 | 40,227,269 CHF | 10/07/21 | (326,183 | ) | |||||||||||
Goldman Sachs International | JPY | Buy | 2,548,975,263 | 23,255,792 USD | 10/12/21 | (350,978 | ) | |||||||||||
BNP Paribas | EUR | Buy | 27,160,000 | 31,847,195 USD | 10/04/21 | (382,876 | ) | |||||||||||
JPMorgan Chase Bank, N.A. | NZD | Buy | 21,390,000 | 15,170,323 USD | 10/20/21 | (398,411 | ) | |||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 70,000,000 | 54,619,865 USD | 11/19/21 | (651,731 | ) | |||||||||||
Goldman Sachs International | ILS | Sell | 57,434,200 | 17,016,599 USD | 01/31/22 | (849,019 | ) | |||||||||||
Barclays Bank plc | ILS | Sell | 92,228,427 | 27,935,310 USD | 08/01/22 | (852,701 | ) | |||||||||||
$ | 14,096,762 |
OTC Interest Rate Swaptions Purchased | |||||||||||||||||||||||
Counterparty/ | Floating | Floating | Payment | Fixed | Expiration | Exercise | Swaption | Swaption | |||||||||||||||
Call | |||||||||||||||||||||||
Goldman Sachs International 5-Year Interest Rate Swap | Pay | 3 Month USD LIBOR | Quarterly | 2.03% | 08/12/31 | 2.03% | $ | 64,178,000 | $ | 2,281,570 | |||||||||||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap | Pay | 3 Month USD LIBOR | Quarterly | 1.85% | 08/18/31 | 1.85% | 17,801,000 | 1,863,126 | |||||||||||||||
Citibank, N.A. 20-Year Interest Rate Swap | Pay | 3 Month USD LIBOR | Quarterly | 1.84% | 08/16/28 | 1.84% | 20,237,000 | 1,794,885 | |||||||||||||||
J.P. Morgan Securities plc 30-Year Interest Rate Swap | Pay | 3 Month USD LIBOR | Quarterly | 1.70% | 08/18/31 | 1.70% | 12,648,000 | 1,758,317 | |||||||||||||||
Goldman Sachs International 20-Year Interest Rate Swap | Pay | Sterling Overnight Interbank Average Rate | Annual | 0.65% | 08/17/26 | 0.65% | 20,717,397 | 1,307,113 | |||||||||||||||
$ | 9,005,011 |
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
OTC Interest Rate Swaptions Purchased (concluded) | |||||||||||||||||||||||
Counterparty/ | Floating | Floating | Payment | Fixed | Expiration | Exercise | Swaption | Swaption | |||||||||||||||
Put | |||||||||||||||||||||||
Goldman Sachs International 20-Year Interest Rate Swap | Receive | Sterling Overnight Interbank Average Rate | Annual | 0.65% | 08/17/26 | 0.65% | $ | 20,717,398 | $ | 2,895,936 | |||||||||||||
Goldman Sachs International 5-Year Interest Rate Swap | Receive | 3 Month USD LIBOR | Quarterly | 2.03% | 08/12/31 | 2.03% | 64,178,000 | 2,696,968 | |||||||||||||||
Citibank, N.A. 20-Year Interest Rate Swap | Receive | 3 Month USD LIBOR | Quarterly | 1.84% | 08/16/28 | 1.84% | 20,237,000 | 2,567,280 | |||||||||||||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap | Receive | 3 Month USD LIBOR | Quarterly | 1.85% | 08/18/31 | 1.85% | 17,801,000 | 2,398,432 | |||||||||||||||
J.P. Morgan Securities plc 30-Year Interest Rate Swap | Receive | 3 Month USD LIBOR | Quarterly | 1.70% | 08/18/31 | 1.70% | 12,648,000 | 2,312,550 | |||||||||||||||
$ | 12,871,166 |
OTC Interest Rate Swaptions Written | |||||||||||||||||||||||
Counterparty/ | Floating | Floating | Payment | Fixed | Expiration | Exercise | Swaption | Swaption | |||||||||||||||
Call | |||||||||||||||||||||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap | Receive | Sterling Overnight Interbank Average Rate | Annual | 0.70% | 08/12/24 | 0.70% | $ | 4,080,107 | $ | (198,429 | ) | ||||||||||||
Barclays Bank plc 5-Year Interest Rate Swap | Receive | 3 Month USD LIBOR | Quarterly | 1.43% | 08/14/23 | 1.43% | 18,926,000 | (245,537 | ) | ||||||||||||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap | Receive | 3 Month USD LIBOR | Quarterly | 1.78% | 08/14/23 | 1.78% | 5,340,000 | (260,128 | ) | ||||||||||||||
Citibank, N.A. 20-Year Interest Rate Swap | Receive | 3 Month USD LIBOR | Quarterly | 1.89% | 08/12/24 | 1.89% | 4,403,000 | (289,081 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
OTC Interest Rate Swaptions Written (concluded) | |||||||||||||||||||||||
Counterparty/ | Floating | Floating | Payment | Fixed | Expiration | Exercise | Swaption | Swaption | |||||||||||||||
Call (concluded) | |||||||||||||||||||||||
Morgan Stanley Capital Services LLC 30-Year Interest Rate Swap | Receive | 3 Month USD LIBOR | Quarterly | 1.87% | 08/12/24 | 1.87% | $ | 3,185,000 | $ | (293,808 | ) | ||||||||||||
$ | (1,286,983 | ) | |||||||||||||||||||||
Put | |||||||||||||||||||||||
Morgan Stanley Capital Services LLC 30-Year Interest Rate Swap | Pay | 3 Month USD LIBOR | Quarterly | 1.87% | 08/12/24 | 1.87% | $ | 3,185,000 | $ | (372,926 | ) | ||||||||||||
Citibank, N.A. 20-Year Interest Rate Swap | Pay | 3 Month USD LIBOR | Quarterly | 1.89% | 08/12/24 | 1.89% | 4,403,000 | (396,937 | ) | ||||||||||||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap | Pay | 3 Month USD LIBOR | Quarterly | 1.78% | 08/14/23 | 1.78% | 5,340,000 | (446,832 | ) | ||||||||||||||
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap | Pay | Sterling Overnight Interbank Average Rate | Annual | 0.70% | 08/12/24 | 0.70% | 4,080,107 | (477,377 | ) | ||||||||||||||
Barclays Bank plc 5-Year Interest Rate Swap | Pay | 3 Month USD LIBOR | Quarterly | 1.43% | 08/14/23 | 1.43% | 18,926,000 | (485,709 | ) | ||||||||||||||
$ | (2,179,781 | ) |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Affiliated issuer. |
3 | Rate indicated is the 7-day yield as of September 30, 2021. |
4 | 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 $2,884,317,141 (cost $2,827,781,463), or 36.5% of total net assets. |
5 | Perpetual maturity. |
6 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
7 | Security is in default of interest and/or principal obligations. |
8 | 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 $37,717,381 (cost $49,639,875), or 0.5% of total net assets — See Note 10. |
9 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2021, the total market value of segregated or earmarked securities was $20,329,603 — See Note 6. |
10 | Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
11 | Payment-in-kind security. |
12 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
13 | Security is an interest-only strip. |
14 | 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 September 30, 2021. See table below for additional step information for each security. |
15 | Rate indicated is the effective yield at the time of purchase. |
16 | All or a portion of this security is pledged as listed options collateral at September 30, 2021. |
17 | All or a portion of this security is pledged as interest rate swap collateral at September 30, 2021. |
18 | Swaptions - See additional disclosure in the swaptions table above for more information on swaptions. |
19 | Security is unsettled at period end and does not have a stated effective rate. |
AUD — Australian Dollar | |
BofA — Bank of America | |
CAD — Canadian Dollar | |
CDX.NA.HY.36.V1 — Credit Default Swap North American High Yield Series 36 Index Version 1 | |
CHF — Swiss Franc | |
CME — Chicago Mercantile Exchange | |
CMS — Constant Maturity Swap | |
CMT — Constant Maturity Treasury | |
EUR — Euro | |
EURIBOR — European Interbank Offered Rate | |
GBP — British Pound | |
ICE — Intercontinental Exchange | |
ILS — Israeli New Shekel | |
JPY — Japanese Yen | |
KRW — South Korean Won | |
LCH — London Clearing House | |
LIBOR — London Interbank Offered Rate | |
NOK — Norwegian Krone | |
plc — Public Limited Company | |
PPV — Public-Private Venture | |
REMIC — Real Estate Mortgage Investment Conduit | |
SARL — Société à Responsabilité Limitée | |
SEK — Swedish Krona | |
WAC — Weighted Average Coupon | |
See Sector Classification in Other Information section. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 268,389,407 | $ | 10,683,107 | $ | 1,167,187 | $ | 280,239,701 | ||||||||
Preferred Stocks | — | 246,802,314 | — | * | 246,802,314 | |||||||||||
Warrants | 5,495,701 | — | — | 5,495,701 | ||||||||||||
Exchange-Traded Funds | 42,159,487 | — | — | 42,159,487 | ||||||||||||
Mutual Funds | 177,814,565 | — | — | 177,814,565 | ||||||||||||
Closed-End Funds | 68,211,256 | — | — | 68,211,256 | ||||||||||||
Money Market Funds | 606,264,172 | — | — | 606,264,172 | ||||||||||||
Corporate Bonds | — | 2,327,265,813 | 132,694,814 | 2,459,960,627 | ||||||||||||
Senior Floating Rate Interests | — | 1,481,592,706 | 202,766,682 | 1,684,359,388 | ||||||||||||
Asset-Backed Securities | — | 1,047,065,593 | 134,755,864 | 1,181,821,457 | ||||||||||||
Collateralized Mortgage Obligations | — | 772,493,196 | 33,621,388 | 806,114,584 | ||||||||||||
Foreign Government Debt | — | 360,011,619 | — | 360,011,619 | ||||||||||||
U.S. Government Securities | — | 44,543,980 | — | 44,543,980 | ||||||||||||
Senior Fixed Rate Interests | — | — | 3,044,928 | 3,044,928 | ||||||||||||
Commercial Paper | — | 282,574,676 | — | 282,574,676 | ||||||||||||
Options Purchased | — | 32,283,220 | — | 32,283,220 | ||||||||||||
Interest Rate Swaptions Purchased | — | 21,876,177 | — | 21,876,177 | ||||||||||||
Commodity Futures Contracts** | 13,823 | — | — | 13,823 | ||||||||||||
Interest Rate Swap Agreements** | — | 775,628 | — | 775,628 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 19,307,034 | — | 19,307,034 | ||||||||||||
Total Assets | $ | 1,168,348,411 | $ | 6,647,275,063 | $ | 508,050,863 | $ | 8,323,674,337 |
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Collateralized Mortgage Obligations Sold Short | $ | — | $ | 249,869,720 | $ | — | $ | 249,869,720 | ||||||||
Options Written | 904,675 | 7,924,218 | — | 8,828,893 | ||||||||||||
Interest Rate Swaptions Written | — | 3,466,764 | — | 3,466,764 | ||||||||||||
Commodity Futures Contracts** | 9,232,458 | — | — | 9,232,458 | ||||||||||||
Credit Default Swap Agreements** | — | 140,470 | — | 140,470 | ||||||||||||
Interest Rate Swap Agreements** | — | 3,097,451 | — | 3,097,451 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 5,210,272 | — | 5,210,272 | ||||||||||||
Unfunded Loan Commitments (Note 9) | — | — | 3,698,361 | 3,698,361 | ||||||||||||
Total Liabilities | $ | 10,137,133 | $ | 269,708,895 | $ | 3,698,361 | $ | 283,544,389 |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
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 $6,599,211 are categorized as Level 2 within the disclosure hierarchy — See Note 6.
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending | Valuation | Unobservable | Input Range | Weighted | |||||||||
Assets: | ||||||||||||||
Asset-Backed Securities | $ | 69,954,924 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | ||||||||
Asset-Backed Securities | 64,800,940 | Yield Analysis | Yield | 2.4%-4.2% | 3.5% | |||||||||
Collateralized Mortgage Obligations | 22,382,728 | Model Price | Purchase Price | — | — | |||||||||
Collateralized Mortgage Obligations | 11,238,660 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||
Common Stocks | 728,373 | Model Price | Market Comparable Yields | 12.1% | — |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 75 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
Category | Ending | Valuation | Unobservable | Input Range | Weighted | |||||||||
Common Stocks | $ | 325,296 | Enterprise Value | Valuation Multiple | 2.1x-18.6x | 15.8x | ||||||||
Common Stocks | 113,516 | Third Party Pricing | Broker Quote | — | — | |||||||||
Common Stocks | 2 | Model Price | Liquidation Value | — | — | |||||||||
Corporate Bonds | 81,215,307 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||
Corporate Bonds | 37,114,608 | Third Party Pricing | Vendor Price | — | — | |||||||||
Corporate Bonds | 7,422,659 | Third Party Pricing | Trade Price | — | — | |||||||||
Corporate Bonds | 6,942,240 | Model Price | Purchase Price | — | — | |||||||||
Senior Fixed Rate Interests | 3,044,928 | Yield Analysis | Yield | 5.3% | — | |||||||||
Senior Floating Rate Interests | 112,032,252 | Third Party Pricing | Broker Quote | — | — | |||||||||
Senior Floating Rate Interests | 68,814,130 | Yield Analysis | Yield | 4.8%-8.0% | 7.0% | |||||||||
Senior Floating Rate Interests | 8,616,283 | Model Price | Purchase Price | — | — | |||||||||
Senior Floating Rate Interests | 7,277,074 | Third Party Pricing | Vendor Price | — | — | |||||||||
Senior Floating Rate Interests | 4,888,736 | Model Price | Market Comparable Yields | 6.2%-12.1% | 8.4% | |||||||||
Senior Floating Rate Interests | 1,138,207 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||
Total Assets | $ | 508,050,863 |
|
| ||||||||||
Liabilities: | ||||||||||||||
Unfunded Loan Commitments | $ | 3,698,361 | Model Price | Purchase Price | — | — |
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiple 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.
Transfer 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 year ended September 30, 2021, the Fund had securities with a total value of $66,846,433 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $40,006,376 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.
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
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 year ended September 30, 2021:
Assets | ||||||||||||||||||||
| Asset- | Collateralized | Corporate | Senior | Common | |||||||||||||||
Beginning Balance | $ | 136,219,530 | $ | 54,252,847 | $ | 22,823,465 | $ | 74,589,734 | $ | 8,060,143 | ||||||||||
Purchases/(Receipts) | 54,866,061 | 26,228,391 | 68,269,654 | 179,672,384 | 1,437 | |||||||||||||||
(Sales, maturities and paydowns)/Fundings | (53,424,865 | ) | (45,368,355 | ) | (252,128 | ) | (54,035,536 | ) | (1,893,615 | ) | ||||||||||
Amortization of premiums/discounts | 11,051 | (24,657 | ) | 806 | 1,717,531 | — | ||||||||||||||
Total realized gains (losses) included in earnings | 1,243,642 | (1,842 | ) | 7,192 | (11,417,972 | ) | (4,528,033 | ) | ||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (1,044,101 | ) | (1,464,996 | ) | 3,048,543 | 15,015,268 | 6,824,099 | |||||||||||||
Transfers into Level 3 | 18,837,756 | — | 39,809,980 | 6,968,897 | — | |||||||||||||||
Transfers out of Level 3 | (21,953,210 | ) | — | (1,012,698 | ) | (9,743,624 | ) | (7,296,844 | ) | |||||||||||
Ending Balance | $ | 134,755,864 | $ | 33,621,388 | $ | 132,694,814 | $ | 202,766,682 | $ | 1,167,187 | ||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021 | $ | (934,863 | ) | $ | (1,091,193 | ) | $ | 3,032,594 | $ | 1,071,107 | $ | 1,170,079 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
Assets | Liabilities | |||||||||||||||
| Preferred | Senior | Total Assets | Unfunded | ||||||||||||
Beginning Balance | $ | 110,798 | $ | 6,285,245 | $ | 302,341,762 | $ | (1,311,693 | ) | |||||||
Purchases/(Receipts) | — | 476,625 | 329,514,552 | (6,447,286 | ) | |||||||||||
(Sales, maturities and paydowns)/Fundings | — | (7,647,985 | ) | (162,622,484 | ) | 3,231,891 | ||||||||||
Amortization of premiums/discounts | — | 13,905 | 1,718,636 | (6,900 | ) | |||||||||||
Total realized gains (losses) included in earnings | — | 277,592 | (14,419,421 | ) | 1,176,782 | |||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (110,798 | ) | 2,409,746 | 24,677,761 | (341,155 | ) | ||||||||||
Transfers into Level 3 | — | 1,229,800 | 66,846,433 | — | ||||||||||||
Transfers out of Level 3 | — | — | (40,006,376 | ) | — | |||||||||||
Ending Balance | $ | — | * | $ | 3,044,928 | $ | 508,050,863 | $ | (3,698,361 | ) | ||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021 | $ | (110,798 | ) | $ | 148,814 | $ | 3,285,740 | $ | 644,877 |
* | Security has a market value of $0. |
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.
Name | Coupon Rate at | Next Rate | ||||||
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44 | 2.00 | % | 11/15/26 |
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 (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
78 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
MACRO OPPORTUNITIES FUND |
Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | ||||||||||||
Closed-End Funds | ||||||||||||||||
Guggenheim Strategic Opportunities Fund | $ | 9,279,301 | $ | — | $ | (10,617,041 | ) | $ | 3,009,778 | |||||||
Common Stocks | ||||||||||||||||
BP Holdco LLC* | 13,236 | — | — | — | ||||||||||||
Targus Group International Equity, Inc.* | 26,242 | — | — | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Guggenheim Alpha Opportunity Fund — Institutional Class | 24,454,689 | 280,945 | — | — | ||||||||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class | 17,551,325 | 41,111,512 | — | — | ||||||||||||
Guggenheim Strategy Fund II | — | 17,545,513 | — | — | ||||||||||||
Guggenheim Strategy Fund III | — | 15,642,568 | — | — | ||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | — | 46,880,462 | — | — | ||||||||||||
$ | 51,324,793 | $ | 121,461,000 | $ | (10,617,041 | ) | $ | 3,009,778 |
Security Name | Change in | Value | Shares | Investment | Capital | |||||||||||||||
Closed-End Funds | ||||||||||||||||||||
Guggenheim Strategic Opportunities Fund | $ | (1,672,038 | ) | $ | — | — | $ | 672,064 | $ | — | ||||||||||
Common Stocks | ||||||||||||||||||||
BP Holdco LLC* | 13,229 | 26,465 | 37,539 | — | — | |||||||||||||||
Targus Group International Equity, Inc.* | 4,865 | 31,107 | 12,773 | — | — | |||||||||||||||
Mutual Funds | ||||||||||||||||||||
Guggenheim Alpha Opportunity Fund — Institutional Class | 1,787,320 | 26,522,954 | 1,003,137 | 280,945 | — | |||||||||||||||
Guggenheim Risk Managed Real Estate Fund — Institutional Class | 12,559,429 | 71,222,266 | 1,907,399 | 955,479 | 1,006,240 | |||||||||||||||
Guggenheim Strategy Fund II | 7,016 | 17,552,529 | 702,382 | 45,512 | — | |||||||||||||||
Guggenheim Strategy Fund III | (6,214 | ) | 15,636,354 | 621,971 | 42,567 | — | ||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | — | 46,880,462 | 4,702,153 | 80,462 | — | |||||||||||||||
$ | 12,693,607 | $ | 177,872,137 | $ | 2,077,029 | $ | 1,006,240 |
* | Non-income producing security. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 79 |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES |
MACRO OPPORTUNITIES FUND |
September 30, 2021
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $8,030,763,254) | $ | 8,125,705,715 | ||
Investments in affiliated issuers, at value (cost $165,980,498) | 177,872,137 | |||
Foreign currency, at value (cost $30,065,257) | 30,065,257 | |||
Cash | 102,867,480 | |||
Segregated cash with broker | 45,809,233 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 197,181 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 19,307,034 | |||
Prepaid expenses | 143,559 | |||
Receivables: | ||||
Securities sold | 720,828,302 | |||
Interest | 43,454,590 | |||
Fund shares sold | 18,181,353 | |||
Variation margin on futures contracts | 3,140,080 | |||
Dividends | 546,953 | |||
Variation margin on credit default swap agreements | 273,786 | |||
Swap settlement | 33,557 | |||
Total assets | 9,288,426,217 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 9) (commitment fees received $4,427,508) | 3,698,361 | |||
Reverse repurchase agreements (Note 6) | 6,599,211 | |||
Securities sold short, at value (proceeds $250,128,511) | 249,869,720 | |||
Options written, at value (premiums received $13,809,621) | 12,295,657 | |||
Segregated cash due to broker | 36,403,601 | |||
Unamortized upfront premiums received on credit default swap agreements | 16,110,272 | |||
Unamortized upfront premiums received on interest rate swap agreements | 184,099 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 5,210,272 | |||
Payable for: | ||||
Securities purchased | 1,023,959,396 | |||
Fund shares redeemed | 13,791,120 | |||
Management fees | 4,272,954 | |||
Distributions to shareholders | 2,350,432 | |||
Variation margin on interest rate swap agreements | 835,774 | |||
Transfer agent/maintenance fees | 456,789 | |||
Fund accounting/administration fees | 421,062 | |||
Distribution and service fees | 294,409 | |||
Protection fees on credit default swap agreements | 269,347 | |||
Trustees’ fees* | 55,821 | |||
Due to Investment Adviser | 16,576 | |||
Miscellaneous | 1,769,369 | |||
Total liabilities | 1,378,864,242 | |||
Net assets | $ | 7,909,561,975 | ||
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
80 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (concluded) |
MACRO OPPORTUNITIES FUND |
September 30, 2021
Net assets consist of: | ||||
Paid in capital | $ | 7,939,719,531 | ||
Total distributable earnings (loss) | (30,157,556 | ) | ||
Net assets | $ | 7,909,561,975 | ||
A-Class: | ||||
Net assets | $ | 435,293,290 | ||
Capital shares outstanding | 16,008,724 | |||
Net asset value per share | $ | 27.19 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 28.32 | ||
C-Class: | ||||
Net assets | $ | 207,739,495 | ||
Capital shares outstanding | 7,645,189 | |||
Net asset value per share | $ | 27.17 | ||
P-Class: | ||||
Net assets | $ | 162,927,657 | ||
Capital shares outstanding | 5,989,445 | |||
Net asset value per share | $ | 27.20 | ||
Institutional Class: | ||||
Net assets | $ | 6,906,534,346 | ||
Capital shares outstanding | 253,634,779 | |||
Net asset value per share | $ | 27.23 | ||
R6-Class: | ||||
Net assets | $ | 197,067,187 | ||
Capital shares outstanding | 7,239,444 | |||
Net asset value per share | $ | 27.22 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 81 |
CONSOLIDATED STATEMENT OF OPERATIONS |
MACRO OPPORTUNITIES FUND |
Year Ended September 30, 2021
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $472) | $ | 17,169,306 | ||
Dividends from securities of affiliated issuers | 2,077,029 | |||
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $12,554) | 287,563,449 | |||
Total investment income | 306,809,784 | |||
Expenses: | ||||
Management fees | 57,582,737 | |||
Distribution and service fees: | ||||
A-Class | 955,963 | |||
C-Class | 2,165,820 | |||
P-Class | 317,501 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 282,833 | |||
C-Class | 190,303 | |||
P-Class | 131,643 | |||
Institutional Class | 4,443,318 | |||
R6-Class | 6,362 | |||
Fund accounting/administration fees | 4,335,782 | |||
Interest expense | 1,620,292 | |||
Professional fees | 751,128 | |||
Line of credit fees | 549,309 | |||
Custodian fees | 231,280 | |||
Trustees’ fees* | 113,554 | |||
Miscellaneous | 463,076 | |||
Recoupment of previously waived fees: | ||||
A-Class | 394,737 | |||
C-Class | 179,655 | |||
P-Class | 111,319 | |||
R6-Class | 41 | |||
Total expenses | 74,826,653 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (69,361 | ) | ||
C-Class | (28,604 | ) | ||
P-Class | (40,324 | ) | ||
Institutional Class | (4,392,830 | ) | ||
R6-Class | (6,331 | ) | ||
Expenses waived by Adviser | (3,242,788 | ) | ||
Earnings credits applied | (10,714 | ) | ||
Total waived/reimbursed expenses | (7,790,952 | ) | ||
Net expenses | 67,035,701 | |||
Net investment income | 239,774,083 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
82 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENT OF OPERATIONS (concluded) |
MACRO OPPORTUNITIES FUND |
Year Ended September 30, 2021
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | $ | 64,596,670 | ||
Investments in affiliated issuers | 3,009,778 | |||
Distributions received from affiliated investment companies | 1,006,240 | |||
Investments sold short | (1,141,547 | ) | ||
Swap agreements | 55,098,304 | |||
Futures contracts | (45,332,263 | ) | ||
Options purchased | 6,492,003 | |||
Options written | 13,725,964 | |||
Forward foreign currency exchange contracts | 44,547,566 | |||
Foreign currency transactions | (4,328,911 | ) | ||
Net realized gain | 137,673,804 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 70,616,293 | |||
Investments in affiliated issuers | 12,693,607 | |||
Investments sold short | 258,791 | |||
Swap agreements | (8,185,269 | ) | ||
Futures contracts | (4,173,561 | ) | ||
Options purchased | 4,157,488 | |||
Options written | 1,513,964 | |||
Forward foreign currency exchange contracts | (33,844,710 | ) | ||
Foreign currency translations | 635,679 | |||
Net change in unrealized appreciation (depreciation) | 43,672,282 | |||
Net realized and unrealized gain | 181,346,086 | |||
Net increase in net assets resulting from operations | $ | 421,120,169 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
MACRO OPPORTUNITIES FUND |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 239,774,083 | $ | 160,220,601 | ||||
Net realized gain (loss) on investments | 137,673,804 | (84,989,272 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 43,672,282 | 175,183,745 | ||||||
Net increase in net assets resulting from operations | 421,120,169 | 250,415,074 | ||||||
Distributions: | ||||||||
Distributions to shareholders | ||||||||
A-Class | (14,764,867 | ) | (11,564,799 | ) | ||||
C-Class | (6,958,834 | ) | (6,528,648 | ) | ||||
P-Class | (4,838,625 | ) | (3,427,318 | ) | ||||
Institutional Class | (238,591,049 | ) | (155,990,784 | ) | ||||
R6-Class | (6,773,294 | ) | — | |||||
Total distributions to shareholders | (271,926,669 | ) | (180,078,864 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 235,685,397 | 109,769,140 | ||||||
C-Class | 45,952,659 | 15,768,558 | ||||||
P-Class | 95,919,416 | 39,513,794 | ||||||
Institutional Class | 3,976,890,531 | 1,756,127,971 | ||||||
R6-Class | 71,972,977 | 177,460,010 | ||||||
Distributions reinvested | ||||||||
A-Class | 12,141,681 | 9,309,460 | ||||||
C-Class | 6,099,243 | 5,582,109 | ||||||
P-Class | 4,835,559 | 3,425,490 | ||||||
Institutional Class | 208,271,783 | 135,153,093 | ||||||
R6-Class | 6,770,877 | 2,566,997 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (135,116,396 | ) | (270,489,422 | ) | ||||
C-Class | (71,617,733 | ) | (125,607,632 | ) | ||||
P-Class | (39,880,927 | ) | (71,527,362 | ) | ||||
Institutional Class | (1,501,457,579 | ) | (3,253,519,833 | ) | ||||
R6-Class | (22,498,771 | ) | (44,704,950 | ) | ||||
Net increase (decrease) from capital share transactions | 2,893,968,717 | (1,511,172,577 | ) | |||||
Net increase (decrease) in net assets | 3,043,162,217 | (1,440,836,367 | ) | |||||
Net assets: | ||||||||
Beginning of year | 4,866,399,758 | 6,307,236,125 | ||||||
End of year | $ | 7,909,561,975 | $ | 4,866,399,758 |
84 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
MACRO OPPORTUNITIES FUND |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 8,625,070 | 4,307,718 | ||||||
C-Class | 1,685,027 | 619,207 | ||||||
P-Class | 3,504,866 | 1,570,044 | ||||||
Institutional Class | 145,580,629 | 69,459,364 | ||||||
R6-Class | 2,630,538 | 6,828,040 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 446,031 | 364,891 | ||||||
C-Class | 224,373 | 218,971 | ||||||
P-Class | 177,495 | 134,225 | ||||||
Institutional Class | 7,636,796 | 5,288,587 | ||||||
R6-Class | 248,502 | 100,256 | ||||||
Shares redeemed | ||||||||
A-Class | (4,959,407 | ) | (10,663,377 | ) | ||||
C-Class | (2,626,829 | ) | (4,940,194 | ) | ||||
P-Class | (1,476,585 | ) | (2,812,895 | ) | ||||
Institutional Class | (55,109,331 | ) | (128,005,044 | ) | ||||
R6-Class | (829,134 | ) | (1,764,938 | ) | ||||
Net increase (decrease) in shares | 105,758,041 | (59,295,145 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 85 |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
MACRO OPPORTUNITIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.31 | $ | 25.82 | $ | 26.53 | $ | 26.67 | $ | 26.01 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .91 | .74 | .72 | .72 | .95 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.04 | .61 | (.62 | ) | (.08 | ) | .68 | |||||||||||||
Total from investment operations | 1.95 | 1.35 | .10 | .64 | 1.63 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.07 | ) | (.86 | ) | (.79 | ) | (.78 | ) | (.97 | ) | ||||||||||
Net realized gains | — | — | (.02 | ) | — | — | ||||||||||||||
Total distributions | (1.07 | ) | (.86 | ) | (.81 | ) | (.78 | ) | (.97 | ) | ||||||||||
Net asset value, end of period | $ | 27.19 | $ | 26.31 | $ | 25.82 | $ | 26.53 | $ | 26.67 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 7.49 | % | 5.39 | % | 0.41 | % | 2.42 | % | 6.33 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 435,293 | $ | 312,986 | $ | 461,781 | $ | 714,630 | $ | 893,104 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.35 | % | 2.90 | % | 2.76 | % | 2.72 | % | 3.58 | % | ||||||||||
Total expensesc | 1.43 | % | 1.51 | % | 1.47 | % | 1.43 | % | 1.42 | % | ||||||||||
Net expensesd,e,f | 1.37 | % | 1.39 | % | 1.39 | % | 1.33 | % | 1.27 | % | ||||||||||
Portfolio turnover rate | 84 | % | 130 | % | 46 | % | 66 | % | 61 | % |
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) |
MACRO OPPORTUNITIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.29 | $ | 25.80 | $ | 26.52 | $ | 26.65 | $ | 25.99 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .72 | .55 | .52 | .53 | .75 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.03 | .61 | (.62 | ) | (.08 | ) | .68 | |||||||||||||
Total from investment operations | 1.75 | 1.16 | (.10 | ) | .45 | 1.43 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.87 | ) | (.67 | ) | (.60 | ) | (.58 | ) | (.77 | ) | ||||||||||
Net realized gains | — | — | (.02 | ) | — | — | ||||||||||||||
Total distributions | (.87 | ) | (.67 | ) | (.62 | ) | (.58 | ) | (.77 | ) | ||||||||||
Net asset value, end of period | $ | 27.17 | $ | 26.29 | $ | 25.80 | $ | 26.52 | $ | 26.65 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 6.70 | % | 4.60 | % | (0.37 | %) | 1.69 | % | 5.55 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 207,739 | $ | 219,866 | $ | 321,576 | $ | 433,121 | $ | 434,634 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.64 | % | 2.15 | % | 2.00 | % | 1.98 | % | 2.83 | % | ||||||||||
Total expensesc | 2.18 | % | 2.25 | % | 2.20 | % | 2.18 | % | 2.14 | % | ||||||||||
Net expensesd,e,f | 2.12 | % | 2.15 | % | 2.13 | % | 2.09 | % | 2.03 | % | ||||||||||
Portfolio turnover rate | 84 | % | 130 | % | 46 | % | 66 | % | 61 | % |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 87 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) |
MACRO OPPORTUNITIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.32 | $ | 25.82 | $ | 26.54 | $ | 26.68 | $ | 26.02 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .91 | .74 | .71 | .73 | .92 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.04 | .62 | (.62 | ) | (.09 | ) | .71 | |||||||||||||
Total from investment operations | 1.95 | 1.36 | .09 | .64 | 1.63 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.07 | ) | (.86 | ) | (.79 | ) | (.78 | ) | (.97 | ) | ||||||||||
Net realized gains | — | — | (.02 | ) | — | — | ||||||||||||||
Total distributions | (1.07 | ) | (.86 | ) | (.81 | ) | (.78 | ) | (.97 | ) | ||||||||||
Net asset value, end of period | $ | 27.20 | $ | 26.32 | $ | 25.82 | $ | 26.54 | $ | 26.68 | ||||||||||
| ||||||||||||||||||||
Total Return | 7.48 | % | 5.42 | % | 0.37 | % | 2.42 | % | 6.33 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 162,928 | $ | 99,575 | $ | 126,334 | $ | 160,578 | $ | 188,980 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.33 | % | 2.91 | % | 2.73 | % | 2.73 | % | 3.48 | % | ||||||||||
Total expensesc | 1.45 | % | 1.50 | % | 1.46 | % | 1.46 | % | 1.44 | % | ||||||||||
Net expensesd,e,f | 1.37 | % | 1.40 | % | 1.39 | % | 1.33 | % | 1.26 | % | ||||||||||
Portfolio turnover rate | 84 | % | 130 | % | 46 | % | 66 | % | 61 | % |
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) |
MACRO OPPORTUNITIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.34 | $ | 25.85 | $ | 26.57 | $ | 26.71 | $ | 26.04 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.02 | .85 | .81 | .84 | 1.02 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.05 | .60 | (.61 | ) | (.09 | ) | .71 | |||||||||||||
Total from investment operations | 2.07 | 1.45 | .20 | .75 | 1.73 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.18 | ) | (.96 | ) | (.90 | ) | (.89 | ) | (1.06 | ) | ||||||||||
Net realized gains | — | — | (.02 | ) | — | — | ||||||||||||||
Total distributions | (1.18 | ) | (.96 | ) | (.92 | ) | (.89 | ) | (1.06 | ) | ||||||||||
Net asset value, end of period | $ | 27.23 | $ | 26.34 | $ | 25.85 | $ | 26.57 | $ | 26.71 | ||||||||||
| ||||||||||||||||||||
Total Return | 7.91 | % | 5.84 | % | 0.77 | % | 2.83 | % | 6.73 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,906,534 | $ | 4,097,303 | $ | 5,396,868 | $ | 6,065,678 | $ | 4,591,424 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.74 | % | 3.32 | % | 3.12 | % | 3.15 | % | 3.86 | % | ||||||||||
Total expensesc | 1.08 | % | 1.17 | % | 1.13 | % | 1.08 | % | 1.06 | % | ||||||||||
Net expensesd,e,f | 0.96 | % | 0.99 | % | 0.98 | % | 0.93 | % | 0.91 | % | ||||||||||
Portfolio turnover rate | 84 | % | 130 | % | 46 | % | 66 | % | 61 | % |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) |
MACRO OPPORTUNITIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
R6-Class | Year | Year | Period | |||||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $ | 26.34 | $ | 25.84 | $ | 25.98 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)a | 1.02 | .87 | .36 | |||||||||
Net gain (loss) on investments (realized and unrealized) | 1.04 | .58 | (.03 | ) | ||||||||
Total from investment operations | 2.06 | 1.45 | .33 | |||||||||
Less distributions from: | ||||||||||||
Net investment income | (1.18 | ) | (.95 | ) | (.47 | ) | ||||||
Total distributions | (1.18 | ) | (.95 | ) | (.47 | ) | ||||||
Net asset value, end of period | $ | 27.22 | $ | 26.34 | $ | 25.84 | ||||||
| ||||||||||||
Total Return | 7.91 | % | 5.81 | % | 1.30 | % | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 197,067 | $ | 136,669 | $ | 676 | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | 3.74 | % | 3.41 | % | 2.79 | % | ||||||
Total expensesc | 1.01 | % | 1.09 | % | 1.11 | % | ||||||
Net expensesd,e,f | 0.96 | % | 0.99 | % | 1.03 | % | ||||||
Portfolio turnover rate | 84 | % | 130 | % | 46 | % |
90 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS (concluded) |
MACRO OPPORTUNITIES FUND |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 0.10% | 0.03% | 0.02% | 0.04% | 0.02% | |
C-Class | 0.08% | 0.05% | 0.05% | 0.11% | 0.04% | |
P-Class | 0.09% | 0.03% | 0.04% | 0.04% | 0.02% | |
Institutional Class | — | 0.00%* | 0.00%* | — | — | |
R6-Class | 0.00%* | 0.00%* | 0.00%*,g | N/A | N/A |
* | Less than 0.01% | |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 1.33% | 1.33% | 1.33% | 1.31% | 1.25% | |
C-Class | 2.08% | 2.08% | 2.07% | 2.06% | 2.00% | |
P-Class | 1.33% | 1.33% | 1.33% | 1.31% | 1.24% | |
Institutional Class | 0.92% | 0.92% | 0.92% | 0.90% | 0.88% | |
R6-Class | 0.92% | 0.92% | 0.92%g | N/A | N/A |
g | Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 91 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS |
Note 1 – Organization, Consolidation of Subsidiary and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Macro Opportunities Fund (the “Fund”), a diversified investment company. At September 30, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.
Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Consolidation of Subsidiary
The consolidated financial statements of the Fund include the accounts of a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). Significant inter-company accounts and transactions have been eliminated in consolidation for the Fund.
92 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The Fund may invest up to 25% of its total assets in its Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.
A summary of the Fund’s investment in its Subsidiary is as follows:
| Inception Date | Subsidiary | % of Net Assets | |||||||||
01/08/15 | $ | 23,871,117 | 0.3 | % |
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 Trust. 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 consolidated 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.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation
THE GUGGENHEIM FUNDS ANNUAL REPORT | 93 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable
94 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.
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 and options on swaps (“swaptions”) are valued using a price provided by a pricing service.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued 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.
The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s close price from the applicable exchange adjusted for the current day’s spreads.
The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.
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 GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining
THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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.
(b) Special Purpose Acquisition Companies
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.
(c) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Consolidated Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(d) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks,
96 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
such as the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Fund’s Consolidated Schedule of Investments.
The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.
(e) Interest on When-Issued Securities
The Fund may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.
(f) Short Sales
When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense
THE GUGGENHEIM FUNDS ANNUAL REPORT | 97 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(g) Options
Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
The Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the option. The swaptions are forward premium swaptions which have extended settlement dates.
(h) Futures Contracts
Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(i) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
98 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(j) Currency Translations
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(k) Forward Foreign Currency Exchange Contracts
The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 99 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
(l) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Consolidated Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Consolidated Statement of Assets and Liabilities.
(m) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Consolidated Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Consolidated Statement of Operations at the end of the commitment period.
100 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
(n) Distributions
The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.
(o) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(p) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Consolidated Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Consolidated Statement of Operations.
(q) Cash
The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.
(r) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 101 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Note 2 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Consolidated Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Consolidated Financial Statements.
Short Sales
A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Fund utilized derivatives for the following purposes:
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.
Speculation: the use of an instrument to express macro-economic and other investment views.
102 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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 following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:
Average Notional Amount | ||||||||
Use | Call | Put | ||||||
Duration, Hedge, Speculation | $ | 3,833,927,388 | $ | 222,080,497 |
The risk in writing a call option is that a 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 a 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 a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Fund’s use and volume of call/put options written on a monthly basis:
Average Notional Amount | ||||||||
Use | Call | Put | ||||||
Hedge, Speculation | $ | 80,604,933 | $ | 165,467,055 |
Futures Contracts
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Consolidated Statement of Assets and Liabilities; securities held as collateral are noted on the Consolidated Schedule of Investments.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 103 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following table represents the Fund’s use and volume of futures on a monthly basis:
Average Notional Amount | ||||||||
Use | Long | Short | ||||||
Hedge, Income, Speculation | $ | 75,730,205 | $ | 55,389,910 |
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. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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.
The following table represents the Fund’s use and volume of total return swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Long | Short | ||||||
Income, Index exposure, Speculation | $ | 244,430,346 | $ | 1,822,623 |
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.
104 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Pay Floating Rate | Receive Floating Rate | ||||||
Duration, Hedge, Speculation | $ | 14,624,581,333 | $ | 190,661,667 |
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 event 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 selling the credit protection. For a fund utilizing 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, a 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.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 105 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Protection Sold | Protection Purchased | ||||||
Income, Index exposure | $ | 192,050,000 | $ | 44,075,000 |
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.
The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:
Average Value | ||||||||
Use | Purchased | Sold | ||||||
Hedge, Income | $ | 451,580,493 | $ | 760,577,348 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Assets and Liabilities as of September 30, 2021:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Commodity futures contracts | Variation margin on futures contracts |
|
Credit/Interest Rate swap contracts | Unamortized upfront premiums paid on interest rate swap agreements | Unamortized upfront premiums received on credit default swap agreements |
Variation margin on credit default swap agreements | Unamortized upfront premiums received on interest rate swap agreements | |
|
| Variation margin on interest rate swap agreements |
Equity/Currency/Interest Rate option contracts | Investments in unaffiliated issuers, at value | Options written, at value |
Currency forward contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
106 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2021:
Asset Derivative Investments Value | ||||||||||||||||||||||||||||||||
| Swaps | Futures | Swaps | Options | Forward | Options | Options | Total | ||||||||||||||||||||||||
$ | 775,628 | $ | 13,823 | $ | — | $ | 15,615,060 | $ | 19,307,034 | $ | 904,714 | $ | 37,639,623 | $ | 74,255,882 |
Liability Derivative Investments Value | ||||||||||||||||||||||||||||||||
| Swaps | Futures | Swaps | Options | Forward | Options | Options | Total | ||||||||||||||||||||||||
$ | 3,097,451 | $ | 9,232,458 | $ | 140,470 | $ | 6,346,375 | $ | 5,210,272 | $ | 2,482,518 | $ | 3,466,764 | $ | 29,976,308 |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Consolidated Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Operations for the year ended September 30, 2021:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Interest Rate/Commodity futures contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
Equity/Interest Rate/Credit swap contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
Equity/Interest Rate/Commodity/Foreign | Net realized gain (loss) on options purchased |
Currency option contracts | Net change in unrealized appreciation (depreciation) on options purchased |
Net realized gain (loss) on options written | |
| Net change in unrealized appreciation (depreciation) on options written |
Currency forward contracts | Net realized gain (loss) on forward foreign currency exchange contracts |
| Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 107 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Consolidated Statement of Operations categorized by primary risk exposure for the year ended September 30, 2021:
Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statement of Operations | |||||||||||||||||||||||||||
Swaps | Futures | Swaps | Futures | Swaps | Options | Options | |||||||||||||||||||||
$ | (3,257,796 | ) | $ | 94,051 | $ | (9,236,911 | ) | $ | (45,426,314 | ) | $ | 67,593,011 | $ | 507 | $ | (961,227 | ) |
Forward | Options | Options | Options | Options | Options | Total | |||||||||||||||||||||
$ | 44,547,566 | $ | (4,341,521 | ) | $ | 11,794,751 | $ | 10,062,416 | $ | — | $ | 3,663,041 | $ | 74,531,574 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments | |||||||||||||||||||||||||||
Swaps | Futures | Swaps | Futures | Swaps | Options | Options | |||||||||||||||||||||
$ | 2,318,008 | $ | — | $ | (2,920,150 | ) | $ | (4,173,561 | ) | $ | (7,583,127 | ) | $ | 1,306,074 | $ | 1,303,680 |
Forward | Options | Options | Options | Options | Options | Total | |||||||||||||||||||||
$ | (33,844,710 | ) | $ | (59,089 | ) | $ | 2,912,897 | $ | 140,942 | $ | 66,948 | $ | — | $ | (40,532,088 | ) |
In conjunction with short sales and 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.
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
108 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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 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.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Offsetting
In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 109 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Consolidated Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities.
110 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset in | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net Amount | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 19,307,034 | $ | — | $ | 19,307,034 | $ | (3,407,859 | ) | $ | (7,001,484 | ) | $ | 8,897,691 | ||||||||||
Options purchased | 54,159,397 | — | 54,159,397 | (10,284,477 | ) | (17,229,659 | ) | 26,645,261 |
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net Amount | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 5,210,272 | $ | — | $ | 5,210,272 | $ | (3,407,859 | ) | $ | (956,326 | ) | $ | 846,087 | ||||||||||
Options written | 11,390,982 | — | 11,390,982 | (10,284,477 | ) | (643,260 | ) | 463,245 |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 111 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.
Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Barclays Bank plc | Forward foreign currency exchange contracts | $ | 950,000 | $ | — | ||||
BNP Paribas | Forward foreign currency exchange contracts, Options | — | 450,000 | ||||||
BofA Securities, Inc. | Forward foreign currency exchange contracts, Options | — | 555,000 | ||||||
Citibank, N.A. | Forward foreign currency exchange contracts, Options | — | 9,369,903 | ||||||
Goldman Sachs International | Forward foreign currency exchange contracts, Options | — | 10,810,000 | ||||||
J.P. Morgan Securities LLC | Credit default swap agreements | 16,244,513 | — | ||||||
J.P. Morgan Securities LLC | Futures contracts | 14,694,350 | — | ||||||
J.P. Morgan Securities LLC | Interest rate swap agreements | 13,830,370 | 1,228,698 | ||||||
JPMorgan Chase Bank, N.A. | Forward foreign currency exchange contracts | 90,000 | — | ||||||
Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts, Options | — | 13,850,000 | ||||||
UBS AG | Forward foreign currency exchange contracts, Options | — | 140,000 | ||||||
$ | 45,809,233 | $ | 36,403,601 |
Note 4 – 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 with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 — | 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. |
112 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees at an annual rate based on the average daily net assets as follows:
| Annualized | |||
$5 billion or less | 0.89 | % | ||
> $5 billion | 0.84 | % |
GI has contractually agreed to waive the management fee it receives from the Subsidiary in an amount equal to the management fee paid to GI by the Subsidiary. This undertaking will continue in effect for so long as the Fund invests in the Subsidiary, and may not be terminated by GI unless
THE GUGGENHEIM FUNDS ANNUAL REPORT | 113 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
GI obtains the prior approval of the Fund’s Board for such termination. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the Fund waived $244,617 related to advisory fees in the Subsidiary.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
Macro Opportunities Fund - A-Class | 1.36 | % | 11/30/12 | 02/01/23 | ||||||||
Macro Opportunities Fund - C-Class | 2.11 | % | 11/30/12 | 02/01/23 | ||||||||
Macro Opportunities Fund - P-Class | 1.36 | % | 05/01/15 | 02/01/23 | ||||||||
Macro Opportunities Fund - Institutional Class | 0.95 | % | 11/30/12 | 02/01/23 | ||||||||
Macro Opportunities Fund - R6-Class | 0.95 | % | 03/13/19 | 02/01/23 |
GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:
Fund | 2022 | 2023 | 2024 | Total | ||||||||||||
A-Class | $ | 229,185 | $ | 249,814 | $ | 196,169 | $ | 675,168 | ||||||||
C-Class | 116,410 | 150,071 | 102,752 | 369,233 | ||||||||||||
P-Class | 49,360 | 65,030 | 81,801 | 196,191 | ||||||||||||
Institutional Class | 6,566,140 | 5,879,352 | 6,245,889 | 18,691,381 | ||||||||||||
R6-Class | 3,985 | 41,632 | 59,463 | 105,080 |
For the year ended September 30, 2021, GI recouped $685,752 from the Fund.
114 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the Fund waived $849,547 related to investments in affiliated funds.
For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 6 – Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, the Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
For the year ended September 30, 2021, the Fund entered into reverse repurchase agreements:
| Number of Days | Balance at | Average Balance | Average | ||||||||||||
365 | $ | 6,599,211 | $ | 87,876,243 | 0.45 | % |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 115 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Consolidated Statement of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset in | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net Amount | ||||||||||||||||||
Reverse Repurchase Agreements | $ | 6,599,211 | $ | — | $ | 6,599,211 | $ | (6,599,211 | ) | $ | — | $ | — |
As of September 30, 2021, there was $6,599,211 in reverse repurchase agreements outstanding. The Fund had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:
Counterparty | Range of | Maturity | Repurchase | |||||||||
RBC Capital Markets | (0.50)% - (0.25)% | * | Open Maturity | $ | 6,599,211 |
* | The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective as of September 30, 2021. |
The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of period-end, aggregated by asset class of the related collateral pledged by the Fund:
| Overnight and | Total | ||||||
Corporate Bonds | $ | 6,599,211 | $ | 6,599,211 | ||||
Gross amount of recognized liabilities for reverse repurchase agreements | $ | 6,599,211 | $ | 6,599,211 |
116 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Note 7 – 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 (“IRS”) for a period of three years after they are filed.
The Fund intends to invest up to 25% of its assets in the Subsidiary which is expected to provide the Fund with exposure to the commodities markets within the limitations of the U.S. federal income tax requirements under Subchapter M of the Internal Revenue Code. The Fund has received a private letter ruling from the IRS that concludes that the income the Fund receives from the Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business. If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 271,926,669 | $ | — | $ | 271,926,669 |
The tax character of distributions paid during the year ended September 30, 2020 was as follows:
| Ordinary | Long-Term | Total | |||||||||
| $ | 180,078,864 | $ | — | $ | 180,078,864 |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 117 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:
| Undistributed | Undistributed | Net | Accumulated | Other | Total | ||||||||||||||||||
$ | — | $ | — | $ | (50,087,712 | ) | $ | (4,479,614 | ) | $ | 24,409,770 | $ | (30,157,556 | ) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. Under the RIC Modernization Act of 2010, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital loss carryforwards will retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.
For the year ended September 30, 2021, the following capital loss carryforward amounts were utilized:
| Utilized | |||
$ | 126,906,052 |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in CLO securities, the “mark-to-market” of certain derivatives, investments in swaps, investments in bonds, foreign currency gains and losses, losses deferred due to wash sales, dividend payable, amortization, recharacterization of income from investments, and transactions with the Fund’s wholly owned foreign subsidiary. Additional differences may result from investments in partnerships, the “mark-to-market” of certain foreign currency denominated securities, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Consolidated Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:
| Paid In | Total | ||||||
$ | (44,750,150 | ) | $ | 44,750,150 |
118 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
At September 30, 2021, 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 | Tax | Tax | Net Tax | ||||||||||||
$ | 8,136,525,884 | $ | 175,082,829 | $ | (226,779,027 | ) | $ | (51,696,198 | ) |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Fund has elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Fund has also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2021, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2021:
| Ordinary | Capital | ||||||
$ | (4,479,614 | ) | $ | — |
Note 8 – Securities Transactions
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| Purchases | Sales | ||||||
$ | 6,349,509,349 | $ | 5,152,218,602 |
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:
| Purchases | Sales | ||||||
$ | 142,662,485 | $ | 97,905,838 |
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction
THE GUGGENHEIM FUNDS ANNUAL REPORT | 119 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| Purchases | Sales | Realized | |||||||||
$ | 25,180,020 | $ | 110,950,539 | $ | 9,486,109 |
Note 9 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of September 30, 2021, were as follows:
Borrower | Maturity | Face | Value | |||||||||
BCPE Empire Holdings, Inc. | 06/11/26 | 4,640,000 | $ | 22,290 | ||||||||
CapStone Acquisition Holdings, Inc. | 11/12/27 | 3,807,600 | 33,123 | |||||||||
Care BidCo | 04/15/26 | EUR | 9,200,000 | 971,468 | ||||||||
DG Investment Intermediate Holdings 2, Inc. | 03/31/28 | 139,753 | — | |||||||||
Eisner Advisory Group | 07/28/28 | 545,455 | — | |||||||||
Fortis Solutions Group LLC | 12/15/23 | 503,680 | 5,037 | |||||||||
Galls LLC | 01/31/24 | 71,554 | 3,626 | |||||||||
Higginbotham | 11/25/26 | 523,988 | 6,730 | |||||||||
HighTower Holding LLC | 04/21/28 | 3,420,000 | 4,275 | |||||||||
ImageFIRST Holdings LLC | 04/26/28 | 1,657,407 | 4,144 | |||||||||
Jones Deslauriers Insurance Management, Inc. | 03/26/29 | CAD | 1,062,000 | — | ||||||||
KKR Core Holding Company LLC | 07/15/31 | 19,520,000 | — | |||||||||
MB2 Dental Solutions LLC | 12/22/21 | 9,972,774 | 40,113 | |||||||||
Medline Industries, Inc. | 08/06/22 | 38,400,000 | — | |||||||||
National Mentor Holdings, Inc. | 03/02/28 | 670,000 | 3,058 | |||||||||
Osmosis Holdings Australia II Pty Ltd. | 07/31/28 | 727,778 | — | |||||||||
Polaris Newco LLC | 06/04/26 | 10,433,121 | 1,049,461 | |||||||||
Pro Mach Group, Inc. | 08/31/28 | 300,279 | — | |||||||||
SCP Eye Care Services LLC | 03/16/28 | 2,407,955 | 3,010 | |||||||||
Service Logic Acquisition, Inc. | 10/29/27 | 2,128,358 | — | |||||||||
Taxware Holdings (Sovos Compliance LLC) | 08/11/28 | 559,589 | — | |||||||||
Team.Blue Finco SARL | 03/27/28 | EUR | 756,757 | 2,034 | ||||||||
TricorBraun Holdings, Inc. | 03/03/28 | 1,136,343 | 6,954 | |||||||||
Venture Global Calcasieu Pass LLC | 08/19/26 | 2,780,288 | 152,916 | |||||||||
Vertical (TK Elevator) | 01/30/27 | EUR | 13,250,000 | 1,390,122 | ||||||||
$ | 3,698,361 |
* | The face amount is denominated in U.S. dollars unless otherwise indicated. |
CAD - Canadian Dollar | |
EUR - Euro |
120 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Note 10 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted | Acquisition | Cost | Value | |||||||||
Airplanes Pass Through Trust | ||||||||||||
2001-1A, due 03/15/191 | 01/18/12 | $ | 1,691,717 | $ | 210 | |||||||
Atlas Mara Ltd. | ||||||||||||
due 12/31/211 | 10/01/15 | 14,291,331 | 6,942,240 | |||||||||
Basic Energy Services, Inc. | ||||||||||||
due 10/15/231 | 09/25/18 | 1,493,094 | 112,500 | |||||||||
Copper River CLO Ltd. | ||||||||||||
2007-1A, due 01/20/212 | 05/09/14 | 228,522 | 278,974 | |||||||||
FKRT | ||||||||||||
2020-C2A, 3.25% due 12/30/23 | 12/03/20 | 22,393,247 | 22,382,728 | |||||||||
Mirabela Nickel Ltd. | ||||||||||||
due 06/24/191 | 12/31/13 | 1,710,483 | 94,271 | |||||||||
Princess Juliana International Airport Operating Company N.V. | ||||||||||||
5.50% due 12/20/27 | 12/17/12 | 1,108,974 | 1,012,698 | |||||||||
Secured Tenant Site Contract Revenue Notes Series | ||||||||||||
2018-1A, 4.70% due 06/15/48 | 05/25/18 | 6,722,507 | 6,893,760 | |||||||||
$ | 49,639,875 | $ | 37,717,381 |
1 | Security is in default of interest and/or principal obligations. |
2 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
Note 11 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Consolidated Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (concluded) |
On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.
Note 12 – COVID-19
The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Note 13 – Subsequent Events
The Fund evaluated subsequent events through the date the consolidated financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s consolidated financial statements.
122 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Macro Opportunities Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities of Guggenheim Macro Opportunities Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the consolidated schedule of investments, as of September 30, 2021, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the consolidated results of its operations for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended and the consolidated financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodians, transfer agent, brokers, and paying agents or by other appropriate auditing procedures where replies from brokers or paying agents were not received. Our audits also included evaluating the accounting
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2021
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OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2022, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2021.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Qualified | Dividend | Qualified | Qualified | ||||||||||||
| 1.94% | 1.88% | 78.50% | 100.00% |
Delivery of Shareholder Reports
Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
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OTHER INFORMATION (Unaudited)(continued) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Consolidated Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/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.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
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OTHER INFORMATION (Unaudited)(continued) |
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)
● Guggenheim High Yield Fund
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)
● Guggenheim Municipal Income Fund (“Municipal Income Fund”)
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)
● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)
● Guggenheim World Equity Income Fund (“World Equity Income Fund”) | ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
● Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”)
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral
● Guggenheim Risk Managed
● Guggenheim SMid Cap Value Fund
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors
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and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
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OTHER INFORMATION (Unaudited)(continued) |
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.4 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021. |
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OTHER INFORMATION (Unaudited)(continued) |
Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related
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OTHER INFORMATION (Unaudited)(continued) |
services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.5 As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
5 | Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements. |
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In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s
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OTHER INFORMATION (Unaudited)(continued) |
increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
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OTHER INFORMATION (Unaudited)(continued) |
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.
Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
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OTHER INFORMATION (Unaudited)(continued) |
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund
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OTHER INFORMATION (Unaudited)(continued) |
business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.
Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
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OTHER INFORMATION (Unaudited)(concluded) |
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee) | Current: Private Investor (2001-present). | 158 | Current: Purpose Investments Funds (2013-present). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). | 157 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 157 | Current: US Global Investors (GROW) (1995-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INDEPENDENT TRUSTEES - continued | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present). | 158 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee) | Current: Retired. | 157 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 157 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INTERESTED TRUSTEE | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014
Since 2007 (Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Assistant Treasurer | Since 2014 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - continued | |||
Elisabeth Miller (1968) | Chief Compliance | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2014 | Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers. How We Handle Your Personal Information The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we
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offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law. In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose
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your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
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LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
150 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
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Guggenheim Funds Annual Report
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Guggenheim Floating Rate Strategies Fund |
GuggenheimInvestments.com | FR-ANN-0921x0922 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
FLOATING RATE STRATEGIES FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 45 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 63 |
OTHER INFORMATION | 65 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 79 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 86 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 90 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2021 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim Floating Rate Strategies Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Fund. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
October 31, 2021
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2021 |
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.
Floating Rate Strategies Fund may not be suitable for all investors. ● Investments in floating rate senior secured syndicated bank loans and other floating rate securities involve special types of risks, including credit rate risk, interest rate risk, liquidity risk and prepayment risk. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements and synthetic instruments (such as synthetic collateralized debt obligations) expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2021 |
In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.
Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.
As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.
As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.
Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2021 |
For the 12-month period ended September 30, 2021, the S&P 500® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions
Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
Credit Suisse Leveraged Loan Index tracks the investable market of the U.S. dollar denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.
The following tables illustrate the Fund’s costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
A-Class | 1.02% | 2.60% | $ 1,000.00 | $ 1,026.00 | $ 5.18 |
C-Class | 1.77% | 2.22% | 1,000.00 | 1,022.20 | 8.97 |
P-Class | 1.02% | 2.60% | 1,000.00 | 1,026.00 | 5.18 |
Institutional Class | 0.78% | 2.72% | 1,000.00 | 1,027.20 | 3.96 |
R6-Class | 0.78% | 2.75% | 1,000.00 | 1,027.50 | 3.96 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
A-Class | 1.02% | 5.00% | $ 1,000.00 | $ 1,019.95 | $ 5.16 |
C-Class | 1.77% | 5.00% | 1,000.00 | 1,016.19 | 8.95 |
P-Class | 1.02% | 5.00% | 1,000.00 | 1,019.95 | 5.16 |
Institutional Class | 0.78% | 5.00% | 1,000.00 | 1,021.16 | 3.95 |
R6-Class | 0.78% | 5.00% | 1,000.00 | 1,021.16 | 3.95 |
1 | Annualized and excludes expenses of the underlying funds in which the Fund invests, if any. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim Floating Rate Strategies Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Kevin H. Gundersen, Senior Managing Director and Portfolio Manager; and Thomas J. Hauser, Senior Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.
Investment Approach
The Fund seeks to provide a high level of current income while maximizing total return. The Fund seeks to exploit the broader universe of floating rate securities, including bank loans, asset-backed securities, collateralized loan obligations, and mortgage-backed securities and offers access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance. The Fund may complement traditional fixed-income allocation, providing diversification (though, diversification neither assures a profit nor eliminates the risk of experiencing investment losses) as well as the potential to maximize income in various rate environments.
Performance Review and Positioning
For the one-year period ended September 30, 2021, Guggenheim Floating Rate Strategies Fund returned 7.83%1 net of fees, compared with the 8.46% return of its benchmark, the Credit Suisse Leveraged Loan Index (the “Index”).
Leveraged credit reached its sixth straight quarter of positive performance at period end, with continued spread of the Delta variant and volatility around possible Fed tapering muting performance in the third quarter of 2021. Even as leveraged credit spreads continued to tighten, the pace of tightening has slowed as we approach historical tights and with yields still sitting near record lows. The bank loan market is currently benefitting from robust demand technicals, supportive fundamentals and an improving economy, mitigated by macroeconomic concerns and declining support from policymakers. Factoring all of these dynamics together, we expect mostly coupon-like returns for the remainder of the year with the potential for moderate spread tightening over the medium-term, punctuated by periods of volatility given macroeconomic dynamics (supply chain / inflation / labor constraints), issues in China, Delta variant challenges and declining policy support.
Despite pressure on earnings from wage inflation and input costs, fundamentals remain very strong across the loan market. Performance of public filing constituents in the S&P Leveraged Loan Index indicated that Earnings before interest, taxes, depreciation, and amortization (“EBITA”) was growing at the fastest rate since 2010. Total leverage is now well below pre-
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
pandemic at 5.0x, and interest coverage is at record highs of 5.5x, providing a cash flow buffer in the event of rising rates. We continue to see upgrades with a ~2x upgrade to downgrade ratio at period end coupled with low distress and default rates as well as minimal near-term maturities.
New issuance picked up to $155 billion in the third quarter of 2021, and collateralized loan obligation (“CLO”) issuance of $47 billion set a quarterly record. In terms of demand, both CLOs and mutual funds continued surging in assets under management (“AUM”). Mutual fund flows of $8 billion were slowing slightly in the third quarter of 2021 but remained solid.
Throughout the period, lower quality continued to outperform, but the extent moderated as the period progressed. Spread premiums by rating tier (such as the premium of B rated bonds over BB rated bonds) stabilized toward period end.
In terms of Fund performance, the combination of strong gains across stressed positions and avoiding credit issues across the loan market drove relative returns. Outperformance from these factors was offset by an underweight to CCC rated bonds, which continued outperforming in line with recent trends--still well above the broad market. The Fund used derivatives in the form of forward foreign currency exchange contracts to hedge currency exposure on foreign-denominated bonds. The hedges had an immaterial impact on performance for the period.
We continue to remain cautious on the lower end of the credit curve given tight levels. CCC rated bond spreads remain approximately in line with 10-year tights, having stalled in compressing further coincident with the arrival of the Delta variant. Likely macro headwinds ahead lead us to remain focused on mid to higher quality issuers. At the same time, we are also focused primarily on the new issue market for capital deployment, where spreads remain attractive and we are able to both maintain and increase current portfolio spread levels while still investing conservatively versus market supply. Even with spreads at historically tight levels, history has shown that they can remain at compressed levels and even tighten further during periods of economic expansion. We would likely view any pullback in loans as a buying opportunity given our view that the credit cycle has a few more years to run.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND
OBJECTIVE: Seeks to provide a high level of current income while maximizing total return.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | November 30, 2011 |
C-Class | November 30, 2011 |
P-Class | May 1, 2015 |
Institutional Class | November 30, 2011 |
R6-Class | March 13, 2019 |
Ten Largest Holdings (% of Total Net Assets) | |
SPDR Blackstone Senior Loan ETF | 2.7% |
American Tire Distributors, Inc., 8.50% | 2.0% |
Standard Industries, Inc. | 0.9% |
Triton Water Holdings, Inc., 4.00% | 0.9% |
Element Solutions, Inc., 2.08% | 0.9% |
Quikrete Holdings, Inc. | 0.9% |
First Brands Group LLC, 6.00% | 0.9% |
Beacon Roofing Supply, Inc., 2.33% | 0.9% |
USI, Inc., 3.13% | 0.9% |
Park River Holdings, Inc., 4.00% | 0.9% |
Top Ten Total | 11.9% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2021 |
Cumulative Fund Performance*
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2021 |
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | Since |
A-Class Shares | 7.83% | 3.40% | 4.48% |
A-Class Shares with sales charge‡ | 4.62% | 2.77% | 3.96% |
C-Class Shares | 7.03% | 2.63% | 3.71% |
C-Class Shares with CDSC§ | 6.03% | 2.63% | 3.71% |
Institutional Class Shares | 8.08% | 3.64% | 4.73% |
Credit Suisse Leveraged Loan Index | 8.46% | 4.64% | 4.89% |
| 1 Year | 5 Year | Since |
P-Class Shares | 7.83% | 3.40% | 3.30% |
Credit Suisse Leveraged Loan Index | 8.46% | 4.64% | 4.22% |
| 1 Year | Since |
R6-Class Shares | 8.06% | 3.88% |
Credit Suisse Leveraged Loan Index | 8.46% | 4.53% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Credit Suisse Leveraged Loan Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 3.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 3.00% maximum sales charge is used to calculated performance for periods based on subscriptions made on or after October 1, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 0.0%** |
AA | 0.4% |
BBB | 8.7% |
BB | 29.0% |
B | 46.3% |
CCC | 2.4% |
CC | 0.7% |
NR2 | 0.9% |
Other Instruments | 11.6% |
Total Investments | 100.0% |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR (not rated) securities do not necessarily indicate low credit quality. |
** | Less than 0.1%. |
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Shares | Value | ||||||
COMMON STOCKS††† - 0.3% | ||||||||
Energy - 0.3% | ||||||||
Unit Corp.††,* | 54,605 | $ | 1,665,452 | |||||
Permian Production Partners LLC* | 401,481 | 509,881 | ||||||
Total Energy | 2,175,333 | |||||||
Industrial - 0.0% | ||||||||
BP Holdco LLC*,1 | 244,278 | 172,216 | ||||||
Vector Phoenix Holdings, LP* | 244,278 | 67,177 | ||||||
API Heat Transfer Parent LLC* | 4,994,727 | 5 | ||||||
Total Industrial | 239,398 | |||||||
Consumer, Non-cyclical - 0.0% | ||||||||
Targus Group International Equity, Inc.*,1 | 12,773 | 31,108 | ||||||
Chef Holdings, Inc.* | 94 | 4,838 | ||||||
Total Consumer, Non-cyclical | 35,946 | |||||||
Total Common Stocks | ||||||||
(Cost $2,022,479) | 2,450,677 | |||||||
PREFERRED STOCKS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
API Heat Transfer Intermediate* | 618 | — | ||||||
Total Preferred Stocks | ||||||||
(Cost $493,920) | — | |||||||
EXCHANGE-TRADED FUNDS† - 2.7% | ||||||||
SPDR Blackstone Senior Loan ETF | 544,780 | 25,070,776 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $25,016,730) | 25,070,776 | |||||||
MONEY MARKET FUND† - 9.4% | ||||||||
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.01%2 | 86,654,335 | 86,654,335 | ||||||
Total Money Market Fund | ||||||||
(Cost $86,654,335) | 86,654,335 | |||||||
Face | ||||||||
SENIOR FLOATING RATE INTERESTS††,5 - 89.5% | ||||||||
Industrial - 22.4% | ||||||||
Standard Industries, Inc. | ||||||||
3.00% due 09/22/28 | 8,000,000 | 8,004,320 | ||||||
Quikrete Holdings, Inc. | ||||||||
3.00% due 05/22/28 | 8,000,000 | 7,971,040 | ||||||
Beacon Roofing Supply, Inc. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/19/28 | 7,980,000 | 7,930,923 | ||||||
Park River Holdings, Inc. | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27 | 7,930,125 | 7,895,470 | ||||||
Core & Main, LP | ||||||||
2.59% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/27/28 | 7,700,000 | 7,661,500 | ||||||
Atlantic Aviation | ||||||||
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 09/22/28 | 7,650,000 | 7,639,061 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
BWAY Holding Co. | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | 7,714,709 | $ | 7,549,537 | |||||
STS Operating, Inc. (SunSource) | ||||||||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 | 7,465,853 | 7,444,874 | ||||||
Genesee & Wyoming, Inc. | ||||||||
2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 12/30/26 | 7,424,623 | 7,375,695 | ||||||
Alliance Laundry Systems LLC | ||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/08/27 | 7,216,125 | 7,222,547 | ||||||
Berry Global, Inc. | ||||||||
1.86% (2 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | 7,086,938 | 7,042,644 | ||||||
Engineered Machinery Holdings, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/19/28 | 7,000,000 | 6,979,560 | ||||||
LTI Holdings, Inc. | ||||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25 | 6,900,945 | 6,798,535 | ||||||
Titan Acquisition Ltd. (Husky) | ||||||||
3.17% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 6,870,339 | 6,740,765 | ||||||
American Bath Group LLC | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27 | 6,473,734 | 6,449,458 | ||||||
TransDigm, Inc. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | 3,554,774 | 3,510,339 | ||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | 2,922,563 | 2,885,739 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25 | 6,261,512 | 6,200,462 | ||||||
Charter Next Generation, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | 5,726,500 | 5,736,350 | ||||||
Clean Harbors, Inc. | ||||||||
due 09/21/28 | 5,700,000 | 5,697,606 | ||||||
Duran Group Holding GMBH | ||||||||
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/29/24 | EUR | 3,791,039 | 4,331,455 |
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 12/20/24 | EUR | 961,721 | $ | 1,098,815 | ||||
Altra Industrial Motion Corp. | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/01/25 | 5,394,516 | 5,359,451 | ||||||
Reynolds Group Holdings, Inc. | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/05/26 | 4,930,225 | 4,893,248 | ||||||
Gardner Denver, Inc. | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27 | 4,962,217 | 4,891,902 | ||||||
Pelican Products, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25 | 4,614,975 | 4,594,808 | ||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28 | 3,838,588 | 3,851,601 | ||||||
Pro Mach Group, Inc. | ||||||||
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 1.00%) due 08/31/28 | 3,785,475 | 3,801,715 | ||||||
Brown Group Holding LLC | ||||||||
3.25% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 06/07/28 | 3,737,527 | 3,732,855 | ||||||
Hillman Group, Inc. | ||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28 | 3,700,000 | 3,694,450 | ||||||
Berlin Packaging LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 03/13/28 | 3,450,000 | 3,444,963 | ||||||
Mileage Plus Holdings LLC | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 2,800,000 | 2,973,264 | ||||||
Savage Enterprises LLC | ||||||||
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 09/15/28 | 2,950,000 | 2,945,840 | ||||||
TricorBraun Holdings, Inc. | ||||||||
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 | 2,945,027 | 2,927,004 | ||||||
Ravago Holdings America, Inc. | ||||||||
2.64% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28 | 2,835,750 | 2,821,571 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
United Airlines, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | 2,361,741 | $ | 2,376,242 | |||||
USIC Holding, Inc. | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/12/28 | 2,350,000 | 2,347,063 | ||||||
Air Canada | ||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 2,200,000 | 2,207,326 | ||||||
Osmose Utility Services, Inc. | ||||||||
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 06/23/28 | 2,050,000 | 2,041,042 | ||||||
TK Elevator Midco GmbH | ||||||||
4.00% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | 1,885,786 | 1,888,407 | ||||||
YAK MAT (YAK ACCESS LLC) | ||||||||
10.13% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | 2,550,000 | 1,765,875 | ||||||
Ring Container Technologies Group LLC | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/14/28 | 1,750,000 | 1,750,875 | ||||||
API Heat Transfer | ||||||||
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 01/01/24†††,3 | 3,333,560 | 1,166,746 | ||||||
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 10/02/23†††,3 | 577,047 | 418,359 | ||||||
TAMKO Building Products, Inc. | ||||||||
3.11% (2 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26 | 1,190,886 | 1,183,443 | ||||||
Total Industrial | 207,244,745 | |||||||
Consumer, Non-cyclical - 17.1% | ||||||||
Triton Water Holdings, Inc. | ||||||||
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28 | 8,000,000 | 7,985,040 | ||||||
Hayward Industries, Inc. | ||||||||
3.00% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 05/29/28 | 7,780,500 | 7,756,225 | ||||||
SRAM LLC | ||||||||
3.25% (1 Month USD LIBOR + 2.75% and 3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 05/18/28 | 7,636,364 | 7,623,611 |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Bombardier Recreational Products, Inc. | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | 7,457,610 | $ | 7,390,044 | |||||
Kronos Acquisition Holdings, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 7,412,750 | 7,222,168 | ||||||
Medline Borrower LP | ||||||||
due 09/28/28 | 7,000,000 | 6,965,000 | ||||||
Froneri US, Inc. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27 | 6,813,750 | 6,728,578 | ||||||
Aramark Services, Inc. | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25 | 6,400,000 | 6,253,312 | ||||||
VC GB Holdings I Corp. | ||||||||
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/21/28 | 6,250,000 | 6,243,500 | ||||||
National Mentor Holdings, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | 6,000,071 | 5,998,570 | ||||||
Springs Window Fashions | ||||||||
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/16/25 | 4,302,410 | 4,302,410 | ||||||
8.58% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26 | 1,350,000 | 1,350,000 | ||||||
Recess Holdings, Inc. | ||||||||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24 | 5,579,144 | 5,546,617 | ||||||
US Foods, Inc. | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/27/23 | 5,043,335 | 5,011,814 | ||||||
Phoenix Newco, Inc. | ||||||||
due 08/03/28 | 5,000,000 | 5,000,800 | ||||||
DaVita, Inc. | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/12/26 | 4,949,622 | 4,918,687 | ||||||
Cidron New Bidco Ltd. | ||||||||
3.00% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/16/25 | EUR | 4,125,000 | 4,710,060 | |||||
Southern Veterinary Partners LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 4,674,394 | 4,691,923 | ||||||
IQVIA Holdings, Inc. | ||||||||
1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/11/25 | 4,521,422 | 4,510,119 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Weber-Stephen Products LLC | ||||||||
4.00% (1 Month USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27 | 4,122,921 | $ | 4,130,136 | |||||
Examworks Group, Inc. | ||||||||
4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/27/23 | 3,590,576 | 3,589,822 | ||||||
Icon Luxembourg SARL | ||||||||
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 07/03/28 | 3,541,125 | 3,552,421 | ||||||
Grifols Worldwide Operations USA, Inc. | ||||||||
2.07% (1 Week USD LIBOR + 2.00%, Rate Floor: 2.00%) due 11/15/27 | 3,501,315 | 3,442,948 | ||||||
Sigma Holding BV (Flora Food) | ||||||||
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25 | EUR | 3,000,000 | 3,374,722 | |||||
Option Care Health, Inc. | ||||||||
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26 | 3,175,758 | 3,174,170 | ||||||
Aveanna Healthcare LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28 | 3,164,151 | 3,160,196 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
due 02/22/28 | 3,100,000 | 3,099,225 | ||||||
Energizer Holdings, Inc. | ||||||||
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27 | 2,835,750 | 2,832,205 | ||||||
MajorDrive Holdings IV LLC | ||||||||
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/01/28 | 2,350,000 | 2,353,666 | ||||||
Elanco Animal Health, Inc. | ||||||||
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | 2,275,738 | 2,246,472 | ||||||
Arctic Glacier Group Holdings, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24 | 2,272,564 | 2,157,982 | ||||||
Osmosis Holdings Australia II Pty Ltd. | ||||||||
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/31/28 | 2,000,000 | 2,005,500 |
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Cambrex Corp. | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 12/04/26 | 1,885,750 | $ | 1,887,428 | |||||
Endo Luxembourg Finance Company I SARL | ||||||||
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28 | 1,910,400 | 1,864,761 | ||||||
PPD, Inc. | ||||||||
2.50% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 01/13/28 | 1,492,500 | 1,489,396 | ||||||
HCRX Investments HoldCo, LP | ||||||||
due 07/15/28 | 1,450,000 | 1,444,562 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/02/25 | 1,405,828 | 1,403,719 | ||||||
Upstream Newco, Inc. | ||||||||
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 11/20/26 | 750,000 | 749,535 | ||||||
Southern Veterinary Partners LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27††† | 121,212 | 121,667 | ||||||
Total Consumer, Non-cyclical | 158,289,011 | |||||||
Consumer, Cyclical - 12.0% | ||||||||
American Tire Distributors, Inc. | ||||||||
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24 | 18,744,292 | 18,723,861 | ||||||
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23 | 2,017,146 | 2,013,111 | ||||||
First Brands Group LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27 | 7,860,500 | 7,931,244 | ||||||
Stars Group (Amaya) | ||||||||
2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26 | 7,650,000 | 7,621,313 | ||||||
IBC Capital Ltd. | ||||||||
3.87% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 | 7,164,368 | 7,058,693 | ||||||
Zephyr Bidco Ltd. | ||||||||
4.80% (1 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 07/23/25 | GBP | 5,265,000 | 7,056,255 | |||||
Power Solutions (Panther) | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | 6,847,618 | 6,813,380 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Alterra Mountain Co. | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28 | 6,690,616 | $ | 6,665,526 | |||||
PetSmart LLC | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | 6,350,000 | 6,359,080 | ||||||
Burlington Stores, Inc. | ||||||||
2.09% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/26/28 | 4,750,000 | 4,730,193 | ||||||
EG Finco Ltd. | ||||||||
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 | EUR | 3,332,891 | 3,841,358 | |||||
4.13% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 | 773,591 | 770,566 | ||||||
Packers Holdings LLC | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | 4,472,710 | 4,449,407 | ||||||
CNT Holdings I Corp. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/08/27 | 3,781,000 | 3,783,382 | ||||||
CHG Healthcare Services, Inc. | ||||||||
due 09/20/28 | 3,050,000 | 3,053,264 | ||||||
Mavis Tire Express Services TopCo Corp. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28 | 2,992,500 | 2,997,946 | ||||||
Truck Hero, Inc. | ||||||||
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28 | 2,835,750 | 2,828,065 | ||||||
WIRB - Copernicus Group, Inc. | ||||||||
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 01/08/27 | 2,550,000 | 2,558,772 | ||||||
Seren BidCo AB | ||||||||
due 07/21/28 | 2,200,000 | 2,193,576 | ||||||
Alexander Mann | ||||||||
5.17% (6 Month GBP LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25 | GBP | 1,540,000 | 1,999,584 | |||||
Entain Holdings (Gibraltar) Limited | ||||||||
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 03/29/27 | 1,895,250 | 1,891,706 | ||||||
WW International, Inc. | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28 | 1,745,625 | 1,742,361 |
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
American Trailer World Corp. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/03/28 | 1,596,000 | $ | 1,587,621 | |||||
Rent-A-Center, Inc. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 02/17/28††† | 1,396,500 | 1,405,228 | ||||||
SHO Holding I Corp. | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24††† | 564,599 | 533,547 | ||||||
6.23% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24††† | 9,357 | 8,843 | ||||||
Total Consumer, Cyclical | 110,617,882 | |||||||
Communications - 11.6% | ||||||||
Xplornet Communications, Inc. | ||||||||
due 09/28/28 | 7,300,000 | 7,263,500 | ||||||
4.84% (1 Month USB LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27 | 3,950,000 | 3,945,063 | ||||||
Virgin Media Bristol LLC | ||||||||
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28 | 7,916,233 | 7,859,869 | ||||||
WMG Acquisition Corp. | ||||||||
2.21% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28 | 7,250,000 | 7,206,210 | ||||||
McGraw Hill LLC | ||||||||
5.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 7,100,000 | 7,115,194 | ||||||
CSC Holdings LLC | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25 | 6,851,521 | 6,748,748 | ||||||
Ziggo Financing Partnership | ||||||||
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28 | 6,685,000 | 6,629,314 | ||||||
Zayo Group Holdings, Inc. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | 6,648,468 | 6,586,438 | ||||||
UPC Broadband Holding BV | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29 | 6,600,000 | 6,576,636 | ||||||
ProQuest LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26 | 6,204,806 | 6,197,609 | ||||||
GTT Communications BV | ||||||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 05/30/25 | EUR | 5,483,279 | 5,352,803 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Authentic Brands | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24 | 5,353,601 | $ | 5,342,733 | |||||
SFR Group S.A. | ||||||||
3.81% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26 | 3,371,127 | 3,339,944 | ||||||
2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/25 | 1,649,592 | 1,621,417 | ||||||
Titan US Finco LLC | ||||||||
4.13% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/01/26 | 4,406,206 | 4,397,966 | ||||||
Telenet Financing USD LLC | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28 | 4,000,000 | 3,951,680 | ||||||
Playtika Holding Corp. | ||||||||
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | 3,541,103 | 3,538,270 | ||||||
Cengage Learning Acquisitions, Inc. | ||||||||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26 | 3,350,000 | 3,369,430 | ||||||
Level 3 Financing, Inc. | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27 | 3,339,546 | 3,297,200 | ||||||
GTT Communications, Inc. | ||||||||
2.90% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/30/25 | 3,226,960 | 2,723,425 | ||||||
Recorded Books, Inc. | ||||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25 | 2,200,000 | 2,200,682 | ||||||
Radiate Holdco LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 09/25/26 | 1,786,500 | 1,783,927 | ||||||
Total Communications | 107,048,058 | |||||||
Financial - 9.6% | ||||||||
USI, Inc. | ||||||||
3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | 7,988,652 | 7,930,175 | ||||||
NFP Corp. | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 | 7,766,212 | 7,680,240 | ||||||
Aretec Group, Inc. | ||||||||
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25 | 7,634,125 | 7,605,497 | ||||||
AmWINS Group, Inc. | ||||||||
3.00% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28 | 7,462,500 | 7,414,964 |
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Jane Street Group LLC | ||||||||
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | 7,363,000 | $ | 7,285,689 | |||||
Alliant Holdings Intermediate LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | 7,282,039 | 7,227,424 | ||||||
Focus Financial Partners LLC | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24 | 6,741,348 | 6,687,956 | ||||||
HarbourVest Partners, LP | ||||||||
2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/03/25 | 6,218,996 | 6,176,271 | ||||||
Nexus Buyer LLC | ||||||||
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | 4,696,514 | 4,694,823 | ||||||
Citadel Securities, LP | ||||||||
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | 4,477,500 | 4,434,337 | ||||||
Franchise Group, Inc. | ||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | 4,036,453 | 4,051,589 | ||||||
AlixPartners, LLP | ||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28 | 3,980,000 | 3,967,821 | ||||||
Ryan Specialty Group LLC | ||||||||
3.75% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 09/01/27 | 3,564,000 | 3,560,436 | ||||||
Apex Group Treasury LLC | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/27/28††† | 3,500,000 | 3,495,625 | ||||||
Duff & Phelps | ||||||||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27 | 2,573,935 | 2,579,160 | ||||||
HighTower Holding LLC | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | 2,160,000 | 2,157,300 | ||||||
AqGen Island Holdings, Inc. | ||||||||
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/02/28 | 1,850,000 | 1,843,840 | ||||||
Total Financial | 88,793,147 | |||||||
Technology - 8.6% | ||||||||
WEX, Inc. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/31/28 | 7,761,000 | 7,724,368 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Peraton Corp. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 7,710,627 | $ | 7,711,860 | |||||
Informatica LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27 | 7,092,667 | 7,066,070 | ||||||
Conair Holdings LLC | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28 | 6,750,000 | 6,752,835 | ||||||
Boxer Parent Co., Inc. | ||||||||
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 | 6,118,764 | 6,081,807 | ||||||
CCC Intelligent Solutions, Inc. | ||||||||
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/21/28 | 6,000,000 | 5,992,500 | ||||||
Misys Ltd. | ||||||||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 | 4,683,285 | 4,642,775 | ||||||
Emerald TopCo, Inc. (Press Ganey) | ||||||||
3.63% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | 4,465,909 | 4,435,228 | ||||||
Verscend Holding Corp. | ||||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25 | 4,390,000 | 4,393,644 | ||||||
Epicor Software | ||||||||
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 07/30/27 | 3,740,554 | 3,738,871 | ||||||
Sabre GLBL, Inc. | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 | 2,280,317 | 2,251,402 | ||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/17/27 | 1,396,500 | 1,388,205 | ||||||
Project Ruby Ultimate Parent Corp. | ||||||||
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28 | 3,482,500 | 3,477,067 | ||||||
Polaris Newco LLC | ||||||||
4.50% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | 3,350,000 | 3,356,298 | ||||||
Taxware Holdings (Sovos Compliance LLC) | ||||||||
5.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28 | 3,240,411 | 3,257,974 |
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Atlas CC Acquisition Corp. | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28 | 2,950,000 | $ | 2,958,201 | |||||
EXC Holdings III Corp. | ||||||||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24††† | 1,954,125 | 1,959,010 | ||||||
TIBCO Software, Inc. | ||||||||
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26 | 1,781,955 | 1,767,486 | ||||||
Total Technology | 78,955,601 | |||||||
Basic Materials - 6.4% | ||||||||
Element Solutions, Inc. | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 01/30/26 | 8,000,000 | 7,985,040 | ||||||
Illuminate Buyer LLC | ||||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | 7,722,459 | 7,706,396 | ||||||
PQ Corp. | ||||||||
3.25% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 06/09/28 | 7,581,000 | 7,582,592 | ||||||
Alpha 3 BV (Atotech) | ||||||||
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 03/20/28 | 6,783,000 | 6,773,097 | ||||||
Messer Industries USA, Inc. | ||||||||
2.58% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26 | 6,197,475 | 6,161,839 | ||||||
Arch Coal, Inc. | ||||||||
3.75% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 03/07/24 | 6,561,164 | 6,101,883 | ||||||
Univar Netherlands Holding BV | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/03/28 | 3,591,000 | 3,582,022 | ||||||
GrafTech Finance, Inc. | ||||||||
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | 2,852,212 | 2,852,212 | ||||||
INEOS Ltd. | ||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 01/29/26 | 2,593,500 | 2,593,500 | ||||||
Diamond BC BV | ||||||||
due 09/14/28 | 2,300,000 | 2,301,587 | ||||||
NIC Acquisition Corp. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27 | 2,238,750 | 2,235,952 | ||||||
W.R. Grace Holdings LLC | ||||||||
due 09/22/28 | 1,750,000 | 1,755,478 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
Trinseo Materials Operating S.C.A. | ||||||||
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28 | 1,596,000 | $ | 1,590,015 | |||||
Total Basic Materials | 59,221,613 | |||||||
Energy - 1.4% | ||||||||
DT Midstream, Inc. | ||||||||
2.50% (6 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28 | 7,600,000 | 7,594,072 | ||||||
Penn Virginia Holding Corp. | ||||||||
10.50% (Commercial Prime Lending Rate + 7.25%, Rate Floor: 8.25%) due 09/30/24††† | 3,994,139 | 3,954,198 | ||||||
Permian Production Partners LLC | ||||||||
9.00% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/24/25†††,3 | 1,474,647 | 1,327,182 | ||||||
Total Energy | 12,875,452 | |||||||
Utilities - 0.4% | ||||||||
Hamilton Projects Acquiror LLC | ||||||||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27 | 3,950,100 | 3,962,464 | ||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $831,905,987) | 827,007,973 | |||||||
CORPORATE BONDS†† - 1.8% | ||||||||
Consumer, Non-cyclical - 0.7% | ||||||||
Nathan’s Famous, Inc. | ||||||||
6.63% due 11/01/254 | 4,275,000 | 4,360,500 | ||||||
HCA, Inc. | ||||||||
4.50% due 02/15/27 | 1,500,000 | 1,690,656 | ||||||
Total Consumer, Non-cyclical | 6,051,156 | |||||||
Energy - 0.5% | ||||||||
Sabine Pass Liquefaction LLC | ||||||||
5.63% due 04/15/23 | 4,200,000 | 4,463,172 | ||||||
Communications - 0.4% | ||||||||
Ziggo BV | ||||||||
5.50% due 01/15/274 | 3,950,000 | 4,083,313 | ||||||
Industrial - 0.1% | ||||||||
Grinding Media, Inc. / Moly-Cop AltaSteel Ltd. | ||||||||
7.38% due 12/15/234 | 750,000 | 764,625 | ||||||
Consumer, Cyclical - 0.1% | ||||||||
LBC Tank Terminals Holding Netherlands BV | ||||||||
6.88% due 05/15/234 | 630,000 | 629,124 | ||||||
Financial - 0.0% | ||||||||
Lincoln Financing SARL | ||||||||
3.88% (3 Month EURIBOR + 3.88%, Rate Floor: 3.88%) due 04/01/244,5 | EUR | 350,000 | 405,737 | |||||
Basic Materials - 0.0% | ||||||||
Mirabela Nickel Ltd. | ||||||||
due 06/24/196,7 | 1,279,819 | 63,991 | ||||||
Total Corporate Bonds | ||||||||
(Cost $16,829,046) | 16,461,118 |
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 1.5% | ||||||||
Residential Mortgage Backed Securities - 1.5% | ||||||||
RALI Series Trust | ||||||||
2006-QO6, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/465 | 10,956,676 | $ | 3,403,581 | |||||
2006-QO2, 0.53% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/465 | 438,907 | 127,128 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||
2007-OA6, 0.90% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/475 | 2,807,969 | 2,546,695 | ||||||
American Home Mortgage Assets Trust | ||||||||
2006-4, 0.30% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 10/25/465 | 2,618,487 | 1,685,317 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | ||||||||
2006-AR9, 0.93% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/465 | 1,916,153 | 1,668,054 | ||||||
Lehman XS Trust Series | ||||||||
2006-16N, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 11/25/465 | 1,529,482 | 1,475,745 | ||||||
Wachovia Asset Securitization Issuance II LLC Trust | ||||||||
2007-HE1, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/374,5 | 1,176,376 | 1,128,917 | ||||||
Nomura Resecuritization Trust | ||||||||
2015-4R, 1.38% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/364,5 | 1,044,579 | 1,054,210 | ||||||
Alliance Bancorp Trust | ||||||||
2007-OA1, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 07/25/375 | 434,822 | 416,477 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
2010-R5, 1.76% due 06/26/364 | 364,462 | 339,255 | ||||||
GSAA Home Equity Trust | ||||||||
2007-7, 0.63% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/375 | 195,409 | 194,395 | ||||||
New Century Home Equity Loan Trust | ||||||||
2004-4, 0.88% (1 Month USD LIBOR + 0.80%, Rate Cap/Floor: 12.50%/0.80%) due 02/25/355 | 184,154 | 182,033 | ||||||
Total Residential Mortgage Backed Securities | 14,221,807 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $15,321,180) | 14,221,807 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
| Face | Value | ||||||
ASSET-BACKED SECURITIES†† - 0.9% | ||||||||
Collateralized Loan Obligations - 0.9% | ||||||||
Jamestown CLO V Ltd. | ||||||||
2014-5A, 5.23% (3 Month USD LIBOR + 5.10%, Rate Floor: 0.00%) due 01/17/274,5 | 4,000,000 | $ | 3,666,117 | |||||
Treman Park CLO Ltd. | ||||||||
2015-1A, due 10/20/284,8 | 3,000,000 | 2,449,520 | ||||||
Newstar Commercial Loan Funding LLC | ||||||||
2017-1A, 3.62% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/274,5 | 1,000,000 | 1,000,308 | ||||||
Octagon Loan Funding Ltd. | ||||||||
2014-1A, due 11/18/314,8 | 2,071,948 | 681,205 | ||||||
Avery Point II CLO Ltd. | ||||||||
2013-3X COM, due 01/18/258 | 1,361,673 | 220,319 | ||||||
OHA Credit Partners IX Ltd. | ||||||||
2013-9A, due 10/20/254,8 | 1,808,219 | 2,025 | ||||||
Total Collateralized Loan Obligations | 8,019,494 | |||||||
Transport-Aircraft - 0.0% | ||||||||
Airplanes Pass Through Trust | ||||||||
2001-1A due 03/15/19†††,6,7 | 896,492 | $ | 90 | |||||
Total Asset-Backed Securities | ||||||||
(Cost $8,977,573) | 8,019,584 | |||||||
Total Investments - 106.1% | ||||||||
(Cost $987,221,250) | $ | 979,886,270 | ||||||
Other Assets & Liabilities, net - (6.1)% | (55,915,782 | ) | ||||||
Total Net Assets - 100.0% | $ | 923,970,488 |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract Amount | Settlement | Unrealized | ||||||||||||||||||
Morgan Stanley Capital Services LLC | EUR | Sell | 27,008,000 | 31,898,248 USD | 10/18/21 | $ | 601,454 | |||||||||||||||||
Bank of America, N.A. | GBP | Sell | 6,790,000 | 9,370,825 USD | 10/18/21 | 220,678 | ||||||||||||||||||
Citibank, N.A. | EUR | Buy | 5,335,000 | 6,255,711 USD | 10/18/21 | (73,528 | ) | |||||||||||||||||
$ | 748,604 |
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the 7-day yield as of September 30, 2021. |
3 | Payment-in-kind security. |
4 | 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 $20,564,857 (cost $20,218,174), or 2.2% of total net assets. |
5 | Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
6 | Security is in default of interest and/or principal obligations. |
7 | 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 $64,081 (cost $1,883,995), or 0.0% of total net assets — See Note 9. |
8 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
CMT — Constant Maturity Treasury | |
EUR — Euro | |
EURIBOR — European Interbank Offered Rate | |
GBP — British Pound | |
LIBOR — London Interbank Offered Rate | |
REMIC — Real Estate Mortgage Investment Conduit | |
SARL — Société à Responsabilité Limitée | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | — | $ | 1,665,452 | $ | 785,225 | $ | 2,450,677 | ||||||||
Preferred Stocks | — | — | — | * | — | |||||||||||
Exchange-Traded Funds | 25,070,776 | — | — | 25,070,776 | ||||||||||||
Money Market Fund | 86,654,335 | — | — | 86,654,335 | ||||||||||||
Senior Floating Rate Interests | — | 812,617,568 | 14,390,405 | 827,007,973 | ||||||||||||
Corporate Bonds | — | 16,461,118 | — | 16,461,118 | ||||||||||||
Collateralized Mortgage Obligations | — | 14,221,807 | — | 14,221,807 | ||||||||||||
Asset-Backed Securities | — | 8,019,494 | 90 | 8,019,584 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 822,132 | — | 822,132 | ||||||||||||
Total Assets | $ | 111,725,111 | $ | 853,807,571 | $ | 15,175,720 | $ | 980,708,402 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts** | $ | — | $ | 73,528 | $ | — | $ | 73,528 | ||||||||
Unfunded Loan Commitments (Note 8) | — | — | 7,155 | 7,155 | ||||||||||||
Total Liabilities | $ | — | $ | 73,528 | $ | 7,155 | $ | 80,683 |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
The following is a summary of significant unobservable inputs used in the fair valuation of asset categorized within Level 3 of the fair value hierarchy:
Category | Ending | Valuation Technique | Unobservable Inputs | Input Range | Weighted | |||||||||
Assets: | ||||||||||||||
Asset-Backed Securities | $ | 90 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | ||||||||
Common Stocks | 509,881 | Model Price | Market Comparable Yields | 12.1% | — | |||||||||
Common Stocks | 275,339 | Enterprise Value | Valuation Multiple | 2.1x-12.8x | 5.3x | |||||||||
Common Stocks | 5 | Model Price | Liquidation Value | — | — | |||||||||
Senior Floating Rate Interests | 11,657,995 | Third Party Pricing | Broker Quote | — | — | |||||||||
Senior Floating Rate Interests | 1,405,228 | Third Party Pricing | Vendor Price | — | — | |||||||||
Senior Floating Rate Interests | 1,327,182 | Model Price | Market Comparable Yields | 12.1% | — | |||||||||
Total Assets | $ | 15,175,720 |
|
|
|
| ||||||||
Liabilities: | ||||||||||||||
Unfunded Loan Commitments | $ | 7,155 | Model Price | Purchase Price | — | — |
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, market comparable yields, liquidation value or valuation multiple 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.
Transfer 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 year ended September 30, 2021, the Fund had securities with a total value of $2,501,400 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of a $11,606,541 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.
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
FLOATING RATE STRATEGIES FUND |
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 year ended September 30, 2021:
Assets | Liabilities | |||||||||||||||||||||||
Common | Senior | Asset-Backed | Preferred | Total | Unfunded | |||||||||||||||||||
Beginning Balance | $ | 1,611,492 | $ | 50,579,979 | $ | 90 | $ | 313,772 | $ | 52,505,333 | $ | (8,851 | ) | |||||||||||
Purchases/(Receipts) | 2,358 | 6,790,511 | — | — | 6,792,869 | (21,823 | ) | |||||||||||||||||
(Sales, maturities and paydowns)/Fundings | (1,626,859 | ) | (37,310,071 | ) | — | — | (38,936,930 | ) | 6,527 | |||||||||||||||
Amortization of premiums/discounts | — | 747,289 | — | — | 747,289 | — | ||||||||||||||||||
Total realized gains (losses) included in earnings | (165,102 | ) | (7,739,830 | ) | — | — | (7,904,932 | ) | 13,588 | |||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | 963,336 | 10,427,668 | — | (313,772 | ) | 11,077,232 | 3,404 | |||||||||||||||||
Transfers into Level 3 | — | 2,501,400 | — | — | 2,501,400 | — | ||||||||||||||||||
Transfers out of Level 3 | — | (11,606,541 | ) | — | — | (11,606,541 | ) | — | ||||||||||||||||
Ending Balance | $ | 785,225 | $ | 14,390,405 | $ | 90 | $ | — | * | $ | 15,175,720 | $ | (7,155 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021 | $ | 963,336 | $ | 1,795,290 | $ | — | $ | (313,772 | ) | $ | 2,444,854 | $ | 8,638 |
* | Security has a market value of $0. |
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 year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||
BP Holdco LLC* | $ | 86,130 | $ | — | $ | — | $ | — | $ | 86,086 | $ | 172,216 | 244,278 | |||||||||||||||
Targus Group International Equity, Inc.* | 26,242 | — | — | — | 4,866 | 31,108 | 12,773 | |||||||||||||||||||||
$ | 112,372 | $ | — | $ | — | $ | — | $ | 90,952 | $ | 203,324 |
* | Non-income producing security. |
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
FLOATING RATE STRATEGIES FUND |
September 30, 2021
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $987,129,969) | $ | 979,682,946 | ||
Investments in affiliated issuers, at value (cost $91,281) | 203,324 | |||
Foreign currency, at value (cost $1,663,468) | 1,663,450 | |||
Cash | 2,802,176 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 822,132 | |||
Prepaid expenses | 40,956 | |||
Receivables: | ||||
Fund shares sold | 5,898,384 | |||
Securities sold | 4,253,784 | |||
Interest | 1,970,133 | |||
Total assets | 997,337,285 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 8) (commitment fees received $15,792) | 7,155 | |||
Segregated cash due to broker | 545,000 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 73,528 | |||
Payable for: | ||||
Securities purchased | 70,565,550 | |||
Fund shares redeemed | 875,743 | |||
Distributions to shareholders | 442,755 | |||
Management fees | 272,804 | |||
Transfer agent/maintenance fees | 153,452 | |||
Distribution and service fees | 79,819 | |||
Fund accounting/administration fees | 51,697 | |||
Trustees’ fees* | 17,199 | |||
Due to Investment Adviser | 845 | |||
Miscellaneous | 281,250 | |||
Total liabilities | 73,366,797 | |||
Net assets | $ | 923,970,488 | ||
Net assets consist of: | ||||
Paid in capital | $ | 1,085,032,695 | ||
Total distributable earnings (loss) | (161,062,207 | ) | ||
Net assets | $ | 923,970,488 | ||
A-Class: | ||||
Net assets | $ | 123,392,160 | ||
Capital shares outstanding | 4,917,600 | |||
Net asset value per share | $ | 25.09 | ||
Maximum offering price per share (Net asset value divided by 97.00%) | $ | 25.87 | ||
C-Class: | ||||
Net assets | $ | 52,308,317 | ||
Capital shares outstanding | 2,085,402 | |||
Net asset value per share | $ | 25.08 | ||
P-Class: | ||||
Net assets | $ | 35,429,894 | ||
Capital shares outstanding | 1,411,389 | |||
Net asset value per share | $ | 25.10 | ||
Institutional Class: | ||||
Net assets | $ | 711,583,305 | ||
Capital shares outstanding | 28,333,441 | |||
Net asset value per share | $ | 25.11 | ||
R6-Class: | ||||
Net assets | $ | 1,256,812 | ||
Capital shares outstanding | 50,046 | |||
Net asset value per share | $ | 25.11 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
STATEMENT OF OPERATIONS |
FLOATING RATE STRATEGIES FUND |
Year Ended September 30, 2021
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 1,351,788 | ||
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $466) | 33,831,100 | |||
Total investment income | 35,182,888 | |||
Expenses: | ||||
Management fees | 5,201,077 | |||
Distribution and service fees: | ||||
A-Class | 352,783 | |||
C-Class | 574,679 | |||
P-Class | 84,272 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 58,770 | |||
C-Class | 33,055 | |||
P-Class | 2,932 | |||
Institutional Class | 264,125 | |||
R6-Class | 323 | |||
Fund accounting/administration fees | 539,742 | |||
Line of credit fees | 326,512 | |||
Professional fees | 105,687 | |||
Custodian fees | 39,923 | |||
Trustees’ fees* | 1,825 | |||
Miscellaneous | 173,834 | |||
Recoupment of previously waived fees: | ||||
P-Class | 287 | |||
Institutional Class | 12,099 | |||
R6-Class | 82 | |||
Total expenses | 7,772,007 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A Class | (59,749 | ) | ||
C Class | (34,078 | ) | ||
P Class | (3,274 | ) | ||
Institutional Class | (214,240 | ) | ||
R6 Class | (250 | ) | ||
Expenses waived by Adviser | (15,106 | ) | ||
Earnings credits applied | (742 | ) | ||
Total waived/reimbursed expenses | (327,439 | ) | ||
Net expenses | 7,444,568 | |||
Net investment income | 27,738,320 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (12,843,006 | ) | ||
Forward foreign currency exchange contracts | (490,632 | ) | ||
Foreign currency transactions | 201,127 | |||
Net realized loss | (13,132,511 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 44,139,390 | |||
Investments in affiliated issuers | 90,952 | |||
Forward foreign currency exchange contracts | 368,448 | |||
Foreign currency translations | (98,328 | ) | ||
Net change in unrealized appreciation (depreciation) | 44,500,462 | |||
Net realized and unrealized gain | 31,367,951 | |||
Net increase in net assets resulting from operations | $ | 59,106,271 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
FLOATING RATE STRATEGIES FUND |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 27,738,320 | $ | 45,965,099 | ||||
Net realized loss on investments | (13,132,511 | ) | (104,503,058 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 44,500,462 | 18,077,576 | ||||||
Net increase (decrease) in net assets resulting from operations | 59,106,271 | (40,460,383 | ) | |||||
Distributions: | ||||||||
Distributions to shareholders | ||||||||
A-Class | (3,412,072 | ) | (6,169,321 | ) | ||||
C-Class | (1,100,775 | ) | (2,453,764 | ) | ||||
P-Class | (813,511 | ) | (2,596,495 | ) | ||||
Institutional Class | (14,371,249 | ) | (26,336,056 | ) | ||||
R6-Class | (41,286 | ) | (172,212 | ) | ||||
Return of capital | ||||||||
A-Class | (1,376,939 | ) | (1,369,063 | ) | ||||
C-Class | (423,452 | ) | (544,527 | ) | ||||
P-Class | (329,918 | ) | (576,200 | ) | ||||
Institutional Class | (6,123,159 | ) | (5,844,358 | ) | ||||
R6-Class | (15,347 | ) | (38,216 | ) | ||||
Total distributions to shareholders | (28,007,708 | ) | (46,100,212 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 42,886,643 | 59,076,348 | ||||||
C-Class | 11,618,216 | 5,882,260 | ||||||
P-Class | 11,762,196 | 14,359,269 | ||||||
Institutional Class | 417,183,606 | 359,733,415 | ||||||
R6-Class | 425,184 | 7,014,197 | ||||||
Distributions reinvested | ||||||||
A-Class | 3,444,538 | 5,748,291 | ||||||
C-Class | 1,263,416 | 2,302,265 | ||||||
P-Class | 1,140,824 | 3,170,610 | ||||||
Institutional Class | 16,416,134 | 25,268,085 | ||||||
R6-Class | 56,275 | 210,428 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (68,575,988 | ) | (145,876,744 | ) | ||||
C-Class | (26,924,208 | ) | (50,806,686 | ) | ||||
P-Class | (12,084,110 | ) | (113,381,867 | ) | ||||
Institutional Class | (247,889,580 | ) | (887,071,891 | ) | ||||
R6-Class | (924,217 | ) | (76,762,784 | ) | ||||
Net increase (decrease) from capital share transactions | 149,798,929 | (791,134,804 | ) | |||||
Net increase (decrease) in net assets | 180,897,492 | (877,695,399 | ) | |||||
Net assets: | ||||||||
Beginning of year | 743,072,996 | 1,620,768,395 | ||||||
End of year | $ | 923,970,488 | $ | 743,072,996 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
FLOATING RATE STRATEGIES FUND |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,722,444 | 2,408,149 | ||||||
C-Class | 466,982 | 239,412 | ||||||
P-Class | 472,737 | 585,090 | ||||||
Institutional Class | 16,736,374 | 14,856,298 | ||||||
R6-Class | 17,355 | 280,578 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 138,927 | 238,481 | ||||||
C-Class | 51,013 | 95,750 | ||||||
P-Class | 45,989 | 130,742 | ||||||
Institutional Class | 660,993 | 1,046,088 | ||||||
R6-Class | 2,270 | 8,507 | ||||||
Shares redeemed | ||||||||
A-Class | (2,751,886 | ) | (6,183,851 | ) | ||||
C-Class | (1,086,812 | ) | (2,141,265 | ) | ||||
P-Class | (487,616 | ) | (4,686,345 | ) | ||||
Institutional Class | (9,995,214 | ) | (37,182,772 | ) | ||||
R6-Class | (37,009 | ) | (3,060,616 | ) | ||||
Net increase (decrease) in shares | 5,956,547 | (33,365,754 | ) |
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS |
FLOATING RATE STRATEGIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 24.08 | $ | 25.23 | $ | 25.92 | $ | 26.01 | $ | 25.92 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .83 | 1.02 | 1.17 | 1.04 | .93 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.02 | (1.16 | ) | (.67 | ) | (.07 | ) | .10 | ||||||||||||
Total from investment operations | 1.85 | (.14 | ) | .50 | .97 | 1.03 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.83 | ) | (.83 | ) | (1.19 | ) | (1.06 | ) | (.94 | ) | ||||||||||
Return of capital | (.01 | ) | (.18 | ) | — | — | — | |||||||||||||
Total distributions | (.84 | ) | (1.01 | ) | (1.19 | ) | (1.06 | ) | (.94 | ) | ||||||||||
Net asset value, end of period | $ | 25.09 | $ | 24.08 | $ | 25.23 | $ | 25.92 | $ | 26.01 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 7.83 | % | (0.50 | %) | 2.01 | % | 3.80 | % | 4.03 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 123,392 | $ | 139,857 | $ | 235,752 | $ | 431,562 | $ | 534,911 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.36 | % | 4.23 | % | 4.60 | % | 4.02 | % | 3.58 | % | ||||||||||
Total expensesc | 1.09 | % | 1.25 | % | 1.23 | % | 1.15 | % | 1.13 | % | ||||||||||
Net expensesd,e,f | 1.05 | % | 1.10 | % | 1.07 | % | 1.03 | % | 1.04 | % | ||||||||||
Portfolio turnover rate | 57 | % | 20 | % | 10 | % | 33 | % | 44 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
FINANCIAL HIGHLIGHTS (continued) |
FLOATING RATE STRATEGIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 24.07 | $ | 25.22 | $ | 25.91 | $ | 26.00 | $ | 25.91 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .65 | .84 | .98 | .85 | .74 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.02 | (1.16 | ) | (.67 | ) | (.07 | ) | .10 | ||||||||||||
Total from investment operations | 1.67 | (.32 | ) | .31 | .78 | .84 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.65 | ) | (.68 | ) | (1.00 | ) | (.87 | ) | (.75 | ) | ||||||||||
Return of capital | (.01 | ) | (.15 | ) | — | — | — | |||||||||||||
Total distributions | (.66 | ) | (.83 | ) | (1.00 | ) | (.87 | ) | (.75 | ) | ||||||||||
Net asset value, end of period | $ | 25.08 | $ | 24.07 | $ | 25.22 | $ | 25.91 | $ | 26.00 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 7.03 | % | (1.24 | %) | 1.26 | % | 3.03 | % | 3.26 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 52,308 | $ | 63,891 | $ | 112,481 | $ | 172,906 | $ | 204,008 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.61 | % | 3.47 | % | 3.86 | % | 3.29 | % | 2.83 | % | ||||||||||
Total expensesc | 1.86 | % | 1.96 | % | 1.93 | % | 1.87 | % | 1.83 | % | ||||||||||
Net expensesd,e,f | 1.80 | % | 1.85 | % | 1.82 | % | 1.78 | % | 1.79 | % | ||||||||||
Portfolio turnover rate | 57 | % | 20 | % | 10 | % | 33 | % | 44 | % |
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
FLOATING RATE STRATEGIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 24.09 | $ | 25.24 | $ | 25.93 | $ | 26.02 | $ | 25.93 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .83 | 1.04 | 1.17 | 1.05 | .94 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.02 | (1.18 | ) | (.67 | ) | (.08 | ) | .09 | ||||||||||||
Total from investment operations | 1.85 | (.14 | ) | .50 | .97 | 1.03 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.83 | ) | (.83 | ) | (1.19 | ) | (1.06 | ) | (.94 | ) | ||||||||||
Return of capital | (.01 | ) | (.18 | ) | — | — | — | |||||||||||||
Total distributions | (.84 | ) | (1.01 | ) | (1.19 | ) | (1.06 | ) | (.94 | ) | ||||||||||
Net asset value, end of period | $ | 25.10 | $ | 24.09 | $ | 25.24 | $ | 25.93 | $ | 26.02 | ||||||||||
| ||||||||||||||||||||
Total Return | 7.83 | % | (0.50 | %) | 2.01 | % | 3.80 | % | 4.03 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 35,430 | $ | 33,251 | $ | 135,036 | $ | 385,306 | $ | 360,829 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.36 | % | 4.26 | % | 4.59 | % | 4.05 | % | 3.59 | % | ||||||||||
Total expensesc | 1.06 | % | 1.37 | % | 1.22 | % | 1.15 | % | 1.16 | % | ||||||||||
Net expensesd,e,f | 1.05 | % | 1.10 | % | 1.07 | % | 1.03 | % | 1.03 | % | ||||||||||
Portfolio turnover rate | 57 | % | 20 | % | 10 | % | 33 | % | 44 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
FINANCIAL HIGHLIGHTS (continued) |
FLOATING RATE STRATEGIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 24.10 | $ | 25.25 | $ | 25.95 | $ | 26.03 | $ | 25.94 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .89 | 1.09 | 1.23 | 1.11 | 1.00 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.02 | (1.17 | ) | (.68 | ) | (.07 | ) | .10 | ||||||||||||
Total from investment operations | 1.91 | (.08 | ) | .55 | 1.04 | 1.10 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.89 | ) | (.88 | ) | (1.25 | ) | (1.12 | ) | (1.01 | ) | ||||||||||
Return of capital | (.01 | ) | (.19 | ) | — | — | — | |||||||||||||
Total distributions | (.90 | ) | (1.07 | ) | (1.25 | ) | (1.12 | ) | (1.01 | ) | ||||||||||
Net asset value, end of period | $ | 25.11 | $ | 24.10 | $ | 25.25 | $ | 25.95 | $ | 26.03 | ||||||||||
| ||||||||||||||||||||
Total Return | 8.08 | % | (0.26 | %) | 2.21 | % | 4.08 | % | 4.28 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 711,583 | $ | 504,449 | $ | 1,065,820 | $ | 2,227,970 | $ | 2,590,393 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 3.59 | % | 4.48 | % | 4.83 | % | 4.28 | % | 3.83 | % | ||||||||||
Total expensesc | 0.85 | % | 0.97 | % | 0.92 | % | 0.84 | % | 0.82 | % | ||||||||||
Net expensesd,e,f | 0.81 | % | 0.85 | % | 0.83 | % | 0.79 | % | 0.79 | % | ||||||||||
Portfolio turnover rate | 57 | % | 20 | % | 10 | % | 33 | % | 44 | % |
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
FLOATING RATE STRATEGIES FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
R6-Class | Year | Year | Period | |||||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $ | 24.10 | $ | 25.25 | $ | 25.38 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)a | .91 | 1.13 | .69 | |||||||||
Net gain (loss) on investments (realized and unrealized) | 1.01 | (1.21 | ) | (.14 | ) | |||||||
Total from investment operations | 1.92 | (.08 | ) | .55 | ||||||||
Less distributions from: | ||||||||||||
Net investment income | (.90 | ) | (.88 | ) | (.68 | ) | ||||||
Return of capital | (.01 | ) | (.19 | ) | — | |||||||
Total distributions | (.91 | ) | (1.07 | ) | (.68 | ) | ||||||
Net asset value, end of period | $ | 25.11 | $ | 24.10 | $ | 25.25 | ||||||
| ||||||||||||
Total Return | 8.06 | % | (0.22 | %) | 2.20 | % | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 1,257 | $ | 1,625 | $ | 71,680 | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | 3.66 | % | 4.56 | % | 4.89 | % | ||||||
Total expensesc | 0.83 | % | 0.86 | % | 0.85 | % | ||||||
Net expensesd,e,f | 0.82 | % | 0.84 | % | 0.84 | % | ||||||
Portfolio turnover rate | 57 | % | 20 | % | 10 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
FINANCIAL HIGHLIGHTS (concluded) | |
FLOATING RATE STRATEGIES FUND |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | — | 0.00%* | — | — | — | |
C-Class | — | 0.00%* | — | 0.01% | — | |
P-Class | 0.00%* | 0.00%* | — | — | — | |
Institutional Class | 0.00%* | 0.00%* | — | — | 0.01% | |
R6-Class | 0.01% | 0.00%* | 0.00%* | N/A | N/A |
* | Less than 0.01%. |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 1.01% | 1.02% | 1.02% | 1.02% | 1.02% | |
C-Class | 1.76% | 1.77% | 1.77% | 1.77% | 1.77% | |
P-Class | 1.01% | 1.02% | 1.02% | 1.02% | 1.02% | |
Institutional Class | 0.77% | 0.78% | 0.78% | 0.78% | 0.78% | |
R6-Classg | 0.77% | 0.78% | 0.78% | N/A | N/A |
g | Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).
��
This report covers the Floating Rate Strategies Fund (the “Fund”), a diversified investment company. At September 30, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.
Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
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 GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. 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.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
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
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.
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 GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. 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 GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
NOTES TO FINANCIAL STATEMENTS (continued) |
(b) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Fund’s Schedule of Investments.
The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.
(c) Interest on When-Issued Securities
The Fund may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.
(d) Currency Translations
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(e) Forward Foreign Currency Exchange Contracts
The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
(f) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
(g) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income
THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
NOTES TO FINANCIAL STATEMENTS (continued) |
also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.
(h) Distributions
The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.
(i) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
(j) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.
(k) Cash
The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.
(l) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note 2 – Derivatives
As part of its investment strategy, the Fund utilizes forward foreign currency exchange contracts. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The Fund utilized derivatives for the following purposes:
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:
Average Value | ||||||||
Use | Purchased | Sold | ||||||
Hedge | $ | 1,258,226 | $ | 46,209,512 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2021:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency forward contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2021:
| Forward Foreign Currency | |||
Asset Derivative Investments Value | $ | 822,132 | ||
Liability Derivative Investments Value | $ | 73,528 |
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2021:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Currency forward contracts | Net realized gain (loss) on forward foreign currency exchange contracts |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2021:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations | ||||
| Forward | |||
$ | (490,632 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations | ||||
| Forward | |||
$ | 368,448 |
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 Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Offsetting
In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral
THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (continued) |
received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs over-the-counter (“OTC”) derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 822,132 | $ | — | $ | 822,132 | $ | — | $ | (510,678 | ) | $ | 311,454 |
Gross Amounts Not | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 73,528 | $ | — | $ | 73,528 | $ | — | $ | — | $ | 73,528 |
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.
Counterparty | Asset Type | Cash | Cash | ||||||
BofA Securities, Inc. | Forward foreign currency exchange contracts | $ | — | $ | 255,000 | ||||
Morgan Stanley Capital Services, LLC | Forward foreign currency exchange contracts | — | 290,000 |
Note 4 – 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 with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for
THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (continued) |
the investment or liability. 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 — | 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. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.65% of the average daily net assets of the Fund up to $5 billion; and 0.60% of the average daily net assets in excess of $5 billion.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 1.02 | % | 11/30/12 | 02/01/23 | ||||||||
C-Class | 1.77 | % | 11/30/12 | 02/01/23 | ||||||||
P-Class | 1.02 | % | 05/01/15 | 02/01/23 | ||||||||
Institutional Class | 0.78 | % | 11/30/12 | 02/01/23 | ||||||||
R6-Class | 0.78 | % | 03/13/19 | 02/01/23 |
GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:
| 2022 | 2023 | 2024 | Total | ||||||||||||
A-Class | $ | 478,648 | $ | 272,258 | $ | 62,574 | $ | 813,480 | ||||||||
C-Class | 165,085 | 99,862 | 35,328 | 300,275 | ||||||||||||
P-Class | 423,256 | 205,400 | 3,944 | 632,600 | ||||||||||||
Institutional Class | 1,382,501 | 804,754 | 224,572 | 2,411,827 | ||||||||||||
R6-Class | 2,025 | 1,025 | 279 | 3,329 |
For the year ended September 30, 2021, GI recouped $12,468 from the Fund.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
NOTES TO FINANCIAL STATEMENTS (continued) |
For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 6 – 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 (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Return | Total | ||||||||||||
$ | 19,738,893 | $ | — | $ | 8,268,815 | $ | 28,007,708 |
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended September 30, 2020 was as follows:
| Ordinary | Long-Term | Return | Total | ||||||||||||
$ | 37,727,848 | $ | — | $ | 8,372,364 | $ | 46,100,212 |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:
| Undistributed | Undistributed | Net | Accumulated | Other | Total | ||||||||||||||||||
$ | — | $ | — | $ | (12,072,994 | ) | $ | (146,627,074 | ) | $ | (2,362,139 | ) | $ | (161,062,207 | ) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, capital loss carryforwards for the Fund were as follows:
Unlimited | Total | |||||||||||
| Short-Term | Long-Term | ||||||||||
$ | (3,508,189 | ) | $ | (142,169,559 | ) | $ | (145,677,748 | ) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in CLO securities, foreign currency gains and losses, distribution payable, and the deferral of qualified late-year losses. Additional differences may result from the tax treatment of bond premium/discount amortization, losses deferred due to wash sales, and the “mark-to-market” of forward foreign currency exchange contracts. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
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NOTES TO FINANCIAL STATEMENTS (continued) |
There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences.
At September 30, 2021, 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 | Tax | Tax | Net Tax | ||||||||||||
$ | 991,964,319 | $ | 5,149,782 | $ | (17,227,831 | ) | $ | (12,078,049 | ) |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Fund has elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Fund has also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2021, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2021:
| Ordinary | Capital | ||||||
$ | (949,326 | ) | $ | — |
Note 7 – Securities Transactions
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| Purchases | Sales | ||||||
$ | 608,744,478 | $ | 450,494,592 |
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| Purchases | Sales | Realized | |||||||||
$ | — | $ | 8,563,186 | $ | 118,980 |
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of September 30, 2021, were as follows:
Borrower | Maturity | Face | Value | |||||||||
Aveanna Healthcare LLC | 07/17/28 | $ | 735,849 | $ | 920 | |||||||
DG Investment Intermediate Holdings 2, Inc. | 03/31/28 | 51,662 | — | |||||||||
HighTower Holding LLC | 04/21/28 | 540,000 | 675 | |||||||||
Hillman Group, Inc. | 07/14/28 | 800,000 | 1,838 | |||||||||
Medline Industries, Inc. | 08/06/22 | 8,900,000 | — | |||||||||
National Mentor Holdings, Inc. | 03/02/28 | 272,362 | 1,243 | |||||||||
Osmosis Holdings Australia II Pty Ltd. | 07/31/28 | 250,000 | — | |||||||||
Pro Mach Group, Inc. | 08/31/28 | 614,525 | — | |||||||||
Taxware Holdings (Sovos Compliance LLC) | 08/11/28 | 559,589 | — | |||||||||
TricorBraun Holdings, Inc. | 03/03/28 | 404,973 | 2,479 | |||||||||
$ | 13,128,961 | $ | 7,155 |
Note 9 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted Securities | Acquisition | Cost | Value | |||||||||
Airplanes Pass Through Trust | ||||||||||||
2001-1A, due 03/15/191 | 12/27/11 | $ | 723,184 | $ | 90 | |||||||
Mirabela Nickel Ltd. | ||||||||||||
due 06/24/191 | 12/31/13 | 1,160,811 | 63,991 | |||||||||
$ | 1,883,995 | $ | 64,081 |
1 | Security is in default of interest and/or principal obligations. |
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NOTES TO FINANCIAL STATEMENTS (concluded) |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.
On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.
Note 11 – COVID-19
The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Note 12 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of
Guggenheim Floating Rate Strategies Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim Floating Rate Strategies Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian, transfer agent, brokers, and paying agents or by other appropriate auditing procedures where replies from
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
brokers or paying agents were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2021
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OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2022, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2021.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentages qualify as interest related dividends as permitted by IRC Section 871(k)(1). See qualified interest income in the table below.
| Qualified | Dividend | Qualified | |||||||||
0.19 | % | 0.24 | % | 100.00 | % |
Delivery of Shareholder Reports
Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
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OTHER INFORMATION (Unaudited)(continued) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/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.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)
● Guggenheim Diversified Income Fund (“Diversified Income Fund”) | ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”) |
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OTHER INFORMATION (Unaudited)(continued) |
● Guggenheim High Yield Fund
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)
● Guggenheim Municipal Income Fund (“Municipal Income Fund”)
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)
● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)
● Guggenheim World Equity Income Fund (“World Equity Income Fund”) | ● Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”)
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
● Guggenheim SMid Cap Value Fund
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
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OTHER INFORMATION (Unaudited)(continued) |
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.4 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021. |
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OTHER INFORMATION (Unaudited)(continued) |
26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for
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OTHER INFORMATION (Unaudited)(continued) |
the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.5 As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management
5 | Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements. |
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OTHER INFORMATION (Unaudited)(continued) |
Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
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OTHER INFORMATION (Unaudited)(continued) |
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.
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OTHER INFORMATION (Unaudited)(continued) |
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020.
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OTHER INFORMATION (Unaudited)(continued) |
In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.
Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from
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OTHER INFORMATION (Unaudited)(continued) |
certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
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OTHER INFORMATION (Unaudited)(continued) |
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.
Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his
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OTHER INFORMATION (Unaudited)(concluded) |
or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee) | Current: Private Investor (2001-present). | 158 | Current: Purpose Investments Funds (2013-present). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). | 157 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 157 | Current: US Global Investors (GROW) (1995-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present). | 158 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee) | Current: Retired. | 157 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 157 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Assistant Treasurer | Since 2014 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - continued | |||
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2014 | Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law. We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction.
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority. We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2021
Guggenheim Funds Annual Report
Guggenheim Total Return Bond Fund |
GuggenheimInvestments.com | TRB-ANN-0921x0922 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
TOTAL RETURN BOND FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 100 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 129 |
OTHER INFORMATION | 131 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 145 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 152 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 156 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2021 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Total Return Bond Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
October 31, 2021
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2021 |
COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Total Return Bond Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2021 |
In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.
Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.
As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.
As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.
Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2021 |
For the 12-month period ended September 30, 2021, the S&P 500® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.
The following tables illustrate the Fund’s costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
A-Class | 0.78% | 3.29% | $ 1,000.00 | $ 1,032.90 | $ 3.98 |
C-Class | 1.53% | 2.91% | 1,000.00 | 1,029.10 | 7.78 |
P-Class | 0.78% | 3.29% | 1,000.00 | 1,032.90 | 3.98 |
Institutional Class | 0.49% | 3.48% | 1,000.00 | 1,034.80 | 2.50 |
R6-Class | 0.49% | 3.44% | 1,000.00 | 1,034.40 | 2.50 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
A-Class | 0.78% | 5.00% | $ 1,000.00 | $ 1,021.16 | $ 3.95 |
C-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 |
P-Class | 0.78% | 5.00% | 1,000.00 | 1,021.16 | 3.95 |
Institutional Class | 0.49% | 5.00% | 1,000.00 | 1,022.61 | 2.48 |
R6-Class | 0.49% | 5.00% | 1,000.00 | 1,022.61 | 2.48 |
1 | Annualized and excludes expenses of the underlying funds in which the Fund invests, if any. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratio for the Fund would be 0.78%, 1.53%, 0.78%, 0.49% and 0.49% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim Total Return Bond Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.
Investment Approach
The Fund seeks to provide total return, comprised of current income and capital appreciation. The Fund employs a diversified, multi-sector strategy focused on under-researched areas of the fixed income universe, including sectors not included in benchmark indices. The Fund takes an actively managed approach, offering an opportunity to potentially capitalize on changing relative values in fixed-income sectors and access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.
Performance Review and Positioning
For the one-year period ended September 30, 2021, Guggenheim Total Return Bond Fund returned 2.27%1, compared with the -0.90% return of its benchmark, the Bloomberg U.S. Aggregate Bond Index.
Interest rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the back of accommodative fiscal and monetary policy. Outperformance versus the benchmark was driven by a combination of spread tightening and greater carry (the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant), which was partially offset by the Fund’s overweight duration positioning. The Fund’s overweight allocation to credit has been the largest driver of outperformance on the year, as credit continues its grind tighter on optimism in economic growth recovery and improving credit fundamentals. Measured on an absolute return basis, sectors with floating rate coupons like bank loans and much of structured credit have been standouts in performance, as they have benefitted from spread compression while being somewhat insulated from rising rates. The Fund’s allocation to these sectors coupled with its 2Y-10Y CMS curve caps positions helped mitigate the performance impact from the steepening in the yield curve.
The Fund remains overweight investment grade corporates, which comprised 28% of the Fund at period end. The sector contributed positively to performance on both an absolute basis as well as on a duration-adjusted basis, as it benefited from a combination of carry and spread tightening. Investment grade corporate credit spreads have benefitted from the back-up in rates, as yield-focused buyers find the higher-yielding profiles more attractive. In particular, the pace of flows into the investment grade corporate sector from overseas buyers has been greater than usual
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited)(continued) | September 30, 2021 |
given the attractiveness of the currency hedge-adjusted yields attainable in the sector fostered by higher rates. We continue to remain constructive on the sector given the supportive macro backdrop and low probability of any sustained selloff. However, we have incrementally reduced our exposure at the margin, rotating out of tighter spread names with limited total return potential in favor for higher carry sectors like structured credit.
Structured credit accounted for nearly 30% of the Fund at period end. The sector broadly and across sub-sectors continued to contribute positively and provided for relative outperformance to the benchmark. Spreads have now largely recovered from the shock of COVID-19, though still offer compelling relative value within the fixed income universe. Primary markets have been very active over the year, particularly in the collateralized loan obligation (CLO) sector, which is on track for a record-setting year, having already priced $125 billion new issue deals and $311 billion total deals (including refinancings, resets, and re-issues). Spreads have been relatively muted in response to the massive amount of issuance, which speaks to volume of demand from investors in search of higher carry assets. We continue to look to invest in structurally senior securitized credit, as the sector continues to showcase wider spreads compared to similarly rated corporates. As such, we expect spreads could compress further as the economy rebounds and investors seek out the higher yields and carry offered by the sector.
Below-investment-grade corporate credit, including both high yield corporates and bank loans, comprise roughly 15% percent of the Fund. The Fund’s below-investment-grade allocation has continued to benefit from a combination of spread tightening and carry, contributing significantly to the portfolio return on the year. While we remain positive on long-term economic fundamentals and associated outlook for a low default rate, we have begun to pare exposure recently, as we have increasingly become cautious of valuations and the potential for seasonal weakness. Despite this, we still view the expected loss-adjusted return potential, primarily via carry, favorably within the context of the Fund and therefore continue to anticipate a continued meaningful portfolio allocation.
Overweight duration positioning negatively impacted performance on the period. U.S. Treasury yields rose as the 10- year ended the period about 80 basis points higher at 1.52%. Overall Fund duration ended the period at 7.3 years versus the benchmark’s duration of 6.6 years. We continue to remain optimistic on U.S. economic growth given potential for additional fiscal stimulus and believe that interest rates will remain relatively range bound as the Fed seeks to remain accommodative to ensure the economic recovery can continue amid the termination of certain fiscal stimulus measures and potential for increasing spread of the COVID-19 Delta variant headed into year end.
Given the current monetary and fiscal backdrop, we continue to view the credit default environment as benign and predict rates are likely to remain low and range bound for some time. As such, we continue to believe a portfolio allowance for both higher credit and duration risk is warranted. As credit spreads have neared historic tights, however, it has become increasingly important to ensure portfolios are prudently positioned as we seek out relative value across
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
sectors. At this particular moment in the credit cycle against the backdrop of current valuations, we see value in rotating into higher carry instruments while maintaining similar credit quality where possible and shortening spread duration to lessen the Fund’s emphasis on credit spread compression.
During the reporting period, the Fund used interest rate futures, forwards, options, and swaps to help manage duration positioning, foreign exchange risk, and credit exposure. Over the period, interest rate swaps detracted from performance while interest rate curve caps and futures contributed to performance. Options on equities contributed to performance. Credit default swaps and credit default swap index (CDX) positions added to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the period. Overall, credit derivative exposure contributed to performance during the period.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the one-year period ended September 30, 2021, investment in the Short Term Investment Vehicles benefited Fund performance.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
TOTAL RETURN BOND FUND
OBJECTIVE: Seeks to provide total return, comprised of current income and capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2021 |
Inception Dates: | |
A-Class | November 30, 2011 |
C-Class | November 30, 2011 |
P-Class | May 1, 2015 |
Institutional Class | November 30, 2011 |
R6-Class | October 19, 2016 |
Portfolio Composition by Quality Rating1 | ||||
Rating | % of Total | |||
Fixed Income Instruments | ||||
AAA | 27.7% | |||
AA | 8.7% | |||
A | 13.1% | |||
BBB | 26.0% | |||
BB | 7.3% | |||
B | 6.0% | |||
CCC | 0.8% | |||
CC | 1.2% | |||
C | 0.1% | |||
NR2 | 5.0% | |||
Other Instruments | 4.1% | |||
Total Investments | 100.0% |
Ten Largest Holdings (% of Total Net Assets) | |
U.S. Treasury Notes, 1.25% | 8.1% |
Uniform MBS 30 Year | 3.1% |
U.S. Treasury Bonds, 2.00% | 2.9% |
U.S. Treasury Notes, 0.75% | 1.4% |
U.S. Treasury Bonds, 1.88% | 1.2% |
Pershing Square Tontine Holdings Ltd. — Class A | 0.7% |
U.S. Treasury Bonds 8.00% | 0.6% |
Delta Air Lines, Inc., 7.00% | 0.6% |
Boeing Co., 5.15% | 0.5% |
Station Place Securitization Trust, 0.98% due 02/16/22 | 0.5% |
Top Ten Total | 19.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR (not rated) securities do not necessarily indicate low credit quality. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2021 |
Cumulative Fund Performance*
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | Since |
A-Class Shares | 2.27% | 4.65% | 5.51% |
A-Class Shares with sales charge‡ | (1.82%) | 3.80% | 4.98% |
C-Class Shares | 1.50% | 3.88% | 4.73% |
C-Class Shares with CDSC§ | 0.53% | 3.88% | 4.73% |
Institutional Class Shares | 2.59% | 4.97% | 5.85% |
Bloomberg U.S. Aggregate Bond Index | (0.90%) | 2.94% | 3.06% |
| 1 Year | 5 Year | Since |
P-Class Shares | 2.27% | 4.65% | 4.67% |
Bloomberg U.S. Aggregate Bond Index | (0.90%) | 2.94% | 3.13% |
|
| 1 Year | Since |
R6-Class Shares |
| 2.56% | 5.07% |
Bloomberg U.S. Aggregate Bond Index |
| (0.90%) | 3.06% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares will vary due to differences in fee structures. |
‡ | Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after October 1, 2015. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 1.0% | ||||||||
Financial - 1.0% | ||||||||
Pershing Square Tontine Holdings Ltd. — Class A*,1 | 9,249,470 | $ | 182,214,559 | |||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 3,797,870 | 37,029,232 | ||||||
RXR Acquisition Corp. — Class A*,1 | 840,551 | 8,170,156 | ||||||
AfterNext HealthTech Acquisition Corp.*,1 | 611,700 | 6,092,532 | ||||||
MSD Acquisition Corp. — Class A*,1 | 626,308 | 6,075,188 | ||||||
TPG Pace Beneficial II Corp.*,1 | 596,691 | 5,841,605 | ||||||
Conyers Park III Acquisition Corp.*,1 | 570,000 | 5,705,700 | ||||||
Waverley Capital Acquisition Corp. 1*,1 | 451,200 | 4,448,832 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 397,100 | 3,843,928 | ||||||
TPG Pace Solutions Corp.*,1 | 361,641 | 3,634,492 | ||||||
Blue Whale Acquisition Corp. I*,1 | 330,700 | 3,280,544 | ||||||
Colicity, Inc. — Class A*,1 | 170,167 | 1,662,532 | ||||||
Colicity, Inc.*,1 | 4,121 | 40,880 | ||||||
RXR Acquisition Corp.*,1 | 574 | 5,654 | ||||||
Total Financial | 268,045,834 | |||||||
Communications - 0.0% | ||||||||
Figs, Inc. — Class A*,18 | 198,762 | 7,382,021 | ||||||
Industrial - 0.0% | ||||||||
BP Holdco LLC*,†††,2 | 532 | 375 | ||||||
Vector Phoenix Holdings, LP*,††† | 532 | 146 | ||||||
API Heat Transfer Parent LLC*,††† | 73,183 | — | ||||||
Total Industrial | 521 | |||||||
Total Common Stocks | ||||||||
(Cost $269,689,101) | 275,428,376 | |||||||
PREFERRED STOCKS†† - 2.4% | ||||||||
Financial - 2.4% | ||||||||
First Republic Bank 4.25% | 3,442,000 | 86,394,200 | ||||||
4.13% | 798,800 | 19,962,012 | ||||||
Wells Fargo & Co., 4.70% | 2,184,000 | 57,395,520 | ||||||
Bank of America Corp., 4.13% | 2,218,000 | 57,024,780 | ||||||
Public Storage 4.63% | 1,743,761 | 47,569,800 | ||||||
4.13% | 309,501 | 8,077,976 | ||||||
Equitable Holdings, Inc., 4.30% | 1,839,200 | 45,980,000 | ||||||
Wells Fargo & Co., 4.38% | 1,774,000 | 45,237,000 | ||||||
W R Berkley Corp., 4.13% due 03/30/61 | 1,458,572 | 38,798,015 | ||||||
4.25% due 09/30/60 | 195,417 | 5,299,709 | ||||||
Arch Capital Group Ltd., 4.55% | 1,616,000 | 42,339,200 | ||||||
Bank of America Corp., 4.38% | 1,552,000 | 40,895,200 | ||||||
RenaissanceRe Holdings Ltd., 4.20% | 1,304,000 | 32,469,600 | ||||||
American Financial Group, Inc., 4.50% due 09/15/60 | 1,165,103 | 31,795,661 | ||||||
JPMorgan Chase & Co. , 4.63% | 1,180,000 | 31,152,000 |
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Shares | Value | ||||||
CNO Financial Group, Inc., 5.13% due 11/25/60 | 712,000 | $ | 18,974,800 | |||||
Assurant, Inc., 5.25% due 01/15/61 | 558,400 | 15,087,968 | ||||||
Selective Insurance Group, Inc., 4.60% | 538,000 | 14,004,140 | ||||||
Globe Life, Inc., 4.25% due 06/15/61 | 338,000 | 8,608,860 | ||||||
Total Financial | 647,066,441 | |||||||
Industrial - 0.0% | ||||||||
API Heat Transfer Intermediate*,††† | 9 | — | ||||||
Total Preferred Stocks | ||||||||
(Cost $623,176,087) | 647,066,441 | |||||||
WARRANTS† - 0.0% | ||||||||
Pershing Square Tontine Holdings, Ltd. | ||||||||
Expiring 07/24/25*,1 | 1,027,719 | 1,325,757 | ||||||
KKR Acquisition Holdings I Corp. - Class A | ||||||||
Expiring 12/31/27*,1 | 949,467 | 911,393 | ||||||
Ginkgo Bioworks Holdings, Inc. | ||||||||
Expiring 12/31/27 | 100,946 | 342,207 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/23*,1 | 125,260 | 144,049 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 168,108 | 126,081 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/26*,1 | 132,366 | 121,777 | ||||||
Colicity, Inc. - Class A | ||||||||
Expiring 12/31/27*,1 | 34,032 | 28,247 | ||||||
Total Warrants | ||||||||
(Cost $7,498,274) | 2,999,511 | |||||||
MUTUAL FUNDS† - 0.2% | ||||||||
Guggenheim Strategy Fund II2 | 1,088,966 | 27,213,251 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 2,686,384 | 26,783,244 | ||||||
Guggenheim Strategy Fund III2 | 586,198 | 14,737,023 | ||||||
Total Mutual Funds | ||||||||
(Cost $68,542,703) | 68,733,518 | |||||||
CLOSED-END FUNDS† - 0.1% | ||||||||
BlackRock MuniHoldings California Quality Fund, Inc. | 623,638 | 9,772,408 | ||||||
BlackRock MuniYield California Quality Fund, Inc. | 442,018 | 7,023,666 | ||||||
Total Closed-End Funds | ||||||||
(Cost $15,756,182) | 16,796,074 | |||||||
MONEY MARKET FUND† - 0.3% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3 | 61,816,573 | 61,816,573 | ||||||
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.01%3 | 9,796,726 | 9,796,726 | ||||||
Total Money Market Fund | ||||||||
(Cost $71,613,299) | 71,613,299 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
CORPORATE BONDS†† - 40.7% | ||||||||
Financial - 17.3% | ||||||||
Pershing Square Holdings Ltd. | ||||||||
3.25% due 10/01/31 | 104,800,000 | $ | 104,624,984 | |||||
3.25% due 11/15/304 | 68,200,000 | 68,665,576 | ||||||
5.50% due 07/15/224 | 21,300,000 | 21,955,529 | ||||||
Citigroup, Inc. | ||||||||
3.88% 5,6 | 86,450,000 | 88,377,835 | ||||||
2.57% due 06/03/316 | 72,390,000 | 73,708,205 | ||||||
4.00% 5,6 | 26,450,000 | 27,407,490 | ||||||
Wells Fargo & Co. | ||||||||
3.07% due 04/30/416 | 126,490,000 | 129,698,980 | ||||||
3.90% 5,6 | 48,500,000 | 50,015,625 | ||||||
Bank of America Corp. | ||||||||
2.59% due 04/29/316 | 100,240,000 | 102,199,070 | ||||||
2.68% due 06/19/416 | 43,300,000 | 41,709,589 | ||||||
0.78% (U.S. Secured Overnight Financing Rate + 0.73%, Rate Floor: 0.00%) due 10/24/247 | 1,660,000 | 1,676,065 | ||||||
1.73% due 07/22/276 | 1,650,000 | 1,656,569 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
4.35% due 04/30/504 | 116,750,000 | 132,658,200 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.30% due 02/01/614 | 94,150,000 | 89,689,153 | ||||||
3.95% due 05/15/604 | 33,870,000 | 37,504,042 | ||||||
4.13% due 12/15/514,6 | 3,600,000 | 3,697,020 | ||||||
JPMorgan Chase & Co. | ||||||||
3.65% 5,6 | 37,250,000 | 37,296,562 | ||||||
2.96% due 05/13/316 | 29,530,000 | 30,670,865 | ||||||
4.49% due 03/24/316 | 25,750,000 | 30,017,175 | ||||||
2.52% due 04/22/316 | 24,520,000 | 24,988,784 | ||||||
1.47% due 09/22/276 | 1,650,000 | 1,638,672 | ||||||
Macquarie Bank Ltd. | ||||||||
3.62% due 06/03/304 | 93,835,000 | 98,393,944 | ||||||
3.05% due 03/03/364,6 | 16,550,000 | 16,367,998 | ||||||
Wilton RE Ltd. | ||||||||
6.00%†††,4,5,6 | 93,150,000 | 101,594,048 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.75% due 05/07/254 | 96,010,000 | 100,615,891 | ||||||
Markel Corp. | ||||||||
6.00% 5,6 | 82,610,000 | 91,531,880 | ||||||
GLP Capital Limited Partnership / GLP Financing II, Inc. | ||||||||
4.00% due 01/15/31 | 53,354,000 | 57,569,500 | ||||||
5.30% due 01/15/29 | 28,165,000 | 32,929,420 | ||||||
Reinsurance Group of America, Inc. | ||||||||
3.15% due 06/15/30 | 84,319,000 | 89,545,662 | ||||||
American International Group, Inc. | ||||||||
4.38% due 06/30/50 | 65,480,000 | 80,425,999 | ||||||
2.50% due 06/30/25 | 2,370,000 | 2,480,753 | ||||||
Equitable Holdings, Inc. | ||||||||
4.95% 5,6 | 70,950,000 | 76,980,750 | ||||||
Fidelity National Financial, Inc. | ||||||||
3.40% due 06/15/30 | 52,430,000 | 56,247,728 | ||||||
2.45% due 03/15/31 | 17,490,000 | 17,375,805 | ||||||
Charles Schwab Corp. | ||||||||
4.00% 5,6 | 71,500,000 | 73,534,890 | ||||||
Intercontinental Exchange, Inc. | ||||||||
3.00% due 06/15/50 | 37,190,000 | 36,664,468 | ||||||
2.65% due 09/15/40 | 34,550,000 | 33,007,653 | ||||||
2.35% due 09/15/22 | 1,535,000 | 1,562,576 | ||||||
Fairfax Financial Holdings Ltd. | ||||||||
3.38% due 03/03/314 | 67,460,000 | 69,872,320 | ||||||
Global Atlantic Finance Co. | ||||||||
4.70% due 10/15/514,6 | 38,300,000 | 39,595,748 | ||||||
3.13% due 06/15/314 | 28,750,000 | 29,118,847 | ||||||
Nippon Life Insurance Co. | ||||||||
2.75% due 01/21/514,6 | 50,350,000 | 49,280,062 | ||||||
2.90% due 09/16/514,6 | 17,300,000 | 17,037,966 |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
First American Financial Corp. | ||||||||
4.00% due 05/15/30 | 45,560,000 | $ | 50,297,622 | |||||
2.40% due 08/15/31 | 14,175,000 | 13,795,497 | ||||||
Five Corners Funding Trust II | ||||||||
2.85% due 05/15/304 | 61,198,000 | 63,903,676 | ||||||
Standard Chartered plc | ||||||||
4.64% due 04/01/314,6 | 51,325,000 | 59,144,832 | ||||||
1.32% due 10/14/234,6 | 1,080,000 | 1,086,752 | ||||||
National Australia Bank Ltd. | ||||||||
2.99% due 05/21/314 | 37,900,000 | 38,309,006 | ||||||
2.33% due 08/21/304 | 22,400,000 | 21,630,163 | ||||||
Crown Castle International Corp. | ||||||||
2.90% due 04/01/41 | 41,150,000 | 39,579,140 | ||||||
3.30% due 07/01/30 | 17,657,000 | 18,801,598 | ||||||
Deloitte LLP | ||||||||
3.56% due 05/07/30††† | 30,700,000 | 31,974,971 | ||||||
3.76% due 05/07/35††† | 10,200,000 | 10,534,254 | ||||||
3.66% due 05/07/32††† | 9,450,000 | 9,902,371 | ||||||
7.33% due 11/20/26††† | 4,800,000 | 5,821,248 | ||||||
Iron Mountain, Inc. | ||||||||
5.25% due 07/15/304 | 30,050,000 | 31,889,962 | ||||||
5.63% due 07/15/324 | 13,350,000 | 14,317,875 | ||||||
4.50% due 02/15/314 | 5,600,000 | 5,680,080 | ||||||
5.00% due 07/15/284 | 3,915,000 | 4,080,604 | ||||||
4.88% due 09/15/274 | 1,938,000 | 2,011,993 | ||||||
OneAmerica Financial Partners, Inc. | ||||||||
4.25% due 10/15/504 | 54,430,000 | 57,798,020 | ||||||
Ares Finance Company II LLC | ||||||||
3.25% due 06/15/304 | 54,785,000 | 57,144,014 | ||||||
Host Hotels & Resorts, LP | ||||||||
3.50% due 09/15/30 | 54,158,000 | 56,200,953 | ||||||
LPL Holdings, Inc. | ||||||||
4.00% due 03/15/294 | 44,950,000 | 46,168,145 | ||||||
4.38% due 05/15/314 | 9,350,000 | 9,759,062 | ||||||
MetLife, Inc. | ||||||||
3.85% 5,6 | 53,200,000 | 55,793,500 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
3.30% due 05/15/504 | 50,500,000 | 52,943,940 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.80% 5,6 | 25,830,000 | 26,443,462 | ||||||
3.50% due 04/01/25 | 22,500,000 | 24,182,130 | ||||||
0.59% (U.S. Secured Overnight Financing Rate + 0.54%, Rate Floor: 0.00%) due 11/17/237 | 1,660,000 | 1,665,342 | ||||||
Brookfield Finance, Inc. | ||||||||
3.50% due 03/30/51 | 37,420,000 | 38,999,268 | ||||||
4.70% due 09/20/47 | 10,925,000 | 13,199,656 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 04/15/294 | 32,550,000 | 31,602,919 | ||||||
5.50% due 11/15/254 | 20,100,000 | 20,250,750 | ||||||
Alleghany Corp. | ||||||||
3.63% due 05/15/30 | 43,920,000 | 48,123,287 | ||||||
Arch Capital Group Ltd. | ||||||||
3.64% due 06/30/50 | 44,100,000 | 47,977,507 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
3.88% due 03/01/314 | 46,650,000 | 47,058,187 | ||||||
UBS Group AG | ||||||||
2.10% due 02/11/324,6 | 43,400,000 | 42,176,605 | ||||||
Societe Generale S.A. | ||||||||
2.89% due 06/09/324,6 | 39,700,000 | 39,878,195 | ||||||
1.79% due 06/09/274,6 | 1,630,000 | 1,620,441 | ||||||
Jefferies Group LLC | ||||||||
2.75% due 10/15/32 | 40,440,000 | 40,468,688 | ||||||
6.50% due 01/20/43 | 720,000 | 997,023 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Belrose Funding Trust | ||||||||
2.33% due 08/15/304 | 41,850,000 | $ | 41,236,927 | |||||
Sumitomo Life Insurance Co. | ||||||||
3.38% due 04/15/814,6 | 39,700,000 | 41,213,761 | ||||||
Everest Reinsurance Holdings, Inc. | ||||||||
3.50% due 10/15/50 | 37,760,000 | 40,066,883 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/284 | 39,450,000 | 40,041,750 | ||||||
SBA Communications Corp. | ||||||||
3.13% due 02/01/294 | 35,500,000 | 34,301,875 | ||||||
3.88% due 02/15/27 | 5,425,000 | 5,621,656 | ||||||
Massachusetts Mutual Life Insurance Co. | ||||||||
3.38% due 04/15/504 | 37,950,000 | 39,643,767 | ||||||
KKR Group Finance Company VIII LLC | ||||||||
3.50% due 08/25/504 | 36,610,000 | 38,523,518 | ||||||
Assured Guaranty US Holdings, Inc. | ||||||||
3.15% due 06/15/31 | 23,270,000 | 24,373,572 | ||||||
3.60% due 09/15/51 | 13,780,000 | 13,974,280 | ||||||
Assurant, Inc. | ||||||||
2.65% due 01/15/32 | 36,760,000 | 36,391,661 | ||||||
6.75% due 02/15/34 | 1,450,000 | 1,901,448 | ||||||
Safehold Operating Partnership, LP | ||||||||
2.80% due 06/15/31 | 35,190,000 | 35,246,402 | ||||||
FS KKR Capital Corp. | ||||||||
2.63% due 01/15/27 | 34,850,000 | 34,918,518 | ||||||
Bain Capital, LP | ||||||||
3.41% due 04/15/41††† | 36,000,000 | 34,039,440 | ||||||
Macquarie Group Ltd. | ||||||||
2.69% due 06/23/324,6 | 31,550,000 | 31,465,761 | ||||||
5.03% due 01/15/304,6 | 800,000 | 940,595 | ||||||
1.63% due 09/23/274,6 | 720,000 | 716,152 | ||||||
1.34% due 01/12/274,6 | 570,000 | 564,793 | ||||||
PricewaterhouseCoopers LLP | ||||||||
3.43% due 09/13/30††† | 31,500,000 | 32,467,995 | ||||||
Americo Life, Inc. | ||||||||
3.45% due 04/15/314 | 32,210,000 | 32,405,033 | ||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/294 | 31,500,000 | 30,870,000 | ||||||
Kennedy-Wilson, Inc. | ||||||||
4.75% due 03/01/29 | 21,400,000 | 21,774,500 | ||||||
4.75% due 02/01/30 | 8,600,000 | 8,750,500 | ||||||
Stadco LA, LLC | ||||||||
3.75% due 05/15/56††† | 31,000,000 | 30,389,610 | ||||||
Manulife Financial Corp. | ||||||||
2.48% due 05/19/27 | 27,800,000 | 29,068,142 | ||||||
Fifth Third Bancorp | ||||||||
2.55% due 05/05/27 | 27,190,000 | 28,568,025 | ||||||
AmFam Holdings, Inc. | ||||||||
2.81% due 03/11/314 | 27,550,000 | 28,193,432 | ||||||
Dyal Capital Partners III | ||||||||
4.40% due 06/15/40††† | 26,750,000 | 27,585,135 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75% due 05/15/284 | 21,368,000 | 23,184,280 | ||||||
Lincoln National Corp. | ||||||||
4.38% due 06/15/50 | 18,680,000 | 22,575,842 | ||||||
Raymond James Financial, Inc. | ||||||||
3.75% due 04/01/51 | 20,300,000 | 22,543,722 | ||||||
Central Storage Safety Project Trust | ||||||||
4.82% due 02/01/388 | 19,896,480 | 22,413,506 | ||||||
Kemper Corp. | ||||||||
2.40% due 09/30/30 | 22,380,000 | 22,135,259 | ||||||
NFP Corp. | ||||||||
6.88% due 08/15/284 | 20,775,000 | 21,212,314 | ||||||
Bank of New York Mellon Corp. | ||||||||
4.70% 5,6 | 16,500,000 | 18,108,750 |
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Prudential Financial, Inc. | ||||||||
3.70% due 10/01/506 | 17,050,000 | $ | 17,751,015 | |||||
QBE Insurance Group Ltd. | ||||||||
5.88% 4,5,6 | 15,700,000 | 17,505,500 | ||||||
Kuvare US Holdings, Inc. | ||||||||
7.00% due 02/17/514,6 | 15,650,000 | 16,877,565 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.22% due 09/17/31 | 16,900,000 | 16,611,834 | ||||||
Westpac Banking Corp. | ||||||||
2.96% due 11/16/40 | 16,600,000 | 16,403,284 | ||||||
Weyerhaeuser Co. | ||||||||
4.00% due 04/15/30 | 14,424,000 | 16,277,202 | ||||||
Penn Mutual Life Insurance Co. | ||||||||
3.80% due 04/29/614 | 14,970,000 | 15,528,752 | ||||||
W R Berkley Corp. | ||||||||
4.00% due 05/12/50 | 13,105,000 | 15,057,832 | ||||||
4.63% due 03/15/22 | 70,000 | 71,335 | ||||||
PartnerRe Finance B LLC | ||||||||
4.50% due 10/01/506 | 13,970,000 | 14,716,098 | ||||||
Apollo Management Holdings, LP | ||||||||
2.65% due 06/05/304 | 14,407,000 | 14,533,377 | ||||||
Western & Southern Life Insurance Co. | ||||||||
3.75% due 04/28/614 | 13,360,000 | 14,373,635 | ||||||
Nasdaq, Inc. | ||||||||
3.25% due 04/28/50 | 13,150,000 | 13,216,947 | ||||||
CNO Financial Group, Inc. | ||||||||
5.25% due 05/30/29 | 10,850,000 | 12,714,133 | ||||||
CNO Global Funding | ||||||||
1.75% due 10/07/26 | 12,400,000 | 12,398,264 | ||||||
Protective Life Corp. | ||||||||
3.40% due 01/15/304 | 11,440,000 | 12,151,071 | ||||||
Brown & Brown, Inc. | ||||||||
2.38% due 03/15/31 | 11,960,000 | 11,909,150 | ||||||
Aviation Capital Group LLC | ||||||||
2.88% due 01/20/224 | 10,691,000 | 10,746,864 | ||||||
New York Life Insurance Co. | ||||||||
3.75% due 05/15/504 | 9,300,000 | 10,394,760 | ||||||
American Equity Investment Life Holding Co. | ||||||||
5.00% due 06/15/27 | 8,074,000 | 9,294,202 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | ||||||||
5.50% due 05/01/254 | 8,050,000 | 9,143,421 | ||||||
NFL Trust XI SPV | ||||||||
3.53% due 10/05/35††† | 7,000,000 | 7,416,990 | ||||||
Hanover Insurance Group, Inc. | ||||||||
2.50% due 09/01/30 | 7,070,000 | 7,090,335 | ||||||
Brookfield Finance LLC | ||||||||
3.45% due 04/15/50 | 6,820,000 | 7,017,332 | ||||||
Home Point Capital, Inc. | ||||||||
5.00% due 02/01/264 | 5,560,000 | 5,040,251 | ||||||
HS Wildcat LLC | ||||||||
3.83% due 12/31/50††† | 5,000,000 | 4,992,650 | ||||||
Depository Trust & Clearing Corp. | ||||||||
3.38% 4,5,6 | 4,750,000 | 4,843,575 | ||||||
Old Republic International Corp. | ||||||||
3.85% due 06/11/51 | 4,100,000 | 4,418,971 | ||||||
KKR Group Finance Company III LLC | ||||||||
5.13% due 06/01/444 | 2,710,000 | 3,495,866 | ||||||
Fort Knox Military Housing Privatization Project | ||||||||
5.82% due 02/15/524 | 1,880,198 | 2,193,654 | ||||||
0.42% (1 Month USD LIBOR + 0.34%) due 02/15/524,7 | 1,687,480 | 1,005,039 | ||||||
Atlas Mara Ltd. | ||||||||
due 12/31/21†††,8,9 | 6,600,000 | 3,181,860 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Western Group Housing, LP | ||||||||
6.75% due 03/15/574 | 1,479,890 | $ | 2,135,805 | |||||
New York Life Global Funding | ||||||||
0.27% (U.S. Secured Overnight Financing Rate + 0.22%) due 02/02/234,7 | 2,070,000 | 2,072,705 | ||||||
Transatlantic Holdings, Inc. | ||||||||
8.00% due 11/30/39 | 1,135,000 | 1,746,380 | ||||||
Danske Bank A/S | ||||||||
0.98% due 09/10/254,6 | 1,660,000 | 1,658,026 | ||||||
Brighthouse Financial Global Funding | ||||||||
1.00% due 04/12/244 | 1,620,000 | 1,629,336 | ||||||
BNP Paribas S.A. | ||||||||
1.32% due 01/13/274,6 | 1,640,000 | 1,615,770 | ||||||
Athene Global Funding | ||||||||
2.67% due 06/07/314 | 1,550,000 | 1,560,658 | ||||||
Enstar Group Ltd. | ||||||||
4.95% due 06/01/29 | 1,250,000 | 1,420,053 | ||||||
ING Groep N.V. | ||||||||
1.73% due 04/01/276 | 1,360,000 | 1,367,129 | ||||||
Mid-Atlantic Military Family Communities LLC | ||||||||
5.24% due 08/01/504 | 1,099,630 | 1,281,122 | ||||||
Janus Capital Group, Inc. | ||||||||
4.88% due 08/01/25 | 780,000 | 874,089 | ||||||
Atlantic Marine Corporations Communities LLC | ||||||||
5.37% due 12/01/504 | 765,716 | 843,351 | ||||||
Pacific Beacon LLC | ||||||||
5.51% due 07/15/364 | 500,000 | 584,028 | ||||||
Swiss Re Finance Luxembourg S.A. | ||||||||
5.00% due 04/02/494,6 | 300,000 | 343,932 | ||||||
Peachtree Corners Funding Trust | ||||||||
3.98% due 02/15/254 | 215,000 | 233,337 | ||||||
Sompo International Holdings Ltd. | ||||||||
4.70% due 10/15/22 | 140,000 | 146,188 | ||||||
Total Financial | 4,720,116,113 | |||||||
Consumer, Non-cyclical - 5.6% | ||||||||
Altria Group, Inc. | ||||||||
3.70% due 02/04/51 | 67,650,000 | 63,896,610 | ||||||
3.40% due 05/06/30 | 47,320,000 | 50,023,170 | ||||||
2.35% due 05/06/25 | 18,290,000 | 18,957,566 | ||||||
4.45% due 05/06/50 | 6,120,000 | 6,416,937 | ||||||
5.95% due 02/14/49 | 1,300,000 | 1,643,083 | ||||||
CoStar Group, Inc. | ||||||||
2.80% due 07/15/304 | 89,110,000 | 90,536,228 | ||||||
Mozart Debt Merger Sub, Inc. | ||||||||
3.88% due 04/01/294 | 75,750,000 | 75,750,000 | ||||||
BAT Capital Corp. | ||||||||
3.98% due 09/25/50 | 41,450,000 | 40,090,415 | ||||||
4.70% due 04/02/27 | 22,390,000 | 25,281,480 | ||||||
3.22% due 09/06/26 | 1,800,000 | 1,918,232 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
3.55% due 03/20/30 | 60,550,000 | 66,160,573 | ||||||
Quanta Services, Inc. | ||||||||
2.90% due 10/01/30 | 61,954,000 | 64,018,314 | ||||||
0.95% due 10/01/24 | 1,660,000 | 1,660,576 | ||||||
Sysco Corp. | ||||||||
5.95% due 04/01/30 | 50,735,000 | 64,474,004 | ||||||
Royalty Pharma plc | ||||||||
3.55% due 09/02/50 | 39,710,000 | 38,913,396 | ||||||
2.20% due 09/02/30 | 20,800,000 | 20,310,542 | ||||||
Kraft Heinz Foods Co. | ||||||||
4.88% due 10/01/49 | 14,525,000 | 17,676,321 | ||||||
4.38% due 06/01/46 | 13,090,000 | 14,892,433 | ||||||
5.50% due 06/01/50 | 9,250,000 | 12,177,463 | ||||||
5.00% due 06/04/42 | 7,850,000 | 9,624,208 | ||||||
5.20% due 07/15/45 | 1,930,000 | 2,417,163 | ||||||
Smithfield Foods, Inc. | ||||||||
2.63% due 09/13/314 | 39,050,000 | 37,917,229 | ||||||
3.00% due 10/15/304 | 15,760,000 | 15,846,274 | ||||||
5.20% due 04/01/294 | 850,000 | 975,176 |
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
DaVita, Inc. | ||||||||
3.75% due 02/15/314 | 38,095,000 | $ | 37,095,006 | |||||
4.63% due 06/01/304 | 14,190,000 | 14,595,987 | ||||||
BECLE, S.A.B. DE C.V | ||||||||
2.50% due 10/14/31 | 43,300,000 | 42,856,608 | ||||||
California Institute of Technology | ||||||||
3.65% due 09/01/19 | 31,896,000 | 35,929,583 | ||||||
Triton Container International Ltd. | ||||||||
3.15% due 06/15/314 | 33,500,000 | 33,775,920 | ||||||
US Foods, Inc. | ||||||||
6.25% due 04/15/254 | 24,050,000 | 25,227,247 | ||||||
4.75% due 02/15/294 | 8,107,000 | 8,319,809 | ||||||
Emory University | ||||||||
2.97% due 09/01/50 | 30,000,000 | 31,102,777 | ||||||
Yale-New Haven Health Services Corp. | ||||||||
2.50% due 07/01/50 | 32,350,000 | 29,907,444 | ||||||
Post Holdings, Inc. | ||||||||
4.50% due 09/15/314 | 23,850,000 | 23,566,900 | ||||||
4.63% due 04/15/304 | 5,725,000 | 5,769,254 | ||||||
TriNet Group, Inc. | ||||||||
3.50% due 03/01/294 | 26,450,000 | 26,516,125 | ||||||
Global Payments, Inc. | ||||||||
2.90% due 05/15/30 | 24,810,000 | 25,572,112 | ||||||
Central Garden & Pet Co. | ||||||||
4.13% due 04/30/314 | 15,675,000 | 15,918,370 | ||||||
4.13% due 10/15/30 | 8,975,000 | 9,176,938 | ||||||
Health Care Service Corporation A Mutual Legal Reserve Co. | ||||||||
3.20% due 06/01/504 | 23,030,000 | 23,621,948 | ||||||
Kimberly-Clark de Mexico SAB de CV | ||||||||
2.43% due 07/01/314 | 22,650,000 | 22,575,255 | ||||||
Universal Health Services, Inc. | ||||||||
2.65% due 10/15/304 | 19,660,000 | 19,749,257 | ||||||
Transurban Finance Company Pty Ltd. | ||||||||
2.45% due 03/16/314 | 19,400,000 | 19,416,202 | ||||||
Hologic, Inc. | ||||||||
3.25% due 02/15/294 | 18,850,000 | 18,921,065 | ||||||
Service Corporation International | ||||||||
3.38% due 08/15/30 | 11,225,000 | 11,210,969 | ||||||
4.00% due 05/15/31 | 7,000,000 | 7,236,250 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
3.50% due 04/01/304 | 9,500,000 | 9,500,000 | ||||||
3.13% due 02/15/294 | 8,075,000 | 7,929,246 | ||||||
Cheplapharm Arzneimittel GmbH | ||||||||
4.38% due 01/15/28 | EUR | 13,750,000 | 16,545,239 | |||||
Duke University | ||||||||
2.83% due 10/01/55 | 14,003,000 | 14,290,255 | ||||||
Bimbo Bakeries USA, Inc. | ||||||||
4.00% due 05/17/514 | 12,775,000 | 13,807,955 | ||||||
Sabre GLBL, Inc. | ||||||||
7.38% due 09/01/254 | 12,825,000 | 13,690,046 | ||||||
Spectrum Brands, Inc. | ||||||||
3.88% due 03/15/314 | 13,475,000 | 13,615,199 | ||||||
GXO Logistics, Inc. | ||||||||
2.65% due 07/15/314 | 13,400,000 | 13,308,076 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
3.38% due 08/31/274 | 13,450,000 | 12,932,175 | ||||||
WW International, Inc. | ||||||||
4.50% due 04/15/294 | 12,900,000 | 12,609,750 | ||||||
CPI CG, Inc. | ||||||||
8.63% due 03/15/264 | 11,250,000 | 12,206,250 | ||||||
Moody’s Corp. | ||||||||
3.25% due 05/20/50 | 11,180,000 | 11,420,953 | ||||||
4.50% due 09/01/22 | 720,000 | 739,194 | ||||||
Avantor Funding, Inc. | ||||||||
4.63% due 07/15/284 | 11,500,000 | 12,104,325 | ||||||
Square, Inc. | ||||||||
2.75% due 06/01/264 | 10,125,000 | 10,263,206 | ||||||
OhioHealth Corp. | ||||||||
3.04% due 11/15/50 | 9,100,000 | 9,370,882 | ||||||
Johns Hopkins University | ||||||||
2.81% due 01/01/60 | 8,750,000 | 8,876,863 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
4.50% due 07/15/294 | 8,690,000 | $ | 8,497,082 | |||||
University of Chicago | ||||||||
2.76% due 04/01/45 | 8,000,000 | 8,141,458 | ||||||
Endo Luxembourg Finance Company I SARL / Endo US, Inc. | ||||||||
6.13% due 04/01/294 | 7,150,000 | 7,150,000 | ||||||
Syneos Health, Inc. | ||||||||
3.63% due 01/15/294 | 7,000,000 | 6,980,400 | ||||||
Children’s Hospital Corp. | ||||||||
2.59% due 02/01/50 | 7,100,000 | 6,754,603 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
5.00% due 12/31/264 | 6,325,000 | 6,315,639 | ||||||
Jaguar Holding Company II / PPD Development, LP | ||||||||
4.63% due 06/15/254 | 4,596,000 | 4,774,095 | ||||||
5.00% due 06/15/284 | 1,300,000 | 1,399,242 | ||||||
Children’s Health System of Texas | ||||||||
2.51% due 08/15/50 | 6,500,000 | 6,029,461 | ||||||
Wisconsin Alumni Research Foundation | ||||||||
3.56% due 10/01/49 | 3,775,000 | 4,131,445 | ||||||
Providence St. Joseph Health Obligated Group | ||||||||
2.70% due 10/01/51 | 4,250,000 | 4,047,182 | ||||||
Sotheby’s/Bidfair Holdings, Inc. | ||||||||
5.88% due 06/01/294 | 3,900,000 | 4,012,125 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
2.96% due 01/01/50 | 3,500,000 | 3,535,139 | ||||||
California Endowment | ||||||||
2.50% due 04/01/51 | 3,100,000 | 2,976,176 | ||||||
Gartner, Inc. | ||||||||
3.75% due 10/01/304 | 2,330,000 | 2,398,036 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
4.88% due 11/01/264 | 2,100,000 | 2,151,492 | ||||||
Tenet Healthcare Corp. | ||||||||
4.63% due 06/15/284 | 2,056,000 | 2,130,345 | ||||||
HCA, Inc. | ||||||||
3.50% due 09/01/30 | 1,600,000 | 1,695,024 | ||||||
Mondelez International Holdings Netherlands BV | ||||||||
2.13% due 09/19/224 | 1,440,000 | 1,465,443 | ||||||
Trustees of the University of Pennsylvania | ||||||||
4.01% due 08/15/47 | 1,250,000 | 1,426,919 | ||||||
Molina Healthcare, Inc. | ||||||||
4.38% due 06/15/284 | 1,290,000 | 1,338,375 | ||||||
Humana, Inc. | ||||||||
0.65% due 08/03/23 | 1,000,000 | 1,000,637 | ||||||
AmerisourceBergen Corp. | ||||||||
0.74% due 03/15/23 | 810,000 | 811,247 | ||||||
Verisk Analytics, Inc. | ||||||||
4.13% due 09/12/22 | 696,000 | 720,629 | ||||||
Flowers Foods, Inc. | �� | |||||||
3.50% due 10/01/26 | 500,000 | 541,436 | ||||||
Total Consumer, Non-cyclical | 1,513,271,663 | |||||||
Industrial - 4.6% | ||||||||
Boeing Co. | ||||||||
5.15% due 05/01/30 | 125,140,000 | 146,563,941 | ||||||
5.71% due 05/01/40 | 68,110,000 | 86,751,707 | ||||||
5.81% due 05/01/50 | 53,550,000 | 71,126,753 | ||||||
5.04% due 05/01/27 | 33,850,000 | 38,920,110 | ||||||
3.63% due 02/01/31 | 21,400,000 | 22,899,095 | ||||||
1.17% due 02/04/23 | 1,650,000 | 1,653,797 | ||||||
Textron, Inc. | ||||||||
2.45% due 03/15/31 | 52,250,000 | 52,295,743 | ||||||
3.00% due 06/01/30 | 23,395,000 | 24,557,911 | ||||||
FLNG Liquefaction 3 LLC | ||||||||
3.08% due 06/30/39††† | 69,731,410 | 69,538,254 | ||||||
SYNNEX Corp. | ||||||||
2.65% due 08/09/314 | 40,600,000 | 39,660,524 |
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2.38% due 08/09/284 | 25,500,000 | $ | 25,226,445 | |||||
Vontier Corp. | ||||||||
2.95% due 04/01/314 | 34,250,000 | 34,034,567 | ||||||
2.40% due 04/01/284 | 20,100,000 | 19,794,480 | ||||||
Cellnex Finance Company S.A. | ||||||||
3.88% due 07/07/414 | 49,820,000 | 48,933,702 | ||||||
Flowserve Corp. | ||||||||
3.50% due 10/01/30 | 27,340,000 | 28,518,313 | ||||||
2.80% due 01/15/32 | 19,800,000 | 19,569,960 | ||||||
Acuity Brands Lighting, Inc. | ||||||||
2.15% due 12/15/30 | 44,050,000 | 42,947,979 | ||||||
Snap-on, Inc. | ||||||||
3.10% due 05/01/50 | 39,459,000 | 41,266,253 | ||||||
Dyal Capital Partners IV | ||||||||
3.65% due 02/22/41††† | 41,800,000 | 41,048,687 | ||||||
Owens Corning | ||||||||
3.88% due 06/01/30 | 36,890,000 | 40,630,151 | ||||||
Standard Industries, Inc. | ||||||||
4.38% due 07/15/304 | 13,600,000 | 13,872,000 | ||||||
3.38% due 01/15/314 | 14,475,000 | 13,775,858 | ||||||
5.00% due 02/15/274 | 6,250,000 | 6,445,312 | ||||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | ||||||||
4.13% due 08/15/264 | 31,850,000 | 33,042,146 | ||||||
GATX Corp. | ||||||||
4.00% due 06/30/30 | 28,835,000 | 32,139,234 | ||||||
4.70% due 04/01/29 | 400,000 | 463,294 | ||||||
CNH Industrial Capital LLC | ||||||||
1.88% due 01/15/26 | 27,960,000 | 28,325,423 | ||||||
Ryder System, Inc. | ||||||||
3.35% due 09/01/25 | 22,380,000 | 24,110,558 | ||||||
NFL Ventures, LP | ||||||||
3.02% due 04/15/35††† | 20,000,000 | 20,677,600 | ||||||
Amcor Flexibles North America, Inc. | ||||||||
2.63% due 06/19/30 | 18,580,000 | 18,951,291 | ||||||
Boxer Parent Co., Inc. | ||||||||
6.50% due 10/02/25 | EUR | 13,500,000 | 16,419,954 | |||||
TFI International, Inc. | ||||||||
3.35% due 01/05/33††† | 14,000,000 | 13,651,400 | ||||||
Weir Group plc | ||||||||
2.20% due 05/13/264 | 12,815,000 | 12,936,797 | ||||||
Hardwood Funding LLC | ||||||||
3.19% due 06/07/30††† | 8,000,000 | 8,419,440 | ||||||
2.83% due 06/07/31††† | 2,000,000 | 2,028,960 | ||||||
3.13% due 06/07/36††† | 1,000,000 | 1,019,620 | ||||||
National Basketball Association | ||||||||
2.51% due 12/16/24††† | 10,500,000 | 10,817,100 | ||||||
Airbus SE | ||||||||
3.95% due 04/10/474 | 9,000,000 | 10,255,960 | ||||||
Norfolk Southern Corp. | ||||||||
4.10% due 05/15/21 | 9,100,000 | 10,186,168 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
2.04% due 08/16/284 | 10,150,000 | 10,003,732 | ||||||
Artera Services LLC | ||||||||
9.03% due 12/04/254 | 8,490,000 | 9,211,650 | ||||||
Hillenbrand, Inc. | ||||||||
3.75% due 03/01/31 | 7,650,000 | 7,594,155 | ||||||
Virgin Media Vendor Financing Notes III DAC | ||||||||
4.88% due 07/15/28 | GBP | 5,000,000 | 6,856,673 | |||||
Mueller Water Products, Inc. | ||||||||
4.00% due 06/15/294 | 5,750,000 | 5,952,400 | ||||||
Graphic Packaging International LLC | ||||||||
3.50% due 03/01/294 | 4,865,000 | 4,840,675 | ||||||
Oshkosh Corp. | ||||||||
3.10% due 03/01/30 | 3,880,000 | 4,074,115 | ||||||
APi Group DE, Inc. | ||||||||
4.13% due 07/15/294 | 4,150,000 | 4,066,377 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | ||||||||
4.00% due 09/01/294 | 3,750,000 | $ | 3,792,187 | |||||
Berry Global, Inc. | ||||||||
1.57% due 01/15/264 | 2,750,000 | 2,749,285 | ||||||
Howmet Aerospace, Inc. | ||||||||
6.75% due 01/15/28 | 960,000 | 1,168,800 | ||||||
5.95% due 02/01/37 | 475,000 | 591,375 | ||||||
6.88% due 05/01/25 | 129,000 | 150,933 | ||||||
Penske Truck Leasing Company Lp / PTL Finance Corp. | ||||||||
1.70% due 06/15/264 | 1,620,000 | 1,628,165 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
5.40% due 06/01/41 | 1,180,000 | 1,605,839 | ||||||
Princess Juliana International Airport Operating Company N.V. | ||||||||
5.50% due 12/20/274,8 | 1,680,690 | 1,530,823 | ||||||
New Enterprise Stone & Lime Company, Inc. | ||||||||
6.25% due 03/15/264 | 1,350,000 | 1,395,900 | ||||||
Trimble, Inc. | ||||||||
4.15% due 06/15/23 | 1,155,000 | 1,217,614 | ||||||
Crown Americas LLC / Crown Americas Capital Corporation VI | ||||||||
4.75% due 02/01/26 | 1,150,000 | 1,185,190 | ||||||
TransDigm, Inc. | ||||||||
6.25% due 03/15/264 | 1,075,000 | �� | 1,124,848 | |||||
Adevinta ASA | ||||||||
3.00% due 11/15/27 | EUR | 417,000 | 497,274 | |||||
Martin Marietta Materials, Inc. | ||||||||
0.65% due 07/15/23 | 360,000 | 360,674 | ||||||
JELD-WEN, Inc. | ||||||||
6.25% due 05/15/254 | 300,000 | 316,500 | ||||||
Carlisle Companies, Inc. | ||||||||
0.55% due 09/01/23 | 220,000 | 219,888 | ||||||
Hexcel Corp. | ||||||||
4.20% due 02/15/27 | 180,000 | 196,545 | ||||||
Canadian National Railway Co. | ||||||||
6.71% due 07/15/36 | 110,000 | 160,343 | ||||||
Total Industrial | 1,245,968,447 | |||||||
Consumer, Cyclical - 3.8% | ||||||||
Marriott International, Inc. | ||||||||
4.63% due 06/15/30 | 43,685,000 | 49,859,415 | ||||||
3.50% due 10/15/32 | 45,690,000 | 48,482,463 | ||||||
2.85% due 04/15/31 | 43,490,000 | 43,996,290 | ||||||
5.75% due 05/01/25 | 29,691,000 | 33,943,311 | ||||||
2.75% due 10/15/33 | 25,150,000 | 24,566,106 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00% due 05/01/254 | 136,400,000 | 159,068,084 | ||||||
Hyatt Hotels Corp. | ||||||||
5.38% due 04/23/25 | 26,900,000 | 30,036,092 | ||||||
5.75% due 04/23/30 | 23,885,000 | 28,645,404 | ||||||
1.30% due 10/01/23 | 1,660,000 | 1,662,008 | ||||||
Alt-2 Structured Trust | ||||||||
2.95% due 05/14/31†††,7 | 60,172,525 | 59,701,976 | ||||||
Hilton Domestic Operating Company, Inc. | ||||||||
3.75% due 05/01/294 | 44,400,000 | 44,844,000 | ||||||
4.00% due 05/01/314 | 5,750,000 | 5,836,250 | ||||||
3.63% due 02/15/324 | 1,900,000 | 1,871,500 | ||||||
Choice Hotels International, Inc. | ||||||||
3.70% due 01/15/31 | 45,900,000 | 49,494,429 | ||||||
Delta Air Lines Inc. / SkyMiles IP Ltd. | ||||||||
4.50% due 10/20/254 | 45,200,000 | 48,361,992 | ||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
4.00% due 10/15/304 | 39,300,000 | 38,907,000 | ||||||
3.88% due 01/15/284 | 6,940,000 | 6,998,990 |
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
VF Corp. | ||||||||
2.95% due 04/23/30 | 41,355,000 | $ | 43,486,896 | |||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/274 | 38,950,000 | 42,344,395 | ||||||
BorgWarner, Inc. | ||||||||
2.65% due 07/01/27 | 34,970,000 | 36,838,144 | ||||||
WMG Acquisition Corp. | ||||||||
3.00% due 02/15/314 | 28,050,000 | 27,383,813 | ||||||
Ferguson Finance plc | ||||||||
3.25% due 06/02/304 | 25,628,000 | 27,354,633 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
4.10% due 04/15/50 | 24,778,000 | 27,348,481 | ||||||
Whirlpool Corp. | ||||||||
4.60% due 05/15/50 | 21,920,000 | 26,865,877 | ||||||
British Airways Class A Pass Through Trust | ||||||||
2.90% due 03/15/354 | 15,400,000 | 15,460,202 | ||||||
4.25% due 11/15/324 | 5,658,739 | 6,097,021 | ||||||
American Airlines Class AA Pass Through Trust | ||||||||
3.35% due 10/15/29 | 9,410,810 | 9,474,002 | ||||||
3.20% due 06/15/28 | 5,823,800 | 5,858,367 | ||||||
3.00% due 10/15/28 | 4,250,022 | 4,235,786 | ||||||
3.15% due 02/15/32 | 169,963 | 171,498 | ||||||
Scotts Miracle-Gro Co. | ||||||||
4.00% due 04/01/314 | 18,750,000 | 18,714,750 | ||||||
Allison Transmission, Inc. | ||||||||
3.75% due 01/30/314 | 12,500,000 | 12,156,250 | ||||||
Levi Strauss & Co. | ||||||||
3.50% due 03/01/314 | 11,100,000 | 11,211,000 | ||||||
Air Canada | ||||||||
3.88% due 08/15/264 | 8,650,000 | 8,723,093 | ||||||
Lowe’s Companies, Inc. | ||||||||
1.70% due 09/15/28 | 7,425,000 | 7,352,766 | ||||||
Six Flags Theme Parks, Inc. | ||||||||
7.00% due 07/01/254 | 5,990,000 | 6,379,350 | ||||||
Smithsonian Institution | ||||||||
2.65% due 09/01/39 | 5,000,000 | 5,050,311 | ||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd. | ||||||||
4.75% due 10/20/284 | 3,800,000 | 4,236,651 | ||||||
JB Poindexter & Company, Inc. | ||||||||
7.13% due 04/15/264 | 2,850,000 | 2,999,625 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. | ||||||||
4.75% due 02/15/284 | 1,750,000 | 1,803,594 | ||||||
United Airlines, Inc. | ||||||||
4.38% due 04/15/264 | 1,750,000 | 1,795,938 | ||||||
HP Communities LLC | ||||||||
5.86% due 09/15/534 | 1,420,000 | 1,759,616 | ||||||
Lear Corp. | ||||||||
5.25% due 05/15/49 | 1,360,000 | 1,685,505 | ||||||
Aramark Services, Inc. | ||||||||
5.00% due 02/01/284 | 1,525,000 | 1,566,938 | ||||||
Hanesbrands, Inc. | ||||||||
5.38% due 05/15/254 | 1,495,000 | 1,565,085 | ||||||
JetBlue Class A Pass Through Trust | ||||||||
4.00% due 11/15/32 | 145,092 | 157,668 | ||||||
Total Consumer, Cyclical | 1,036,352,565 | |||||||
Communications - 3.5% | ||||||||
ViacomCBS, Inc. | ||||||||
4.95% due 01/15/31 | 69,401,000 | 82,818,323 | ||||||
4.95% due 05/19/5017 | 39,600,000 | 49,466,215 | ||||||
4.75% due 05/15/25 | 36,350,000 | 40,681,882 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
2.80% due 04/01/31 | 71,850,000 | 71,929,174 | ||||||
3.90% due 06/01/52 | 21,650,000 | 21,470,704 | ||||||
2.25% due 01/15/29 | 12,500,000 | 12,478,587 | ||||||
3.85% due 04/01/61 | 1,000,000 | 951,983 | ||||||
4.40% due 12/01/61 | 650,000 | 682,997 | ||||||
Level 3 Financing, Inc. | ||||||||
4.25% due 07/01/284 | 34,430,000 | 34,696,144 | ||||||
3.63% due 01/15/294 | 34,600,000 | 33,552,312 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
3.88% due 11/15/294 | 20,300,000 | $ | 21,706,790 | |||||
3.75% due 07/15/294 | 13,950,000 | 13,482,396 | ||||||
T-Mobile USA, Inc. | ||||||||
3.88% due 04/15/30 | 65,805,000 | 72,774,401 | ||||||
2.63% due 04/15/26 | 13,850,000 | 14,161,625 | ||||||
2.88% due 02/15/31 | 7,250,000 | 7,311,624 | ||||||
AT&T, Inc. | ||||||||
2.75% due 06/01/31 | 48,660,000 | 49,851,395 | ||||||
2.30% due 06/01/27 | 6,000,000 | 6,206,703 | ||||||
Vodafone Group plc | ||||||||
4.13% due 06/04/816 | 40,375,000 | 40,881,303 | ||||||
UPC Broadband Finco BV | ||||||||
4.88% due 07/15/314 | 36,900,000 | 37,780,434 | ||||||
Walt Disney Co. | ||||||||
3.80% due 05/13/60 | 31,990,000 | 36,855,287 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.50% due 08/15/304 | 35,400,000 | 35,975,250 | ||||||
Altice France S.A. | ||||||||
5.13% due 07/15/294 | 17,600,000 | 17,283,728 | ||||||
7.38% due 05/01/264 | 6,600,000 | 6,848,886 | ||||||
5.13% due 01/15/294 | 2,290,000 | 2,244,200 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50% due 05/01/32 | 18,275,000 | 18,800,406 | ||||||
4.25% due 02/01/314 | 6,025,000 | 6,115,375 | ||||||
Mav Acquisition Corp. | ||||||||
5.75% due 08/01/284 | 24,975,000 | 24,537,938 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
5.13% due 07/15/294 | 17,900,000 | 18,481,750 | ||||||
6.75% due 10/15/274 | 5,633,000 | 5,970,980 | ||||||
Amazon.com, Inc. | ||||||||
2.70% due 06/03/60 | 25,180,000 | 23,613,442 | ||||||
Go Daddy Operating Company LLC / GD Finance Co., Inc. | ||||||||
3.50% due 03/01/294 | 22,100,000 | 21,906,625 | ||||||
VeriSign, Inc. | ||||||||
2.70% due 06/15/31 | 18,950,000 | 19,259,643 | ||||||
CSC Holdings LLC | ||||||||
3.38% due 02/15/314 | 14,175,000 | 13,182,750 | ||||||
4.13% due 12/01/304 | 5,741,000 | 5,633,356 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.13% due 07/01/304 | 17,010,000 | 17,088,884 | ||||||
Lamar Media Corp. | ||||||||
3.63% due 01/15/31 | 10,600,000 | 10,600,000 | ||||||
4.00% due 02/15/30 | 5,375,000 | 5,533,563 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
4.50% due 09/15/264 | 15,050,000 | 15,539,125 | ||||||
Virgin Media Vendor Financing Notes IV DAC | ||||||||
5.00% due 07/15/284 | 10,100,000 | 10,431,785 | ||||||
Ziggo BV | ||||||||
4.88% due 01/15/304 | 10,125,000 | 10,406,475 | ||||||
Fox Corp. | ||||||||
3.05% due 04/07/25 | 7,100,000 | 7,554,218 | ||||||
Switch Ltd. | ||||||||
3.75% due 09/15/284 | 4,200,000 | 4,263,000 | ||||||
British Telecommunications plc | ||||||||
9.63% due 12/15/30 | 2,310,000 | 3,532,130 | ||||||
Corning, Inc. | ||||||||
4.38% due 11/15/57 | 2,500,000 | 2,990,710 | ||||||
Thomson Reuters Corp. | ||||||||
5.65% due 11/23/43 | 1,290,000 | 1,751,232 | ||||||
Koninklijke KPN N.V. | ||||||||
8.38% due 10/01/30 | 1,140,000 | 1,608,504 | ||||||
Match Group Holdings II LLC | ||||||||
4.13% due 08/01/304 | 1,250,000 | 1,301,562 | ||||||
Virgin Media Finance plc | ||||||||
5.00% due 07/15/304 | 850,000 | 868,156 | ||||||
Motorola Solutions, Inc. | ||||||||
5.50% due 09/01/44 | 360,000 | 468,074 | ||||||
Total Communications | 963,532,026 | |||||||
Energy - 2.5% | ||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
3.25% due 09/30/404 | 91,750,000 | 92,492,656 | ||||||
2.94% due 09/30/404 | 58,850,000 | 58,727,291 | ||||||
1.75% due 09/30/274 | 2,050,000 | 2,070,548 |
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
BP Capital Markets plc | ||||||||
4.88% 5,6 | 114,865,000 | $ | 126,266,514 | |||||
Qatar Petroleum | ||||||||
3.13% due 07/12/414 | 38,595,000 | 38,576,474 | ||||||
3.30% due 07/12/514 | 37,450,000 | 37,824,500 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.50% due 05/15/30 | 63,355,000 | 72,953,692 | ||||||
ITT Holdings LLC | ||||||||
6.50% due 08/01/294 | 38,600,000 | 38,937,750 | ||||||
Valero Energy Corp. | ||||||||
2.15% due 09/15/27 | 13,920,000 | 14,010,105 | ||||||
2.85% due 04/15/25 | 12,000,000 | 12,634,267 | ||||||
4.00% due 04/01/29 | 7,450,000 | 8,183,238 | ||||||
7.50% due 04/15/32 | 2,530,000 | 3,507,163 | ||||||
Occidental Petroleum Corp. | ||||||||
3.00% due 02/15/27 | 7,480,000 | 7,474,240 | ||||||
5.55% due 03/15/26 | 5,940,000 | 6,593,400 | ||||||
4.30% due 08/15/39 | 6,600,000 | 6,509,448 | ||||||
3.40% due 04/15/26 | 5,000,000 | 5,157,500 | ||||||
4.10% due 02/15/47 | 4,900,000 | 4,659,410 | ||||||
4.40% due 08/15/49 | 2,500,000 | 2,453,125 | ||||||
3.20% due 08/15/26 | 2,375,000 | 2,424,733 | ||||||
4.40% due 04/15/46 | 1,400,000 | 1,394,106 | ||||||
4.63% due 06/15/45 | 800,000 | 818,000 | ||||||
Chevron USA, Inc. | ||||||||
2.34% due 08/12/50 | 27,250,000 | 24,491,501 | ||||||
4.20% due 10/15/49 | 3,300,000 | 4,009,127 | ||||||
Magellan Midstream Partners, LP | ||||||||
3.25% due 06/01/30 | 23,260,000 | 24,838,308 | ||||||
3.95% due 03/01/50 | 1,600,000 | 1,699,978 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
2.74% due 12/31/394 | 19,150,000 | 18,940,372 | ||||||
NuStar Logistics, LP | ||||||||
6.38% due 10/01/30 | 13,850,000 | 15,235,000 | ||||||
5.63% due 04/28/27 | 1,799,000 | 1,915,935 | ||||||
Florida Gas Transmission Company LLC | ||||||||
2.55% due 07/01/304 | 15,100,000 | 15,256,230 | ||||||
Midwest Connector Capital Company LLC | ||||||||
4.63% due 04/01/294 | 13,440,000 | 14,434,512 | ||||||
Baker Hughes a GE Company LLC / Baker Hughes Co-Obligor, Inc. | ||||||||
4.49% due 05/01/30 | 6,300,000 | 7,362,736 | ||||||
Phillips 66 | ||||||||
3.70% due 04/06/23 | 2,250,000 | 2,356,712 | ||||||
Enbridge Energy Partners, LP | ||||||||
7.38% due 10/15/45 | 1,040,000 | 1,642,964 | ||||||
TransCanada PipeLines Ltd. | ||||||||
6.10% due 06/01/40 | 1,200,000 | 1,625,294 | ||||||
ONEOK Partners, LP | ||||||||
6.20% due 09/15/43 | 680,000 | 879,497 | ||||||
3.38% due 10/01/22 | 720,000 | 735,221 | ||||||
Parkland Corp. | ||||||||
5.88% due 07/15/274 | 320,000 | 339,200 | ||||||
Total Energy | 679,430,747 | |||||||
Technology - 1.4% | ||||||||
Broadcom, Inc. | ||||||||
4.15% due 11/15/30 | 60,860,000 | 67,395,117 | ||||||
2.45% due 02/15/314 | 57,120,000 | 55,336,160 | ||||||
2.60% due 02/15/334 | 1,660,000 | 1,596,285 | ||||||
NetApp, Inc. | ||||||||
2.70% due 06/22/30 | 53,505,000 | 54,927,077 | ||||||
Leidos, Inc. | ||||||||
2.30% due 02/15/31 | 34,450,000 | 33,659,373 | ||||||
3.63% due 05/15/25 | 9,200,000 | 9,919,256 | ||||||
4.38% due 05/15/30 | 2,650,000 | 3,005,259 | ||||||
Oracle Corp. | ||||||||
3.95% due 03/25/51 | 38,750,000 | 41,062,789 | ||||||
6.13% due 07/08/39 | 1,190,000 | 1,607,699 | ||||||
Qorvo, Inc. | ||||||||
4.38% due 10/15/29 | 21,000,000 | 22,890,000 | ||||||
3.38% due 04/01/314 | 8,675,000 | 9,146,920 | ||||||
Apple, Inc. | ||||||||
2.55% due 08/20/60 | 22,850,000 | 20,778,857 | ||||||
CGI, Inc. | ||||||||
2.30% due 09/14/314 | 21,050,000 | 20,426,112 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
MSCI, Inc. | ||||||||
3.63% due 09/01/304 | 17,718,000 | $ | 18,315,983 | |||||
3.88% due 02/15/314 | 1,769,000 | 1,855,239 | ||||||
Analog Devices, Inc. | ||||||||
2.95% due 04/01/25 | 6,100,000 | 6,504,876 | ||||||
TeamSystem SpA | ||||||||
3.50% due 02/15/28 | EUR | 5,000,000 | 5,777,282 | |||||
Booz Allen Hamilton, Inc. | ||||||||
3.88% due 09/01/284 | 4,550,000 | 4,664,296 | ||||||
Presidio Holdings, Inc. | ||||||||
4.88% due 02/01/274 | 2,300,000 | 2,374,750 | ||||||
Microchip Technology, Inc. | ||||||||
0.97% due 02/15/244 | 1,650,000 | 1,650,833 | ||||||
Citrix Systems, Inc. | ||||||||
3.30% due 03/01/30 | 1,500,000 | 1,530,394 | ||||||
Skyworks Solutions, Inc. | ||||||||
1.80% due 06/01/26 | 540,000 | 546,919 | ||||||
0.90% due 06/01/23 | 500,000 | 500,964 | ||||||
HP, Inc. | ||||||||
4.05% due 09/15/22 | 720,000 | 744,636 | ||||||
Open Text Holdings, Inc. | ||||||||
4.13% due 02/15/304 | 210,000 | 215,775 | ||||||
Total Technology | 386,432,851 | |||||||
Basic Materials - 1.1% | ||||||||
Newcrest Finance Pty Ltd. | ||||||||
3.25% due 05/13/304 | 55,600,000 | 59,028,016 | ||||||
4.20% due 05/13/504 | 26,390,000 | 30,116,478 | ||||||
Anglo American Capital plc | ||||||||
5.63% due 04/01/304 | 39,500,000 | 47,628,725 | ||||||
2.63% due 09/10/304 | 18,000,000 | 17,859,977 | ||||||
3.95% due 09/10/504 | 14,140,000 | 15,086,685 | ||||||
2.25% due 03/17/284 | 1,010,000 | 1,003,067 | ||||||
Yamana Gold, Inc. | ||||||||
2.63% due 08/15/314 | 19,350,000 | 18,881,297 | ||||||
4.63% due 12/15/27 | 3,000,000 | 3,316,702 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/284 | 18,630,000 | 19,328,625 | ||||||
Alcoa Nederland Holding BV | ||||||||
4.13% due 03/31/294 | 8,600,000 | 8,965,500 | ||||||
5.50% due 12/15/274 | 6,525,000 | 7,004,131 | ||||||
6.13% due 05/15/284 | 2,800,000 | 3,034,500 | ||||||
Valvoline, Inc. | ||||||||
3.63% due 06/15/314 | 18,300,000 | 18,071,250 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
2.15% due 08/15/30 | 12,040,000 | 11,758,063 | ||||||
Corporation Nacional del Cobre de Chile | ||||||||
3.75% due 01/15/314 | 10,430,000 | 11,157,048 | ||||||
INEOS Quattro Finance 2 plc | ||||||||
2.50% due 01/15/26 | EUR | 8,500,000 | 9,912,761 | |||||
Steel Dynamics, Inc. | ||||||||
2.40% due 06/15/25 | 5,950,000 | 6,190,444 | ||||||
Nucor Corp. | ||||||||
2.00% due 06/01/25 | 5,000,000 | 5,145,362 | ||||||
Carpenter Technology Corp. | ||||||||
6.38% due 07/15/28 | 2,125,000 | 2,285,310 | ||||||
Southern Copper Corp. | ||||||||
7.50% due 07/27/35 | 1,150,000 | 1,644,500 | ||||||
International Paper Co. | ||||||||
7.30% due 11/15/39 | 1,030,000 | 1,581,920 | ||||||
WR Grace Holdings LLC | ||||||||
4.88% due 06/15/274 | 925,000 | 949,864 | ||||||
Sherwin-Williams Co. | ||||||||
2.75% due 06/01/22 | 220,000 | 222,998 | ||||||
Total Basic Materials | 300,173,223 | |||||||
Utilities - 0.9% | ||||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
3.52% due 12/31/39††† | 97,100,000 | 98,021,479 | ||||||
AES Corp. | ||||||||
3.95% due 07/15/304 | 26,390,000 | 29,018,972 | ||||||
3.30% due 07/15/254 | 3,750,000 | 3,983,325 | ||||||
NRG Energy, Inc. | ||||||||
2.45% due 12/02/274 | 26,000,000 | 26,365,148 |
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Arizona Public Service Co. | ||||||||
3.35% due 05/15/50 | 23,140,000 | $ | 24,071,228 | |||||
Enel Finance International N.V. | ||||||||
2.88% due 07/12/414 | 19,800,000 | 19,247,487 | ||||||
Alexander Funding Trust | ||||||||
1.84% due 11/15/234 | 14,400,000 | 14,675,158 | ||||||
Clearway Energy Operating LLC | �� | |||||||
3.75% due 02/15/314 | 11,150,000 | 11,177,875 | ||||||
Southern Power Co. | ||||||||
5.25% due 07/15/43 | 1,350,000 | 1,680,494 | ||||||
Entergy Texas, Inc. | ||||||||
1.50% due 09/01/26 | 1,650,000 | 1,624,439 | ||||||
ONE Gas, Inc. | ||||||||
0.85% due 03/11/23 | 1,620,000 | 1,620,290 | ||||||
Dominion Energy, Inc. | ||||||||
0.65% (3 Month USD LIBOR + 0.53%) due 09/15/237 | 1,030,000 | 1,030,243 | ||||||
Atmos Energy Corp. | ||||||||
0.63% due 03/09/23 | 800,000 | 800,025 | ||||||
OGE Energy Corp. | ||||||||
0.70% due 05/26/23 | 360,000 | 360,028 | ||||||
Total Utilities | 233,676,191 | |||||||
Total Corporate Bonds | ||||||||
(Cost $10,640,454,256) | 11,078,953,826 | |||||||
ASSET-BACKED SECURITIES†† - 19.9% | ||||||||
Collateralized Loan Obligations - 12.6% | ||||||||
BXMT Ltd. | ||||||||
2020-FL2, 0.99% (30 Day Average U.S. Secured Overnight Financing Rate + 1.01%, Rate Floor: 0.90%) due 02/15/384,7 | 76,225,000 | 76,129,239 | ||||||
2020-FL3, 1.92% (30 Day Average U.S. Secured Overnight Financing Rate + 1.86%, Rate Floor: 1.75%) due 03/15/374,7 | 23,550,000 | 23,539,304 | ||||||
2020-FL3, 2.72% (30 Day Average U.S. Secured Overnight Financing Rate + 2.66%, Rate Floor: 2.55%) due 03/15/374,7 | 16,125,000 | 16,202,635 | ||||||
2020-FL2, 1.49% (30 Day Average U.S. Secured Overnight Financing Rate + 1.51%, Rate Floor: 1.40%) due 02/15/384,7 | 16,000,000 | 15,963,222 | ||||||
2020-FL3, 2.32% (30 Day Average U.S. Secured Overnight Financing Rate + 2.26%, Rate Floor: 2.15%) due 03/15/374,7 | 10,600,000 | 10,627,219 | ||||||
2020-FL2, 1.74% (30 Day Average U.S. Secured Overnight Financing Rate + 1.76%, Rate Floor: 1.65%) due 02/15/384,7 | 5,360,000 | 5,347,377 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2020-FL2, 1.24% (30 Day Average U.S. Secured Overnight Financing Rate + 1.26%, Rate Floor: 1.15%) due 02/15/384,7 | 5,200,000 | $ | 5,188,667 | |||||
Dryden 33 Senior Loan Fund | ||||||||
2020-33A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/294,7 | 56,002,056 | 55,992,581 | ||||||
2020-33A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/294,7 | 48,700,000 | 48,607,402 | ||||||
2020-33A, 2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/294,7 | 27,000,000 | 26,943,583 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/334,7 | 100,000,000 | 100,466,180 | ||||||
2020-3A, 2.63% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/334,7 | 10,200,000 | 10,287,111 | ||||||
HERA Commercial Mortgage Ltd. | ||||||||
2021-FL1, 1.69% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/384,7 | 49,562,000 | 49,416,070 | ||||||
2021-FL1, 1.39% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/384,7 | 28,000,000 | 27,884,987 | ||||||
2021-FL1, 2.04% (1 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 02/18/384,7 | 19,200,000 | 19,127,900 | ||||||
2021-FL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/384,7 | 10,000,000 | 9,975,899 | ||||||
LoanCore Issuer Ltd. | ||||||||
2021-CRE4, 1.87% (30 Day Average U.S. Secured Overnight Financing Rate + 1.81%, Rate Floor: 1.70%) due 07/15/354,7 | 25,982,000 | 26,034,143 | ||||||
2019-CRE2, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/364,7 | 19,984,000 | 19,927,811 | ||||||
2018-CRE1, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/284,7 | 17,747,000 | 17,740,851 | ||||||
2021-CRE5, 3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/364,7 | 14,350,000 | 14,362,717 | ||||||
2019-CRE2, 1.78% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/364,7 | 11,575,000 | 11,568,215 |
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2019-CRE3, 1.13% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 04/15/344,7 | 6,359,660 | $ | 6,352,630 | |||||
2021-CRE4, 2.67% (30 Day Average U.S. Secured Overnight Financing Rate + 2.61%, Rate Floor: 2.50%) due 07/15/354,7 | 5,600,000 | 5,611,261 | ||||||
2019-CRE3, 1.68% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/344,7 | 4,410,000 | 4,374,805 | ||||||
Cerberus Loan Funding XXXII, LP | ||||||||
2021-2A, 1.75% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/334,7 | 65,000,000 | 65,140,991 | ||||||
2021-2A, 2.98% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/334,7 | 20,925,000 | 21,019,177 | ||||||
2021-2A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/334,7 | 19,200,000 | 19,217,343 | ||||||
Golub Capital Partners CLO 33M Ltd. | ||||||||
2021-33A, 1.98% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/334,7 | 104,600,000 | 104,594,655 | ||||||
Woodmont Trust | ||||||||
2020-7A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/324,7 | 83,000,000 | 83,466,917 | ||||||
2020-7A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/324,7 | 13,500,000 | 13,658,120 | ||||||
2020-7A, 2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/324,7 | 7,000,000 | 7,026,176 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2021-3A, 1.92% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/294,7 | 22,500,000 | 22,499,561 | ||||||
2021-1A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/294,7 | 19,000,000 | 18,926,861 | ||||||
2018-4A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/15/264,7 | 12,000,000 | 12,006,136 | ||||||
2019-3A, 0.98% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/274,7 | 11,021,158 | 11,022,109 | ||||||
2021-2A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/294,7 | 10,500,000 | 10,399,535 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2018-4A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/264,7 | 7,289,303 | $ | 7,290,349 | |||||
2021-1A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/294,7 | 7,100,000 | 7,102,005 | ||||||
2021-2A, 2.53% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/294,7 | 7,000,000 | 6,999,925 | ||||||
MidOcean Credit CLO VII | ||||||||
2020-7A, 1.17% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/294,7 | 52,000,000 | 52,016,110 | ||||||
2020-7A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/294,7 | 27,500,000 | 27,460,793 | ||||||
2020-7A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/294,7 | 14,800,000 | 14,811,566 | ||||||
KREF Funding V LLC | ||||||||
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,7 | 81,053,530 | 80,234,889 | ||||||
0.15% due 06/25/26†††,12 | 313,636,364 | 385,773 | ||||||
Venture XIV CLO Ltd. | ||||||||
2020-14A, 1.15% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/294,7 | 69,000,000 | 69,005,927 | ||||||
2020-14A, 2.37% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/294,7 | 22,725,000 | 22,727,447 | ||||||
ABPCI Direct Lending Fund IX LLC | ||||||||
2020-9A, 2.08% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/314,7 | 72,500,000 | 72,717,928 | ||||||
2020-9A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/18/314,7 | 15,250,000 | 15,304,494 | ||||||
ABPCI Direct Lending Fund CLO II LLC | ||||||||
2021-1A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/324,7 | 83,450,000 | 83,343,843 | ||||||
Cerberus Loan Funding XXXI, LP | ||||||||
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/324,7 | 70,250,000 | 70,263,917 | ||||||
2021-1A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 04/15/324,7 | 12,000,000 | 11,999,920 | ||||||
GPMT Ltd. | ||||||||
2019-FL2, 1.68% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/22/364,7 | 24,300,000 | 24,284,365 |
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2019-FL2, 2.43% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 02/22/364,7 | 21,400,000 | $ | 21,347,300 | |||||
2019-FL2, 1.38% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/364,7 | 20,418,639 | 20,407,705 | ||||||
2019-FL2, 1.98% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/364,7 | 12,750,000 | 12,727,194 | ||||||
Parliament Funding II Ltd. | ||||||||
2020-1A, 2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/304,7 | 71,650,000 | 71,916,954 | ||||||
2020-1A, 3.33% (3 Month USD LIBOR + 3.20%, Rate Floor: 3.20%) due 08/12/304,7 | 6,000,000 | 6,026,298 | ||||||
Golub Capital Partners CLO 36M Ltd. | ||||||||
2018-36A, 1.42% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/314,7 | 76,300,000 | 75,878,504 | ||||||
Fortress Credit Opportunities IX CLO Ltd. | ||||||||
due 10/15/334,7 | 52,900,000 | 52,900,000 | ||||||
2017-9A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/294,7 | 11,527,000 | 11,527,000 | ||||||
2020-9A, 2.53% due 11/15/294 | 1,250,000 | 1,250,000 | ||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/334,7 | 33,500,000 | 33,552,930 | ||||||
2021-1A, 2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/334,7 | 30,400,000 | 30,241,151 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A, 1.88% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/334,7 | 59,500,000 | 59,608,950 | ||||||
2021-1A, 2.18% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/20/334,7 | 2,500,000 | 2,487,184 | ||||||
CHCP Ltd. | ||||||||
2021-FL1, 1.22% (30 Day Average U.S. Secured Overnight Financing Rate + 1.16%, Rate Floor: 1.05%) due 02/15/384,7 | 28,000,000 | 27,976,693 | ||||||
2021-FL1, 1.47% (30 Day Average U.S. Secured Overnight Financing Rate + 1.41%, Rate Floor: 1.30%) due 02/15/384,7 | 22,250,000 | 22,225,950 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2021-FL1, 1.82% (30 Day Average U.S. Secured Overnight Financing Rate + 1.76%, Rate Floor: 1.65%) due 02/15/384,7 | 5,900,000 | $ | 5,902,903 | |||||
2021-FL1, 2.27% (30 Day Average U.S. Secured Overnight Financing Rate + 2.21%, Rate Floor: 2.10%) due 02/15/384,7 | 2,950,000 | 2,952,613 | ||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/314,7 | 55,700,000 | 55,699,866 | ||||||
2021-1A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/314,7 | 3,250,000 | 3,252,178 | ||||||
Wellfleet CLO Ltd. | ||||||||
2020-2A, 1.19% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/294,7 | 52,250,000 | 52,291,157 | ||||||
2018-2A, 1.71% (3 Month USD LIBOR + 1.58%, Rate Floor: 1.58%) due 10/20/284,7 | 2,500,000 | 2,500,500 | ||||||
Owl Rock CLO IV Ltd. | ||||||||
2021-4A, 1.74% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/334,7 | 36,500,000 | 36,536,361 | ||||||
2021-4A, 2.04% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/334,7 | 16,750,000 | 16,687,038 | ||||||
ABPCI Direct Lending Fund CLO V Ltd. | ||||||||
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/314,7 | 50,650,000 | 50,569,208 | ||||||
Diamond CLO Ltd. | ||||||||
2021-1A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/294,7 | 23,825,000 | 23,807,174 | ||||||
2018-1A, 1.64% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/304,7 | 18,000,000 | 17,982,081 | ||||||
2021-1A, 2.53% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/294,7 | 2,300,000 | 2,295,130 | ||||||
2021-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/25/294,7 | 2,150,000 | 2,147,474 | ||||||
Fortress Credit Opportunities XI CLO Ltd. | ||||||||
2018-11A, 1.43% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/314,7 | 44,300,000 | 43,958,044 |
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2018-11A, 2.63% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 04/15/314,7 | 2,300,000 | $ | 2,268,614 | |||||
Whitebox CLO II Ltd. | ||||||||
2020-2A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/24/314,7 | 36,500,000 | 36,574,015 | ||||||
2020-2A, 2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/24/314,7 | 7,000,000 | 7,006,580 | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A, 1.69% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/334,7 | 32,000,000 | 32,039,514 | ||||||
2021-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/334,7 | 9,500,000 | 9,499,971 | ||||||
GoldenTree Loan Management US CLO 1 Ltd. | ||||||||
2021-9A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/334,7 | 35,900,000 | 35,793,061 | ||||||
2021-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/334,7 | 3,900,000 | 3,875,118 | ||||||
Cerberus Loan Funding XXXV, LP | ||||||||
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/334,7 | 30,750,000 | 30,750,000 | ||||||
2021-5A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 09/22/334,7 | 8,000,000 | 8,000,000 | ||||||
LCM XXIV Ltd. | ||||||||
2021-24A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 03/20/304,7 | 24,200,000 | 24,149,582 | ||||||
2021-24A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 03/20/304,7 | 13,050,000 | 13,018,518 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A, 1.70% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/334,7 | 26,750,000 | 26,790,395 | ||||||
2021-16A, 1.89% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/334,7 | 9,000,000 | 9,045,100 | ||||||
Golub Capital Partners Clo 49M Ltd. | ||||||||
2021-49A, 2.00% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/26/334,7 | 21,695,000 | 21,654,059 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2021-49A, 2.70% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 08/26/334,7 | 12,600,000 | $ | 12,548,854 | |||||
Madison Park Funding XLVIII Ltd. | ||||||||
2021-48A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/334,7 | 27,500,000 | 27,185,491 | ||||||
2021-48A, 2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/334,7 | 5,900,000 | 5,899,971 | ||||||
Telos CLO Ltd. | ||||||||
2017-6A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 01/17/274,7 | 29,691,627 | 29,697,693 | ||||||
Neuberger Berman Loan Advisers CLO 40 Ltd. | ||||||||
2021-40A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/334,7 | 26,700,000 | 26,466,949 | ||||||
2021-40A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/334,7 | 2,000,000 | 1,987,638 | ||||||
Marathon CLO V Ltd. | ||||||||
2017-5A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/274,7 | 18,020,137 | 18,002,982 | ||||||
2017-5A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/274,7 | 8,938,827 | 8,932,825 | ||||||
Denali Capital CLO XI Ltd. | ||||||||
2018-1A, 1.26% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/284,7 | 25,577,255 | �� | 25,577,483 | |||||
OCP CLO Ltd. | ||||||||
2020-4A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/294,7 | 25,500,000 | 25,501,476 | ||||||
STWD Ltd. | ||||||||
2019-FL1, 1.68% (30 Day Average U.S. Secured Overnight Financing Rate + 1.71%, Rate Floor: 1.60%) due 07/15/384,7 | 11,210,000 | 11,163,984 | ||||||
2019-FL1, 2.03% (30 Day Average U.S. Secured Overnight Financing Rate + 2.06%, Rate Floor: 1.95%) due 07/15/384,7 | 8,800,000 | 8,806,093 | ||||||
2021-FL2, 2.18% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 04/18/384,7 | 2,820,000 | 2,825,840 |
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2019-FL1, 1.57% (30 Day Average U.S. Secured Overnight Financing Rate + 1.51%, Rate Floor: 1.40%) due 07/15/384,7 | 2,200,000 | $ | 2,191,002 | |||||
ACRES Commercial Realty Ltd. | ||||||||
2021-FL1, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/364,7 | 13,092,000 | 12,960,708 | ||||||
2021-FL1, 2.73% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/364,7 | 11,750,000 | 11,868,432 | ||||||
Ares LVII CLO Ltd. | ||||||||
2020-57A, 2.63% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 10/25/314,7 | 13,500,000 | 13,505,890 | ||||||
2020-57A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/25/314,7 | 9,500,000 | 9,501,189 | ||||||
Voya CLO Ltd. | ||||||||
2020-1A, 1.19% (3 Month USD LIBOR + 1.06%, Rate Floor: 1.06%) due 04/15/314,7 | 18,850,000 | 18,844,304 | ||||||
2013-1A, due 10/15/304,10 | 10,575,071 | 3,450,466 | ||||||
Apres Static CLO Ltd. | ||||||||
2020-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/284,7 | 21,750,000 | 21,716,818 | ||||||
NewStar Fairfield Fund CLO Ltd. | ||||||||
2018-2A, 1.40% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/304,7 | 21,171,638 | 21,002,730 | ||||||
Golub Capital Partners CLO 54M L.P | ||||||||
2021-54A, 1.97% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/334,7 | 21,000,000 | 20,937,298 | ||||||
Allegro CLO IX Ltd. | ||||||||
2018-3A, 1.29% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/314,7 | 20,400,000 | 20,400,296 | ||||||
Avery Point VI CLO Ltd. | ||||||||
2021-6A, 1.92% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 08/05/274,7 | 12,100,000 | 12,091,267 | ||||||
2021-6A, 1.47% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/05/274,7 | 8,000,000 | 7,991,996 | ||||||
Recette CLO Ltd. | ||||||||
2021-1A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/344,7 | 9,800,000 | 9,657,162 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2021-1A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 04/20/344,7 | 9,200,000 | $ | 9,092,946 | |||||
Anchorage Capital CLO 6 Ltd. | ||||||||
2021-6A, 2.33% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 07/15/304,7 | 18,585,000 | 18,575,908 | ||||||
AMMC CLO XIV Ltd. | ||||||||
2021-14A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/294,7 | 18,290,000 | 18,289,075 | ||||||
Neuberger Berman Loan Advisers CLO 32 Ltd. | ||||||||
2021-32A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/324,7 | 14,100,000 | 14,085,411 | ||||||
2021-32A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 01/20/324,7 | 4,200,000 | 4,162,859 | ||||||
Owl Rock CLO VI Ltd. | ||||||||
2021-6A, 1.87% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/324,7 | 17,450,000 | 17,398,709 | ||||||
KREF | ||||||||
2021-FL2, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/394,7 | 16,600,000 | 16,607,266 | ||||||
ABPCI DIRECT LENDING FUND CLO V Ltd. | ||||||||
2021-5A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/314,7 | 15,975,000 | 15,934,732 | ||||||
610 Funding CLO 3 Ltd. | ||||||||
2018-3A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/284,7 | 15,816,851 | 15,817,495 | ||||||
FS RIALTO | ||||||||
2021-FL2, 2.14% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/16/284,7 | 15,665,000 | 15,671,926 | ||||||
Owl Rock CLO II Ltd. | ||||||||
2021-2A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/334,7 | 15,600,000 | 15,564,427 | ||||||
Dryden 36 Senior Loan Fund | ||||||||
2020-36A, 2.18% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/294,7 | 15,200,000 | 15,199,942 | ||||||
Magnetite XXIX Ltd. | ||||||||
2021-29A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/344,7 | 15,100,000 | 15,056,251 | ||||||
Shackleton CLO Ltd. | ||||||||
2017-8A, 1.43% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 10/20/274,7 | 5,510,000 | 5,501,324 |
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2017-8A, 1.05% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/274,7 | 4,851,908 | $ | 4,850,745 | |||||
2018-6RA, 1.15% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/284,7 | 2,646,842 | 2,645,588 | ||||||
Octagon Investment Partners 49 Ltd. | ||||||||
2021-5A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/334,7 | 12,800,000 | 12,786,269 | ||||||
Golub Capital Partners CLO 17 Ltd. | ||||||||
2017-17A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/304,7 | 12,600,000 | 12,601,725 | ||||||
Greystone Commercial Real Estate Notes | ||||||||
2021-FL3, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/394,7 | 12,000,000 | 11,994,634 | ||||||
Benefit Street Partners CLO XXII Ltd. | ||||||||
2020-22A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 01/20/324,7 | 7,700,000 | 7,701,196 | ||||||
2020-22A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 01/20/324,7 | 4,300,000 | 4,291,948 | ||||||
Columbia Cent CLO 27 Ltd. | ||||||||
2020-27A, 1.83% due 10/25/284 | 12,000,000 | 11,959,187 | ||||||
Halcyon Loan Advisors Funding Ltd. | ||||||||
2017-3A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/274,7 | 10,121,680 | 10,120,541 | ||||||
Neuberger Berman CLO XVI-S Ltd. | ||||||||
2021-16SA, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/344,7 | 10,200,000 | 10,055,347 | ||||||
Golub Capital Partners CLO 54M, LP | ||||||||
2021-54A, 1.65% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/334,7 | 10,000,000 | 10,000,672 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A, due 10/20/284,10 | 13,600,000 | 9,685,707 | ||||||
BSPRT Issuer Ltd. | ||||||||
2021-FL6, 2.13% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/364,7 | 5,550,000 | 5,549,996 | ||||||
2018-FL4, 1.13% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 09/15/354,7 | 3,562,072 | 3,556,820 | ||||||
Dryden 37 Senior Loan Fund | ||||||||
2015-37A, due 01/15/314,10 | 10,000,000 | 8,469,239 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
KVK CLO Ltd. | ||||||||
2018-1A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 05/20/294,7 | 3,850,000 | $ | 3,848,875 | |||||
2017-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/284,7 | 2,325,959 | 2,325,960 | ||||||
2018-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.00%) due 05/20/294,7 | 2,059,293 | 2,057,684 | ||||||
Wind River CLO Ltd. | ||||||||
2017-2A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/274,7 | 7,838,759 | 7,838,071 | ||||||
Magnetite Xxix Ltd. | ||||||||
2021-29A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/344,7 | 7,700,000 | 7,607,331 | ||||||
BDS Ltd. | ||||||||
2020-FL5, 1.97% (30 Day Average U.S. Secured Overnight Financing Rate + 1.91%, Rate Floor: 1.80%) due 02/16/374,7 | 4,400,000 | 4,397,893 | ||||||
2020-FL5, 1.52% (30 Day Average U.S. Secured Overnight Financing Rate + 1.46%, Rate Floor: 1.35%) due 02/16/374,7 | 3,200,000 | 3,200,444 | ||||||
Marathon CLO VII Ltd. | ||||||||
2017-7A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/28/254,7 | 6,622,593 | 6,622,165 | ||||||
ACRE Commercial Mortgage Ltd. | ||||||||
2021-FL4, 1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/374,7 | 3,100,000 | 3,096,354 | ||||||
2021-FL4, 1.49% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/374,7 | 3,100,000 | 3,092,473 | ||||||
HGI CRE CLO Ltd. | ||||||||
2021-FL2, 1.85% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/19/264,7 | 5,000,000 | 5,000,000 | ||||||
2021-FL2, 1.90% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/19/267,8 | 1,000,000 | 1,000,000 | ||||||
Owl Rock CLO I Ltd. | ||||||||
2019-1A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/314,7 | 5,650,000 | 5,651,793 | ||||||
GoldenTree Loan Opportunities IX Ltd. | ||||||||
2018-9A, 1.24% (3 Month USD LIBOR + 1.11%, Rate Floor: 1.11%) due 10/29/294,7 | 5,152,000 | 5,152,165 |
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
VOYA CLO | ||||||||
2021-2A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/304,7 | 4,950,000 | $ | 4,950,453 | |||||
Atlas Senior Loan Fund III Ltd. | ||||||||
2017-1A, 1.42% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 11/17/274,7 | 4,300,000 | 4,256,078 | ||||||
TRTX Issuer Ltd. | ||||||||
2019-FL3, 1.23% (30 Day Average U.S. Secured Overnight Financing Rate + 1.26%, Rate Floor: 1.15%) due 10/15/344,7 | 2,600,000 | 2,598,773 | ||||||
2019-FL3, 1.93% (30 Day Average U.S. Secured Overnight Financing Rate + 1.86%, Rate Floor: 1.75%) due 10/15/347,8 | 1,500,000 | 1,490,068 | ||||||
Northwoods Capital XII-B Ltd. | ||||||||
2018-12BA, 1.97% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/314,7 | 4,000,000 | 3,959,746 | ||||||
MF1 Multifamily Housing Mortgage Loan Trust | ||||||||
2021-FL6, 2.64% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/364,7 | 3,800,000 | 3,842,925 | ||||||
BRSP Ltd. | ||||||||
2021-FL1, 2.79% (1 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 08/19/384,7 | 3,800,000 | 3,808,512 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
2012-3A, due 01/14/324,10 | 8,920,000 | 3,616,453 | ||||||
TICP CLO III-2 Ltd. | ||||||||
2018-3R, 0.97% (3 Month USD LIBOR + 0.84%, Rate Floor: 0.84%) due 04/20/284,7 | 3,210,544 | 3,210,532 | ||||||
Golub Capital Partners CLO 39B Ltd. | ||||||||
2018-39A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 10/20/284,7 | 3,100,000 | 3,100,147 | ||||||
ACRES Commercial Realty Corp. | ||||||||
2020-RSO8, 1.62% (30 Day Average U.S. Secured Overnight Financing Rate + 1.56%, Rate Floor: 1.45%) due 03/15/354,7 | 3,000,000 | 3,000,371 | ||||||
Monroe Capital CLO Ltd. | ||||||||
2017-1A, 1.84% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/22/264,7 | 2,685,973 | 2,685,731 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Allegro CLO VII Ltd. | ||||||||
2018-1A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 06/13/314,7 | 2,500,000 | $ | 2,493,146 | |||||
Newstar Commercial Loan Funding LLC | ||||||||
2017-1A, 2.62% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 03/20/274,7 | 2,298,904 | 2,299,300 | ||||||
Newfleet CLO Ltd. | ||||||||
2018-1A, 1.08% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/284,7 | 2,210,226 | 2,208,854 | ||||||
First Eagle Clarendon Fund CLO LLC | ||||||||
2019-1A, 3.18% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/274,7 | 2,000,000 | 2,000,231 | ||||||
Ivy Hill Middle Market Credit Fund IX Ltd. | ||||||||
2017-9A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 01/18/304,7 | 1,000,000 | 995,421 | ||||||
2017-9A, 2.48% (3 Month USD LIBOR + 2.35%, Rate Floor: 0.00%) due 01/18/304,7 | 1,000,000 | 985,841 | ||||||
Oaktree CLO Ltd. | ||||||||
2017-1A, 1.00% (3 Month USD LIBOR + 0.87%) due 10/20/274,7 | 1,780,884 | 1,780,752 | ||||||
Dryden XXV Senior Loan Fund | ||||||||
2017-25A, 1.48% (3 Month USD LIBOR + 1.35%, Rate Floor: 0.00%) due 10/15/274,7 | 1,766,703 | 1,764,912 | ||||||
Ready Capital Mortgage Financing LLC | ||||||||
2019-FL3, 1.09% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 03/25/347,8 | 1,665,516 | 1,661,871 | ||||||
TCP Waterman CLO Ltd. | ||||||||
2016-1A, 2.17% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 12/15/284,7 | 1,517,011 | 1,517,010 | ||||||
Grand Avenue CRE Ltd. | ||||||||
2020-FL2, 4.35% (30 Day Average U.S. Secured Overnight Financing Rate + 4.37%, Rate Floor: 4.26%) due 03/15/357,8 | 1,100,000 | 1,110,982 | ||||||
2020-FL2, 3.34% (30 Day Average U.S. Secured Overnight Financing Rate + 3.36%, Rate Floor: 3.25%) due 03/15/357,8 | 62,812 | 62,825 | ||||||
Venture XIII CLO Ltd. | ||||||||
2013-13A, due 09/10/294,10 | 3,700,000 | 1,119,542 |
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Catamaran CLO Ltd. | ||||||||
2016-2A, 2.18% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 10/18/264,7 | 904,987 | $ | 904,964 | |||||
Mountain View CLO Ltd. | ||||||||
2018-1A, 0.93% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/264,7 | 829,705 | 829,602 | ||||||
Avery Point II CLO Ltd. | ||||||||
2013-3X COM, due 01/18/2510 | 2,375,019 | 384,278 | ||||||
Great Lakes CLO Ltd. | ||||||||
2014-1A, due 10/15/294,10 | 461,538 | 177,896 | ||||||
Babson CLO Ltd. | ||||||||
2014-IA, due 07/20/254,10 | 1,300,000 | 153,140 | ||||||
Atlas Senior Loan Fund IX Ltd. | ||||||||
2018-9A, due 04/20/284,10 | 1,200,000 | 110,063 | ||||||
Copper River CLO Ltd. | ||||||||
2007-1A, due 01/20/218,10 | 1,500,000 | 51,345 | ||||||
OHA Credit Partners IX Ltd. | ||||||||
2013-9A, due 10/20/254,10 | 1,808,219 | 2,025 | ||||||
Total Collateralized Loan Obligations | 3,427,688,427 | |||||||
Financial - 2.6% | ||||||||
Station Place Securitization Trust | ||||||||
2021-3, 0.98% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,4,7 | 144,500,000 | 144,500,000 | ||||||
2020-16, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,4,7 | 114,400,000 | 114,400,000 | ||||||
2021-SP1, 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,4,7 | 42,600,000 | 42,600,000 | ||||||
2021-WL1, 0.94% (1 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 01/26/54†††,4,7 | 8,850,000 | 8,850,000 | ||||||
2021-WL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 01/26/54†††,4,7 | 6,750,000 | 6,750,000 | ||||||
2021-WL2, 2.09% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 03/25/54†††,4,7 | 5,250,000 | 5,250,000 | ||||||
2021-WL2, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 03/25/54†††,4,7 | 4,250,000 | 4,250,000 | ||||||
2021-WL1, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 01/26/54†††,4,7 | 3,400,000 | 3,400,000 | ||||||
HV Eight LLC | ||||||||
2.90% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25†††,7 | EUR | 107,000,000 | 123,785,067 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Strategic Partners Fund VIII LP | ||||||||
3.09% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/10/25†††,7 | 51,900,000 | $ | 51,904,671 | |||||
2.59% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/10/25†††,7 | 21,900,000 | 21,900,438 | ||||||
HarbourVest Structured Solutions IV Holdings, LP | ||||||||
due 09/15/267 | 20,700,000 | 20,700,000 | ||||||
due 09/15/267 | EUR | 11,100,000 | 12,859,129 | |||||
Aesf Vi Verdi, LP | ||||||||
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24†††,7 | EUR | 21,283,503 | 24,643,692 | |||||
Oxford Finance Funding | ||||||||
2020-1A, 3.10% due 02/15/284 | 23,750,000 | 24,350,937 | ||||||
Ceamer Finance LLC | ||||||||
3.69% due 03/22/31††† | 23,275,000 | 22,848,602 | ||||||
Madison Avenue Secured Funding Trust Series | ||||||||
2020-1, 1.71% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,4,7 | 20,050,000 | 20,050,000 | ||||||
Nassau LLC | ||||||||
2019-1, 3.98% due 08/15/344 | 17,499,849 | 17,685,781 | ||||||
KKR Core Holding Company LLC | ||||||||
4.00% due 07/15/31††† | 16,760,000 | 16,533,741 | ||||||
Aesf Vi Verdi LP | ||||||||
2.30% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24†††,7 | 13,170,173 | 13,169,383 | ||||||
Lam Trade Finance Group LLC | ||||||||
2.50% due 09/29/22 | 11,000,000 | 11,000,000 | ||||||
Industrial DPR Funding Ltd. | ||||||||
2016-1A, 5.24% due 04/15/264 | 2,869,293 | 3,113,119 | ||||||
Total Financial | 714,544,560 | |||||||
Transport-Aircraft - 1.4% | ||||||||
Castlelake Aircraft Structured Trust | ||||||||
2021-1A, 3.47% due 01/15/464 | 74,916,212 | 77,379,397 | ||||||
AASET Trust | ||||||||
2020-1A, 3.35% due 01/16/404 | 29,896,404 | 29,551,696 | ||||||
2019-1, 3.84% due 05/15/394 | 12,133,409 | 12,068,086 | ||||||
2017-1A, 3.97% due 05/16/424 | 6,918,784 | 6,344,139 | ||||||
2019-2, 3.38% due 10/16/394 | 2,144,542 | 2,086,216 | ||||||
AASET US Ltd. | ||||||||
2018-2A, 4.45% due 11/18/384 | 46,511,467 | 45,176,690 | ||||||
KDAC Aviation Finance Ltd. | ||||||||
2017-1A, 4.21% due 12/15/424 | 33,684,045 | 33,557,689 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
2020-1A, 3.23% due 03/15/404 | 31,538,532 | 31,271,489 | ||||||
Sapphire Aviation Finance I Ltd. | ||||||||
2018-1A, 4.25% due 03/15/404 | 30,504,115 | 30,119,165 |
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
2018-1, 4.13% due 06/15/434 | 24,524,259 | $ | 24,456,977 | |||||
2016-1, 4.45% due 08/15/41 | 324,299 | 324,281 | ||||||
MAPS Ltd. | ||||||||
2018-1A, 4.21% due 05/15/434 | 21,240,139 | 21,416,974 | ||||||
WAVE LLC | ||||||||
2019-1, 3.60% due 09/15/444 | 21,297,467 | 21,210,408 | ||||||
Falcon Aerospace Ltd. | ||||||||
2019-1, 3.60% due 09/15/394 | 12,909,076 | 12,797,034 | ||||||
2017-1, 4.58% due 02/15/424 | 5,073,311 | 5,054,702 | ||||||
AIM Aviation Finance Ltd. | ||||||||
2015-1A, 4.21% due 02/15/404 | 14,800,616 | 12,567,203 | ||||||
Raspro Trust | ||||||||
2005-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/244,7 | 7,984,070 | 7,984,063 | ||||||
Slam Ltd. | ||||||||
2021-1A, 3.42% due 06/15/464 | 1,476,600 | 1,482,184 | ||||||
Stripes Aircraft Ltd. | ||||||||
2013-1 A1, 3.59% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23†††,7 | 473,402 | 456,384 | ||||||
Airplanes Pass Through Trust | ||||||||
2001-1A, 1.26% (1 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 03/15/19†††,7,8,9 | 409,604 | 41 | ||||||
Total Transport-Aircraft | 375,304,818 | |||||||
Whole Business - 1.1% | ||||||||
Arbys Funding LLC | ||||||||
2020-1A, 3.24% due 07/30/504 | 96,574,500 | 100,115,887 | ||||||
Taco Bell Funding LLC | ||||||||
2021-1A, 2.29% due 08/25/514 | 24,800,000 | 24,685,994 | ||||||
2016-1A, 4.97% due 05/25/464 | 14,697,625 | 15,740,201 | ||||||
ServiceMaster Funding LLC | ||||||||
2020-1, 3.34% due 01/30/514 | 29,153,500 | 30,169,325 | ||||||
2020-1, 2.84% due 01/30/514 | 9,751,000 | 9,920,287 | ||||||
SERVPRO Master Issuer LLC | ||||||||
2021-1A, 2.39% due 04/25/514 | 30,124,500 | 30,248,252 | ||||||
Wingstop Funding LLC | ||||||||
2020-1A, 2.84% due 12/05/504 | 25,372,500 | 26,087,573 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
2017-1A, 4.12% due 07/25/474 | 10,373,750 | 11,133,544 | ||||||
2021-1A, 3.15% due 04/25/514 | 9,307,673 | 9,810,343 | ||||||
Wendy’s Funding LLC | ||||||||
2019-1A, 3.78% due 06/15/494 | 12,616,725 | 13,332,787 | ||||||
2019-1A, 4.08% due 06/15/494 | 1,561,938 | 1,689,531 | ||||||
Sonic Capital LLC | ||||||||
2021-1A, 2.64% due 08/20/514 | 11,250,000 | 11,251,260 | ||||||
DB Master Finance LLC | ||||||||
2019-1A, 4.35% due 05/20/494 | 7,735,140 | 8,401,228 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
2019-1A, 4.19% due 06/07/494 | 3,356,100 | 3,414,597 | ||||||
Total Whole Business | 296,000,809 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Collateralized Debt Obligations - 0.9% | ||||||||
Anchorage Credit Funding 4 Ltd. | ||||||||
2021-4A, 2.72% due 04/27/394 | 108,450,000 | $ | 108,465,291 | |||||
2021-4A, 3.12% due 04/27/394 | 23,000,000 | 22,989,567 | ||||||
Anchorage Credit Funding 3 Ltd. | ||||||||
2021-3A, 2.87% due 01/28/394 | 54,000,000 | 54,001,696 | ||||||
Anchorage Credit Funding Ltd. | ||||||||
2021-13A, 2.88% due 07/27/394 | 32,850,000 | 32,856,150 | ||||||
2021-13A, 3.23% due 07/27/394 | 6,345,000 | 6,342,285 | ||||||
2021-13A, 3.65% due 07/27/398 | 1,950,000 | 1,949,816 | ||||||
Total Collateralized Debt Obligations | 226,604,805 | |||||||
Net Lease - 0.8% | ||||||||
Capital Automotive LLC | ||||||||
2017-1A, 3.87% due 04/15/474 | 49,137,196 | 49,258,565 | ||||||
2017-1A, 4.18% due 04/15/474 | 271,226 | 271,526 | ||||||
Store Master Funding I-VII | ||||||||
2016-1A, 3.96% due 10/20/464 | 28,274,330 | 29,697,753 | ||||||
2016-1A, 4.32% due 10/20/464 | 11,457,840 | 12,180,081 | ||||||
Capital Automotive REIT | ||||||||
2020-1A, 3.48% due 02/15/504 | 22,195,020 | 22,833,306 | ||||||
2021-1A, 2.76% due 08/15/514 | 6,600,000 | 6,573,574 | ||||||
CMFT Net Lease Master Issuer LLC | ||||||||
2021-1, 2.91% due 07/20/514 | 10,050,000 | 10,035,066 | ||||||
2021-1, 2.57% due 07/20/514 | 5,904,117 | 5,882,958 | ||||||
2021-1, 3.04% due 07/20/514 | 5,050,000 | 5,004,388 | ||||||
2021-1, 3.44% due 07/20/514 | 3,215,000 | 3,208,911 | ||||||
2021-1, 2.51% due 07/20/514 | 3,000,000 | 2,985,392 | ||||||
CARS-DB4, LP | ||||||||
2020-1A, 3.81% due 02/15/504 | 20,024,006 | 21,490,963 | ||||||
2020-1A, 3.25% due 02/15/504 | 3,464,819 | 3,635,815 | ||||||
CF Hippolyta LLC | ||||||||
2020-1, 2.28% due 07/15/604 | 10,436,665 | 10,586,574 | ||||||
2020-1, 2.60% due 07/15/604 | 4,549,437 | 4,583,920 | ||||||
Oak Street Investment Grade Net Lease Fund Series | ||||||||
2020-1A, 2.26% due 11/20/504 | 15,000,000 | 14,854,152 | ||||||
STORE Master Funding I LLC | ||||||||
2015-1A, 4.17% due 04/20/454 | 9,629,803 | 10,031,103 | ||||||
STORE Master Funding LLC | ||||||||
2014-1A, 5.00% due 04/20/444 | 4,335,000 | 4,485,526 | ||||||
2021-1A, 3.70% due 06/20/514 | 3,578,521 | 3,696,008 | ||||||
2013-3A, 5.21% due 11/20/434 | 646,567 | 660,835 | ||||||
Total Net Lease | 221,956,416 | |||||||
Transport-Container - 0.3% | ||||||||
Textainer Marine Containers VII Ltd. | ||||||||
2020-1A, 2.73% due 08/21/454 | 61,022,148 | 61,835,109 | ||||||
CAL Funding IV Ltd. | ||||||||
2020-1A, 2.22% due 09/25/454 | 20,130,000 | 20,288,554 | ||||||
Total Transport-Container | 82,123,663 | |||||||
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Infrastructure - 0.1% | ||||||||
Secured Tenant Site Contract Revenue Notes Series | ||||||||
2018-1A, 3.97% due 06/15/484 | 21,577,011 | $ | 21,975,389 | |||||
Diamond Issuer LLC | ||||||||
2020-1A, 2.74% due 07/20/504 | 7,900,000 | 7,863,005 | ||||||
Total Infrastructure | 29,838,394 | |||||||
Diversified Payment Rights - 0.1% | ||||||||
Bib Merchant Voucher Receivables Ltd. | ||||||||
4.18% due 04/07/28††† | 21,400,000 | 22,731,294 | ||||||
CCR Incorporated MT100 Payment Rights Master Trust | ||||||||
2012-CA, 4.75% due 07/10/224 | 113,095 | 114,873 | ||||||
Total Diversified Payment Rights | 22,846,167 | |||||||
Single Family Residence - 0.0% | ||||||||
FirstKey Homes Trust | ||||||||
2021-SFR1, 2.19% due 08/17/384 | 8,174,000 | 8,136,458 | ||||||
Insurance - 0.0% | ||||||||
321 Henderson Receivables VI LLC | ||||||||
2010-1A, 5.56% due 07/15/594 | 1,049,083 | 1,148,828 | ||||||
JGWPT XXV LLC | ||||||||
2012-1A, 4.21% due 02/16/654 | 469,956 | 529,554 | ||||||
JG Wentworth XXXV LLC | ||||||||
2015-2A, 3.87% due 03/15/584 | 37,415 | 41,752 | ||||||
Total Insurance | 1,720,134 | |||||||
Total Asset-Backed Securities | ||||||||
(Cost $5,387,019,807) | 5,406,764,651 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 14.5% | ||||||||
Residential Mortgage Backed Securities - 7.1% | ||||||||
CSMC Trust | ||||||||
2020-RPL5, 3.02% (WAC) due 08/25/604,7 | 91,856,452 | 93,114,132 | ||||||
2021-RPL7, 1.93% due 06/27/614 | 75,550,000 | 75,581,731 | ||||||
2021-RPL4, 1.80% (WAC) due 12/27/604,7 | 49,599,142 | 49,754,799 | ||||||
2021-RPL1, 1.67% (WAC) due 09/27/604,7 | 36,524,748 | 36,622,978 | ||||||
FKRT | ||||||||
2.21% due 11/30/58 | 117,200,000 | 117,231,644 | ||||||
2020-C2A, 3.25% due 12/30/23†††,8 | 97,396,890 | 97,396,890 | ||||||
PRPM LLC 2021-5, 1.79% due 06/25/264,11 | 75,149,984 | 75,214,764 | ||||||
2021-8, 1.74% (WAC) due 09/25/264,7 | 48,945,000 | 48,883,589 | ||||||
LSTAR Securities Investment Ltd. | ||||||||
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/267,8 | 63,569,774 | 63,763,344 | ||||||
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/267,8 | 33,458,671 | 33,472,422 | ||||||
BRAVO Residential Funding Trust | ||||||||
2021-C, 1.62% due 03/01/614,11 | 87,750,000 | 87,710,723 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2021-HE1, 1.55% (30 Day Average U.S. Secured Overnight Financing Rate + 1.50%, Rate Floor: 0.00%) due 01/25/704,7 | 7,500,000 | $ | 7,491,039 | |||||
Legacy Mortgage Asset Trust | ||||||||
2021-GS2, 1.75% due 04/25/614,11 | 50,112,205 | 50,160,819 | ||||||
2021-GS3, 1.75% due 07/25/614,11 | 42,930,063 | 42,964,918 | ||||||
OSAT Trust | ||||||||
2021-RPL1, 2.12% due 05/25/654,11 | 74,534,397 | 74,528,293 | ||||||
Morgan Stanley ABS Capital I Incorporated Trust | ||||||||
2006-NC5, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/367 | 28,433,240 | 18,348,650 | ||||||
2007-HE5, 0.43% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 03/25/377 | 30,612,018 | 17,858,118 | ||||||
2006-HE6, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 09/25/367 | 24,967,664 | 12,067,172 | ||||||
2006-HE4, 0.57% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/367 | 9,505,655 | 6,371,805 | ||||||
2007-HE2, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 01/25/377 | 9,095,183 | 5,551,862 | ||||||
2007-HE3, 0.20% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 12/25/367 | 6,376,002 | 4,216,376 | ||||||
2007-HE6, 0.15% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/377 | 3,055,848 | 2,791,703 | ||||||
2007-NC3, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/377 | 2,418,636 | 2,131,986 | ||||||
2007-HE3, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/364,7 | 2,333,956 | 1,705,652 | ||||||
2006-HE6, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 09/25/367 | 3,164,915 | 1,496,986 | ||||||
Home Equity Loan Trust | ||||||||
2007-FRE1, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/377 | 69,625,455 | 66,532,163 | ||||||
JP Morgan Mortgage Acquisition Trust | ||||||||
2006-WMC4, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/367 | 71,614,262 | 53,678,198 | ||||||
2006-WMC4, 0.21% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/367 | 12,966,840 | 8,314,719 |
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2006-WMC3, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 08/25/367 | 2,182,966 | $ | 1,772,552 | |||||
ZH Trust | ||||||||
due 10/17/274,7 | 45,250,000 | 45,223,755 | ||||||
2021-1, 2.25% due 02/18/274 | 17,750,000 | 17,769,543 | ||||||
Soundview Home Loan Trust | ||||||||
2006-OPT5, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/367 | 49,102,204 | 48,392,230 | ||||||
GSAMP Trust | ||||||||
2007-NC1, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/467 | 29,012,104 | 20,193,657 | ||||||
2006-HE8, 0.32% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/377 | 10,107,000 | 9,258,217 | ||||||
2006-NC2, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/367 | 7,200,734 | 5,188,828 | ||||||
2007-NC1, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/467 | 6,473,024 | 4,409,464 | ||||||
NovaStar Mortgage Funding Trust Series | ||||||||
2007-2, 0.29% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/377 | 33,826,346 | 33,322,946 | ||||||
2007-1, 0.22% (1 Month USD LIBOR + 0.13%, Rate Cap/Floor: 11.00%/0.13%) due 03/25/377 | 3,361,080 | 2,610,638 | ||||||
Alternative Loan Trust | ||||||||
2007-OA4, 0.26% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 05/25/477 | 19,893,393 | 19,019,695 | ||||||
2007-OH3, 0.38% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.00%/0.29%) due 09/25/477 | 7,686,003 | 7,395,419 | ||||||
2006-43CB, 6.00% (1 Month USD LIBOR + 0.50%, Rate Cap/Floor: 6.00%/6.00%) due 02/25/377 | 6,991,371 | 5,270,023 | ||||||
2007-OA7, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 05/25/477 | 3,116,479 | 2,991,197 | ||||||
2007-OH3, 0.31% (1 Month USD LIBOR + 0.22%, Rate Cap/Floor: 10.00%/0.22%) due 09/25/477 | 764,016 | 730,329 | ||||||
Structured Asset Securities Corporation Mortgage Loan Trust | ||||||||
2008-BC4, 0.72% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/377 | 29,200,242 | 29,149,825 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2006-BC4, 0.43% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/367 | 3,464,788 | $ | 3,427,975 | |||||
2006-BC6, 0.26% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 01/25/377 | 302,262 | 300,553 | ||||||
2006-OPT1, 0.35% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/25/367 | 81,963 | 81,739 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
2007-AMC1, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 12/25/364,7 | 25,089,202 | 16,802,439 | ||||||
2007-AMC3, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/377 | 7,605,078 | 7,006,101 | ||||||
2006-WF1, 5.08% due 03/25/36 | 8,926,139 | 5,746,836 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust | ||||||||
2006-AR10, 0.43% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 12/25/367 | 10,535,311 | 10,323,954 | ||||||
2006-AR9, 0.92% (1 Year CMT Rate + 0.83%, Rate Floor: 0.83%) due 11/25/467 | 10,596,685 | 9,737,502 | ||||||
2006-AR9, 0.93% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/467 | 4,646,242 | 4,044,657 | ||||||
2006-7, 4.15% due 09/25/36 | 5,647,468 | 2,280,677 | ||||||
2006-8, 4.22% due 10/25/36 | 377,501 | 181,571 | ||||||
ACE Securities Corporation Home Equity Loan Trust Series | ||||||||
2006-NC1, 0.70% (1 Month USD LIBOR + 0.62%, Rate Floor: 0.62%) due 12/25/357 | 16,761,000 | 16,557,932 | ||||||
2007-ASP1, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/377 | 9,227,705 | 5,621,835 | ||||||
2007-WM2, 0.30% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 02/25/377 | 7,121,810 | 4,124,882 | ||||||
IXIS Real Estate Capital Trust | ||||||||
2007-HE1, 0.20% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/377 | 34,386,216 | 11,577,843 | ||||||
2006-HE1, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/367 | 13,026,245 | 8,651,779 | ||||||
2007-HE1, 0.32% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/377 | 6,526,012 | 2,247,159 |
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2007-HE1, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/377 | 6,129,116 | $ | 2,083,179 | |||||
2007-HE1, 0.15% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/377 | 5,099,142 | 1,700,659 | ||||||
American Home Mortgage Investment Trust | ||||||||
2007-1, 2.08% due 05/25/4712 | 146,664,875 | 23,836,474 | ||||||
Cascade Funding Mortgage Trust | ||||||||
2018-RM2, 4.00% (WAC) due 10/25/687,8 | 12,253,352 | 12,712,974 | ||||||
2019-RM3, 2.80% (WAC) due 06/25/697,8 | 9,947,493 | 10,089,159 | ||||||
Merrill Lynch Mortgage Investors Trust Series | ||||||||
2007-HE2, 0.61% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 02/25/377 | 34,206,104 | 14,966,631 | ||||||
2006-HE6, 0.37% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 11/25/377 | 9,614,221 | 6,503,993 | ||||||
Starwood Mortgage Residential Trust | ||||||||
2020-1, 2.56% (WAC) due 02/25/504,7 | 12,023,568 | 12,106,920 | ||||||
2020-1, 2.41% (WAC) due 02/25/504,7 | 9,248,898 | 9,323,296 | ||||||
SPS Servicer Advance Receivables Trust | ||||||||
2020-T2, 1.83% due 11/15/554 | 20,000,000 | 20,155,568 | ||||||
Lehman XS Trust Series | ||||||||
2007-4N, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/477 | 10,328,327 | 10,520,071 | ||||||
2007-2N, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/377 | 5,816,002 | 5,832,451 | ||||||
2007-15N, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.00%) due 08/25/377 | 2,091,382 | 2,053,078 | ||||||
2006-10N, 0.51% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/467 | 406,617 | 420,215 | ||||||
RALI Series Trust | ||||||||
2007-QO4, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 05/25/477 | 5,367,989 | 5,204,947 | ||||||
2006-QO2, 0.53% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/467 | 17,415,327 | 5,044,302 | ||||||
2007-QO2, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/477 | 8,376,376 | 4,172,764 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2006-QO2, 0.63% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/467 | 5,647,703 | $ | 1,671,452 | |||||
2006-QO6, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/467 | 4,933,353 | 1,532,496 | ||||||
2007-QO3, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 03/25/477 | 1,103,303 | 1,077,491 | ||||||
Ameriquest Mortgage Securities Trust | ||||||||
2006-M3, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 10/25/367 | 29,195,087 | 12,532,549 | ||||||
2006-M3, 0.19% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/367 | 12,263,897 | 5,219,173 | ||||||
Bear Stearns Asset Backed Securities I Trust | ||||||||
2006-HE9, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/367 | 17,482,822 | 17,232,739 | ||||||
First NLC Trust | ||||||||
2005-4, 0.87% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/367 | 14,319,318 | 14,261,174 | ||||||
2005-1, 0.55% (1 Month USD LIBOR + 0.46%, Rate Cap/Floor: 14.00%/0.46%) due 05/25/357 | 2,598,013 | 2,505,709 | ||||||
ABFC Trust | ||||||||
2007-WMC1, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 06/25/377 | 17,777,752 | 15,814,062 | ||||||
Master Asset Backed Securities Trust | ||||||||
2006-WMC4, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/367 | 11,503,438 | 5,091,040 | ||||||
2006-NC2, 0.57% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/367 | 8,597,704 | 4,529,939 | ||||||
2006-WMC3, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/367 | 6,203,632 | 2,815,575 | ||||||
2007-WMC1, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 01/25/377 | 6,324,072 | 2,439,677 | ||||||
HarborView Mortgage Loan Trust | ||||||||
2006-14, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/477 | 8,392,029 | 7,973,131 |
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2006-12, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/387 | 6,366,852 | $ | 6,160,868 | |||||
Securitized Asset Backed Receivables LLC Trust | ||||||||
2006-WM4, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 11/25/367 | 31,899,998 | 11,922,946 | ||||||
2006-HE2, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/367 | 3,648,346 | 2,070,726 | ||||||
New Residential Mortgage Loan Trust | ||||||||
2018-1A, 4.00% (WAC) due 12/25/574,7 | 9,225,348 | 9,844,245 | ||||||
2018-2A, 3.50% (WAC) due 02/25/584,7 | 2,302,737 | 2,393,405 | ||||||
Merrill Lynch Alternative Note Asset Trust Series | ||||||||
2007-A1, 0.55% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/377 | 21,203,525 | 8,807,321 | ||||||
2007-A1, 0.39% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/377 | 8,040,730 | 3,274,097 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
2006-8, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/367 | 15,861,961 | 6,193,896 | ||||||
2006-6, 0.59% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/367 | 4,959,147 | 2,651,558 | ||||||
2006-8, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/367 | 4,233,261 | 1,624,434 | ||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||
2006-CB2, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/367 | 10,540,901 | 10,368,545 | ||||||
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series | ||||||||
2005-W4, 0.85% (1 Month USD LIBOR + 0.76%, Rate Floor: 0.76%) due 02/25/367 | 11,132,624 | 10,285,970 | ||||||
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG | ||||||||
2006-HE1, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/367 | 10,072,000 | 9,988,558 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
WaMu Asset-Backed Certificates WaMu Series | ||||||||
2007-HE4, 0.26% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/477 | 5,669,493 | $ | 4,772,733 | |||||
2007-HE4, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/477 | 3,990,527 | 2,992,079 | ||||||
Wachovia Asset Securitization Issuance II LLC Trust | ||||||||
2007-HE2A, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 07/25/374,7 | 4,469,462 | 4,270,542 | ||||||
2007-HE1, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/374,7 | 3,621,017 | 3,474,933 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust Series | ||||||||
2006-AR4, 0.35% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 12/25/367 | 10,895,052 | 5,024,384 | ||||||
2007-OA2, 0.86% (1 Year CMT Rate + 0.77%, Rate Floor: 0.77%) due 04/25/477 | 2,588,045 | 2,583,045 | ||||||
WaMu Mortgage Pass-Through Certificates Series Trust | ||||||||
2007-OA6, 0.90% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/477 | 5,607,300 | 5,085,557 | ||||||
2006-AR13, 0.97% (1 Year CMT Rate + 0.88%, Rate Floor: 0.88%) due 10/25/467 | 1,704,303 | 1,642,813 | ||||||
2006-AR11, 1.01% (1 Year CMT Rate + 0.92%, Rate Floor: 0.92%) due 09/25/467 | 848,032 | 818,380 | ||||||
COLT Mortgage Loan Trust | ||||||||
2021-2, 2.38% (WAC) due 08/25/664,7 | 7,108,000 | 7,068,520 | ||||||
Impac Secured Assets CMN Owner Trust | ||||||||
2005-2, 0.59% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 03/25/367 | 7,352,538 | 6,879,267 | ||||||
GSAA Home Equity Trust | ||||||||
2006-5, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 03/25/367 | 14,235,486 | 6,559,909 | ||||||
2007-7, 0.63% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/377 | 97,705 | 97,198 |
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
American Home Mortgage Assets Trust | ||||||||
2006-4, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 10/25/467 | 8,062,465 | $ | 5,165,042 | |||||
2006-6, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 12/25/467 | 1,701,817 | 1,479,763 | ||||||
Option One Mortgage Loan Trust | ||||||||
2007-2, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/377 | 5,630,092 | 3,605,886 | ||||||
2007-5, 0.31% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 05/25/377 | 2,460,372 | 1,879,146 | ||||||
Fremont Home Loan Trust | ||||||||
2006-D, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/367 | 11,376,601 | 5,484,030 | ||||||
ASG Resecuritization Trust | ||||||||
2010-3, 0.67% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.50%/0.29%) due 12/28/454,7 | 3,562,972 | 3,548,993 | ||||||
Morgan Stanley Capital I Incorporated Trust | ||||||||
2006-HE1, 0.67% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/367 | 2,708,838 | 2,684,368 | ||||||
Residential Mortgage Loan Trust | ||||||||
2020-1, 2.68% (WAC) due 02/25/244,7 | 2,601,143 | 2,615,729 | ||||||
Finance of America HECM Buyout | ||||||||
2021-HB1, 2.08% (WAC) due 02/25/314,7 | 2,600,000 | 2,594,165 | ||||||
Morgan Stanley Resecuritization Trust | ||||||||
2014-R9, 0.22% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 11/26/464,7 | 1,633,689 | 1,584,319 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
2005-15, 0.54% (1 Month USD LIBOR + 0.45%, Rate Floor: 0.45%) due 03/25/367 | 1,500,000 | 1,488,842 | ||||||
Nomura Resecuritization Trust | ||||||||
2015-4R, 1.38% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/364,7 | 1,044,579 | 1,054,210 | ||||||
2015-4R, 0.55% (1 Month USD LIBOR + 0.39%, Rate Floor: 0.39%) due 12/26/364,7 | 271,655 | 269,446 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Structured Asset Investment Loan Trust | ||||||||
2006-3, 0.39% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/367 | 568,279 | $ | 561,055 | |||||
2004-BNC2, 1.29% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 12/25/347 | 502,635 | 505,503 | ||||||
Impac Secured Assets Trust | ||||||||
2006-2, 0.43% (1 Month USD LIBOR + 0.34%, Rate Cap/Floor: 11.50%/0.34%) due 08/25/367 | 935,557 | 835,968 | ||||||
Alliance Bancorp Trust | ||||||||
2007-OA1, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 07/25/377 | 652,233 | 624,715 | ||||||
UCFC Manufactured Housing Contract | ||||||||
1997-2, 7.38% due 10/15/28 | 262,057 | 266,500 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
2010-R5, 1.76% due 06/26/364 | 161,983 | 150,780 | ||||||
Irwin Home Equity Loan Trust | ||||||||
2007-1, 6.35% due 08/25/374 | 6,859 | 6,997 | ||||||
Total Residential Mortgage Backed Securities | 1,931,055,501 | |||||||
Government Agency - 5.1% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/10/2120 | 815,600,000 | 838,857,650 | ||||||
Fannie Mae | ||||||||
2.40% due 03/01/40 | 27,004,000 | 26,667,677 | ||||||
3.40% due 02/01/33 | 25,000,000 | 26,422,844 | ||||||
3.83% due 05/01/49 | 19,000,000 | 21,666,477 | ||||||
2.81% due 09/01/39 | 20,780,000 | 21,586,812 | ||||||
4.17% due 02/01/49 | 16,500,000 | 19,665,648 | ||||||
4.08% due 04/01/49 | 12,879,000 | 15,156,056 | ||||||
2013-124, due 12/25/4313 | 16,575,850 | 14,980,154 | ||||||
3.42% due 09/01/47 | 12,641,230 | 13,808,094 | ||||||
2.57% due 08/01/51 | 12,596,407 | 12,833,092 | ||||||
2.07% due 10/01/50 | 13,300,701 | 12,704,159 | ||||||
4.21% due 10/01/48 | 9,750,000 | 11,632,798 | ||||||
2.00% due 09/01/50 | 11,946,864 | 11,301,230 | ||||||
3.43% due 03/01/33 | 8,100,000 | 9,013,195 | ||||||
1.76% due 08/01/40 | 9,360,000 | 8,665,400 | ||||||
2.17% due 03/01/51 | 8,638,000 | 8,319,070 | ||||||
2013-100, due 10/25/4313 | 8,184,698 | 7,408,954 | ||||||
2.10% due 07/01/50 | 7,581,297 | 7,276,553 | ||||||
3.29% due 03/01/33 | 6,700,000 | 7,274,581 | ||||||
4.04% due 08/01/48 | 6,100,000 | 7,120,063 | ||||||
3.61% due 04/01/39 | 6,193,000 | 7,020,396 | ||||||
3.56% due 02/01/38 | 6,290,074 | 6,944,666 | ||||||
2.15% due 09/01/29 | 6,683,000 | 6,896,827 | ||||||
2.79% due 01/01/32 | 6,425,430 | 6,884,949 | ||||||
3.05% due 03/01/50 | 6,098,366 | 6,445,961 | ||||||
4.07% due 05/01/49 | 4,744,722 | 5,485,361 | ||||||
4.27% due 12/01/33 | 4,552,577 | 5,310,026 | ||||||
3.16% due 11/01/30 | 4,850,407 | 5,227,458 | ||||||
2.17% due 10/01/50 | 5,236,176 | 5,066,593 | ||||||
3.71% due 04/01/31 | 4,200,000 | 4,771,134 | ||||||
2.99% due 01/01/40 | 4,429,000 | 4,712,977 | ||||||
3.76% due 03/01/37 | 4,000,000 | 4,678,863 | ||||||
3.37% due 06/01/39 | 4,067,000 | 4,602,249 | ||||||
3.50% due 02/01/48 | 3,942,619 | 4,329,422 | ||||||
4.24% due 08/01/48 | 3,400,000 | 3,828,282 | ||||||
3.92% due 04/01/39 | 3,198,000 | 3,736,987 | ||||||
2.50% due 04/01/35 | 3,268,415 | 3,409,152 | ||||||
2.96% due 10/01/49 | 2,877,536 | 3,087,157 | ||||||
3.94% due 06/01/35 | 2,600,000 | 3,037,514 | ||||||
2.34% due 09/01/39 | 2,794,000 | 2,833,602 | ||||||
2.62% due 11/01/28 | 2,600,000 | 2,772,040 | ||||||
2.86% due 01/01/33 | 2,524,000 | 2,730,832 | ||||||
3.26% due 11/01/46 | 2,417,565 | 2,593,035 |
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2.92% due 03/01/50 | 2,383,214 | $ | 2,544,425 | |||||
2.49% due 09/01/51 | 2,472,000 | 2,491,176 | ||||||
2.51% due 07/01/50 | 2,404,987 | 2,451,040 | ||||||
2.69% due 10/01/34 | 2,265,923 | 2,407,406 | ||||||
3.51% due 11/01/37 | 2,150,000 | 2,387,962 | ||||||
2.68% due 04/01/50 | 1,946,699 | 2,040,672 | ||||||
3.50% due 12/01/47 | 1,828,134 | 1,976,440 | ||||||
3.17% due 02/01/30 | 1,750,000 | 1,939,215 | ||||||
3.46% due 08/01/49 | 1,692,426 | 1,892,343 | ||||||
2.77% due 02/01/36 | 1,755,854 | 1,873,787 | ||||||
3.08% due 02/01/33 | 1,300,000 | 1,429,967 | ||||||
3.74% due 02/01/48 | 1,257,327 | 1,410,462 | ||||||
3.27% due 08/01/34 | 1,271,945 | 1,388,358 | ||||||
2.32% due 07/01/50 | 1,386,054 | 1,368,125 | ||||||
4.05% due 09/01/48 | 1,160,844 | 1,336,875 | ||||||
2.89% due 05/01/33 | 1,221,787 | 1,315,907 | ||||||
4.00% due 12/01/38 | 1,164,579 | 1,256,172 | ||||||
2.25% due 10/01/50 | 1,279,584 | 1,252,053 | ||||||
3.50% due 12/01/46 | 1,074,322 | 1,144,898 | ||||||
3.96% due 06/01/49 | 967,030 | 1,098,305 | ||||||
4.50% due 03/01/48 | 1,009,260 | 1,092,051 | ||||||
3.13% due 01/01/30 | 988,986 | 1,089,644 | ||||||
4.00% due 08/01/47 | 950,101 | 1,036,717 | ||||||
3.60% due 10/01/47 | 935,837 | 1,032,040 | ||||||
4.00% due 01/01/46 | 879,710 | 958,513 | ||||||
3.18% due 09/01/42 | 865,541 | 911,786 | ||||||
3.50% due 12/01/45 | 818,711 | 884,098 | ||||||
2.50% due 01/01/35 | 812,693 | 847,947 | ||||||
3.63% due 01/01/37 | 713,522 | 782,980 | ||||||
3.36% due 12/01/39 | 693,185 | 771,931 | ||||||
3.91% due 07/01/49 | 678,142 | 756,452 | ||||||
3.00% due 07/01/46 | 679,770 | 718,186 | ||||||
2.75% due 11/01/31 | 625,992 | 667,210 | ||||||
4.50% due 02/01/45 | 458,863 | 512,227 | ||||||
5.00% due 12/01/44 | 392,607 | 440,112 | ||||||
4.33% due 09/01/48 | 334,869 | 394,891 | ||||||
4.22% due 04/01/49 | 315,000 | 367,420 | ||||||
3.50% due 08/01/43 | 295,512 | 320,898 | ||||||
4.50% due 05/01/47 | 272,737 | 298,482 | ||||||
5.00% due 05/01/44 | 261,278 | 290,016 | ||||||
2.06% due 09/01/36 | 140,000 | 135,955 | ||||||
2.28% due 01/01/51 | 71,112 | 69,336 | ||||||
2.27% due 10/01/41 | 16,935,000 | 16,829,383 | ||||||
3.61% due 04/01/39 | 9,435,000 | 9,258,418 | ||||||
2.44% due 10/01/51 | 8,500,000 | 8,421,205 | ||||||
2.51% due 10/01/46 | 5,800,000 | 5,919,625 | ||||||
2.42% due 10/01/51 | 3,500,000 | 3,499,895 | ||||||
2.56% due 05/01/39 | 600,000 | 606,696 | ||||||
Fannie Mae-Aces | ||||||||
2020-M23, 1.58% (WAC) due 03/25/357,12 | 290,222,868 | 36,829,079 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust | ||||||||
2020-2, 2.00% due 11/25/59 | 14,533,164 | 14,649,114 | ||||||
2020-3, 2.00% due 05/25/60 | 11,556,777 | 11,600,709 | ||||||
Freddie Mac | ||||||||
3.55% due 10/01/33 | 4,526,396 | 4,987,866 | ||||||
2018-4762, 4.00% due 01/15/46 | 3,984,888 | 4,052,416 | ||||||
3.26% due 09/01/45 | 2,220,205 | 2,366,402 | ||||||
1.96% due 05/01/50 | 1,580,972 | 1,476,851 | ||||||
1.95% due 05/01/50 | 1,456,494 | 1,361,741 | ||||||
3.50% due 01/01/44 | 1,122,207 | 1,218,022 | ||||||
3.40% due 04/01/31 | 982,619 | 1,095,236 | ||||||
4.00% due 02/01/46 | 923,324 | 1,006,924 | ||||||
4.00% due 11/01/45 | 721,028 | 787,765 | ||||||
3.00% due 08/01/46 | 712,880 | 753,101 | ||||||
4.50% due 06/01/48 | 480,584 | 521,327 | ||||||
FARM Mortgage Trust | ||||||||
due 01/25/514,7 | 12,185,000 | 12,192,555 | ||||||
FREMF Mortgage Trust | ||||||||
2013-K29, 0.13% due 05/25/464,12 | 718,918,905 | 852,494 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
2015-K043, 0.65% (WAC) due 12/25/247,12 | 42,652,952 | 645,139 | ||||||
Total Government Agency | 1,399,082,433 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Commercial Mortgage Backed Securities - 1.3% | ||||||||
BX Commercial Mortgage Trust | ||||||||
2021-VOLT, 2.10% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/364,7 | 60,050,000 | $ | 60,125,207 | |||||
2021-VOLT, 1.75% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/364,7 | 52,000,000 | 52,032,588 | ||||||
2019-XL, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/15/364,7 | 6,406,603 | 6,414,317 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2019-GC43, 0.75% (WAC) due 11/10/527,12 | 219,331,815 | 9,521,808 | ||||||
2019-GC41, 1.19% (WAC) due 08/10/567,12 | 104,575,357 | 6,822,402 | ||||||
2016-C2, 1.89% (WAC) due 08/10/497,12 | 33,203,408 | 2,284,883 | ||||||
2016-P4, 2.06% (WAC) due 07/10/497,12 | 29,274,474 | 2,175,512 | ||||||
2016-P5, 1.60% (WAC) due 10/10/497,12 | 28,544,818 | 1,560,054 | ||||||
2016-GC37, 1.85% (WAC) due 04/10/497,12 | 19,520,968 | 1,215,600 | ||||||
2015-GC35, 0.87% (WAC) due 11/10/487,12 | 28,947,804 | 743,223 | ||||||
2015-GC29, 1.17% (WAC) due 04/10/487,12 | 19,243,074 | 607,798 | ||||||
2016-C3, 1.23% (WAC) due 11/15/497,12 | 11,591,908 | 467,870 | ||||||
2013-GC15, 4.37% (WAC) due 09/10/467 | 380,000 | 404,676 | ||||||
Life Mortgage Trust | ||||||||
2021-BMR, 2.43% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/384,7 | 19,500,000 | 19,548,773 | ||||||
2021-BMR, 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/15/384,7 | 5,250,000 | 5,259,974 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2017-C38, 1.16% (WAC) due 07/15/507,12 | 70,825,682 | 3,236,358 | ||||||
2016-BNK1, 1.86% (WAC) due 08/15/497,12 | 35,764,529 | 2,496,740 | ||||||
2017-RB1, 1.40% (WAC) due 03/15/507,12 | 38,384,308 | 2,172,494 | ||||||
2016-C35, 2.05% (WAC) due 07/15/487,12 | 24,163,509 | 1,779,770 | ||||||
2017-C42, 1.03% (WAC) due 12/15/507,12 | 34,829,153 | 1,666,784 | ||||||
2016-C32, 4.87% (WAC) due 01/15/597 | 1,400,000 | 1,540,863 | ||||||
2015-NXS4, 1.19% (WAC) due 12/15/487,12 | 39,213,965 | 1,422,392 |
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2017-RC1, 1.65% (WAC) due 01/15/607,12 | 22,282,776 | $ | 1,392,968 | |||||
2016-NXS5, 1.59% (WAC) due 01/15/597,12 | 23,448,433 | 1,179,395 | ||||||
2015-P2, 1.12% (WAC) due 12/15/487,12 | 26,155,107 | 950,837 | ||||||
2015-C30, 1.04% (WAC) due 09/15/587,12 | 29,921,547 | 893,784 | ||||||
2016-C37, 1.07% (WAC) due 12/15/497,12 | 13,757,498 | 422,336 | ||||||
2015-NXS1, 1.23% (WAC) due 05/15/487,12 | 8,750,682 | 262,088 | ||||||
Extended Stay America Trust | ||||||||
2021-ESH, 2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/384,7 | 12,435,306 | 12,589,450 | ||||||
2021-ESH, 1.78% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/384,7 | 6,416,618 | 6,461,042 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
2016-JP3, 3.60% (WAC) due 08/15/497 | 10,290,000 | 10,429,147 | ||||||
2016-JP3, 1.56% (WAC) due 08/15/497,12 | 67,753,501 | 3,631,771 | ||||||
GS Mortgage Securities Trust | ||||||||
2020-GC45, 0.79% (WAC) due 02/13/537,12 | 153,824,010 | 7,069,751 | ||||||
2019-GC42, 0.93% (WAC) due 09/01/527,12 | 69,649,560 | 3,764,461 | ||||||
2017-GS6, 1.17% (WAC) due 05/10/507,12 | 42,233,869 | 2,181,468 | ||||||
2017-GS6, 3.87% due 05/10/50 | 521,000 | 563,884 | ||||||
2015-GC28, 1.13% (WAC) due 02/10/487,12 | 15,570,397 | 431,808 | ||||||
Benchmark Mortgage Trust | ||||||||
2020-IG3, 3.23% (WAC) due 09/15/484,7 | 5,232,000 | 5,139,070 | ||||||
2019-B14, 0.91% (WAC) due 12/15/627,12 | 109,246,549 | 5,014,493 | ||||||
2018-B2, 0.55% (WAC) due 02/15/517,12 | 130,826,052 | 2,529,260 | ||||||
2018-B6, 0.57% (WAC) due 10/10/517,12 | 60,955,228 | 1,335,761 | ||||||
2018-B6, 4.76% (WAC) due 10/10/517 | 750,000 | 845,437 | ||||||
JPMDB Commercial Mortgage Securities Trust 2017-C7, 0.99% (WAC) due 10/15/507,12 | 131,773,606 | 5,482,177 | ||||||
2016-C4, 0.88% (WAC) due 12/15/497,12 | 83,181,824 | 2,845,384 | ||||||
2016-C4, 3.64% (WAC) due 12/15/497 | 2,650,000 | 2,779,955 | ||||||
2016-C2, 1.71% (WAC) due 06/15/497,12 | 26,452,130 | 1,399,836 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2017-C5, 1.09% (WAC) due 03/15/507,12 | 8,213,815 | $ | 343,726 | |||||
COMM Mortgage Trust | ||||||||
2018-COR3, 0.58% (WAC) due 05/10/517,12 | 197,069,442 | 5,317,919 | ||||||
2015-CR26, 1.08% (WAC) due 10/10/487,12 | 82,745,977 | 2,577,405 | ||||||
2015-CR24, 0.90% (WAC) due 08/10/487,12 | 46,054,474 | 1,172,984 | ||||||
2015-CR23, 1.03% (WAC) due 05/10/487,12 | 40,239,410 | 988,030 | ||||||
2015-CR27, 1.06% (WAC) due 10/10/487,12 | 26,477,881 | 858,455 | ||||||
2015-CR23, 3.80% due 05/10/48 | 700,000 | 756,319 | ||||||
2013-CR13, 0.91% (WAC) due 11/10/467,12 | 35,746,444 | 520,822 | ||||||
2014-LC15, 1.23% (WAC) due 04/10/477,12 | 9,412,049 | 204,034 | ||||||
GS Mortgage Securities Corporation Trust | ||||||||
2020-UPTN, 3.35% (WAC) due 02/10/374,7 | 5,350,000 | 5,485,428 | ||||||
2020-DUNE, 1.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/364,7 | 3,750,000 | 3,755,424 | ||||||
2020-DUNE, 1.98% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/364,7 | 1,000,000 | 996,729 | ||||||
KKR Industrial Portfolio Trust | ||||||||
2021-KDIP, 1.63% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 12/15/374,7 | 8,750,000 | 8,733,338 | ||||||
DBGS Mortgage Trust | ||||||||
2018-C1, 4.78% (WAC) due 10/15/517 | 7,588,000 | 8,646,156 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
2019-C15, 1.21% (WAC) due 03/15/527,12 | 96,832,306 | 5,764,447 | ||||||
2015-C1, 0.97% (WAC) due 04/15/507,12 | 50,428,834 | 1,130,559 | ||||||
2016-C6, 2.03% (WAC) due 01/15/497,12 | 5,054,624 | 363,137 | ||||||
BANK | ||||||||
2020-BN25, 0.53% (WAC) due 01/15/637,12 | 140,000,000 | 4,873,918 | ||||||
2017-BNK6, 0.95% (WAC) due 07/15/607,12 | 42,247,470 | 1,539,105 | ||||||
2017-BNK4, 1.55% (WAC) due 05/15/507,12 | 12,768,908 | 707,616 | ||||||
UBS Commercial Mortgage Trust | ||||||||
2017-C2, 1.20% (WAC) due 08/15/507,12 | 50,044,389 | 2,358,497 | ||||||
2017-C5, 1.14% (WAC) due 11/15/507,12 | 53,047,840 | 2,284,394 | ||||||
CD Mortgage Trust | ||||||||
2017-CD6, 1.06% (WAC) due 11/13/507,12 | 44,905,820 | 1,734,842 |
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
2016-CD1, 1.53% (WAC) due 08/10/497,12 | 31,538,040 | $ | 1,702,603 | |||||
2016-CD2, 0.72% (WAC) due 11/10/497,12 | 30,908,138 | 749,742 | ||||||
CD Commercial Mortgage Trust | ||||||||
2017-CD4, 1.44% (WAC) due 05/10/507,12 | 31,543,922 | 1,606,933 | ||||||
2017-CD3, 1.14% (WAC) due 02/10/507,12 | 33,344,799 | 1,475,441 | ||||||
BBCMS Mortgage Trust | ||||||||
2018-C2, 0.93% (WAC) due 12/15/517,12 | 57,940,132 | 2,770,286 | ||||||
JPMCC Commercial Mortgage Securities Trust | ||||||||
2017-JP6, 1.28% (WAC) due 07/15/507,12 | 57,155,586 | 2,581,969 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
2015-C27, 1.29% (WAC) due 02/15/487,12 | 69,165,942 | 2,263,525 | ||||||
2013-C12, 0.57% (WAC) due 07/15/457,12 | 33,804,634 | 180,294 | ||||||
CGMS Commercial Mortgage Trust | ||||||||
2017-B1, 0.96% (WAC) due 08/15/507,12 | 64,941,135 | 2,404,608 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
2015-C27, 1.03% (WAC) due 12/15/477,12 | 64,456,912 | 1,806,998 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
2016-C3, 1.15% (WAC) due 01/10/487,12 | 38,375,315 | 1,438,061 | ||||||
Banc of America Commercial Mortgage Trust | ||||||||
2017-BNK3, 1.24% (WAC) due 02/15/507,12 | 23,676,612 | 1,069,634 | ||||||
DBJPM Mortgage Trust | ||||||||
2017-C6, 1.11% (WAC) due 06/10/507,12 | 23,088,447 | 924,886 | ||||||
Cam Commercial Mortgage Corp. | ||||||||
2002-CAM2, 6.16% due 12/14/214 | 361,714 | 361,714 | ||||||
SG Commercial Mortgage Securities Trust | ||||||||
2016-C5, 2.07% (WAC) due 10/10/487,12 | 5,779,757 | 359,371 | ||||||
Morgan Stanley Capital I Trust | ||||||||
2016-UBS9, 4.70% (WAC) due 03/15/497 | 275,000 | 289,850 | ||||||
GS Mortgage Securities Corporation II | ||||||||
2013-GC10, 2.94% due 02/10/46 | 225,000 | 230,862 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
2013-C12, 1.25% (WAC) due 03/15/484,7,12 | 6,629,724 | 77,584 | ||||||
Total Commercial Mortgage Backed Securities | 346,503,294 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Military Housing - 1.0% | ||||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | ||||||||
2015-R1, 3.48% (WAC) due 11/25/554,7 | 114,434,082 | $ | 135,454,038 | |||||
2015-R1, 4.11% (WAC) due 11/25/524,7 | 21,841,824 | 24,629,199 | ||||||
2015-R1, 4.32% (WAC) due 10/25/524,7 | 13,539,247 | 15,187,500 | ||||||
2015-R1, 0.52% (WAC) due 11/25/554,7,12 | 172,310,020 | 11,448,416 | ||||||
Capmark Military Housing Trust | ||||||||
2006-RILY, 6.15% due 07/10/514 | 12,844,194 | 13,758,996 | ||||||
2008-AMCW, 6.90% due 07/10/554 | 8,209,239 | 11,101,359 | ||||||
2007-AETC, 5.75% due 02/10/524 | 7,312,392 | 7,980,435 | ||||||
2007-ROBS, 6.06% due 10/10/524 | 4,615,532 | 5,048,375 | ||||||
2006-RILY, 2.09% (1 Month USD LIBOR + 0.37%, Rate Floor: 0.37%) due 07/10/514,7 | 6,906,888 | 4,028,110 | ||||||
2007-AET2, 6.06% due 10/10/524 | 3,032,062 | 3,411,144 | ||||||
GMAC Commercial Mortgage Asset Corp. | ||||||||
2007-HCKM, 6.11% due 08/10/524 | 21,914,374 | 25,376,040 | ||||||
2005-BLIS, 5.25% due 07/10/504 | 2,500,000 | 2,769,842 | ||||||
GMAC Commercial Mortgage Asset Corp. | ||||||||
2005-DRUM, 5.47% due 05/10/50†††,4 | 4,469,590 | 4,796,763 | ||||||
Total Military Housing | 264,990,217 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $3,936,190,925) | 3,941,631,446 | |||||||
U.S. GOVERNMENT SECURITIES†† - 14.4% | ||||||||
U.S. Treasury Notes | ||||||||
1.25% due 08/15/3117 | 2,265,600,000 | 2,207,898,000 | ||||||
0.75% due 03/31/26 | 370,000,000 | 367,253,904 | ||||||
0.25% due 03/15/24 | 20,000,000 | 19,928,906 | ||||||
1.25% due 03/31/28 | 13,000,000 | 12,990,859 | ||||||
2.00% due 04/30/24 | 12,460,000 | 12,963,267 | ||||||
1.50% due 10/31/24 | 3,820,000 | 3,931,317 | ||||||
2.25% due 08/15/27 | 3,370,000 | 3,579,704 | ||||||
0.50% due 05/31/27 | 2,600,000 | 2,510,016 | ||||||
2.13% due 05/15/25 | 880,000 | 924,619 | ||||||
U.S. Treasury Bonds | ||||||||
2.00% due 08/15/5119 | 800,000,000 | 786,250,000 | ||||||
1.88% due 02/15/51 | 330,000,000 | 313,809,375 | ||||||
8.00% due 11/15/21 | 5,600,000 | 5,654,370 | ||||||
2.88% due 08/15/45 | 2,630,000 | 3,025,938 | ||||||
2.38% due 11/15/49 | 2,300,000 | 2,441,234 | ||||||
1.38% due 08/15/50 | 2,450,000 | 2,061,445 | ||||||
2.75% due 11/15/42 | 700,000 | 785,559 | ||||||
U.S. Treasury Strips | ||||||||
due 02/15/5113,14 | 310,000,000 | 165,651,042 | ||||||
Total U.S. Government Securities | ||||||||
(Cost $3,949,421,257) | 3,911,659,555 | |||||||
SENIOR FLOATING RATE INTERESTS††,7 - 7.2% | ||||||||
Consumer, Cyclical - 1.3% | ||||||||
MB2 Dental Solutions LLC | ||||||||
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27††† | 44,807,222 | 44,011,377 |
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
7.19% (3 Month USD LIBOR + 6.00% and Commercial Prime Lending Rate + 5.00%, Rate Floor: 7.00%) due 01/29/27††† | 11,108,551 | $ | 10,911,246 | |||||
Verisure Holding AB | ||||||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28 | EUR | 30,010,000 | 34,542,094 | |||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26 | EUR | 6,890,000 | 7,937,388 | |||||
Packers Holdings LLC | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | 33,992,379 | 33,815,279 | ||||||
BGIS (BIFM CA Buyer, Inc.) | ||||||||
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26 | 32,801,662 | 32,637,654 | ||||||
Zephyr Bidco Ltd. | ||||||||
4.80% (1 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 07/23/25 | GBP | 23,950,000 | 32,098,254 | |||||
Mavis Tire Express Services TopCo Corp. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28 | 28,578,375 | 28,630,388 | ||||||
CNT Holdings I Corp. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/08/27 | 24,128,750 | 24,143,951 | ||||||
Flamingo | ||||||||
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28 | EUR | 18,600,000 | 21,369,961 | |||||
PetSmart LLC | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28 | 20,200,000 | 20,228,886 | ||||||
Loire Finco Luxembourg SARL | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27 | 19,601,623 | 19,454,611 | ||||||
New Trojan Parent, Inc. | ||||||||
3.75% (1 Week USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28 | 14,014,875 | 13,973,951 | ||||||
Adevinta ASA | ||||||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/26/28 | EUR | 11,000,000 | 12,724,676 | |||||
Truck Hero, Inc. | ||||||||
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28 | 8,955,000 | 8,930,732 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Power Solutions (Panther) | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | 3,919,792 | $ | 3,900,193 | |||||
SP PF Buyer LLC | ||||||||
4.58% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 | 3,374,046 | 3,312,469 | ||||||
Cast & Crew Payroll LLC | ||||||||
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26 | 2,385,451 | 2,374,526 | ||||||
1011778 BC Unlimited Liability Co. | ||||||||
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26 | 1,033,226 | 1,019,876 | ||||||
OEConnection LLC | ||||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 09/25/26 | 696,780 | 694,167 | ||||||
Rent-A-Center, Inc. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 02/17/28††† | 498,750 | 501,867 | ||||||
Total Consumer, Cyclical | 357,213,546 | |||||||
Industrial - 1.3% | ||||||||
United Airlines, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28 | 40,894,500 | 41,145,592 | ||||||
American Bath Group LLC | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27 | 34,168,300 | 34,040,169 | ||||||
Mileage Plus Holdings LLC | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 30,500,000 | 32,387,340 | ||||||
Berry Global, Inc. | ||||||||
1.86% (2 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | 24,306,026 | 24,154,113 | ||||||
IFCO Management GmbH | ||||||||
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 05/29/26 | EUR | 19,870,000 | 22,886,179 | |||||
SkyMiles IP Ltd. | ||||||||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | 20,345,893 | 21,626,463 | ||||||
TransDigm, Inc. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | 14,801,589 | 14,616,569 | ||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | 5,798,201 | 5,725,144 | ||||||
TK Elevator Midco GmbH | ||||||||
4.00% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27 | 12,753,866 | 12,771,594 |
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
3.63% (3 Month EURIBOR + 3.63%, Rate Floor: 3.63%) due 07/30/27 | EUR | 3,000,000 | $ | 3,478,047 | ||||
AI Convoy Luxembourg SARL | ||||||||
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27 | EUR | 13,593,008 | 15,655,422 | |||||
Pelican Products, Inc. | ||||||||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25 | 14,934,536 | 14,869,273 | ||||||
Air Canada | ||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28 | 13,150,000 | 13,193,789 | ||||||
Fugue Finance BV | ||||||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24 | EUR | 10,500,000 | 11,923,314 | |||||
Filtration Group Corp. | ||||||||
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25 | EUR | 7,968,042 | 9,207,741 | |||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | 1,652,240 | 1,642,954 | ||||||
Hillman Group, Inc. | ||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28 | 10,776,315 | 10,760,151 | ||||||
Service Logic Acquisition, Inc. | ||||||||
4.75% (2 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27 | 10,370,702 | 10,390,199 | ||||||
CapStone Acquisition Holdings, Inc. | ||||||||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27 | 8,283,228 | 8,283,228 | ||||||
TricorBraun Holdings, Inc. | ||||||||
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 | 6,637,299 | 6,596,679 | ||||||
DXP Enterprises, Inc. | ||||||||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27 | 5,955,000 | 5,930,823 | ||||||
Diversitech Holdings, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/02/24 | 5,731,246 | 5,727,693 | ||||||
Dispatch Terra Acquisition LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28 | 5,705,700 | 5,705,700 | ||||||
YAK MAT (YAK ACCESS LLC) | ||||||||
10.13% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 | 7,240,000 | 5,013,700 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Charter Next Generation, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | 4,278,500 | $ | 4,285,859 | |||||
Berlin Packaging LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 03/13/28 | 3,500,000 | 3,494,890 | ||||||
Anchor Packaging LLC | ||||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26 | 1,953,259 | 1,949,606 | ||||||
CHI Overhead Doors, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 07/31/25 | 1,435,500 | 1,435,055 | ||||||
Fly Funding II SARL | ||||||||
2.50% (3 Month USD LIBOR + 1.75%, Rate Floor: 2.50%) due 08/11/25 | 638,152 | 629,377 | ||||||
CPG International LLC | ||||||||
3.25% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.25%) due 05/06/24 | 508,112 | 508,020 | ||||||
BWAY Holding Co. | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | 123,072 | 120,437 | ||||||
API Heat Transfer | ||||||||
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 01/01/24†††,15 | 48,843 | 17,095 | ||||||
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 10/02/23†††,15 | 8,455 | 6,130 | ||||||
Total Industrial | 350,178,345 | |||||||
Technology - 1.2% | ||||||||
Datix Bidco Ltd. | ||||||||
4.50% (3 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25 | GBP | 45,800,000 | 60,484,045 | |||||
Ascend Learning LLC | ||||||||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24 | 54,227,250 | 54,254,364 | ||||||
Peraton Corp. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 33,680,750 | 33,686,139 | ||||||
Planview Parent, Inc. | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27 | 29,725,375 | 29,781,259 | ||||||
Cologix Holdings, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/01/28 | 25,885,125 | 25,893,149 |
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Team.Blue Finco SARL | ||||||||
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/27/28 | EUR | 21,520,270 | $ | 24,872,965 | ||||
Valkyr Purchaser, LLC | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27 | 23,191,875 | 23,114,646 | ||||||
Apttus Corp. | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28 | 12,550,000 | 12,597,062 | ||||||
Project Boost Purchaser LLC | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26 | 6,384,000 | 6,380,553 | ||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | 3,341,405 | 3,323,127 | ||||||
Boxer Parent Co., Inc. | ||||||||
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 10/02/25 | EUR | 8,276,789 | 9,576,509 | |||||
Aston FinCo SARL | ||||||||
4.83% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 10/09/26 | GBP | 5,785,500 | 7,635,569 | |||||
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26 | 639,263 | 634,468 | ||||||
Cloudera, Inc. | ||||||||
3.25% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.25%) due 12/22/27 | 7,960,000 | 7,950,050 | ||||||
Transact Holdings, Inc. | ||||||||
4.83% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26 | 7,304,145 | 7,219,709 | ||||||
Provation Software Group, Inc. | ||||||||
5.50% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 12/22/27 | 6,467,500 | 6,386,656 | ||||||
Sportradar Capital SARL | ||||||||
4.25% (6 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 11/22/27 | EUR | 5,300,000 | 6,150,689 | |||||
Navicure, Inc. | ||||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26 | 5,664,632 | 5,664,632 | ||||||
Storable, Inc. | ||||||||
3.75% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 04/17/28 | 5,000,000 | 4,983,350 | ||||||
Paya Holdings III, LLC | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/23/28††† | 3,400,000 | 3,395,750 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Informatica LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27 | 1,906,247 | $ | 1,899,099 | |||||
Total Technology | 335,883,790 | |||||||
Consumer, Non-cyclical - 1.2% | ||||||||
Bombardier Recreational Products, Inc. | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | 33,828,283 | 33,521,799 | ||||||
PetIQ LLC | ||||||||
4.75% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28 | 28,827,750 | 28,611,542 | ||||||
Nidda Healthcare Holding GmbH | ||||||||
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26 | EUR | 18,276,306 | 20,888,175 | |||||
Sunshine Investments BV | ||||||||
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25 | EUR | 18,059,706 | 20,760,921 | |||||
Southern Veterinary Partners LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27 | 19,406,383 | 19,479,157 | ||||||
Mission Veterinary Partners | ||||||||
4.75% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28 | 19,300,000 | 19,300,000 | ||||||
Sigma Holding BV (Flora Food) | ||||||||
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25 | EUR | 17,000,000 | 19,123,424 | |||||
HAH Group Holding Co. LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27 | 17,414,530 | 17,414,530 | ||||||
National Mentor Holdings, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28 | 16,442,687 | 16,438,576 | ||||||
Women’s Care Holdings, Inc. | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | 16,342,603 | 16,317,108 | ||||||
Blue Ribbon LLC | ||||||||
6.75% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28 | 14,664,375 | 14,371,088 |
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Endo Luxembourg Finance Company I SARL | ||||||||
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28 | 12,537,000 | $ | 12,237,491 | |||||
Quirch Foods Holdings LLC | ||||||||
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/27/27 | 11,612,250 | 11,648,596 | ||||||
Option Care Health, Inc. | ||||||||
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26 | 10,172,349 | 10,167,262 | ||||||
Medline Borrower LP | ||||||||
due 09/28/28 | 9,000,000 | 8,955,000 | ||||||
Energizer Holdings, Inc. | ||||||||
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27 | 7,462,500 | 7,453,172 | ||||||
SCP Eye Care Services LLC | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28††† | 7,311,222 | 7,302,083 | ||||||
PPD, Inc. | ||||||||
2.50% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 01/13/28 | 7,164,000 | 7,149,099 | ||||||
Elanco Animal Health, Inc. | ||||||||
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 | 6,778,793 | 6,691,618 | ||||||
IQVIA, Inc. | ||||||||
2.00% (3 Month EURIBOR + 2.00%, Rate Floor: 2.00%) due 03/07/24 | EUR | 4,683,039 | 5,400,794 | |||||
Elsan SAS | ||||||||
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 06/16/28 | EUR | 4,500,000 | 5,204,663 | |||||
Avantor Funding, Inc. | ||||||||
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27 | 4,743,000 | 4,748,929 | ||||||
Spectrum Brands, Inc. | ||||||||
2.50% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28 | 3,980,000 | 3,968,378 | ||||||
Midwest Physician Administrative Services | ||||||||
3.75% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 03/13/28 | 3,481,221 | 3,458,384 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 3,223,800 | 3,140,916 | ||||||
Southern Veterinary Partners LLC | ||||||||
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27††† | 2,696,970 | 2,707,083 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Callaway Golf Company | ||||||||
4.59% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 01/02/26 | 2,504,437 | $ | 2,515,907 | |||||
HAH Group Holding Co. LLC | ||||||||
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27††† | 2,208,995 | 2,208,995 | ||||||
Hostess Brands LLC | ||||||||
3.00% (1 Month USD LIBOR + 2.25% and 3 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 08/04/25 | 821,616 | 818,642 | ||||||
Atkins Nutritionals, Inc. | ||||||||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/07/24 | 143,666 | 143,924 | ||||||
Total Consumer, Non-cyclical | 332,147,256 | |||||||
�� | ||||||||
Financial - 1.2% | ||||||||
Citadel Securities, LP | ||||||||
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | 62,685,000 | 62,080,717 | ||||||
Jane Street Group LLC | ||||||||
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | 37,139,184 | 36,749,222 | ||||||
Nexus Buyer LLC | ||||||||
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | 25,923,020 | 25,913,688 | ||||||
USI, Inc. | ||||||||
3.38% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26 | 18,858,651 | 18,723,057 | ||||||
3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | 6,455,553 | 6,408,299 | ||||||
Higginbotham | ||||||||
6.25% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26††† | 23,020,027 | 22,724,370 | ||||||
Alter Domus | ||||||||
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/17/28 | 20,837,775 | 20,749,214 | ||||||
Orion Advisor Solutions, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27 | 17,548,193 | 17,548,193 | ||||||
HighTower Holding LLC | ||||||||
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28 | 15,360,000 | 15,340,800 | ||||||
HUB International Ltd. | ||||||||
2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 | 14,772,829 | 14,623,623 |
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
AmWINS Group, Inc. | ||||||||
3.00% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28 | 13,333,000 | $ | 13,248,069 | |||||
Franchise Group, Inc. | ||||||||
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26 | 12,394,764 | 12,441,244 | ||||||
Cross Financial Corp. | ||||||||
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27 | 12,089,326 | 12,114,472 | ||||||
Duff & Phelps | ||||||||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27 | 10,196,742 | 10,217,441 | ||||||
Alliant Holdings Intermediate LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 | 8,168,274 | 8,107,012 | ||||||
NFP Corp. | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 | 7,630,863 | 7,546,389 | ||||||
Jones Deslauriers Insurance Management, Inc. | ||||||||
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28††† | CAD | 8,561,000 | 6,768,558 | |||||
PAI Holdco, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/28/27 | 5,124,250 | 5,126,402 | ||||||
Jones Deslauriers Insurance Management, Inc. | ||||||||
8.00% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.00%) due 03/26/29 | CAD | 3,171,000 | 2,518,045 | |||||
Total Financial | 318,948,815 | |||||||
Communications - 0.4% | ||||||||
Xplornet Communications, Inc. | ||||||||
4.84% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27 | 21,037,957 | 21,011,660 | ||||||
due 09/28/28 | 10,000,000 | 9,950,000 | ||||||
Syndigo LLC | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27††† | 24,775,500 | 24,837,439 | ||||||
UPC Broadband Holding BV | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29 | 18,900,000 | 18,833,094 | ||||||
McGraw Hill LLC | ||||||||
5.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 18,750,000 | 18,790,125 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
ProQuest LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26 | 17,460,903 | $ | 17,440,649 | |||||
Radiate Holdco LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 09/25/26 | 2,233,125 | 2,229,909 | ||||||
Zayo Group Holdings, Inc. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | 1,652,094 | 1,636,680 | ||||||
Authentic Brands | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24 | 1,023,145 | 1,021,068 | ||||||
Titan US Finco LLC | ||||||||
4.13% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/01/26 | 977,131 | 975,304 | ||||||
Internet Brands, Inc. | ||||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24 | 760,828 | 758,233 | ||||||
Telenet Financing USD LLC | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28 | 620,000 | 612,510 | ||||||
Flight Bidco, Inc. | ||||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25 | 281,728 | 277,736 | ||||||
Total Communications | 118,374,407 | |||||||
Basic Materials - 0.3% | ||||||||
INEOS Ltd. | ||||||||
2.75% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26 | EUR | 31,100,000 | 35,758,515 | |||||
Illuminate Buyer LLC | ||||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27 | 26,990,252 | 26,934,112 | ||||||
GrafTech Finance, Inc. | ||||||||
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | 17,790,264 | 17,790,264 | ||||||
Trinseo Materials Operating S.C.A. | ||||||||
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28 | 11,072,250 | 11,030,729 | ||||||
W.R. Grace Holdings LLC | ||||||||
due 09/22/28 | 1,250,000 | 1,253,912 | ||||||
Total Basic Materials | 92,767,532 | |||||||
Utilities - 0.2% | ||||||||
Hamilton Projects Acquiror LLC | ||||||||
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27 | 53,260,095 | 53,426,799 | ||||||
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Energy - 0.1% | ||||||||
ITT Holdings LLC | ||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 | 16,435,000 | $ | 16,400,815 | |||||
Venture Global Calcasieu Pass LLC | ||||||||
2.46% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26††† | 11,350,093 | 10,725,838 | ||||||
Lotus Midstream, LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25 | 546,159 | 534,554 | ||||||
Total Energy | 27,661,207 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $1,983,769,983) | 1,986,601,697 | |||||||
FEDERAL AGENCY BONDS†† - 2.5% | ||||||||
Tennessee Valley Authority | ||||||||
4.25% due 09/15/65 | 138,205,000 | 194,452,224 | ||||||
4.63% due 09/15/60 | 42,258,000 | 62,714,887 | ||||||
5.38% due 04/01/56 | 8,960,000 | 14,540,637 | ||||||
due 03/15/3312,14 | 3,000,000 | 2,383,800 | ||||||
due 01/15/2812,14 | 2,011,000 | 1,835,518 | ||||||
due 03/15/3512,14 | 1,142,000 | 842,757 | ||||||
due 09/15/5312,14 | 1,612,000 | 669,019 | ||||||
due 09/15/5512,14 | 1,612,000 | 626,862 | ||||||
due 09/15/5612,14 | 1,612,000 | 607,568 | ||||||
due 03/15/5712,14 | 1,612,000 | 599,147 | ||||||
due 09/15/5712,14 | 1,612,000 | 590,842 | ||||||
due 09/15/5812,14 | 1,612,000 | 574,576 | ||||||
due 03/15/5912,14 | 1,612,000 | 566,613 | ||||||
due 09/15/5912,14 | 1,612,000 | 558,760 | ||||||
due 09/15/6012,14 | 1,612,000 | 543,378 | ||||||
due 09/15/5412,14 | 1,020,000 | 409,165 | ||||||
due 03/15/6112,14 | 1,020,000 | 339,059 | ||||||
due 09/15/6112,14 | 1,020,000 | 334,360 | ||||||
due 09/15/6212,14 | 1,020,000 | 323,845 | ||||||
due 03/15/6312,14 | 1,020,000 | 319,341 | ||||||
due 09/15/6312,14 | 1,020,000 | 314,898 | ||||||
due 09/15/6412,14 | 1,020,000 | 304,906 | ||||||
due 03/15/6512,14 | 1,020,000 | 300,650 | ||||||
due 09/15/6512,14 | 1,020,000 | 296,454 | ||||||
Freddie Mac Principal Strips | ||||||||
due 07/15/3213,14 | 123,250,000 | 100,857,200 | ||||||
Fannie Mae Principal Strips | ||||||||
due 07/15/3713,14 | 89,850,000 | 63,296,989 | ||||||
due 11/15/3013,14 | 37,570,000 | 32,028,162 | ||||||
due 08/06/3813,14 | 5,850,000 | 4,005,460 | ||||||
Tennessee Valley Authority Principal Strips | ||||||||
due 01/15/4813,14 | 38,400,000 | 18,869,606 | ||||||
due 12/15/4213,14 | 23,785,000 | 13,635,512 | ||||||
due 01/15/3813,14 | 15,800,000 | 10,641,916 | ||||||
due 09/15/6513,14 | 3,500,000 | 1,017,243 | ||||||
due 09/15/3913,14 | 570,000 | 364,799 | ||||||
due 04/01/5613,14 | 540,000 | 206,835 | ||||||
Federal Farm Credit Bank | ||||||||
2.43% due 01/29/37 | 13,720,000 | 14,413,601 | ||||||
3.58% due 04/11/47 | 4,900,000 | 5,913,834 | ||||||
2.00% due 05/14/40 | 3,000,000 | 2,847,867 | ||||||
2.04% due 12/22/45 | 2,870,000 | 2,649,584 | ||||||
2.60% due 06/28/39 | 2,000,000 | 2,003,940 | ||||||
1.99% due 07/30/40 | 2,000,000 | 1,884,980 | ||||||
3.11% due 08/05/48 | 1,500,000 | 1,677,790 | ||||||
3.79% due 05/18/44 | 1,000,000 | 1,238,811 | ||||||
2.88% due 10/01/40 | 100,000 | 109,392 | ||||||
3.67% due 02/26/44 | 70,000 | 85,143 | ||||||
Freddie Mac Coupon Strips | ||||||||
due 03/15/3012,14 | 12,050,000 | 10,445,458 | ||||||
due 07/15/3012,14 | 8,600,000 | 7,393,618 | ||||||
due 01/15/3112,14 | 7,750,000 | 6,569,411 | ||||||
due 09/15/3012,14 | 2,906,000 | 2,486,786 | ||||||
due 03/15/3112,14 | 2,500,000 | 2,108,935 | ||||||
due 07/15/3112,14 | 1,800,000 | 1,506,429 | ||||||
due 01/15/3012,14 | 1,050,000 | 913,503 | ||||||
Freddie Mac | ||||||||
due 01/02/3414 | 18,000,000 | 14,127,084 | ||||||
due 09/15/3614 | 7,355,000 | 5,293,732 | ||||||
due 11/15/3814 | 6,000,000 | 4,075,938 | ||||||
2.05% due 08/19/50 | 2,010,000 | 1,770,050 | ||||||
2.02% due 10/05/45 | 720,000 | 663,067 | ||||||
U.S. International Development Finance Corp. | ||||||||
3.17% due 10/05/34 | 10,968,625 | 12,237,729 | ||||||
1.79% due 10/15/29 | 9,186,680 | 9,457,500 | ||||||
Fannie Mae | ||||||||
due 01/15/3214 | 9,413,000 | 7,790,566 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
due 07/15/3214 | 3,963,000 | $ | 3,239,515 | |||||
due 01/15/3514 | 2,250,000 | 1,705,221 | ||||||
due 02/06/3314 | 1,456,000 | 1,169,925 | ||||||
due 01/15/3314 | 1,450,000 | 1,166,415 | ||||||
Federal Home Loan Bank | ||||||||
3.63% due 06/22/43 | 4,850,000 | 5,847,417 | ||||||
3.25% due 06/10/39 | 4,500,000 | 5,200,682 | ||||||
2.69% due 09/26/34 | 1,350,000 | 1,379,241 | ||||||
Resolution Funding Corporation Principal Strips | ||||||||
due 01/15/3013,14 | 1,950,000 | 1,700,718 | ||||||
due 04/15/3013,14 | 725,000 | 628,647 | ||||||
Total Federal Agency Bonds | ||||||||
(Cost $621,400,292) | 671,675,517 | |||||||
MUNICIPAL BONDS†† - 0.8% | ||||||||
New York - 0.3% | ||||||||
Westchester County Local Development Corp. Revenue Bonds | ||||||||
3.85% due 11/01/50 | 40,000,000 | 41,974,076 | ||||||
New York Power Authority Revenue Bonds | ||||||||
2.82% due 11/15/39 | 16,500,000 | 16,803,960 | ||||||
New York City Water & Sewer System Revenue Bonds | ||||||||
5.00% due 06/15/49 | 650,000 | 807,133 | ||||||
Total New York | 59,585,169 | |||||||
California - 0.1% | ||||||||
Newport Mesa Unified School District General Obligation Unlimited | ||||||||
due 08/01/4514 | 8,565,000 | 3,774,142 | ||||||
due 08/01/3914 | 4,000,000 | 2,300,179 | ||||||
due 08/01/4014 | 2,500,000 | 1,374,022 | ||||||
due 08/01/4114 | 2,000,000 | 1,048,538 | ||||||
due 08/01/4314 | 1,900,000 | 912,425 | ||||||
due 08/01/4614 | 800,000 | 337,580 | ||||||
California Public Finance Authority Revenue Bonds | ||||||||
3.07% due 10/15/40 | 8,000,000 | 8,215,966 | ||||||
Freddie Mac Multifamily ML Certificates Revenue Bonds | ||||||||
2.49% due 07/25/35 | 6,840,106 | 7,064,486 | ||||||
San Mateo Foster City School District General Obligation Unlimited | ||||||||
3.06% due 08/01/44 | 6,125,000 | 6,181,237 | ||||||
Cypress School District General Obligation Unlimited | ||||||||
due 08/01/4814 | 14,450,000 | 5,872,824 | ||||||
California State University Revenue Bonds | ||||||||
2.98% due 11/01/51 | 5,000,000 | 5,111,434 | ||||||
San Bernardino Community College District General Obligation Unlimited | ||||||||
due 08/01/4414 | 4,750,000 | 2,447,124 | ||||||
Upland Unified School District General Obligation Unlimited | ||||||||
due 08/01/5014 | 5,040,000 | 2,257,655 | ||||||
Hanford Joint Union High School District General Obligation Unlimited | ||||||||
due 08/01/4114 | 4,125,000 | 1,943,898 | ||||||
San Marcos Unified School District General Obligation Unlimited | ||||||||
due 08/01/4714 | 3,600,000 | 1,837,720 |
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
Hillsborough City School District General Obligation Unlimited | ||||||||
due 09/01/3714 | 1,000,000 | $ | 634,896 | |||||
due 09/01/3914 | 1,000,000 | 579,311 | ||||||
Oakland Redevelopment Agency Successor Agency Tax Allocation | ||||||||
4.00% due 09/01/39 | 1,100,000 | 1,187,743 | ||||||
Wiseburn School District General Obligation Unlimited | ||||||||
due 08/01/3414 | 900,000 | 690,192 | ||||||
Santa Ana Unified School District General Obligation Unlimited | ||||||||
due 08/01/3514 | 700,000 | 529,702 | ||||||
Total California | 54,301,074 | |||||||
Texas - 0.2% | ||||||||
Dallas Fort Worth International Airport Revenue Bonds | ||||||||
3.09% due 11/01/40 | 13,800,000 | 14,192,762 | ||||||
City of San Antonio Texas Electric & Gas Systems Revenue Bonds | ||||||||
2.91% due 02/01/48 | 10,500,000 | 10,520,568 | ||||||
Wylie Independent School District General Obligation Unlimited | ||||||||
due 08/15/4614 | 8,885,000 | 3,557,662 | ||||||
due 08/15/4314 | 3,555,000 | 1,623,803 | ||||||
Central Texas Turnpike System Revenue Bonds | ||||||||
3.03% due 08/15/41 | 3,150,000 | 3,154,732 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds | ||||||||
3.42% due 09/01/50 | 2,500,000 | 2,557,166 | ||||||
Harris County-Houston Sports Authority Revenue Bonds | ||||||||
due 11/15/4514 | 2,850,000 | 1,068,328 | ||||||
due 11/15/4114 | 1,500,000 | 693,326 | ||||||
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds | ||||||||
3.34% due 11/15/37 | 1,500,000 | 1,580,718 | ||||||
Dallas/Fort Worth International Airport Revenue Bonds | ||||||||
2.92% due 11/01/50 | 1,300,000 | 1,303,196 | ||||||
Grand Parkway Transportation Corp. Revenue Bonds | ||||||||
3.31% due 10/01/49 | 1,000,000 | 1,018,112 | ||||||
Total Texas | 41,270,373 | |||||||
Ohio - 0.1% | ||||||||
Northeast Ohio Regional Sewer District Revenue Bonds | ||||||||
3.30% due 11/15/49 | 10,750,000 | 11,128,560 | ||||||
Ohio Turnpike & Infrastructure Commission Revenue Bonds | ||||||||
3.20% due 02/15/48 | 5,200,000 | 5,332,756 | ||||||
County of Franklin Ohio Revenue Bonds | ||||||||
2.88% due 11/01/50 | 4,000,000 | 3,932,117 | ||||||
Total Ohio | 20,393,433 | |||||||
Illinois - 0.0% | ||||||||
State of Illinois General Obligation Unlimited | ||||||||
5.65% due 12/01/38 | 5,850,000 | 7,108,473 | ||||||
6.63% due 02/01/35 | 1,820,000 | 2,314,213 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
City of Chicago Illinois General Obligation Unlimited | ||||||||
6.31% due 01/01/44 | 4,500,000 | $ | 6,437,099 | |||||
Total Illinois | 15,859,785 | |||||||
Mississippi - 0.1% | ||||||||
Medical Center Educational Building Corp. Revenue Bonds | ||||||||
2.92% due 06/01/41 | 11,800,000 | 11,664,206 | ||||||
Alabama - 0.0% | ||||||||
Auburn University Revenue Bonds | �� | |||||||
2.68% due 06/01/50 | 6,500,000 | 6,145,835 | ||||||
North Carolina - 0.0% | ||||||||
Inlivian Revenue Bonds | ||||||||
3.02% due 01/01/38 | 4,125,000 | 4,136,420 | ||||||
Total North Carolina | 4,136,420 | |||||||
Washington - 0.0% | ||||||||
Central Washington University Revenue Bonds | ||||||||
6.95% due 05/01/40 | 1,750,000 | 2,446,015 | ||||||
Klickitat County Public Utility District No. 1 Revenue Bonds | ||||||||
5.25% due 12/01/21 | 15,000 | 14,971 | ||||||
Total Washington | 2,460,986 | |||||||
Arizona - 0.0% | ||||||||
Northern Arizona University Revenue Bonds | ||||||||
3.09% due 08/01/39 | 2,350,000 | 2,451,898 | ||||||
Florida - 0.0% | ||||||||
County of Miami-Dade Florida Revenue Bonds | ||||||||
due 10/01/4114 | 4,100,000 | 2,242,672 | ||||||
Oklahoma - 0.0% | ||||||||
Tulsa Airports Improvement Trust Revenue Bonds | ||||||||
3.10% due 06/01/45 | 1,000,000 | 982,878 | ||||||
Oklahoma Development Finance Authority Revenue Bonds | ||||||||
4.65% due 08/15/30 | 450,000 | 527,482 | ||||||
Total Oklahoma | 1,510,360 | |||||||
Pennsylvania - 0.0% | ||||||||
Pennsylvania Economic Development Financing Authority Revenue Bonds | ||||||||
due 01/01/4114 | 995,000 | 601,752 | ||||||
due 01/01/3714 | 570,000 | 395,137 | ||||||
Total Pennsylvania | 996,889 | |||||||
Idaho - 0.0% | ||||||||
Boise State University Revenue Bonds | ||||||||
3.06% due 04/01/40 | 250,000 | 256,255 | ||||||
Total Municipal Bonds | ||||||||
(Cost $212,366,986) | 223,275,355 | |||||||
FOREIGN GOVERNMENT DEBT†† - 0.1% | ||||||||
Panama Government International Bond | ||||||||
4.50% due 04/16/50 | 22,700,000 | 24,607,481 | ||||||
Bermuda Government International Bond | ||||||||
3.38% due 08/20/504 | 8,400,000 | 8,417,640 | ||||||
Total Foreign Government Debt | ||||||||
(Cost $33,873,606) | 33,025,121 | |||||||
SENIOR FIXED RATE INTERESTS††† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
CTL Logistics | ||||||||
2.65% due 10/10/42 | 7,057,887 | 6,865,207 | ||||||
Total Senior Fixed Rate Interests | ||||||||
(Cost $7,057,887) | 6,865,207 | |||||||
78 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
| Face | Value | ||||||
FEDERAL AGENCY NOTES†† - 0.0% | ||||||||
Federal Home Loan Bank | ||||||||
2.45% due 08/16/41 | 540,000 | $ | 529,984 | |||||
Freddie Mac. | ||||||||
2.25% due 09/15/50 | 360,000 | 327,630 | ||||||
Federal Farm Credit Banks Funding Corp. | ||||||||
2.59% due 08/24/46 | 140,000 | 136,683 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $1,020,803) | 994,297 | |||||||
COMMERCIAL PAPER†† - 1.2% | ||||||||
Societe Generale S.A. | ||||||||
0.04% due 10/01/2116 | 200,000,000 | 200,000,000 | ||||||
Amphenol Corp. | ||||||||
0.07% due 10/01/2116 | 75,200,000 | 75,200,000 | ||||||
Reed Elsevier, Inc. | ||||||||
0.11% due 10/01/214,16 | 34,600,000 | 34,600,000 | ||||||
Cintas Corporation No. 2 | ||||||||
0.11% due 10/01/2116 | 11,000,000 | 11,000,000 | ||||||
Total Commercial Paper | ||||||||
(Cost $320,800,000) | 320,800,000 | |||||||
Notional | ||||||||
OTC OPTIONS PURCHASED†† - 0.3% | ||||||||
Call Options on: | ||||||||
Interest Rate Options | ||||||||
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | $ | 6,229,100,000 | 35,318,997 | |||||
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | 1,402,500,000 | 7,952,175 | ||||||
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | 1,880,100,000 | 7,445,196 | ||||||
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | 630,100,000 | 2,495,196 | ||||||
Total Interest Rate Options | 53,211,564 | |||||||
Contracts | ||||||||
Put Options on: | ||||||||
Equity Options | ||||||||
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $4,340.00 (Notional Value $859,784,984) | 1,996 | 26,776,340 | ||||||
Total Equity Options | 26,776,340 | |||||||
Total OTC Options Purchased | ||||||||
(Cost $47,755,360) | 79,987,904 | |||||||
Total Investments - 105.6% | ||||||||
(Cost $28,197,406,808) | $ | 28,744,871,795 | ||||||
Face | ||||||||
Collateralized Mortgage Obligations Sold Short†† - (3.2)% | ||||||||
Government Agency - (3.2)% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/10/2120 | $ | 815,600,000 | (863,532,812 | ) | ||||
Total Collateralized Mortgage Obligations Sold Short | ||||||||
(Proceeds $864,431,737) | (863,532,812 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
|
| Value | ||||||
LISTED OPTIONS WRITTEN† - (0.0)% | ||||||||
Call Options on: | ||||||||
Equity Options | ||||||||
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $527,388) | 142 | $ | (73,130 | ) | ||||
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $542,244) | 146 | (89,790 | ) | |||||
Total Equity Options | (162,920 | ) | ||||||
Total Listed Options Written | ||||||||
(Premiums received $304,076) | (162,920 | ) | ||||||
OTC OPTIONS WRITTEN†† - (0.0)% | ||||||||
Put Options on: | ||||||||
Equity Options | ||||||||
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $3,980.00 (Notional Value $859,784,984) | 1,996 | (9,331,300 | ) | |||||
Total OTC Options Written | ||||||||
(Premiums received $11,507,718) | (9,331,300 | ) | ||||||
Other Assets & Liabilities, net - (2.4)% | (664,353,637 | ) | ||||||
Total Net Assets - 100.0% | $ | 27,207,491,126 |
Centrally Cleared Credit Default Swap Agreements Protection Purchased†† | |||||||||||||||
Counterparty | Exchange | Index | Protection | Payment | Maturity | Notional | |||||||||
BofA Securities, Inc. | ICE | CDX.NA.HY.36.V1 | 5.00 | % | Quarterly | 06/20/26 | $ | 232,300,000 |
Value | Upfront | Unrealized | ||||||||||
$ | (21,412,633 | ) | $ | (21,226,908 | ) | $ | (185,725 | ) |
80 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
Centrally Cleared Interest Rate Swap Agreements†† | ||||||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | Notional | |||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 0.65% | Quarterly | 08/13/30 | $ | 463,000,000 | ||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 0.53% | Quarterly | 08/06/30 | 243,000,000 | |||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 0.99% | Quarterly | 08/25/50 | 70,000,000 | |||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 0.45% | Quarterly | 07/13/27 | 300,000,000 | |||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 1.34% | Annually | 09/30/31 | 1,570,000,000 | |||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 1.27% | Annually | 02/07/23 | 82,400,000 | |||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 0.22% | Quarterly | 07/13/23 | 500,000,000 | |||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 0.82% | Annually | 04/01/26 | 600,000,000 | |||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 1.37% | Annually | 12/04/21 | 175,200,000 | |||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 1.34% | Annually | 11/27/21 | 164,500,000 | |||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 0.59% | Annually | 03/07/22 | 150,000,000 | |||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 0.47% | Annually | 03/09/25 | 498,005,000 |
Counterparty | Value | Upfront | Unrealized | |||||||||
$ | 33,062,835 | $ | 3,550 | $ | 33,059,285 | |||||||
19,816,652 | 1,984 | 19,814,668 | ||||||||||
14,256,201 | 1,383 | 14,254,818 | ||||||||||
12,639,003 | 1,732 | 12,637,271 | ||||||||||
4,858,475 | (370,530 | ) | 5,229,005 | |||||||||
1,276,307 | 228 | 1,276,079 | ||||||||||
1,040,005 | 918 | 1,039,087 | ||||||||||
562,896 | 2,698 | 560,198 | ||||||||||
420,068 | 64 | 420,004 | ||||||||||
346,766 | 55 | 346,711 | ||||||||||
336,730 | 144 | 336,586 | ||||||||||
(2,266,869 | ) | 1,644 | (2,268,513 | ) | ||||||||
$ | 86,349,069 | $ | (356,130 | ) | $ | 86,705,199 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Goldman Sachs International | ILS | Buy | 239,980,850 | 65,373,467 USD | 01/31/22 | $ | 9,275,539 | |||||||||||||||||
Morgan Stanley Capital Services LLC | EUR | Sell | 393,125,000 | 464,339,987 USD | 10/18/21 | 8,787,850 | ||||||||||||||||||
Goldman Sachs International | JPY | Sell | 4,532,865,300 | 44,786,734 USD | 12/20/21 | 4,025,405 | ||||||||||||||||||
Goldman Sachs International | ILS | Buy | 67,282,219 | 18,074,471 USD | 08/01/22 | 2,926,876 | ||||||||||||||||||
Bank of America, N.A. | GBP | Sell | 69,380,000 | 95,750,783 USD | 10/18/21 | 2,254,880 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | GBP | Sell | 44,884,000 | 61,983,547 USD | 10/18/21 | 1,498,247 | ||||||||||||||||||
Goldman Sachs International | ILS | Buy | 28,886,625 | 7,727,829 USD | 11/30/22 | 1,307,126 | ||||||||||||||||||
Citibank, N.A. | EUR | Sell | 21,305,000 | 24,939,486 USD | 12/31/21 | 207,022 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 4,475,000 | 5,250,535 USD | 10/18/21 | 64,918 | ||||||||||||||||||
Goldman Sachs International | ILS | Buy | 356,625 | 95,100 USD | 11/30/21 | 15,721 | ||||||||||||||||||
Bank of America, N.A. | EUR | Buy | 400,000 | 463,908 USD | 10/18/21 | (389 | ) | |||||||||||||||||
Goldman Sachs International | ILS | Sell | 356,625 | 106,446 USD | 11/30/21 | (4,375 | ) | |||||||||||||||||
Citibank, N.A. | EUR | Buy | 220,000 | 260,125 USD | 10/18/21 | (5,190 | ) | |||||||||||||||||
Goldman Sachs International | CAD | Sell | 11,866,000 | 9,350,257 USD | 10/18/21 | (19,455 | ) | |||||||||||||||||
Goldman Sachs International | ILS | Sell | 28,886,625 | 8,761,488 USD | 11/30/22 | (273,468 | ) | |||||||||||||||||
Goldman Sachs International | ILS | Sell | 67,282,219 | 20,296,295 USD | 08/01/22 | (705,052 | ) | |||||||||||||||||
Bank of America, N.A. | ILS | Sell | 75,749,000 | 22,457,456 USD | 01/31/22 | (1,105,205 | ) | |||||||||||||||||
Barclays Bank plc | JPY | Buy | 4,532,865,300 | 43,207,180 USD | 12/20/21 | (2,445,852 | ) | |||||||||||||||||
Goldman Sachs International | ILS | Sell | 164,231,850 | 48,573,458 USD | 01/31/22 | (2,512,885 | ) | |||||||||||||||||
$ | 23,291,713 |
82 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Affiliated issuer. |
3 | Rate indicated is the 7-day yield as of September 30, 2021. |
4 | 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 $11,013,161,027 (cost $10,873,092,947), or 40.5% of total net assets. |
5 | Perpetual maturity. |
6 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
7 | Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
8 | 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 $251,887,926 (cost $253,056,719), or 0.9% of total net assets — See Note 10. |
9 | Security is in default of interest and/or principal obligations. |
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 September 30, 2021. See table below for additional step information for each security. |
12 | Security is an interest-only strip. |
13 | Security is a principal-only strip. |
14 | Zero coupon rate security. |
15 | Payment-in-kind security. |
16 | Rate indicated is the effective yield at the time of purchase. |
17 | All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2021, the total market value of segregated or earmarked securities was $2,257,364,215 — See Note 6. |
18 | All or a portion of this security is pledged as listed options collateral at September 30, 2021. |
19 | All or a portion of this security is pledged as interest rate swap collateral at September 30, 2021. |
20 | Security is unsettled at period end and does not have a stated effective rate. |
BofA — Bank of America | |
CAD — Canadian Dollar | |
CDX.NA.HY.36.V1 — Credit Default Swap North American High Yield Series XX Index Version X | |
CME — Chicago Mercantile Exchange | |
CMS — Constant Maturity Swap | |
CMT — Constant Maturity Treasury | |
EUR — Euro |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
EURIBOR — European Interbank Offered Rate | |
GBP — British Pound | |
ICE — Intercontinental Exchange | |
ILS — Israeli New Shekel | |
JPY — Japanese Yen | |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
REMIC — Real Estate Mortgage Investment Conduit | |
REIT — Real Estate Investment Trust | |
SARL — Société à Responsabilité Limitée | |
WAC — Weighted Average Coupon | |
See Sector Classification in Other Information section. |
84 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 275,427,855 | $ | — | $ | 521 | $ | 275,428,376 | ||||||||
Preferred Stocks | — | 647,066,441 | — | * | 647,066,441 | |||||||||||
Warrants | 2,999,511 | — | — | 2,999,511 | ||||||||||||
Mutual Funds | 68,733,518 | — | — | 68,733,518 | ||||||||||||
Closed-End Funds | 16,796,073 | — | — | 16,796,073 | ||||||||||||
Money Market Fund | 71,613,299 | — | — | 71,613,299 | ||||||||||||
Corporate Bonds | — | 10,454,128,738 | 624,825,088 | 11,078,953,826 | ||||||||||||
Asset-Backed Securities | — | 4,678,120,676 | 728,643,975 | 5,406,764,651 | ||||||||||||
Collateralized Mortgage Obligations | — | 3,839,437,793 | 102,193,653 | 3,941,631,446 | ||||||||||||
U.S. Government Securities | — | 3,911,659,555 | — | 3,911,659,555 | ||||||||||||
Senior Floating Rate Interests | — | 1,850,483,866 | 136,117,831 | 1,986,601,697 | ||||||||||||
Federal Agency Bonds | — | 671,675,517 | — | 671,675,517 | ||||||||||||
Municipal Bonds | — | 223,275,355 | — | 223,275,355 | ||||||||||||
Foreign Government Debt | — | 33,025,121 | — | 33,025,121 | ||||||||||||
Senior Fixed Rate Interests | — | — | 6,865,207 | 6,865,207 | ||||||||||||
Federal Agency Notes | — | 994,297 | — | 994,297 | ||||||||||||
Commercial Paper | — | 320,800,000 | — | 320,800,000 | ||||||||||||
Options Purchased | — | 79,987,904 | — | 79,987,904 | ||||||||||||
Interest Rate Swap Agreements** | — | 88,973,712 | — | 88,973,712 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 30,363,584 | — | 30,363,584 | ||||||||||||
Total Assets | $ | 435,570,256 | $ | 26,829,992,559 | $ | 1,598,646,275 | $ | 28,864,209,090 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Collateralized Mortgage Obligations Sold Short | $ | — | $ | 863,532,812 | $ | — | $ | 863,532,812 | ||||||||
Options Written | 162,920 | 9,331,300 | — | 9,494,220 | ||||||||||||
Credit Default Swap Agreements** | — | 185,725 | — | 185,725 | ||||||||||||
Interest Rate Swap Agreements** | — | 2,268,513 | — | 2,268,513 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 7,071,871 | — | 7,071,871 | ||||||||||||
Unfunded Loan Commitments (Note 9) | — | — | 654,750 | 654,750 | ||||||||||||
Total Liabilities | $ | 162,920 | $ | 882,390,221 | $ | 654,750 | $ | 883,207,891 |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
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 $596,666,813 are categorized as Level 2 within the disclosure hierarchy — See Note 6.
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending | Valuation Technique | Unobservable | Input Range | Weighted | |||||||||
Assets: | ||||||||||||||
Asset-Backed Securities | $ | 689,378,940 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | ||||||||
Asset-Backed Securities | 39,265,035 | Yield Analysis | Yield | 2.4%-4.2% | 3.2% | |||||||||
Collateralized Mortgage Obligations | 97,396,890 | Model Price | Purchase Price | — | — | |||||||||
Collateralized Mortgage Obligations | 4,796,763 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||
Common Stocks | 521 | Enterprise Value | Valuation Multiple | 2.1x-12.8x | 5.1x | |||||||||
Corporate Bonds | 460,347,204 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||
Corporate Bonds | 101,594,048 | Third Party Pricing | Vendor Price | — | — | |||||||||
Corporate Bonds | 59,701,976 | Yield Analysis | Yield | 3.2% | ||||||||||
Corporate Bonds | 3,181,860 | Model Price | Purchase Price | — | — | |||||||||
Senior Fixed Rate Interests | 6,865,207 | Yield Analysis | Yield | 2.7% | — | |||||||||
Senior Floating Rate Interests | 77,646,993 | Yield Analysis | Yield | 6.8%-7.4% | 6.9% | |||||||||
Senior Floating Rate Interests | 57,968,971 | Third Party Pricing | Broker Quote | — | — | |||||||||
Senior Floating Rate Interests | 501,867 | Third Party Pricing | Vendor Price | — | — | |||||||||
Total Assets | $ | 1,598,646,275 |
|
|
|
| ||||||||
Liabilities: | ||||||||||||||
Unfunded Loan Commitments | $ | 654,750 | Model Price | Purchase Price | — | — |
* | Inputs are weighted by the fair value of the instruments. |
Significant changes in a quote, yield, market comparable yields, or valuation multiple 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.
Transfer 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 year ended September 30, 2021, the Fund had securities with a total value of $135,321,420 transfer into Level 3 from Level 2 due to lack of observable inputs and had securities with a total value of a $11,268,317 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.
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
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 year ended September 30, 2021:
Assets | ||||||||||||||||||||
| Asset | Collateralized | Corporate | Senior | Common | |||||||||||||||
Beginning Balance | $ | 466,869,292 | $ | 167,618,207 | $ | 244,694,520 | $ | 424,325 | $ | 3,870 | ||||||||||
Purchases/(Receipts) | 537,446,300 | 114,123,088 | 374,245,360 | 146,451,049 | 33 | |||||||||||||||
(Sales, maturities and paydowns)/Fundings | (398,595,826 | ) | (177,993,283 | ) | (2,137,765 | ) | (12,451,931 | ) | — | |||||||||||
Amortization of premiums/discounts | 36,126 | (22,889 | ) | (112,989 | ) | 276,867 | — | |||||||||||||
Total realized gains (losses) included in earnings | 2,912,455 | (11,823 | ) | (127,861 | ) | 812,142 | — | |||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (4,186,054 | ) | (1,519,647 | ) | 8,372,402 | 605,379 | (3,382 | ) | ||||||||||||
Transfers into Level 3 | 132,139,560 | — | 3,181,860 | — | — | |||||||||||||||
Transfers out of Level 3 | (7,977,878 | ) | — | (3,290,439 | ) | — | — | |||||||||||||
Ending Balance | 728,643,975 | 102,193,653 | 624,825,088 | 136,117,831 | 521 | |||||||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021 | $ | (4,166,485 | ) | $ | (68,430 | ) | $ | 8,541,301 | $ | 606,143 | $ | (3,382 | ) |
Assets | Liabilities | |||||||||||||||
| Preferred | Senior Fixed | Total | Unfunded | ||||||||||||
Beginning Balance | $ | 4,598 | $ | — | $ | 879,614,812 | $ | (2,340,507 | ) | |||||||
Purchases/(Receipts) | — | 7,057,887 | 1,179,323,717 | (475,899 | ) | |||||||||||
(Sales, maturities and paydowns)/Fundings | — | — | (591,178,805 | ) | 2,010,573 | |||||||||||
Amortization of premiums/discounts | — | — | 177,115 | 3,176 | ||||||||||||
Total realized gains (losses) included in earnings | — | — | 3,584,913 | 1,098 | ||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (4,598 | ) | (192,680 | ) | 3,071,420 | 146,809 | ||||||||||
Transfers into Level 3 | — | — | 135,321,420 | — | ||||||||||||
Transfers out of Level 3 | — | — | (11,268,317 | ) | — | |||||||||||
Ending Balance | $ | — | $ | 6,865,207 | $ | 1,598,646,275 | $ | (654,750 | ) | |||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021 | $ | (4,598 | ) | $ | (192,680 | ) | $ | 4,711,869 | $ | 148,658 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
TOTAL RETURN BOND FUND |
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, none are scheduled to decrease.
Name | Coupon Rate at | Next Rate | Future Reset | Future Reset | ||||||||||||
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61 | 4.62 | % | 09/26/24 | 5.62 | % | 09/26/25 | ||||||||||
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61 | 4.75 | % | 05/26/24 | 5.75 | % | 05/26/25 | ||||||||||
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61 | 4.75 | % | 04/26/24 | 5.75 | % | 04/26/25 | ||||||||||
OSAT Trust 2021-RPL1, 2.12% due 05/25/65 | 4.20 | % | 07/26/24 | 5.99 | % | 07/26/25 | ||||||||||
PRPM LLC 2021-5, 1.79% due 06/25/26 | 4.79 | % | 06/26/24 | 5.79 | % | 06/26/25 |
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 (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on From N-CSR is available publicly or upon request.
Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | ||||||||||||
Common Stocks | ||||||||||||||||
BP Holdco LLC* | $ | 188 | $ | — | $ | — | $ | — | ||||||||
Mutual Funds | ||||||||||||||||
Guggenheim Strategy Fund II | 26,762,744 | 428,900 | — | — | ||||||||||||
Guggenheim Strategy Fund III | 14,458,530 | 238,090 | — | — | ||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 26,551,766 | 258,131 | — | — | ||||||||||||
$ | 67,773,228 | $ | 925,121 | $ | — | $ | — |
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
TOTAL RETURN BOND FUND |
Security Name | Change in | Value | Shares | Investment | ||||||||||||
Common Stocks | ||||||||||||||||
BP Holdco LLC* | $ | 187 | $ | 375 | $ | 532 | $ | — | ||||||||
Mutual Funds | ||||||||||||||||
Guggenheim Strategy Fund II | 21,607 | 27,213,251 | 1,088,966 | 428,898 | ||||||||||||
Guggenheim Strategy Fund III | 40,403 | 14,737,023 | 586,198 | 238,089 | ||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | (26,653 | ) | 26,783,244 | 2,686,384 | 258,130 | |||||||||||
$ | 35,544 | $ | 68,733,893 | $ | 925,117 |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
STATEMENT OF ASSETS AND LIABILITIES |
TOTAL RETURN BOND FUND |
September 30, 2021
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $28,128,863,917) | $ | 28,676,137,902 | ||
Investments in affiliated issuers, at value (cost $68,542,891) | 68,733,893 | |||
Foreign currency, at value (cost $46,849,781) | 46,849,781 | |||
Cash | 436,576,543 | |||
Segregated cash with broker | 21,403,756 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 14,400 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 30,363,584 | |||
Prepaid expenses | 382,395 | |||
Receivables: | ||||
Securities sold | 2,469,719,130 | |||
Interest | 156,010,551 | |||
Fund shares sold | 39,777,770 | |||
Variation margin on interest rate swap agreements | 11,894,233 | |||
Variation margin on credit default swap agreements | 360,752 | |||
Dividends | 306,377 | |||
Foreign tax reclaims | 81,208 | |||
Total assets | 31,958,612,275 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 9) (commitment fees received $818,653) | 654,750 | |||
Reverse repurchase agreements | 596,666,812 | |||
Securities sold short, at value (proceeds $(864,431,737) | 863,532,812 | |||
Options written, at value (premiums received $11,811,794) | 9,494,220 | |||
Segregated cash due to broker | 61,715,583 | |||
Unamortized upfront premiums received on credit default swap agreements | 21,226,908 | |||
Unamortized upfront premiums received on interest rate swap agreements | 370,530 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 7,071,871 | |||
Payable for: | ||||
Securities purchased | 3,120,490,489 | |||
Fund shares redeemed | 48,834,914 | |||
Distributions to shareholders | 6,840,064 | |||
Management fees | 4,801,119 | |||
Fund accounting/administration fees | 1,448,051 | |||
Transfer agent/maintenance fees | 823,578 | |||
Distribution and service fees | 626,048 | |||
Protection fees on credit default swap agreements | 354,903 | |||
Trustees’ fees* | 19,181 | |||
Due to Investment Adviser | 1,404 | |||
Miscellaneous | 6,147,912 | |||
Total liabilities | 4,751,121,149 | |||
Net assets | $ | 27,207,491,126 | ||
Net assets consist of: | ||||
Paid in capital | $ | 26,379,846,245 | ||
Total distributable earnings (loss) | 827,644,881 | |||
Net assets | $ | 27,207,491,126 | ||
A-Class: | ||||
Net assets | $ | 677,172,172 | ||
Capital shares outstanding | 23,399,220 | |||
Net asset value per share | $ | 28.94 | ||
Maximum offering price per share (Net asset value divided by 96.00%) | $ | 30.15 | ||
C-Class: | ||||
Net assets | $ | 327,712,470 | ||
Capital shares outstanding | 11,322,684 | |||
Net asset value per share | $ | 28.94 | ||
P-Class: | ||||
Net assets | $ | 1,043,506,831 | ||
Capital shares outstanding | 36,066,476 | |||
Net asset value per share | $ | 28.93 | ||
Institutional Class: | ||||
Net assets | $ | 24,912,048,850 | ||
Capital shares outstanding | 860,046,643 | |||
Net asset value per share | $ | 28.97 | ||
R6-Class: | ||||
Net assets | $ | 247,050,803 | ||
Capital shares outstanding | 8,524,086 | |||
Net asset value per share | $ | 28.98 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
90 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF OPERATIONS |
TOTAL RETURN BOND FUND |
Year Ended September 30, 2021
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 34,340,178 | ||
Dividends from securities of affiliated issuers | 925,117 | |||
Interest from securities of unaffiliated issuers(net of foreign withholding tax of $139,434) | 768,557,850 | |||
Total investment income | 803,823,145 | |||
Expenses: | ||||
Management fees | 96,284,021 | |||
Distribution and service fees: | ||||
A-Class | 1,782,845 | |||
C-Class | 3,442,855 | |||
P-Class | 2,402,963 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 792,721 | |||
C-Class | 348,149 | |||
P-Class | 1,296,283 | |||
Institutional Class | 19,243,564 | |||
R6-Class | 19,162 | |||
Fund accounting/administration fees | 16,402,145 | |||
Line of credit fees | 2,246,045 | |||
Professional fees | 1,353,293 | |||
Custodian fees | 406,708 | |||
Trustees’ fees* | 402,516 | |||
Interest expense | 66,386 | |||
Miscellaneous | 1,707,599 | |||
Recoupment of previously waived fees: | ||||
A-Class | 8,804 | |||
C-Class | 8,581 | |||
R6-Class | 16,820 | |||
Total expenses | 148,231,460 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (420,192 | ) | ||
C-Class | (173,333 | ) | ||
P-Class | (780,758 | ) | ||
Institutional Class | (16,010,999 | ) | ||
R6-Class | (5,961 | ) | ||
Expenses waived by Adviser | (131,354 | ) | ||
Earnings credits applied | (25,886 | ) | ||
Total waived/reimbursed expenses | (17,548,483 | ) | ||
Net expenses | 130,682,977 | |||
Net investment income | 673,140,168 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 340,720,099 | |||
Investments sold short | (3,623,581 | ) | ||
Swap agreements | (44,244,150 | ) | ||
Futures contracts | 94,051 | |||
Options purchased | 38,488,836 | |||
Forward foreign currency exchange contracts | 61,173,757 | |||
Foreign currency transactions | (3,015,010 | ) | ||
Net realized gain | 389,594,002 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (490,468,002 | ) | ||
Investments in affiliated issuers | 35,544 | |||
Investments sold short | 898,925 | |||
Swap agreements | 29,427,222 | |||
Options purchased | 13,834,520 | |||
Options written | 2,317,574 | |||
Forward foreign currency exchange contracts | (41,013,701 | ) | ||
Foreign currency translations | 4,324 | |||
Net change in unrealized appreciation (depreciation) | (484,963,594 | ) | ||
Net realized and unrealized loss | (95,369,592 | ) | ||
Net increase in net assets resulting from operations | $ | 577,770,576 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 91 |
STATEMENTS OF CHANGES IN NET ASSETS |
TOTAL RETURN BOND FUND |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 673,140,168 | $ | 363,342,717 | ||||
Net realized gain on investments | 389,594,002 | 584,388,023 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (484,963,594 | ) | 795,295,708 | |||||
Net increase in net assets resulting from operations | 577,770,576 | 1,743,026,448 | ||||||
Distributions to shareholders: | ||||||||
A-Class | (35,606,058 | ) | (14,139,957 | ) | ||||
C-Class | (15,002,591 | ) | (4,404,558 | ) | ||||
P-Class | (49,331,911 | ) | (17,649,084 | ) | ||||
Institutional Class | (1,162,088,286 | ) | (363,935,819 | ) | ||||
R6-Class | (10,411,606 | ) | (3,433,470 | ) | ||||
Total distributions to shareholders | (1,272,440,452 | ) | (403,562,888 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 301,735,718 | 390,304,686 | ||||||
C-Class | 71,243,493 | 96,598,040 | ||||||
P-Class | 592,976,433 | 445,917,866 | ||||||
Institutional Class | 11,987,961,377 | 10,467,112,876 | ||||||
R6-Class | 125,161,838 | 149,980,117 | ||||||
Distributions reinvested | ||||||||
A-Class | 30,151,720 | 12,577,240 | ||||||
C-Class | 12,720,024 | 3,666,589 | ||||||
P-Class | 49,197,254 | 17,508,562 | ||||||
Institutional Class | 1,001,642,286 | 303,841,966 | ||||||
R6-Class | 10,404,509 | 3,433,046 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (441,115,944 | ) | (257,595,809 | ) | ||||
C-Class | (84,837,172 | ) | (71,903,157 | ) | ||||
P-Class | (493,935,219 | ) | (417,273,313 | ) | ||||
Institutional Class | (6,600,975,826 | ) | (4,949,016,576 | ) | ||||
R6-Class | (50,585,771 | ) | (53,331,923 | ) | ||||
Net increase from capital share transactions | 6,511,744,720 | 6,141,820,210 | ||||||
Net increase in net assets | 5,817,074,844 | 7,481,283,770 | ||||||
Net assets: | ||||||||
Beginning of year | 21,390,416,282 | 13,909,132,512 | ||||||
End of year | $ | 27,207,491,126 | $ | 21,390,416,282 | ||||
92 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
TOTAL RETURN BOND FUND |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 10,307,437 | 13,593,542 | ||||||
C-Class | 2,422,706 | 3,373,040 | ||||||
P-Class | 20,237,868 | 15,597,287 | ||||||
Institutional Class | 409,526,835 | 366,759,309 | ||||||
R6-Class | 4,284,001 | 5,376,306 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 1,027,814 | 441,156 | ||||||
C-Class | 433,192 | 128,418 | ||||||
P-Class | 1,677,702 | 615,214 | ||||||
Institutional Class | 34,155,691 | 10,620,644 | ||||||
R6-Class | 354,677 | 120,055 | ||||||
Shares redeemed | ||||||||
A-Class | (14,980,704 | ) | (9,218,165 | ) | ||||
C-Class | (2,913,083 | ) | (2,550,900 | ) | ||||
P-Class | (17,001,560 | ) | (14,959,306 | ) | ||||
Institutional Class | (226,736,966 | ) | (176,503,485 | ) | ||||
R6-Class | (1,732,537 | ) | (1,897,087 | ) | ||||
Net increase in shares | 221,063,073 | 211,496,028 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 93 |
FINANCIAL HIGHLIGHTS |
TOTAL RETURN BOND FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 29.76 | $ | 27.42 | $ | 26.69 | $ | 27.05 | $ | 27.23 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .72 | .56 | .64 | .72 | .83 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.05 | ) | 2.41 | .85 | (.37 | ) | .05 | |||||||||||||
Total from investment operations | .67 | 2.97 | 1.49 | .35 | .88 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.76 | ) | (.63 | ) | (.65 | ) | (.71 | ) | (.95 | ) | ||||||||||
Net realized gains | (.73 | ) | — | (.11 | ) | — | (.11 | ) | ||||||||||||
Total distributions | (1.49 | ) | (.63 | ) | (.76 | ) | (.71 | ) | (1.06 | ) | ||||||||||
Net asset value, end of period | $ | 28.94 | $ | 29.76 | $ | 27.42 | $ | 26.69 | $ | 27.05 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 2.27 | % | 10.96 | % | 5.70 | % | 1.28 | % | 3.33 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 677,172 | $ | 804,750 | $ | 609,602 | $ | 589,760 | $ | 744,989 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.47 | % | 1.99 | % | 2.37 | % | 2.66 | % | 3.08 | % | ||||||||||
Total expensesc | 0.84 | % | 0.87 | % | 0.96 | % | 0.93 | % | 1.02 | % | ||||||||||
Net expensesd,e,f | 0.79 | % | 0.80 | % | 0.80 | % | 0.81 | % | 0.87 | % | ||||||||||
Portfolio turnover rate | 92 | % | 116 | % | 68 | % | 48 | % | 72 | % |
94 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
TOTAL RETURN BOND FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 29.76 | $ | 27.43 | $ | 26.69 | $ | 27.05 | $ | 27.23 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .50 | .35 | .43 | .52 | .65 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.05 | ) | 2.40 | .87 | (.38 | ) | .03 | |||||||||||||
Total from investment operations | .45 | 2.75 | 1.30 | .14 | .68 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.54 | ) | (.42 | ) | (.45 | ) | (.50 | ) | (.75 | ) | ||||||||||
Net realized gains | (.73 | ) | — | (.11 | ) | — | (.11 | ) | ||||||||||||
Total distributions | (1.27 | ) | (.42 | ) | (.56 | ) | (.50 | ) | (.86 | ) | ||||||||||
Net asset value, end of period | $ | 28.94 | $ | 29.76 | $ | 27.43 | $ | 26.69 | $ | 27.05 | ||||||||||
| ||||||||||||||||||||
Total Returnb | 1.50 | % | 10.10 | % | 4.95 | % | 0.53 | % | 2.58 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 327,712 | $ | 338,656 | $ | 286,050 | $ | 265,486 | $ | 251,177 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.72 | % | 1.24 | % | 1.62 | % | 1.93 | % | 2.44 | % | ||||||||||
Total expensesc | 1.59 | % | 1.59 | % | 1.60 | % | 1.62 | % | 1.74 | % | ||||||||||
Net expensesd,e,f | 1.53 | % | 1.55 | % | 1.55 | % | 1.55 | % | 1.60 | % | ||||||||||
Portfolio turnover rate | 92 | % | 116 | % | 68 | % | 48 | % | 72 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
FINANCIAL HIGHLIGHTS |
TOTAL RETURN BOND FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 29.75 | $ | 27.42 | $ | 26.69 | $ | 27.04 | $ | 27.23 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .72 | .56 | .63 | .72 | .85 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.05 | ) | 2.40 | .86 | (.36 | ) | .03 | |||||||||||||
Total from investment operations | .67 | 2.96 | 1.49 | .36 | .88 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.76 | ) | (.63 | ) | (.65 | ) | (.71 | ) | (.96 | ) | ||||||||||
Net realized gains | (.73 | ) | — | (.11 | ) | — | (.11 | ) | ||||||||||||
Total distributions | (1.49 | ) | (.63 | ) | (.76 | ) | (.71 | ) | (1.07 | ) | ||||||||||
Net asset value, end of period | $ | 28.93 | $ | 29.75 | $ | 27.42 | $ | 26.69 | $ | 27.04 | ||||||||||
| ||||||||||||||||||||
Total Return | 2.27 | % | 10.92 | % | 5.70 | % | 1.32 | % | 3.34 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,043,507 | $ | 926,745 | $ | 819,770 | $ | 738,694 | $ | 572,644 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.47 | % | 1.98 | % | 2.37 | % | 2.69 | % | 3.14 | % | ||||||||||
Total expensesc | 0.87 | % | 0.88 | % | 0.87 | % | 0.91 | % | 1.03 | % | ||||||||||
Net expensesd,e,f | 0.79 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.86 | % | ||||||||||
Portfolio turnover rate | 92 | % | 116 | % | 68 | % | 48 | % | 72 | % |
96 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
TOTAL RETURN BOND FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 29.78 | $ | 27.45 | $ | 26.71 | $ | 27.07 | $ | 27.26 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .81 | .65 | .71 | .80 | .93 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.05 | ) | 2.39 | .87 | (.37 | ) | .04 | |||||||||||||
Total from investment operations | .76 | 3.04 | 1.58 | .43 | .97 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.84 | ) | (.71 | ) | (.73 | ) | (.79 | ) | (1.05 | ) | ||||||||||
Net realized gains | (.73 | ) | — | (.11 | ) | — | (.11 | ) | ||||||||||||
Total distributions | (1.57 | ) | (.71 | ) | (.84 | ) | (.79 | ) | (1.16 | ) | ||||||||||
Net asset value, end of period | $ | 28.97 | $ | 29.78 | $ | 27.45 | $ | 26.71 | $ | 27.07 | ||||||||||
| ||||||||||||||||||||
Total Return | 2.59 | % | 11.23 | % | 6.03 | % | 1.59 | % | 3.68 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 24,912,049 | $ | 19,152,857 | $ | 12,138,270 | $ | 8,957,902 | $ | 6,418,897 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.76 | % | 2.29 | % | 2.64 | % | 2.99 | % | 3.47 | % | ||||||||||
Total expensesc | 0.57 | % | 0.57 | % | 0.58 | % | 0.58 | % | 0.68 | % | ||||||||||
Net expensesd,e,f | 0.50 | % | 0.51 | % | 0.51 | % | 0.50 | % | 0.52 | % | ||||||||||
Portfolio turnover rate | 92 | % | 116 | % | 68 | % | 48 | % | 72 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 97 |
FINANCIAL HIGHLIGHTS (continued) |
TOTAL RETURN BOND FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
R6-Class | Year | Year | Year | Year | Period | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 29.80 | $ | 27.46 | $ | 26.73 | $ | 27.09 | $ | 27.15 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .81 | .65 | .71 | .81 | .86 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.06 | ) | 2.40 | .86 | (.38 | ) | .18 | |||||||||||||
Total from investment operations | .75 | 3.05 | 1.57 | .43 | 1.04 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.84 | ) | (.71 | ) | (.73 | ) | (.79 | ) | (.99 | ) | ||||||||||
Net realized gains | (.73 | ) | — | (.11 | ) | — | (.11 | ) | ||||||||||||
Total distributions | (1.57 | ) | (.71 | ) | (.84 | ) | (.79 | ) | (1.10 | ) | ||||||||||
Net asset value, end of period | $ | 28.98 | $ | 29.80 | $ | 27.46 | $ | 26.73 | $ | 27.09 | ||||||||||
| ||||||||||||||||||||
Total Return | 2.56 | % | 11.26 | % | 5.99 | % | 1.59 | % | 3.97 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 247,051 | $ | 167,409 | $ | 55,441 | $ | 37,735 | $ | 13,709 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 2.76 | % | 2.28 | % | 2.64 | % | 3.00 | % | 3.35 | % | ||||||||||
Total expensesc | 0.50 | % | 0.52 | % | 0.52 | % | 0.53 | % | 0.65 | % | ||||||||||
Net expensesd,e,f | 0.50 | % | 0.51 | % | 0.51 | % | 0.50 | % | 0.51 | % | ||||||||||
Portfolio turnover rate | 92 | % | 116 | % | 68 | % | 48 | % | 72 | % |
98 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
TOTAL RETURN BOND FUND |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Total return does not reflect the impact of any applicable sales charges. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 0.00%* | 0.00%* | — | 0.00%* | 0.01% | |
C-Class | 0.00%* | 0.00%* | — | 0.00%* | 0.01% | |
P-Class | — | 0.00%* | 0.00%* | 0.00%* | 0.01% | |
Institutional Class | — | 0.00%* | — | 0.00%* | — | |
R6-Class | 0.01% | 0.00%* | 0.00%* | 0.00%* | — |
* | Less than 0.01% |
f | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 0.78% | 0.79% | 0.79% | 0.80% | 0.84% | |
C-Class | 1.53% | 1.54% | 1.54% | 1.55% | 1.57% | |
P-Class | 0.78% | 0.79% | 0.79% | 0.80% | 0.83% | |
Institutional Class | 0.49% | 0.50% | 0.50% | 0.49% | 0.49% | |
R6-Class | 0.49% | 0.50% | 0.50% | 0.49% | 0.48% |
g | Since commencement of operations: October 19, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 99 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Total Return Bond Fund (the “Fund”), a diversified investment company. At September 30, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.
Guggenheim Partners Investment Management, LLC (“GPIM”) which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
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.
100 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. 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.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
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
THE GUGGENHEIM FUNDS ANNUAL REPORT | 101 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.
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.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued 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.
The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s close price from the applicable exchange, adjusted for the current day’s spreads.
102 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying positions that the swaps pertain to at the close of the NYSE.
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 GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. 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.
(b) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Fund’s Schedule of Investments.
The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess
THE GUGGENHEIM FUNDS ANNUAL REPORT | 103 |
NOTES TO FINANCIAL STATEMENTS (continued) |
fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.
(d) Interest on When-Issued Securities
The Fund may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.
(e) Short Sales
When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(f) Options
Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes
104 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
(g) Futures Contracts
Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(h) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 105 |
NOTES TO FINANCIAL STATEMENTS (continued) |
(i) Forward Foreign Currency Exchange Contracts
The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
(j) Currency Translations
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(k) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
(l) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if
106 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.
(m) Distributions
The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.
(n) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 107 |
NOTES TO FINANCIAL STATEMENTS (continued) |
(o) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.
(p) Cash
The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.
(q) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
(r) Special Purpose Acquisition Companies
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
108 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
Note 2 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Fund utilized derivatives for the following purposes:
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.
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NOTES TO FINANCIAL STATEMENTS (continued) |
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 following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:
Average Notional Amount | ||||||||
Use | Call | Put | ||||||
Duration, Hedge | $ | 12,480,041,667 | $ | 146,875,993 |
The risk in writing a call option is that a 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 a 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 a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Fund’s use and volume of call/put options written on a monthly basis:
Average Notional Amount | ||||||||
Use | Call | Put | ||||||
Hedge | $ | 89,136 | $ | 146,875,993 |
Futures Contracts
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s
110 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.
The following table represents the Fund’s use and volume of futures on a monthly basis:
Average Notional Amount | ||||||||
Use | Long | Short | ||||||
Hedge, Income | $ | — | $ | 1,636,698 |
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. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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.
The following table represents the Fund’s use and volume of total return swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Long | Short | ||||||
Income, Index Exposure | $ | 66,801,112 | $ | 7,555,216 |
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NOTES TO FINANCIAL STATEMENTS (continued) |
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.
The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Pay Floating Rate | Receive Floating Rate | ||||||
Duration, Hedge | $ | 3,310,630,000 | $ | 1,719,916,667 |
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 event 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 selling the credit protection. For a fund utilizing 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, a 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
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NOTES TO FINANCIAL STATEMENTS (continued) |
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.
The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Protection Sold | Protection Purchased | ||||||
Income, Index Exposure | $ | 124,540,833 | $ | 58,075,000 |
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.
The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:
Average Value | ||||||||
Use | Purchased | Sold | ||||||
Hedge, Income | $ | 876,131,411 | $ | 1,283,978,450 |
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NOTES TO FINANCIAL STATEMENTS (continued) |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2021:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency forward contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
Interest rate swap contracts | Unamortized upfront premiums paid on | Unamortized upfront premiums received on interest rate swap agreements |
Interest rate swap agreements | ||
Variation margin on interest rate swap agreements | ||
Credit contracts on swaps | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
Variation margin on credit default swap agreements | Unamortized upfront premiums received on credit default swap agreements | |
Equity/Interest rate option contracts | Investments in unaffiliated issuers, at value | Options written, at value |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2021:
Asset Derivative Investments Value | |||||||||||||||||||||||||||
Swaps | Swaps | Options | Options | Forward | Options | Total Value at | |||||||||||||||||||||
$ | 88,973,712 | $ | — | $ | — | $ | 26,776,340 | $ | 30,363,584 | $ | 53,211,564 | $ | 199,325,200 |
Liability Derivative Investments Value | |||||||||||||||||||||||||||
Swaps | Swaps | Options | Options | Forward | Options | Total Value at | |||||||||||||||||||||
$ | 2,268,513 | $ | 185,725 | $ | 9,494,220 | $ | — | $ | 7,071,871 | $ | — | $ | 19,020,329 |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities. |
114 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2021:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Currency forward contracts | Net realized gain (loss) on forward foreign currency exchange contracts |
| Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
Equity/Interest rate option contracts | Net realized gain (loss) on futures contracts |
Net realized gain (loss) on options purchased | |
Net change in unrealized appreciation (depreciation) on options purchased | |
Net change in unrealized appreciation (depreciation) on options written | |
Interest rate/Credit swap contracts | Net realized gain (loss) on swap agreements |
Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2021:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||||||
| Futures | Swaps | Swaps | Options | Options | Forward | Options | Total | ||||||||||||||||||||||||
$ | 94,051 | $ | (83,428,480 | ) | $ | 39,184,330 | $ | — | $ | — | $ | 61,173,757 | $ | 38,488,836 | $ | 55,512,494 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments | ||||||||||||||||||||||||||||||||
| Futures | Swaps | Swaps | Options | Options | Forward | Options | Total | ||||||||||||||||||||||||
$ | — | $ | 51,879,929 | $ | (22,452,707 | ) | $ | 2,317,574 | $ | 2,235,520 | $ | (41,013,701 | ) | $ | 11,599,000 | $ | 4,565,615 |
In conjunction with short sales and 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.
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NOTES TO FINANCIAL STATEMENTS (continued) |
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A 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 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.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Offsetting
In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral
116 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
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NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 30,363,584 | $ | — | $ | 30,363,584 | $ | (4,827,851 | ) | $ | (24,353,282 | ) | $ | 1,182,451 | ||||||||||
Options purchased | 79,987,904 | — | 79,987,904 | (9,129,468 | ) | (30,503,763 | ) | 40,354,673 |
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 7,071,871 | $ | — | $ | 7,071,871 | $ | (4,626,019 | ) | $ | — | 2,445,852 | ||||||||||||
Options written | 9,331,300 | — | 9,331,300 | (9,331,813 | ) | — | — |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
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NOTES TO FINANCIAL STATEMENTS (continued) |
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.
Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
BofA Securities, Inc. | Credit default swap agreements | $ | 21,403,756 | $ | — | ||||
BofA Securities, Inc. | Interest rate swap agreements | — | 6,589,135 | ||||||
Citibank, N.A. | Forward foreign currency exchange contracts, Options | — | 16,346,417 | ||||||
Goldman Sachs International | Forward foreign currency exchange contracts, Options | — | 21,750,031 | ||||||
JPMorgan Chase Bank, N.A. | Forward foreign currency exchange contracts | — | 1,530,000 | ||||||
Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts, Options | — | 15,500,000 | ||||||
|
| $ | 21,403,756 | $ | 61,715,583 |
Note 4 – 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 with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 — | 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. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on
THE GUGGENHEIM FUNDS ANNUAL REPORT | 119 |
NOTES TO FINANCIAL STATEMENTS (continued) |
inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.39% of the average daily net assets of the Fund.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
120 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 0.79 | % | 11/20/17 | 02/01/23 | ||||||||
C-Class | 1.54 | % | 11/20/17 | 02/01/23 | ||||||||
P-Class | 0.79 | % | 11/20/17 | 02/01/23 | ||||||||
Institutional Class | 0.50 | % | 11/30/12 | 02/01/23 | ||||||||
R6-Class | 0.50 | % | 10/19/16 | 02/01/23 |
GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:
| 2022 | 2023 | 2024 | Total | ||||||||||||
A-Class | $ | 970,954 | $ | 440,686 | $ | 421,811 | $ | 1,833,451 | ||||||||
C-Class | 139,409 | 133,369 | 174,119 | 446,897 | ||||||||||||
P-Class | 529,763 | 636,580 | 783,250 | 1,949,593 | ||||||||||||
Institutional Class | 6,918,582 | 8,669,558 | 16,070,212 | 31,658,352 | ||||||||||||
R6-Class | — | — | 4,637 | 4,637 |
For the year ended September 30, 2021, GI recouped $34,205 from the Fund.
If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the Fund waived $66,654 related to investments in affiliated funds.
For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 121 |
NOTES TO FINANCIAL STATEMENTS (continued) |
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 6 – Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
For the year ended September 30, 2021, the Fund entered into reverse repurchase agreements as follows:
Number of Days | Balance at | Average Balance | Average | |||||||||
365 | $ | 596,666,812 | $ | 689,037,601 | 0.01 | % |
The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statement of Assets of Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Reverse repurchase agreements | $ | 596,666,812 | $ | — | $ | 596,666,812 | $ | (596,666,812 | ) | $ | — | $ | — |
122 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
As of September 30, 2021, the Fund had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:
Counterparty | Interest Rate(s) | Maturity Date(s) | Face Value | |||||||||
RBC Capital Markets, LLC | (0.25 | %) | Open maturity | $ | 10,915,032 | |||||||
BofA Securities, Inc. | (0.06 | %) | 10/01/21 | 292,874,512 | ||||||||
J.P. Morgan Securities LLC | (0.09 | %) | 10/01/21 | 292,877,268 | ||||||||
Total | $ | 596,666,812 |
The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of year end, aggregated by asset class of the related collateral pledged by the Fund:
Asset Type | Up to 30 days | Overnight and | Total | |||||||||
Corporate Bonds | $ | — | $ | 10,915,032 | $ | 10,915,032 | ||||||
U.S. Government Securities | 585,751,780 | — | 585,751,780 | |||||||||
Gross amount of recognized liabilities for reverse repurchase agreements | $ | 585,751,780 | $ | 10,915,033 | $ | 596,666,812 |
Note 7 – 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 (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Total | |||||||||
$ | 1,067,305,263 | $ | 205,135,189 | $ | 1,272,440,452 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 123 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended September 30, 2020 was as follows:
| Ordinary | Long-Term | Total | |||||||||
$ | 403,562,888 | $ | — | $ | 403,562,888 |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:
| Undistributed | Undistributed | Net | Accumulated | Other | Total | ||||||||||||||||||
$ | 120,960,658 | $ | 142,331,194 | $ | 621,617,803 | $ | — | $ | (57,264,774 | ) | $ | 827,644,881 |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in certain swap agreements and CLO securities, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, distributions in connection with redemption of fund shares, dividends payable, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from bond premium/discount amortization, income accruals on certain investments, the deferral of losses related to tax straddle investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:
| Paid In | Total | ||||||
$ | 56,908,346 | $ | (56,908,346 | ) |
124 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
At September 30, 2021, 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 | Tax | Tax | Net Tax | ||||||||||||
$ | 27,336,920,871 | $ | 847,544,547 | $ | (226,101,181 | ) | $ | 621,443,366 |
Note 8 – Securities Transactions
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| Purchases | Sales | ||||||
$ | 19,649,486,687 | $ | 18,590,971,108 |
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:
| Purchases | Sales | ||||||
$ | 6,914,373,833 | $ | 3,900,167,936 |
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| Purchases | Sales | Realized | |||||||||
$ | 122,459,283 | $ | 103,737,707 | $ | 5,438,297 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 125 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 9 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of September 30, 2021, were as follows:
Borrower | Maturity Date | Face Amount* | Value | ||||||
CapStone Acquisition Holdings, Inc. | 11/12/27 | $ | 1,216,000 | $ | 10,578 | ||||
CTL Logistics | 08/10/42 | 692,113 | 18,895 | ||||||
Higginbotham | 11/25/26 | 975,145 | 12,524 | ||||||
HighTower Holding LLC | 04/21/28 | 3,840,000 | 4,800 | ||||||
Hillman Group, Inc. | 07/14/28 | 2,330,014 | 5,354 | ||||||
Jones Deslauriers Insurance Management, Inc. | 03/26/29 | CAD | 318,000 | — | |||||
KKR Core Holding Company LLC | 07/15/31 | 67,040,000 | — | ||||||
MB2 Dental Solutions LLC | 12/22/21 | 16,641,679 | 166,417 | ||||||
01/29/27 | 21,513,704 | 86,535 | |||||||
Medline Industries, Inc. | 08/06/22 | 65,750,000 | — | ||||||
National Mentor Holdings, Inc. | 03/02/28 | 731,999 | 3,341 | ||||||
SCP Eye Care Services LLC | 03/16/28 | 1,270,455 | 1,588 | ||||||
Service Logic Acquisition, Inc. | 10/29/27 | 2,154,104 | — | ||||||
Team.Blue Finco SARL | 03/27/28 | EUR | 1,229,730 | 3,305 | |||||
TricorBraun Holdings, Inc. | 03/03/28 | 912,701 | 5,586 | ||||||
Venture Global Calcasieu Pass LLC | 08/19/26 | 6,105,940 | 335,827 | ||||||
$ | 654,750 |
* | The face amount is denominated in U.S. dollars unless otherwise indicated. |
Note 10 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted Securities | Acquisition | Cost | Value | |||||||||
Airplanes Pass Through Trust | ||||||||||||
2001-1A, due 03/15/191,2 | 11/30/11 | $ | 335,966 | $ | 41 | |||||||
Anchorage Credit Funding Ltd. | ||||||||||||
2021-13A, 3.65% due 07/27/39 | 06/30/21 | 1,950,000 | 1,949,816 | |||||||||
Atlas Mara Ltd. | ||||||||||||
due 12/31/212 | 10/01/15 | 6,549,962 | 3,181,860 | |||||||||
Cascade Funding Mortgage Trust | ||||||||||||
2019-RM3, 2.80% (WAC ) due 06/25/691 | 06/25/19 | 9,947,406 | 10,089,159 | |||||||||
Cascade Funding Mortgage Trust | ||||||||||||
2018-RM2, 4.00% (WAC) due 10/25/681 | 11/02/18 | 12,228,104 | 12,712,974 |
126 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Restricted Securities | Acquisition | Cost | Value | |||||||||
Central Storage Safety Project Trust | ||||||||||||
4.82% due 02/01/38 | 02/02/18 | $ | 20,545,883 | $ | 22,413,506 | |||||||
Copper River CLO Ltd. | ||||||||||||
2007-1A, due 01/20/213 | 05/09/14 | 42,059 | 51,345 | |||||||||
FKRT | ||||||||||||
2020-C2A, 3.25% due 12/30/23 | 12/03/20 | 97,442,663 | 97,396,890 | |||||||||
Grand Avenue CRE Ltd. | ||||||||||||
2020-FL2, 4.35% (30 Day Average U.S. Secured Overnight Financing Rate + 4.37%, Rate Floor: 4.26%) due 03/15/351 | 05/29/20 | 1,090,401 | 1,110,982 | |||||||||
Grand Avenue CRE Ltd. | ||||||||||||
2020-FL2, 3.34% (30 Day Average U.S. Secured Overnight Financing Rate + 3.36%, Rate Floor: 3.25%) due 03/15/351 | 05/29/20 | 62,812 | 62,825 | |||||||||
HGI CRE CLO Ltd. | ||||||||||||
2021-FL2, 1.90% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/19/261 | 09/17/21 | 1,000,000 | 1,000,000 | |||||||||
LSTAR Securities Investment Ltd. | ||||||||||||
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261 | 03/17/21 | 33,458,671 | 33,472,422 | |||||||||
LSTAR Securities Investment Ltd. | ||||||||||||
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261 | 02/04/21 | 63,569,774 | 63,763,344 | |||||||||
Princess Juliana International Airport Operating Company N.V. | ||||||||||||
5.50% due 12/20/27 | 12/17/12 | 1,676,358 | 1,530,823 | |||||||||
Ready Capital Mortgage Financing LLC | ||||||||||||
2019-FL3, 1.09% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 03/25/341 | 01/30/20 | 1,665,693 | 1,661,871 | |||||||||
TRTX Issuer Ltd. | ||||||||||||
2019-FL3, 1.93% (30 Day Average U.S. Secured Overnight Financing Rate + 1.86%, Rate Floor: 1.75%) due 10/15/341 | 01/05/21 | 1,490,967 | 1,490,068 | |||||||||
$ | 253,056,719 | $ | 251,887,926 |
1 | Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
2 | Security is in default of interest and/or principal obligations. |
3 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 127 |
NOTES TO FINANCIAL STATEMENTS (concluded) |
Note 11 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.
On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.
Note 12 – COVID-19
The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Note 13 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.
128 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Total Return Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim Total Return Bond Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian, transfer agent, brokers, and paying agents or by other appropriate auditing procedures where replies from brokers or paying agents were not received. Our audits also included evaluating the accounting
THE GUGGENHEIM FUNDS ANNUAL REPORT | 129 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2021
130 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2022, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2021.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Qualified | Dividend | Qualified | Qualified | ||||||||||||
1.62 | % | 1.56 | % | 63.88 | % | 100.00 | % |
With respect to the taxable year ended September 30, 2021, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| From long-term | From long-term capital | ||||||
$ | 205,135,189 | $ | 56,908,346 |
Delivery of Shareholder Reports
Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 131 |
OTHER INFORMATION (Unaudited)(continued) |
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Consolidated Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/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.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
132 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)
● Guggenheim High Yield Fund (“High Yield Fund”)
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)
● Guggenheim Municipal Income Fund (“Municipal Income Fund”)
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)
● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)
● Guggenheim World Equity Income Fund (“World Equity Income Fund”) | ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
● Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”)
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
THE GUGGENHEIM FUNDS ANNUAL REPORT | 133 |
OTHER INFORMATION (Unaudited)(continued) |
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
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Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.4 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021. |
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Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as
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well as the risks assumed by each party, cannot be ascribed to distinct legal entities.5 As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
5 | Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements. |
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In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s
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increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
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Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.
Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
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In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund
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business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.
Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
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OTHER INFORMATION (Unaudited)(concluded) |
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee)
Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 158 | Current: Purpose Investments Funds (2013-present).
Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present).
Former: Senior Leader, TIAA (1987-2012). | 157 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present).
Former: Infinity Property & Casualty Corp. (2014-2018). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 157 | Current: US Global Investors (GROW) (1995-present).
Former: Harvest Volatility Edge Trust (3) (2017-2019). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 158 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present).
Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Audit Committee) | Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 157 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: SSGA Master Trust (1) (2018-2020). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present).
Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 157 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014 (Chief Legal Officer)
Since 2007 (Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present).
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2014 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 149 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - continued | |||
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present).
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018) |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2014 | Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 151 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law. |
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 153 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 155 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2021
Guggenheim Funds Annual Report
Guggenheim Ultra Short Duration Fund |
GuggenheimInvestments.com | USD-ANN-0921x0922 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
ULTRA SHORT DURATION FUND | 9 |
NOTES TO FINANCIAL STATEMENTS | 47 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 70 |
OTHER INFORMATION | 72 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 86 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 93 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 98 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2021 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for Guggenheim Ultra Short Duration Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.
The Investment Manager is responsible for the management of the Funds’ portfolio of investments. It is an affiliate of Guggenheim Partners, LLC (“Guggenheim”), a global diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim Partners, LLC and the Investment Manager.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Guggenheim Partners Investment Management, LLC
October 31, 2021
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2021 |
COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Ultra Short Duration Fund may not be suitable for all investors. The investments in fixed-income instruments are subject to the possibility that interest rates could rise, causing the value of the holdings and share price to decline. Investors in asset- backed securities, including collateralized loan obligations (CLOs) generally receive payments that are part interest and part return of principal. These payments may vary based on the rate loans are repaid. Some asset-backed securities may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices volatile and they are subject to liquidity and valuation risk. CLOs bear similar risks to investing in loans directly. Investments in loans involve special types of risks, including credit, interest rate, counterparty, prepayment, liquidity and valuation risks. Loans are often below investment grade, may be unrated, and typically offer a fixed or floating interest rate. High yield and unrated debt securities are at a greater risk of default than investment grade bonds and may be less liquid, which may increase volatility. The use of leverage, through borrowings or instruments such as derivatives, may cause the fund to be more volatile and riskier than if it had not been leveraged. The more a fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. Foreign securities carry unique or additional risks when compared to U.S. securities, including currency fluctuations, adverse political and economic developments, unreliable or untimely information, less liquidity and more volatility, limited legal recourse and higher transactional costs, all of which are enhanced when investing in emerging markets. In addition, investments in emerging markets are subject to risks associated with trading in smaller markets, lower volumes of trading, and being subject to lower levels of government regulation and less extensive accounting, financial and other reporting requirements. It is important to note that the Fund is not guaranteed by the U.S. government. Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2021 |
In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.
Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.
As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.
As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.
Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2021 |
For the 12-month period ended September 30, 2021, the S&P 500® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
Bloomberg 1-3 Month U.S. Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and nonconvertible. The 1-3 Month U.S. Treasury Bill Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.
The following tables illustrate the Fund’s costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
A-Class | 0.59% | 0.32% | $ 1,000.00 | $ 1,003.20 | $ 2.96 |
Institutional Class | 0.34% | 0.55% | 1,000.00 | 1,005.50 | 1.71 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
A-Class | 0.59% | 5.00% | $ 1,000.00 | $ 1,022.11 | $ 2.99 |
Institutional Class | 0.34% | 5.00% | 1,000.00 | 1,023.36 | 1.72 |
1 | This ratio represents annualized net expenses, which may include short interest expense. Excluding these expenses, the operating expense ratios for the Fund would be 0.58% and 0.33% for the A-Class and Institutional Class, respectively. Excludes expenses of the underlying funds in which the Fund invests. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021. |
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim Ultra Short Duration Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Kris Dorr, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.
Investment Approach
The Fund seeks a high level of income consistent with the preservation of capital and follows an actively managed approach that seeks to find a balance between yield and capital preservation. The Fund provides investors daily liquidity with no up-front sales charge, no redemption fees, and no minimum holding period and offers access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.
Performance Review and Positioning
For the one-year period that ended on September 30, 2021, Guggenheim Ultra Short Duration Fund returned 0.87%1, compared to its benchmark, the Bloomberg 1-3 Month U.S. Treasury Bill Index, which returned 0.05%.
Interest rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the backs of accommodative fiscal and monetary policy. Outperformance versus the benchmark was driven by a combination of spread tightening and greater carry (the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant), which was partially offset by the Fund’s overweight duration positioning. The Fund’s overweight allocation to credit has been the largest driver of outperformance on the year as credit continues its grind tighter on optimism in economic growth recovery and improving credit fundamentals. Measured on an absolute return basis, sectors with floating rate coupons like bank loans and much of structured credit have been standouts in performance, as they have benefitted from spread compression while being somewhat insulated from rising rates. The Fund’s allocation to these sectors coupled with its curve caps positions helped mitigate the performance impact from the steepening in the yield curve.
Structured credit accounted for 41% of the Fund at period end. The sector broadly and across sub-sectors continued to contribute positively and provided for relative outperformance to the benchmark. Spreads have now largely recovered from the shock of COVID-19, though still offer compelling relative value within the fixed income universe. Primary markets have been very active over the year, particularly in the collateralized loan obligation (“CLO”) sector, which is on track for a record-setting year, having already priced $125 billion new issue deals and $311 billion
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
MANAGERS’ COMMENTARY (Unaudited)(continued) | September 30, 2021 |
total deals (including refinancings, resets, and re-issues). Spreads have been relatively muted in response to the massive amount of issuance, which speaks to volume of demand from investors in search of higher carry assets. We continue to look to invest in structurally senior securitized credit, as the sector continues to showcase wider spreads compared to similarly rated corporates. As such, we expect spreads could compress further as the economy rebounds and investors seek out the higher yields and carry offered by the sector.
The Fund remains overweight investment grade corporates, which comprised 30% of the Fund at period end. The sector contributed positively to performance on both an absolute basis as well as on a duration-adjusted basis, as it benefited from a combination of carry and spread tightening. Investment grade corporate credit spreads have benefitted from the back-up in rates as yield-focused buyers find the higher yielding profiles more attractive. In particular, the pace of flows into the investment grade corporate sector from overseas buyers has been greater than usual given the attractiveness of the currency hedge-adjusted yields attainable in the sector fostered by higher rates. We continue to remain constructive on the sector given the supportive macro backdrop and low probability of any sustained selloff. However, we have incrementally reduced our exposure at the margin, rotating out of tighter spread names with limited total return potential in favor for higher carry sectors like structured credit.
Below-investment-grade corporate credit, including both high yield corporates and bank loans, comprise roughly 7% percent of the Fund. The Fund’s below-investment-grade allocation has continued to benefit from a combination of spread tightening and carry, contributing significantly to the portfolio return on the year. While we remain positive on long term economic fundamentals and associated outlook for a low default rate, we have begun to pare exposure recently, as we have increasingly become cautious of valuations and the potential for seasonal weakness. Despite this, we still view the expected loss-adjusted return potential, primarily via carry, favorably within the context of the Fund and therefore continue to anticipate a continued meaningful portfolio allocation.
Overweight duration positioning negatively impacted performance on the period. U.S. Treasury yields rose as the 10- year ended the quarter about 80 basis points higher at 1.52%. Overall Fund duration ended the period at 0.8 years versus the benchmark’s duration of 0.2 years. We continue to remain optimistic on U.S. economic growth given potential for additional fiscal stimulus and believe that interest rates will remain relatively range bound as the Federal Reserve (“Fed”) seeks to remain accommodative to help the economic recovery continue amid the termination of certain fiscal stimulus measures and potential for increasing spread of the COVID-19 Delta variant headed into year end.
Given the current monetary and fiscal backdrop, we continue to view the credit default environment as benign and predict rates are likely to remain low and range bound for some time. As such, we continue to believe a portfolio allowance for both higher credit and duration risk is warranted. As credit spreads have neared historic tights, however, it has become increasingly important to ensure portfolios are prudently positioned as we seek out relative value across
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
sectors. At this particular moment in the credit cycle against the backdrop of current valuations, we see value in rotating into higher carry instruments while maintaining similar credit quality where possible and shortening spread duration to lessen the Fund’s emphasis on credit spread compression.
During the reporting period, the Fund used interest rate futures, forwards and swaps to help manage duration positioning, foreign exchange risk and credit exposure. Over the period, interest rate swaps detracted from performance while interest rate futures contributed to performance. Overall, interest rate derivatives detracted from performance during the period. Credit exposure in the form of total return swaps on fixed income ETFs, added to performance. In addition, the Fund traded foreign-exchange derivatives, which were used for hedging purposes and operated effectively, but had a negative impact on performance over the period. Overall, derivative exposure detracted from performance during the period.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
ULTRA SHORT DURATION FUND
OBJECTIVE: Seeks a high level of income consistent with the preservation of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any derivative investments.
Inception Dates: | |
A-Class | November 30, 2018 |
Institutional Class | March 11, 2014 |
Ten Largest Holdings (% of Total Net Assets) | |
Uniform MBS 30 Year | 3.0% |
iShares Core U.S. Aggregate Bond ETF | 1.9% |
Province of Nova Scotia | 1.3% |
State of Israel, 0.75% | 1.3% |
Cerberus Onshore CLO LLC, 1.63% | 1.1% |
Government of Japan, (0.11)% due 10/25/21 | 1.1% |
State of Israel, 5.50% | 1.1% |
Athene Global Funding, 0.61% | 1.0% |
BRAVO Residential Funding Trust, 1.62% | 1.0% |
Fidelity National Financial, Inc., 5.50% | 1.0% |
Top Ten Total | 13.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | September 30, 2021 |
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 22.7% |
AA | 12.6% |
A | 20.8% |
BBB | 19.3% |
BB | 2.4% |
B | 1.8% |
NR2 | 7.1% |
Other Instruments | 13.3% |
Total Investments | 100.0% |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR (not rated) securities do not necessarily indicate low credit quality. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Values shown in 000s
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | Since |
Institutional Class Shares | 0.87% | 1.97% | 1.73% |
Bloomberg 1-3 Month U.S. Treasury Bill Index | 0.05% | 1.09% | 0.75% |
|
| 1 Year | Since |
A-Class Shares |
| 0.62% | 1.42% |
Bloomberg 1-3 Month U.S. Treasury Bill Index |
| 0.05% | 1.05% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg 1-3 Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on Institutional Class shares only; performance for A-Class shares will vary due to differences in fee structure. Prior to November 30, 2018, performance for Institutional Class shares reflects the performance of the Guggenheim Strategy Fund I, which did not charge a management fee and was not publicly offered as a separate investment product. |
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Shares | Value | ||||||
EXCHANGE-TRADED FUNDS† - 1.9% | ||||||||
iShares Core U.S. Aggregate Bond ETF | 181,248 | $ | 20,812,708 | |||||
Total Exchange-Traded Funds | ||||||||
(Cost $21,003,018) | 20,812,708 | |||||||
MONEY MARKET FUND† - 11.5% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%1 | 123,064,347 | 123,064,347 | ||||||
Total Money Market Fund | ||||||||
(Cost $123,064,347) | 123,064,347 | |||||||
Face | ||||||||
CORPORATE BONDS†† - 32.8% | ||||||||
Financial - 12.4% | ||||||||
Athene Global Funding | ||||||||
0.61% (U.S. Secured Overnight Financing Rate + 0.56%) due 08/19/242,3 | 11,000,000 | 11,016,234 | ||||||
Fidelity National Financial, Inc. | ||||||||
5.50% due 09/01/22 | 10,000,000 | 10,463,856 | ||||||
Standard Chartered plc | ||||||||
4.25% due 01/20/232,4 | 9,000,000 | 9,099,435 | ||||||
1.32% due 10/14/232,4 | 1,350,000 | 1,358,440 | ||||||
F&G Global Funding | ||||||||
0.90% due 09/20/242 | 9,700,000 | 9,680,643 | ||||||
Swedbank AB | ||||||||
0.85% due 03/18/242 | 9,550,000 | 9,582,199 | ||||||
JPMorgan Chase & Co. | ||||||||
0.70% due 03/16/244 | 9,100,000 | 9,125,740 | ||||||
Banco Santander S.A. | ||||||||
0.70% due 06/30/244 | 9,000,000 | 9,015,822 | ||||||
Sumitomo Mitsui Trust Bank Ltd. | ||||||||
0.85% due 03/25/242 | 8,900,000 | 8,920,436 | ||||||
Charles Schwab Corp. | ||||||||
0.55% (U.S. Secured Overnight Financing Rate + 0.50%) due 03/18/243 | 8,850,000 | 8,913,879 | ||||||
Ameriprise Financial, Inc. | ||||||||
3.00% due 04/02/25 | 6,450,000 | 6,849,643 | ||||||
Sompo International Holdings Ltd. | ||||||||
4.70% due 10/15/22 | 5,120,000 | 5,346,302 | ||||||
Credit Suisse AG NY | ||||||||
0.44% (U.S. Secured Overnight Financing Rate + 0.39%) due 02/02/243 | 5,250,000 | 5,259,870 | ||||||
Barclays Bank plc | ||||||||
1.70% due 05/12/22 | 4,600,000 | 4,636,308 | ||||||
CIT Group, Inc. | ||||||||
3.93% due 06/19/244 | 4,400,000 | 4,601,806 | ||||||
Citizens Bank North America/Providence RI | ||||||||
0.93% (3 Month USD LIBOR + 0.81%) due 05/26/223 | 4,215,000 | 4,234,655 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
2.88% due 10/15/262 | 2,650,000 | 2,630,125 | ||||||
GA Global Funding Trust | ||||||||
1.63% due 01/15/262 | 1,300,000 | 1,310,886 | ||||||
Aviation Capital Group LLC | ||||||||
2.88% due 01/20/222 | 1,200,000 | 1,206,271 | ||||||
OneMain Finance Corp. | ||||||||
3.50% due 01/15/27 | 1,150,000 | 1,147,263 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Intercontinental Exchange, Inc. | ||||||||
2.35% due 09/15/22 | 1,000,000 | $ | 1,017,965 | |||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
0.92% (3 Month USD LIBOR + 0.79%) due 07/25/223 | 950,000 | 955,606 | ||||||
Brighthouse Financial Global Funding | ||||||||
0.81% (U.S. Secured Overnight Financing Rate + 0.76%) due 04/12/242,3 | 900,000 | 906,332 | ||||||
Wells Fargo & Co. | ||||||||
4.13% due 08/15/23 | 800,000 | 851,910 | ||||||
Peachtree Corners Funding Trust | ||||||||
3.98% due 02/15/252 | 650,000 | 705,436 | ||||||
Nordea Bank Abp | ||||||||
1.06% (3 Month USD LIBOR + 0.94%) due 08/30/232,3 | 550,000 | 557,767 | ||||||
First American Financial Corp. | ||||||||
4.60% due 11/15/24 | 500,000 | 548,277 | ||||||
ING Groep N.V. | ||||||||
1.15% (3 Month USD LIBOR + 1.00%) due 10/02/233 | 500,000 | 507,450 | ||||||
Markel Corp. | ||||||||
3.63% due 03/30/23 | 450,000 | 469,363 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | ||||||||
5.50% due 05/01/252 | 400,000 | 454,331 | ||||||
People’s United Bank North America | ||||||||
4.00% due 07/15/24 | 400,000 | 427,069 | ||||||
Apollo Management Holdings, LP | ||||||||
4.00% due 05/30/242 | 350,000 | 378,445 | ||||||
Reliance Standard Life Global Funding II | ||||||||
3.85% due 09/19/232 | 200,000 | 212,428 | ||||||
Total Financial | 132,392,192 | |||||||
Industrial - 6.2% | ||||||||
Boeing Co. | ||||||||
1.43% due 02/04/24 | 6,550,000 | 6,560,478 | ||||||
1.95% due 02/01/24 | 6,000,000 | 6,139,688 | ||||||
Carlisle Companies, Inc. | ||||||||
0.55% due 09/01/23 | 10,000,000 | 9,994,911 | ||||||
Siemens Financieringsmaatschappij N.V. | ||||||||
0.65% due 03/11/242 | 7,300,000 | 7,315,874 | ||||||
0.73% (3 Month USD LIBOR + 0.61%) due 03/16/222,3 | 1,870,000 | 1,875,146 | ||||||
Ryder System, Inc. | ||||||||
3.35% due 09/01/25 | 4,820,000 | 5,192,712 | ||||||
3.75% due 06/09/23 | 2,650,000 | 2,792,006 | ||||||
Graphic Packaging International LLC | ||||||||
0.82% due 04/15/242 | 6,700,000 | 6,662,464 | ||||||
Teledyne Technologies, Inc. | ||||||||
0.65% due 04/01/23 | 4,550,000 | 4,548,092 | ||||||
CNH Industrial Capital LLC | ||||||||
1.95% due 07/02/23 | 4,230,000 | 4,323,511 | ||||||
SYNNEX Corp. | ||||||||
1.25% due 08/09/242 | 2,400,000 | 2,400,616 | ||||||
Silgan Holdings, Inc. | ||||||||
1.40% due 04/01/262 | 2,350,000 | 2,312,356 | ||||||
Berry Global, Inc. | ||||||||
0.95% due 02/15/242 | 2,150,000 | 2,152,430 | ||||||
Vontier Corp. | ||||||||
1.80% due 04/01/262 | 2,150,000 | 2,134,499 | ||||||
Penske Truck Leasing Company LP / PTL Finance Corp. | ||||||||
2.70% due 11/01/242 | 900,000 | 944,667 | ||||||
Jabil, Inc. | ||||||||
1.70% due 04/15/26 | 650,000 | 653,080 |
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Weir Group plc | ||||||||
2.20% due 05/13/262 | 440,000 | $ | 444,182 | |||||
CNH Industrial N.V. | ||||||||
4.50% due 08/15/23 | 400,000 | 427,510 | ||||||
Total Industrial | 66,874,222 | |||||||
Consumer, Non-cyclical - 4.5% | ||||||||
Illumina, Inc. | ||||||||
0.55% due 03/23/23 | 8,800,000 | 8,799,968 | ||||||
AmerisourceBergen Corp. | ||||||||
0.74% due 03/15/23 | 8,650,000 | 8,663,317 | ||||||
Triton Container International Ltd. | ||||||||
0.80% due 08/01/232 | 3,100,000 | 3,097,290 | ||||||
2.05% due 04/15/262 | 2,200,000 | 2,206,215 | ||||||
1.15% due 06/07/242 | 1,700,000 | 1,697,003 | ||||||
IHS Markit Ltd. | ||||||||
4.13% due 08/01/23 | 5,791,000 | 6,139,618 | ||||||
Element Fleet Management Corp. | ||||||||
1.60% due 04/06/242 | 4,900,000 | 4,969,853 | ||||||
Sysco Corp. | ||||||||
5.65% due 04/01/25 | 3,350,000 | 3,851,557 | ||||||
Molina Healthcare, Inc. | ||||||||
5.38% due 11/15/22 | 2,700,000 | 2,783,565 | ||||||
CVS Health Corp. | ||||||||
4.00% due 12/05/23 | 1,600,000 | 1,703,668 | ||||||
Stryker Corp. | ||||||||
3.38% due 05/15/24 | 1,600,000 | 1,700,599 | ||||||
Bunge Limited Finance Corp. | ||||||||
3.00% due 09/25/22 | 800,000 | 818,642 | ||||||
Spectrum Brands, Inc. | ||||||||
5.75% due 07/15/25 | 700,000 | 717,500 | ||||||
Square, Inc. | ||||||||
2.75% due 06/01/262 | 350,000 | 354,778 | ||||||
General Mills, Inc. | ||||||||
1.14% (3 Month USD LIBOR + 1.01%) due 10/17/233 | 200,000 | 203,454 | ||||||
Total Consumer, Non-cyclical | 47,707,027 | |||||||
Utilities - 3.2% | ||||||||
CenterPoint Energy Resources Corp. | ||||||||
0.62% (3 Month USD LIBOR + 0.50%) due 03/02/233 | 9,400,000 | 9,401,496 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
0.40% (3 Month USD LIBOR + 0.27%) due 02/22/233 | 8,600,000 | 8,600,538 | ||||||
0.59% (U.S. Secured Overnight Financing Rate + 0.54%) due 03/01/233 | 100,000 | 100,435 | ||||||
Atmos Energy Corp. | ||||||||
0.63% due 03/09/23 | 4,650,000 | 4,650,149 | ||||||
0.50% (3 Month USD LIBOR + 0.38%) due 03/09/233,11 | 1,000,000 | 1,000,136 | ||||||
ONE Gas, Inc. | ||||||||
1.10% due 03/11/24 | 4,550,000 | 4,550,214 | ||||||
Alexander Funding Trust | ||||||||
1.84% due 11/15/232 | 4,300,000 | 4,382,165 | ||||||
OGE Energy Corp. | ||||||||
0.70% due 05/26/23 | 1,500,000 | 1,500,117 | ||||||
Entergy Louisiana LLC | ||||||||
3.30% due 12/01/22 | 175,000 | 179,438 | ||||||
Total Utilities | 34,364,688 | |||||||
Technology - 2.5% | ||||||||
Microchip Technology, Inc. | ||||||||
2.67% due 09/01/23 | 8,070,000 | 8,366,279 | ||||||
0.97% due 02/15/242 | 750,000 | 750,379 | ||||||
Fidelity National Information Services, Inc. | ||||||||
0.60% due 03/01/24 | 8,200,000 | 8,186,651 | ||||||
HCL America, Inc. | ||||||||
1.38% due 03/10/262 | 7,300,000 | 7,214,014 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Infor, Inc. | ||||||||
1.45% due 07/15/232 | 2,600,000 | $ | 2,627,171 | |||||
Total Technology | 27,144,494 | |||||||
Communications - 2.3% | ||||||||
NTT Finance Corp. | ||||||||
0.58% due 03/01/242 | 8,950,000 | 8,937,251 | ||||||
Verizon Communications, Inc. | ||||||||
0.75% due 03/22/24 | 4,400,000 | 4,416,319 | ||||||
Netflix, Inc. | ||||||||
5.50% due 02/15/22 | 2,700,000 | 2,743,740 | ||||||
ViacomCBS, Inc. | ||||||||
4.75% due 05/15/25 | 2,210,000 | 2,473,369 | ||||||
T-Mobile USA, Inc. | ||||||||
2.63% due 04/15/26 | 1,600,000 | 1,636,000 | ||||||
2.25% due 02/15/26 | 600,000 | 606,750 | ||||||
Cogent Communications Group, Inc. | ||||||||
3.50% due 05/01/262 | 2,000,000 | 2,027,500 | ||||||
Level 3 Financing, Inc. | ||||||||
5.38% due 05/01/25 | 1,700,000 | 1,736,656 | ||||||
Total Communications | 24,577,585 | |||||||
Energy - 1.1% | ||||||||
Enbridge, Inc. | ||||||||
0.45% (U.S. Secured Overnight Financing Rate + 0.40%) due 02/17/233 | 4,900,000 | 4,911,885 | ||||||
Phillips 66 | ||||||||
0.90% due 02/15/24 | 3,400,000 | 3,400,845 | ||||||
Valero Energy Corp. | ||||||||
1.20% due 03/15/24 | 3,000,000 | 3,033,061 | ||||||
Total Energy | 11,345,791 | |||||||
Consumer, Cyclical - 0.3% | ||||||||
Hyatt Hotels Corp. | ||||||||
1.80% due 10/01/24 | 3,500,000 | 3,507,236 | ||||||
LBC Tank Terminals Holding Netherlands BV | ||||||||
6.88% due 05/15/232 | 200,000 | 199,722 | ||||||
Total Consumer, Cyclical | 3,706,958 | |||||||
Basic Materials - 0.3% | ||||||||
Carpenter Technology Corp. | ||||||||
4.45% due 03/01/23 | 1,350,000 | 1,397,659 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
4.50% due 04/15/23 | 1,300,000 | 1,364,902 | ||||||
Total Basic Materials | 2,762,561 | |||||||
Total Corporate Bonds | ||||||||
(Cost $349,601,201) | 350,875,518 | |||||||
ASSET-BACKED SECURITIES†† - 26.9% | ||||||||
Collateralized Loan Obligations - 19.7% | ||||||||
Shackleton CLO Ltd. | ||||||||
2017-8A, 1.05% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/272,3 | 8,438,102 | 8,436,077 | ||||||
2018-6RA, 1.15% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/282,3 | 3,970,264 | 3,968,382 | ||||||
Cerberus Onshore CLO LLC | ||||||||
2021-4A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/332,3 | 12,250,000 | 12,249,982 |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
BXMT Ltd. | ||||||||
2020-FL2, 1.06% (30 Day Average U.S. Secured Overnight Financing Rate + 1.01%, Rate Floor: 0.90%) due 02/15/382,3 | 5,000,000 | $ | 4,993,719 | |||||
2020-FL2, 1.31% (30 Day Average U.S. Secured Overnight Financing Rate + 1.26%, Rate Floor: 1.15%) due 02/15/382,3 | 2,550,000 | 2,544,442 | ||||||
2020-FL3, 1.92% (30 Day Average U.S. Secured Overnight Financing Rate + 1.86%, Rate Floor: 1.75%) due 03/15/372,3 | 2,500,000 | 2,498,864 | ||||||
HERA Commercial Mortgage Ltd. | ||||||||
2021-FL1, 1.39% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/382,3 | 5,000,000 | 4,979,462 | ||||||
2021-FL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/382,3 | 4,250,000 | 4,239,757 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2021-2A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/292,3 | 4,500,000 | 4,456,944 | ||||||
2021-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/292,3 | 3,516,418 | 3,518,232 | ||||||
2018-4A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/262,3 | 498,670 | 498,741 | ||||||
2019-3A, 0.98% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/272,3 | 412,006 | 412,041 | ||||||
ABPCI Direct Lending Fund CLO V Ltd. | ||||||||
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/312,3 | 8,250,000 | 8,236,840 | ||||||
Dryden 33 Senior Loan Fund | ||||||||
2020-33A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/292,3 | 7,898,403 | 7,897,067 | ||||||
CHCP Ltd. | ||||||||
2021-FL1, 1.22% (30 Day Average U.S. Secured Overnight Financing Rate + 1.16%, Rate Floor: 1.05%) due 02/15/382,3 | 6,500,000 | 6,494,589 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
CIFC Funding 2015-III Ltd. | ||||||||
2018-3A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 04/19/292,3 | 6,475,000 | $ | 6,475,000 | |||||
Golub Capital Partners CLO 49M Ltd. | ||||||||
2021-49A, 1.63% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/332,3 | 6,250,000 | 6,245,724 | ||||||
LCM XXIV Ltd. | ||||||||
2021-24A, 1.11% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/302,3 | 5,750,000 | 5,752,876 | ||||||
Diamond CLO Ltd. | ||||||||
2021-1A, 1.33% (3 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 04/25/292,3 | 5,399,225 | 5,400,575 | ||||||
Cerberus Loan Funding XXXV, LP | ||||||||
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/332,3 | 5,000,000 | 5,000,000 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
2018-4A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/312,3 | 4,927,378 | 4,926,096 | ||||||
Golub Capital Partners CLO 54M, LP | ||||||||
2021-54A, 1.65% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/332,3 | 4,750,000 | 4,750,319 | ||||||
Owl Rock CLO IV Ltd. | ||||||||
2021-4A, 1.74% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/332,3 | 4,500,000 | 4,504,483 | ||||||
Parliament CLO II Ltd. | ||||||||
2021-2A, 1.50% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/322,3 | 4,500,000 | 4,496,436 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A, 1.70% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/332,3 | 4,250,000 | 4,256,418 | ||||||
BRSP Ltd. | ||||||||
2021-FL1, 1.99% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/382,3 | 4,250,000 | 4,253,808 | ||||||
GPMT Ltd. | ||||||||
2019-FL2, 1.38% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/362,3 | 4,139,073 | 4,136,857 | ||||||
Madison Park Funding XLVIII Ltd. | ||||||||
2021-48A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/332,3 | 4,000,000 | 3,954,253 |
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Golub Capital Partners CLO 33M Ltd. | ||||||||
2021-33A, 1.98% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/332,3 | 3,750,000 | $ | 3,749,808 | |||||
MidOcean Credit CLO VII | ||||||||
2020-7A, 1.17% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/292,3 | 3,500,000 | 3,501,084 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/332,3 | 3,000,000 | 3,013,985 | ||||||
GoldenTree Loan Management US CLO 1 Ltd. | ||||||||
2021-9A, 0.63% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 01/20/332,3 | 3,000,000 | 2,999,454 | ||||||
ABPCI Direct Lending Fund CLO II LLC | ||||||||
2021-1A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/322,3 | 3,000,000 | 2,996,184 | ||||||
LoanCore Issuer Ltd. | ||||||||
2019-CRE2, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/362,3 | 1,300,000 | 1,296,345 | ||||||
2018-CRE1, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/282,3 | 1,000,000 | 999,653 | ||||||
2018-CRE1, 1.21% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/282,3 | 607,908 | 607,694 | ||||||
Halcyon Loan Advisors Funding Ltd. | ||||||||
2017-3A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/272,3 | 2,829,821 | 2,829,502 | ||||||
Woodmont Trust | ||||||||
2020-7A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/322,3 | 2,750,000 | 2,765,470 | ||||||
Cerberus Loan Funding XXXII, LP | ||||||||
2021-2A, 1.75% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/332,3 | 2,500,000 | 2,505,423 | ||||||
Cerberus Loan Funding XXXI, LP | ||||||||
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/322,3 | 2,500,000 | 2,500,495 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Venture XIV CLO Ltd. | ||||||||
2020-14A, 1.15% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/292,3 | 2,500,000 | $ | 2,500,215 | |||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A, 1.88% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/332,3 | 2,250,000 | 2,254,120 | ||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/332,3 | 2,250,000 | 2,253,555 | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A, 1.69% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/332,3 | 2,250,000 | 2,252,778 | ||||||
Avery Point VI CLO Ltd. | ||||||||
2021-6A, 1.02% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 08/05/272,3 | 2,134,674 | 2,134,895 | ||||||
Parliament Funding II Ltd. | ||||||||
2020-1A, 2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/302,3 | 2,000,000 | 2,007,452 | ||||||
ABPCI Direct Lending Fund IX LLC | ||||||||
2020-9A, 2.08% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/312,3 | 2,000,000 | 2,006,012 | ||||||
Wellfleet CLO Ltd. | ||||||||
2020-2A, 1.19% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/292,3 | 2,000,000 | 2,001,575 | ||||||
BDS | ||||||||
2021-FL8, 1.65% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/18/362,3 | 2,000,000 | 2,000,746 | ||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/312,3 | 2,000,000 | 1,999,995 | ||||||
Fortress Credit Opportunities XI CLO Ltd. | ||||||||
2018-11A, 1.43% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/312,3 | 1,800,000 | 1,786,106 | ||||||
TICP CLO VII Ltd. | ||||||||
2020-7A, 0.68% (3 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 04/15/332,3 | 1,687,500 | 1,685,677 |
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Marathon CLO V Ltd. | ||||||||
2017-5A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/272,3 | 1,534,175 | $ | 1,533,145 | |||||
Allegro CLO IX Ltd. | ||||||||
2018-3A, 1.29% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/312,3 | 1,500,000 | 1,500,022 | ||||||
California Street CLO IX, LP | ||||||||
2019-9A, 0.83% (3 Month USD LIBOR + 0.70%, Rate Floor: 0.00%) due 07/16/322,3 | 1,250,000 | 1,248,811 | ||||||
Greywolf CLO III Ltd. | ||||||||
2020-3RA, 0.64% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 04/15/332,3 | 1,166,667 | 1,164,682 | ||||||
OZLM XII Ltd. | ||||||||
2018-12A, 1.18% (3 Month USD LIBOR + 1.05%, Rate Floor: 0.00%) due 04/30/272,3 | 1,095,471 | 1,095,404 | ||||||
610 Funding CLO 3 Ltd. | ||||||||
2018-3A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/282,3 | 1,013,901 | 1,013,942 | ||||||
LCCM Trust | ||||||||
2021-FL2, 1.98% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/382,3 | 1,000,000 | 1,000,387 | ||||||
BDS 2021-FL8 | ||||||||
2021-FL8, 2.00% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/362,3 | 1,000,000 | 1,000,375 | ||||||
Greystone Commercial Real Estate Notes | ||||||||
2021-FL3, 1.73% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/392,3 | 1,000,000 | 999,549 | ||||||
STWD 2021-FL2 Ltd. | ||||||||
2021-FL2, 1.88% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/382,3 | 1,000,000 | 999,212 | ||||||
Newfleet CLO Ltd. | ||||||||
2018-1A, 1.08% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/282,3 | 930,622 | 930,044 | ||||||
ACRE Commercial Mortgage Ltd. | ||||||||
2021-FL4, 1.19% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/372,3 | 850,000 | 847,881 | ||||||
Voya CLO Ltd. | ||||||||
2019-2A, 0.78% (3 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 07/20/322,3 | 843,750 | 842,872 | ||||||
KVK CLO Ltd. | ||||||||
2017-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/282,3 | 486,829 | 486,829 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
BSPRT Issuer Ltd. | ||||||||
2018-FL4, 1.13% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 09/15/352,3 | 445,259 | $ | 444,602 | |||||
Fortress Credit Opportunities IX CLO Ltd. | ||||||||
2017-9A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/292,3 | 382,000 | 382,000 | ||||||
Wind River CLO Ltd. | ||||||||
2017-2A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/272,3 | 378,192 | 378,159 | ||||||
Golub Capital Partners CLO 17 Ltd. | ||||||||
2017-17A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/302,3 | 350,000 | 350,048 | ||||||
Mountain View CLO Ltd. | ||||||||
2018-1A, 0.93% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/262,3 | 90,032 | 90,021 | ||||||
Total Collateralized Loan Obligations | 210,534,192 | |||||||
Financial - 2.9% | ||||||||
Station Place Securitization Trust | ||||||||
2020-16, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,2,3 | 6,700,000 | 6,700,000 | ||||||
2021-9, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 06/20/22†††,2,3 | 6,050,000 | 6,050,000 | ||||||
2021-3, 0.98% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,2,3 | 4,000,000 | 4,000,000 | ||||||
2021-SP1, 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,2,3 | 1,200,000 | 1,200,000 | ||||||
Station Place Securitization Trust | ||||||||
2021-15, 0.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 09/26/222,3 | 7,850,000 | 7,850,000 | ||||||
Madison Avenue Secured Funding Trust Series | ||||||||
2020-1, 1.71% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,2,3 | 5,250,000 | 5,250,000 | ||||||
Total Financial | 31,050,000 | |||||||
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Whole Business - 1.4% | ||||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
2019-1A, 4.19% due 06/07/492 | 4,653,000 | $ | 4,734,102 | |||||
Domino’s Pizza Master Issuer LLC | ||||||||
2018-1A, 4.33% due 07/25/482 | 4,366,525 | 4,715,463 | ||||||
Taco Bell Funding LLC | ||||||||
2021-1A, 1.95% due 08/25/512 | 3,250,000 | 3,246,389 | ||||||
Wingstop Funding LLC | ||||||||
2020-1A, 2.84% due 12/05/502 | 1,343,250 | 1,381,107 | ||||||
SERVPRO Master Issuer LLC | ||||||||
2019-1A, 3.88% due 10/25/492 | 982,500 | 1,023,849 | ||||||
DB Master Finance LLC | ||||||||
2019-1A, 3.79% due 05/20/492 | 279,300 | 280,503 | ||||||
Total Whole Business | 15,381,413 | |||||||
Transport-Container - 1.2% | ||||||||
Triton Container Finance VIII LLC | ||||||||
2021-1A, 1.86% due 03/20/462 | 6,941,875 | 6,875,282 | ||||||
CLI Funding VIII LLC | ||||||||
2021-1A, 1.64% due 02/18/462 | 3,061,113 | 3,016,848 | ||||||
Textainer Marine Containers VII Ltd. | ||||||||
2021-1A, 1.68% due 02/20/462 | 2,002,000 | 1,970,223 | ||||||
2020-1A, 2.73% due 08/21/452 | 798,835 | 809,478 | ||||||
Total Transport-Container | 12,671,831 | |||||||
Net Lease - 0.8% | ||||||||
Oak Street Investment Grade Net Lease Fund Series | ||||||||
2020-1A, 1.85% due 11/20/502 | 6,651,905 | 6,704,944 | ||||||
CF Hippolyta LLC | ||||||||
2021-1A, 1.98% due 03/15/612 | 2,236,819 | 2,241,670 | ||||||
Total Net Lease | 8,946,614 | |||||||
Infrastructure - 0.6% | ||||||||
VB-S1 Issuer LLC | ||||||||
2020-1A, 3.03% due 06/15/502 | 6,050,000 | 6,305,371 | ||||||
Collateralized Debt Obligations - 0.2% | ||||||||
Anchorage Credit Funding 3 Ltd. | ||||||||
2021-3A, 2.87% due 01/28/392 | 1,750,000 | 1,750,055 | ||||||
Transport-Aircraft - 0.1% | ||||||||
AIM Aviation Finance Ltd. | ||||||||
2015-1A, 4.21% due 02/15/402 | 894,297 | 759,348 | ||||||
Raspro Trust | ||||||||
2005-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/242,3 | 565,244 | 565,243 | ||||||
Total Transport-Aircraft | 1,324,591 | |||||||
Total Asset-Backed Securities | ||||||||
(Cost $287,669,544) | 287,964,067 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 18.1% | ||||||||
Residential Mortgage Backed Securities - 13.0% | ||||||||
CSMC Trust | ||||||||
2021-RPL1, 1.67% (WAC) due 09/27/602,3 | 7,260,944 | $ | 7,280,471 | |||||
2021-RPL7, 1.93% due 06/27/612 | 3,000,000 | 3,001,260 | ||||||
2020-RPL5, 3.02% (WAC) due 08/25/602,3 | 2,738,839 | 2,776,339 | ||||||
2020-NQM1, 1.21% due 05/25/652,5 | 2,587,817 | 2,594,884 | ||||||
2021-RPL4, 1.80% (WAC) due 12/27/602,3 | 1,659,627 | 1,664,836 | ||||||
BRAVO Residential Funding Trust | ||||||||
2021-C, 1.62% due 03/01/612,5 | 10,500,000 | 10,495,300 | ||||||
2021-HE1, 0.90% (30 Day Average U.S. Secured Overnight Financing Rate + 0.85%, Rate Floor: 0.00%) due 01/25/702,3 | 1,757,453 | 1,757,453 | ||||||
2021-HE2, 0.90% (30 Day Average U.S. Secured Overnight Financing Rate + 0.85%, Rate Floor: 0.00%) due 11/25/692,3 | 781,941 | 781,941 | ||||||
2019-NQM1, 2.67% (WAC) due 07/25/592,3 | 485,252 | 487,241 | ||||||
Verus Securitization Trust | ||||||||
2020-5, 1.22% due 05/25/652,5 | 3,468,379 | 3,478,171 | ||||||
2021-5, 1.37% (WAC) due 09/25/662,3 | 3,000,000 | 2,998,529 | ||||||
2021-4, 1.35% (WAC) due 07/25/662,3 | 1,448,843 | 1,448,018 | ||||||
2020-1, 2.42% due 01/25/602,5 | 1,220,846 | 1,235,411 | ||||||
2019-4, 2.85% due 11/25/592,5 | 1,188,131 | 1,205,422 | ||||||
2021-3, 1.44% (WAC) due 06/25/662,3 | 1,061,108 | 1,059,851 | ||||||
2019-4, 2.64% due 11/25/592,5 | 695,374 | 705,482 | ||||||
Legacy Mortgage Asset Trust | ||||||||
2021-GS4, 1.65% due 11/25/602,5 | 4,173,088 | 4,167,349 | ||||||
2021-GS3, 1.75% due 07/25/612,5 | 3,868,003 | 3,871,144 | ||||||
2021-GS2, 1.75% due 04/25/612,5 | 1,894,601 | 1,896,439 | ||||||
NYMT Loan Trust | ||||||||
2021-SP1, 1.67% due 08/25/612,5 | 9,815,592 | 9,799,959 | ||||||
OSAT Trust | ||||||||
2021-RPL1, 2.12% due 05/25/652,5 | 8,622,231 | 8,621,525 | ||||||
SPS Servicer Advance Receivables Trust II | ||||||||
2020-T1, 1.28% due 11/15/522 | 7,000,000 | 7,035,279 | ||||||
PRPM LLC | ||||||||
2021-5, 1.79% due 06/25/262,5 | 4,343,930 | 4,347,674 | ||||||
2021-8, 1.74% (WAC) due 09/25/262,3 | 2,650,000 | 2,646,675 |
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes | ||||||||
2020-APT1, 1.04% due 12/16/522 | 4,000,000 | $ | 3,998,979 | |||||
2020-T1, 1.43% due 08/15/532 | 2,000,000 | 1,998,384 | ||||||
NRZ Advance Receivables Trust | ||||||||
2020-T2, 1.48% due 09/15/532 | 4,150,000 | 4,154,732 | ||||||
2020-T3, 1.32% due 10/15/522 | 1,650,000 | 1,651,231 | ||||||
Ocwen Master Advance Receivables Trust | ||||||||
2020-T1, 1.28% due 08/15/522 | 5,150,000 | 5,147,361 | ||||||
FKRT | ||||||||
2.21% due 11/30/58 | 4,550,000 | 4,551,229 | ||||||
LSTAR Securities Investment Ltd. | ||||||||
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/263,6 | 2,219,514 | 2,226,272 | ||||||
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/263,6 | 1,219,294 | 1,219,795 | ||||||
CFMT LLC | ||||||||
2021-HB5, 0.80% (WAC) due 02/25/312,3 | 3,053,022 | 3,053,996 | ||||||
ZH Trust | ||||||||
2021-1, 2.25% due 02/18/272 | 1,500,000 | 1,501,651 | ||||||
2021-2, due 10/17/272,3 | 1,500,000 | 1,499,130 | ||||||
New Residential Mortgage Loan Trust | ||||||||
2019-1A, 3.50% (WAC) due 10/25/592,3 | 1,661,195 | 1,735,247 | ||||||
2018-2A, 3.50% (WAC) due 02/25/582,3 | 1,069,128 | 1,111,224 | ||||||
FKRT | ||||||||
2020-C2A, 3.25% due 12/30/23†††,6 | 2,621,708 | 2,621,708 | ||||||
Soundview Home Loan Trust | ||||||||
2006-OPT5, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/363 | 2,011,402 | 1,982,319 | ||||||
Towd Point Mortgage Trust | ||||||||
2018-2, 3.25% (WAC) due 03/25/582,3 | 822,692 | 844,830 | ||||||
2017-6, 2.75% (WAC) due 10/25/572,3 | 680,869 | 694,033 | ||||||
2017-5, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/572,3 | 322,973 | 322,970 | ||||||
CSMC Series | ||||||||
2014-2R, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/462,3 | 1,686,882 | 1,668,209 | ||||||
2014-7R, 0.24% (WAC) due 10/27/362,3 | 65,003 | 64,819 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Morgan Stanley ABS Capital I Incorporated Trust | ||||||||
2006-NC1, 0.66% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/353 | 1,637,368 | $ | 1,638,197 | |||||
Ellington Financial Mortgage Trust | ||||||||
2020-2, 1.49% (WAC) due 10/25/652,3 | 981,448 | 985,222 | ||||||
2020-2, 1.64% (WAC) due 10/25/652,3 | 565,350 | 567,231 | ||||||
Residential Mortgage Loan Trust | ||||||||
2020-1, 2.38% (WAC) due 02/25/242,3 | 1,337,036 | 1,346,293 | ||||||
CIT Mortgage Loan Trust | ||||||||
2007-1, 1.44% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/372,3 | 1,263,776 | 1,274,432 | ||||||
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series | ||||||||
2005-W2, 0.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/353 | 1,234,641 | 1,235,090 | ||||||
Banc of America Funding Trust | ||||||||
2015-R2, 0.35% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/372,3 | 873,058 | 859,336 | ||||||
GS Mortgage-Backed Securities Trust | ||||||||
2020-NQM1, 1.38% (WAC) due 09/27/602,3 | 802,790 | 804,456 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
2007-WFH2, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/373 | 407,635 | 407,079 | ||||||
2019-IMC1, 2.72% (WAC) due 07/25/492,3 | 295,432 | 297,835 | ||||||
Starwood Mortgage Residential Trust | ||||||||
2020-1, 2.28% (WAC) due 02/25/502,3 | 629,808 | 635,217 | ||||||
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series | ||||||||
2005-R10, 0.73% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 01/25/363 | 559,579 | 559,207 | ||||||
Cascade Funding Mortgage Trust | ||||||||
2019-RM3, 2.80% (WAC) due 06/25/693,6 | 343,017 | 347,902 | ||||||
Homeward Opportunities Fund I Trust | ||||||||
2019-3, 2.68% (WAC) due 11/25/592,3 | 306,189 | 308,056 |
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
GE-WMC Asset-Backed Pass-Through Certificates Series | ||||||||
2005-2, 0.59% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 12/25/353 | 87,662 | $ | 87,590 | |||||
Total Residential Mortgage Backed Securities | 138,757,915 | |||||||
Government Agency - 3.0% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/10/2112 | 30,900,000 | 31,781,145 | ||||||
Commercial Mortgage Backed Securities - 2.1% | ||||||||
BX Commercial Mortgage Trust | ||||||||
2021-VOLT, 1.75% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/362,3 | 10,250,000 | 10,256,424 | ||||||
Life Mortgage Trust | ||||||||
2021-BMR, 1.18% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 03/15/382,3 | 2,450,000 | 2,452,942 | ||||||
Morgan Stanley Capital I Trust | ||||||||
2018-H3, 0.99% (WAC) due 07/15/513,7 | 43,817,671 | 1,931,614 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2019-GC41, 1.19% (WAC) due 08/10/563,7 | 24,898,895 | 1,624,381 | ||||||
BENCHMARK Mortgage Trust | ||||||||
2019-B14, 0.91% (WAC) due 12/15/623,7 | 34,760,266 | 1,595,521 | ||||||
BXHPP Trust | ||||||||
2021-FILM, 1.18% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/362,3 | 1,500,000 | 1,501,350 | ||||||
Motel Trust | ||||||||
2021-MTL6, 1.30% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 09/15/382,3 | 1,000,000 | 1,001,914 | ||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
2018-C8, 0.79% (WAC) due 06/15/513,7 | 29,315,480 | 886,670 | ||||||
KKR Industrial Portfolio Trust | ||||||||
2021-KDIP, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/372,3 | 650,000 | 649,608 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2015-NXS1, 2.63% due 05/15/48 | 391,506 | 391,412 | ||||||
Total Commercial Mortgage Backed Securities | 22,291,836 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $192,540,870) | 192,830,896 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
FOREIGN GOVERNMENT DEBT†† - 8.4% | ||||||||
State of Israel | ||||||||
0.75% due 07/31/22 | ILS | 44,240,000 | $ | 13,817,297 | ||||
5.50% due 01/31/22 | ILS | 35,760,000 | 11,290,444 | |||||
Government of Japan | ||||||||
(0.11)% due 10/25/2110 | JPY | 1,266,400,000 | 11,379,911 | |||||
(0.11)% due 11/01/2110 | JPY | 597,350,000 | 5,367,936 | |||||
(0.12)% due 10/18/2110 | JPY | 349,700,000 | 3,142,342 | |||||
(0.09)% due 10/04/2110 | JPY | 246,500,000 | 2,214,912 | |||||
Province of Nova Scotia | ||||||||
0.17% due 10/07/2110 | CAD | 17,560,000 | 13,865,522 | |||||
Province of Ontario | ||||||||
0.17% due 10/20/2110 | CAD | 8,436,000 | 6,660,470 | |||||
0.17% due 10/06/2110 | CAD | 7,123,000 | 5,624,436 | |||||
0.17% due 10/27/2110 | CAD | 1,994,000 | 1,574,322 | |||||
Czech Republic | ||||||||
0.10% due 04/17/22 | CZK | 200,400,000 | 9,099,130 | |||||
Province of Newfoundland | ||||||||
0.17% due 10/12/2110 | CAD | 1,800,000 | 1,421,252 | |||||
0.19% due 11/04/2110 | CAD | 1,000,000 | 789,498 | |||||
Abu Dhabi Government International Bond | ||||||||
0.75% due 09/02/232 | 2,200,000 | 2,205,852 | ||||||
Province of Quebec | ||||||||
0.17% due 10/22/2110 | CAD | 1,620,000 | 1,278,999 | |||||
Total Foreign Government Debt | ||||||||
(Cost $89,858,230) | 89,732,323 | |||||||
SENIOR FLOATING RATE INTERESTS††,3 - 4.1% | ||||||||
Industrial - 1.3% | ||||||||
SkyMiles IP Ltd. | ||||||||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | 4,650,000 | 4,942,671 | ||||||
Berry Global, Inc. | ||||||||
1.86% (2 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | 3,931,857 | 3,907,283 | ||||||
Mileage Plus Holdings LLC | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 2,200,000 | 2,336,136 | ||||||
Standard Industries, Inc. | ||||||||
due 09/22/28 | 1,150,000 | 1,150,621 | ||||||
Filtration Group Corp. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | 841,607 | 836,877 | ||||||
LTI Holdings, Inc. | ||||||||
due 09/08/25 | 299,229 | 294,788 | ||||||
Total Industrial | 13,468,376 | |||||||
Technology - 0.6% | ||||||||
Dun & Bradstreet | ||||||||
3.34% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 | 2,338,221 | 2,335,298 | ||||||
VT TopCo, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25 | 1,574,468 | 1,570,532 | ||||||
Boxer Parent Co., Inc. | ||||||||
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 | 1,240,560 | 1,233,067 | ||||||
Sabre GLBL, Inc. | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 | 595,361 | 587,812 |
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Informatica LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27 | 485,535 | $ | 483,714 | |||||
Emerald TopCo, Inc. (Press Ganey) | ||||||||
due 07/24/26 | 300,000 | 297,939 | ||||||
MACOM Technology Solutions Holdings, Inc. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24 | 244,787 | 243,563 | ||||||
Total Technology | 6,751,925 | |||||||
Consumer, Non-cyclical - 0.5% | ||||||||
Icon Luxembourg SARL | ||||||||
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 07/03/28 | 2,244,375 | 2,251,534 | ||||||
Option Care Health, Inc. | ||||||||
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26 | 2,232,955 | 2,231,838 | ||||||
Pearl Intermediate Parent LLC | ||||||||
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 0.75%) due 02/14/25 | 1,396,438 | 1,396,005 | ||||||
KDC US Holdings, Inc. | ||||||||
due 12/22/25 | 300,000 | 298,593 | ||||||
Nomad Foods Lux SARL | ||||||||
2.37% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/15/24 | 296,890 | 295,405 | ||||||
MDVIP LLC | ||||||||
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/14/24 | 99,741 | 99,555 | ||||||
Outcomes Group Holdings, Inc. | ||||||||
due 10/24/25 | 100,000 | 98,075 | ||||||
Total Consumer, Non-cyclical | 6,671,005 | |||||||
Consumer, Cyclical - 0.5% | ||||||||
Stars Group (Amaya) | ||||||||
2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26 | 2,800,000 | 2,789,500 | ||||||
Power Solutions (Panther) | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 | 1,877,301 | 1,868,159 | ||||||
IBC Capital Ltd. | ||||||||
3.87% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 | 700,000 | 689,675 | ||||||
Go Daddy Operating Company LLC | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/15/24 | 494,836 | 491,684 | ||||||
BCPE Empire Holdings, Inc. | ||||||||
due 06/11/26 | 99,746 | 99,081 | ||||||
Total Consumer, Cyclical | 5,938,099 | |||||||
Financial - 0.5% | ||||||||
Focus Financial Partners LLC | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24 | 3,048,964 | 3,024,816 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
USI, Inc. | ||||||||
3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | 1,035,407 | $ | 1,027,828 | |||||
Delos Finance SARL (International Lease Finance) | ||||||||
1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23 | 690,000 | 689,248 | ||||||
HUB International Ltd. | ||||||||
2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 | 544,527 | 539,028 | ||||||
Alliant Holdings Intermediate LLC | ||||||||
due 05/09/25 | 100,000 | 99,250 | ||||||
Total Financial | 5,380,170 | |||||||
Communications - 0.4% | ||||||||
Internet Brands, Inc. | ||||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24 | 2,094,819 | 2,087,675 | ||||||
ProQuest LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26 | 1,836,122 | 1,833,993 | ||||||
Flight Bidco, Inc. | ||||||||
due 07/23/25 | 199,486 | 196,659 | ||||||
Total Communications | 4,118,327 | |||||||
Basic Materials - 0.1% | ||||||||
Invictus MD Strategies Corp. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 843,978 | 841,345 | ||||||
HB Fuller Co. | ||||||||
2.09% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/21/24 | 124,993 | 125,040 | ||||||
Total Basic Materials | 966,385 | |||||||
Energy - 0.1% | ||||||||
ITT Holdings LLC | ||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 | 601,000 | 599,750 | ||||||
Lotus Midstream, LLC | ||||||||
due 09/29/25 | 99,744 | 97,624 | ||||||
Total Energy | 697,374 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $43,903,672) | 43,991,661 | |||||||
MUNICIPAL BONDS†† - 0.8% | ||||||||
New York - 0.4% | ||||||||
City of New York New York General Obligation Unlimited | ||||||||
0.08% (VRDN) due 04/01/429 | 4,010,000 | 4,010,000 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds | ||||||||
0.08% (VRDN) due 08/01/429 | 350,000 | 350,000 | ||||||
New York City Transitional Finance Authority Building Aid Revenue Bonds | ||||||||
5.00% due 07/15/22 | 5,000 | 5,138 | ||||||
Total New York | 4,365,138 | |||||||
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
California - 0.3% | ||||||||
Metropolitan Water District of Southern California Revenue Bonds | ||||||||
0.05% (VRDN) due 07/01/479 | 3,420,000 | $ | 3,420,000 | |||||
Texas - 0.1% | ||||||||
City of Dallas Texas Waterworks & Sewer System Revenue Bonds | ||||||||
5.00% due 10/01/21 | 150,000 | 150,000 | ||||||
Houston Higher Education Finance Corp. Revenue Bonds | ||||||||
5.00% due 09/01/22 | 25,000 | 26,070 | ||||||
City of Austin Texas Water & Wastewater System Revenue Bonds | ||||||||
5.00% due 11/15/21 | 15,000 | 14,931 | ||||||
Total Texas | 191,001 | |||||||
Colorado - 0.0% | ||||||||
Dawson Ridge Metropolitan District No. 1 General Obligation Limited | ||||||||
due 10/01/228 | 150,000 | 149,688 | ||||||
North Carolina - 0.0% | ||||||||
County of New Hanover North Carolina Revenue Bonds | ||||||||
4.00% due 10/01/21 | 50,000 | 50,000 | ||||||
Inlivian Revenue Bonds | ||||||||
6.00% due 12/01/21 | 5,000 | 4,992 | ||||||
Total North Carolina | 54,992 | |||||||
Washington - 0.0% | ||||||||
Seattle Housing Authority Revenue Bonds | ||||||||
2.88% due 12/01/21 | 50,000 | 50,216 | ||||||
Pennsylvania - 0.0% | ||||||||
Lancaster County Hospital Authority Revenue Bonds | ||||||||
4.00% due 01/01/22 | 25,000 | 25,226 | ||||||
4.13% due 01/01/22 | 20,000 | 19,989 | ||||||
City of Erie Pennsylvania General Obligation Unlimited | ||||||||
due 11/15/228 | 5,000 | 4,935 | ||||||
Total Pennsylvania | 50,150 | |||||||
Kansas - 0.0% | ||||||||
City of Wichita Kansas Water & Sewer Utility Revenue Bonds | ||||||||
5.00% due 10/01/21 | 50,000 | 50,000 | ||||||
Maryland - 0.0% | ||||||||
Maryland Health & Higher Educational Facilities Authority Revenue Bonds | ||||||||
4.00% due 07/01/22 | 30,000 | 30,849 | ||||||
Ohio - 0.0% | ||||||||
Greater Cleveland Regional Transit Authority Revenue Bonds | ||||||||
5.00% due 12/01/21 | 20,000 | 19,950 | ||||||
Ohio Higher Educational Facility Commission Revenue Bonds | ||||||||
5.00% due 01/01/22 | 5,000 | 5,009 | ||||||
4.00% due 01/01/22 | 5,000 | 4,995 | ||||||
Total Ohio | 29,954 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
| Face | Value | ||||||
Michigan - 0.0% | ||||||||
Michigan Finance Authority Revenue Bonds | ||||||||
5.00% due 12/01/21 | 25,000 | $ | 24,943 | |||||
Illinois - 0.0% | ||||||||
Boone McHenry & DeKalb Counties Community Unit School District 100 General Obligation Unlimited | ||||||||
due 12/01/218 | 10,000 | 9,895 | ||||||
Illinois Finance Authority Revenue Bonds | ||||||||
4.00% due 05/15/22 | 5,000 | 5,061 | ||||||
Total Illinois | 14,956 | |||||||
Florida - 0.0% | ||||||||
Capital Trust Agency, Inc. Revenue Bonds | ||||||||
4.38% due 12/01/22 | 10,000 | 10,857 | ||||||
Puerto Rico - 0.0% | ||||||||
Puerto Rico Highway & Transportation Authority Revenue Bonds | ||||||||
5.25% due 07/01/22 | 10,000 | 10,268 | ||||||
Arizona - 0.0% | ||||||||
City of Mesa Arizona Excise Tax Revenue Bonds | ||||||||
5.00% due 07/01/22 | 5,000 | 5,128 | ||||||
Missouri - 0.0% | ||||||||
Health & Educational Facilities Authority of the State of Missouri Revenue Bonds | ||||||||
5.00% due 11/15/21 | 5,000 | 4,978 | ||||||
Virginia - 0.0% | ||||||||
Virginia Resources Authority Revenue Bonds | ||||||||
5.00% due 11/01/21 | 5,000 | 4,968 | ||||||
Georgia - 0.0% | ||||||||
Colquitt County Development Authority Revenue Bonds | ||||||||
due 12/01/218 | 5,000 | 4,949 | ||||||
Total Municipal Bonds | ||||||||
(Cost $8,473,347) | 8,473,035 | |||||||
Total Investments - 104.5% | ||||||||
(Cost $1,116,114,229) | $ | 1,117,744,555 | ||||||
Collateralized Mortgage Obligations Sold Short†† - (3.1)% | ||||||||
Government Agency - (3.1)% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/10/2112 | 30,900,000 | $ | (32,715,993 | ) | ||||
Total Collateralized Mortgage Obligations Sold Short | ||||||||
(Proceeds $32,749,829) | (32,715,993 | ) | ||||||
Other Assets & Liabilities, net - (1.4)% | (14,565,103 | ) | ||||||
Total Net Assets - 100.0% | $ | 1,070,463,459 |
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
Centrally Cleared Interest Rate Swap Agreements†† | ||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | |||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.00% | Quarterly | |||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.58% | Quarterly | |||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.66% | Quarterly | |||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 2.02% | Quarterly |
Counterparty | Maturity | Notional | Value | Upfront | Unrealized | |||||||||||||||
BofA Securities, Inc. | 05/04/26 | $ | 15,000,000 | $ | 6,450 | $ | 336 | $ | 6,114 | |||||||||||
BofA Securities, Inc. | 04/28/31 | 9,800,000 | (41,356 | ) | 1,245 | (42,601 | ) | |||||||||||||
BofA Securities, Inc. | 03/16/31 | 4,500,000 | (54,225 | ) | 318 | (54,543 | ) | |||||||||||||
BofA Securities, Inc. | 05/20/41 | 5,500,000 | (181,445 | ) | 362 | (181,807 | ) | |||||||||||||
$ | (270,576 | ) | $ | 2,261 | $ | (272,837 | ) |
Total Return Swap Agreements | |||||||||||||||||||||||
Counterparty | Index | Type | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Fixed Income Index Swap Agreements Sold Short†† | |||||||||||||||||||||||
JPMorgan Chase Bank, N.A. | iShares Core U.S. Aggregate Bond ETF | Receive | 0.36% (1 Month USD LIBOR + 0.28%) | At Maturity | 10/14/21 | 181,248 | $ | 20,812,708 | $ | 188,498 |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract Amount | Settlement | Unrealized | ||||||||||||||||||
Barclays Bank plc | ILS | Buy | 8,523,623 | 2,345,521 USD | 08/01/22 | $ | 315,027 | |||||||||||||||||
Morgan Stanley Capital Services LLC | JPY | Sell | 1,266,400,000 | 11,543,328 USD | 10/25/21 | 162,528 | ||||||||||||||||||
Goldman Sachs International | ILS | Buy | 3,914,050 | 1,086,029 USD | 01/31/22 | 131,484 | ||||||||||||||||||
Goldman Sachs International | JPY | Sell | 597,350,000 | 5,448,111 USD | 11/01/21 | 79,615 | ||||||||||||||||||
Goldman Sachs International | JPY | Sell | 349,700,000 | 3,184,536 USD | 10/18/21 | 42,034 | ||||||||||||||||||
UBS AG | JPY | Sell | 246,500,000 | 2,254,199 USD | 10/04/21 | 39,305 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
Forward Foreign Currency Exchange Contracts†† (continued) | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract Amount | Settlement | Unrealized | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | CAD | Sell | 16,300,000 | 12,891,633 USD | 10/07/21 | $ | 20,548 | |||||||||||||||||
BNP Paribas | CAD | Sell | 4,740,000 | 3,748,458 USD | 10/20/21 | 5,636 | ||||||||||||||||||
Citibank, N.A. | CAD | Sell | 1,620,000 | 1,279,977 USD | 10/22/21 | 788 | ||||||||||||||||||
Citibank, N.A. | CZK | Sell | 30,060 | 1,382 USD | 11/05/21 | 8 | ||||||||||||||||||
Barclays Bank plc | CAD | Sell | 1,800,000 | 1,421,304 USD | 10/12/21 | (35 | ) | |||||||||||||||||
UBS AG | CAD | Sell | 1,000,000 | 789,182 USD | 11/04/21 | (429 | ) | |||||||||||||||||
Goldman Sachs International | CAD | Sell | 1,260,000 | 994,369 USD | 10/07/21 | (574 | ) | |||||||||||||||||
Goldman Sachs International | CAD | Sell | 3,637,000 | 2,870,236 USD | 10/06/21 | (1,677 | ) | |||||||||||||||||
Citibank, N.A. | CAD | Sell | 3,486,000 | 2,749,423 USD | 10/06/21 | (3,256 | ) | |||||||||||||||||
Citibank, N.A. | CAD | Sell | 1,994,000 | 1,571,184 USD | 10/27/21 | (3,315 | ) | |||||||||||||||||
Goldman Sachs International | CAD | Sell | 3,696,000 | 2,914,705 USD | 10/20/21 | (3,749 | ) | |||||||||||||||||
Bank of America, N.A. | ILS | Sell | 643,550 | 190,795 USD | 01/31/22 | (9,390 | ) | |||||||||||||||||
UBS AG | ILS | Sell | 17,379,729 | 5,389,748 USD | 08/01/22 | (35,128 | ) | |||||||||||||||||
Barclays Bank plc | CZK | Sell | 200,600,400 | 9,076,214 USD | 04/19/22 | (45,315 | ) | |||||||||||||||||
Goldman Sachs International | ILS | Sell | 3,270,500 | 968,615 USD | 01/31/22 | (48,714 | ) | |||||||||||||||||
Goldman Sachs International | ILS | Sell | 27,192,978 | 8,430,101 USD | 08/01/22 | (57,864 | ) | |||||||||||||||||
Barclays Bank plc | ILS | Sell | 8,523,623 | 2,581,743 USD | 08/01/22 | (78,805 | ) | |||||||||||||||||
Barclays Bank plc | ILS | Sell | 37,726,800 | 11,634,384 USD | 01/31/22 | (101,003 | ) | |||||||||||||||||
Morgan Stanley Capital Services LLC | BRL | Sell | 108,600,000 | 19,490,309 USD | 10/01/21 | (457,526 | ) | |||||||||||||||||
Goldman Sachs International | BRL | Buy | 108,600,000 | 20,557,669 USD | 10/01/21 | (609,835 | ) | |||||||||||||||||
$ | (659,642 | ) |
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Rate indicated is the 7-day yield as of September 30, 2021. |
2 | 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 $550,638,667 (cost $549,880,949), or 51.4% of total net assets. |
3 | Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
4 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
5 | 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 September 30, 2021. See table below for additional step information for each security. |
6 | 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 $6,415,677 (cost $6,404,711), or 0.6% of total net assets — See Note 9. |
7 | Security is an interest-only strip. |
8 | Zero coupon rate security. |
9 | The rate is adjusted periodically by the counterparty, allows the holder to tender the security upon a rate reset, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at September 30, 2021. |
10 | Rate indicated is the effective yield at the time of purchase. |
11 | All or a portion of this security is pledged as interest rate swap collateral at September 30, 2021. |
12 | Security is unsettled at period end and does not have a stated effective rate. |
BofA — Bank of America | |
BRL — Brazilian Real | |
CAD — Canadian Dollar | |
CME — Chicago Mercantile Exchange | |
CZK — Czech Koruna | |
ILS — Israeli New Shekel | |
JPY — Japanese Yen | |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
SARL — Société à Responsabilité Limitée | |
VRDN — Variable Rate Demand Note | |
WAC — Weighted Average Coupon | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange-Traded Funds | $ | 20,812,708 | $ | — | $ | — | $ | 20,812,708 | ||||||||
Money Market Fund | 123,064,347 | — | — | 123,064,347 | ||||||||||||
Corporate Bonds | — | 350,875,518 | — | 350,875,518 | ||||||||||||
Asset-Backed Securities | — | 264,764,067 | 23,200,000 | 287,964,067 | ||||||||||||
Collateralized Mortgage Obligations | — | 190,209,188 | 2,621,708 | 192,830,896 | ||||||||||||
Foreign Government Debt | — | 89,732,323 | — | 89,732,323 | ||||||||||||
Senior Floating Rate Interests | — | 43,991,661 | — | 43,991,661 | ||||||||||||
Municipal Bonds | — | 8,473,035 | — | 8,473,035 | ||||||||||||
Interest Rate Swap Agreements** | — | 6,114 | — | 6,114 | ||||||||||||
Fixed Income Index Swap Agreements** | — | 188,498 | — | 188,498 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 796,973 | — | 796,973 | ||||||||||||
Total Assets | $ | 143,877,055 | $ | 949,037,377 | $ | 25,821,708 | $ | 1,118,736,140 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Collateralized Mortgage Obligations Sold Short | $ | — | $ | 32,715,993 | $ | — | $ | 32,715,993 | ||||||||
Interest Rate Swap Agreements** | — | 278,951 | — | 278,951 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 1,456,615 | — | 1,456,615 | ||||||||||||
Unfunded Loan Commitments (Note 8) | — | — | 689 | 689 | ||||||||||||
Total Liabilities | $ | — | $ | 34,451,559 | $ | 689 | $ | 34,452,248 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending Balance at September 30, 2021 | Valuation Technique | Unobservable Inputs | Input Range | Weighted Average | |||||||||||
Assets: | ||||||||||||||||
Asset-Backed Securities | $ | 23,200,000 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | ||||||||||
Collateralized Mortgage Obligations | 2,621,708 | Model Price | Purchase Price | — | — | |||||||||||
Total Assets | $ | 25,821,708 | ||||||||||||||
Liabilities: | ||||||||||||||||
Unfunded Loan Commitments | $ | 689 | Model Price | Purchase Price | — | — |
Significant changes in a quote would generally result in significant changes in the fair value of the security.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
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 year ended September 30, 2021:
Assets | Liabilities | |||||||||||||||
Asset-Backed | Collateralized | Total Assets | Unfunded Loan | |||||||||||||
Beginning Balance | $ | 15,400,000 | $ | 4,875,837 | $ | 20,275,837 | $ | — | ||||||||
Purchases/(Receipts) | 23,200,000 | 3,071,940 | 26,271,940 | — | ||||||||||||
(Sales, maturities and paydowns)/Fundings | (15,400,000 | ) | (5,280,638 | ) | (20,680,638 | ) | — | |||||||||
Amortization of premiums/discounts | — | (714 | ) | (714 | ) | — | ||||||||||
Total realized gains (losses) included in earnings | — | (3 | ) | (3 | ) | — | ||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | — | (44,714 | ) | (44,714 | ) | (689 | ) | |||||||||
Ending Balance | $ | 23,200,000 | $ | 2,621,708 | $ | 25,821,708 | $ | (689 | ) | |||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021 | $ | — | $ | (1,232 | ) | $ | (1,232 | ) | $ | (689 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
ULTRA SHORT DURATION FUND |
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, none are scheduled to decrease.
Name | Coupon Rate at | Next Rate | Future | Future | ||||||||||||
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61 | 4.62 | % | 09/26/24 | 5.62 | % | 09/26/25 | ||||||||||
CSMC Trust 2020-NQM1, 1.21% due 05/25/65 | 2.21 | % | 09/26/24 | — | — | |||||||||||
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60 | 4.65 | % | 08/26/24 | 5.65 | % | 08/26/25 | ||||||||||
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61 | 4.75 | % | 05/26/24 | 5.75 | % | 05/26/25 | ||||||||||
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61 | 4.75 | % | 04/26/24 | 5.75 | % | 04/26/25 | ||||||||||
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61 | 4.67 | % | 08/26/24 | 5.67 | % | 08/26/25 | ||||||||||
OSAT Trust 2021-RPL1, 2.12% due 05/25/65 | 4.20 | % | 07/26/24 | 5.99 | % | 07/26/25 | ||||||||||
PRPM LLC 2021-5, 1.79% due 06/25/26 | 4.79 | % | 06/26/24 | 5.79 | % | 06/26/25 | ||||||||||
Verus Securitization Trust 2020-1, 2.42% due 01/25/60 | 3.42 | % | 01/26/24 | — | — | |||||||||||
Verus Securitization Trust 2020-5, 1.22% due 05/25/65 | 2.22 | % | 10/26/24 | — | — | |||||||||||
Verus Securitization Trust 2019-4, 2.64% due 11/25/59 | 3.64 | % | 10/26/23 | — | — | |||||||||||
Verus Securitization Trust 2019-4, 2.85% due 11/25/59 | 3.85 | % | 10/26/23 | — | — |
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
ULTRA SHORT DURATION FUND |
September 30, 2021
Assets: | ||||
Investments, at value (cost $1,116,114,229) | $ | 1,117,744,555 | ||
Segregated cash with broker | 932,869 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 2,261 | |||
Unrealized appreciation on OTC swap agreements | 188,498 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 796,973 | |||
Prepaid expenses | 41,306 | |||
Receivables: | ||||
Securities sold | 88,013,897 | |||
Interest | 2,681,975 | |||
Fund shares sold | 2,463,225 | |||
Foreign tax reclaims | 5,295 | |||
Total assets | 1,212,870,854 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 8) (commitment fees received $—) | 689 | |||
Securities sold short, at value (proceeds $32,749,829) | 32,715,993 | |||
Overdraft due to custodian bank | 326,595 | |||
Segregated cash due to broker | 290,000 | |||
Due to custodian | 1,375 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 1,456,615 | |||
Payable for: | ||||
Securities purchased | 99,023,835 | |||
Fund shares redeemed | 7,948,460 | |||
Variation margin on interest rate swap agreements | 201,373 | |||
Management fees | 193,441 | |||
Distributions to shareholders | 72,911 | |||
Distribution and service fees | 35,412 | |||
Fund accounting/administration fees | 31,515 | |||
Swap settlement | 14,054 | |||
Transfer agent/maintenance fees | 3,167 | |||
Trustees’ fees* | 1,601 | |||
Due to Investment Adviser | 93 | |||
Miscellaneous | 90,266 | |||
Total liabilities | 142,407,395 | |||
Net assets | $ | 1,070,463,459 | ||
Net assets consist of: | ||||
Paid in capital | $ | 1,069,613,447 | ||
Total distributable earnings (loss) | 850,012 | |||
Net assets | $ | 1,070,463,459 | ||
A-Class: | ||||
Net assets | $ | 188,416,240 | ||
Capital shares outstanding | 18,903,351 | |||
Net asset value per share | $ | 9.97 | ||
Institutional Class: | ||||
Net assets | $ | 882,047,219 | ||
Capital shares outstanding | 88,506,840 | |||
Net asset value per share | $ | 9.97 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
STATEMENT OF OPERATIONS |
ULTRA SHORT DURATION FUND |
Year Ended September 30, 2021
Investment Income: | ||||
Dividends | $ | 671,881 | ||
Interest | 9,598,419 | |||
Total investment income | 10,270,300 | |||
Expenses: | ||||
Management fees | 2,112,403 | |||
Distribution and service fees: | ||||
A-Class | 264,388 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 52,635 | |||
Institutional Class | 103,069 | |||
Fund accounting/administration fees | 260,012 | |||
Professional fees | 91,378 | |||
Custodian fees | 80,558 | |||
Line of credit fees | 50,423 | |||
Trustees’ fees* | 29,222 | |||
Short interest expense | 11,081 | |||
Miscellaneous | 105,356 | |||
Recoupment of previously waived fees: | ||||
A-Class | 1,468 | |||
Institutional Class | 43,052 | |||
Total expenses | 3,205,045 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A-Class | (39,452 | ) | ||
Institutional Class | (44,265 | ) | ||
Expenses waived by Adviser | (6,770 | ) | ||
Earnings credits applied | (1,602 | ) | ||
Total waived/reimbursed expenses | (92,089 | ) | ||
Net expenses | 3,112,956 | |||
Net investment income | 7,157,344 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 5,189,136 | |||
Investments sold short | (120,083 | ) | ||
Swap agreements | (3,393,298 | ) | ||
Futures contracts | 30,413 | |||
Forward foreign currency exchange contracts | 389,757 | |||
Foreign currency transactions | 506,619 | |||
Net realized gain | 2,602,544 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 425,404 | |||
Investments sold short | 33,836 | |||
Swap agreements | (429,635 | ) | ||
Futures contracts | 1,125 | |||
Forward foreign currency exchange contracts | (3,093,354 | ) | ||
Foreign currency translations | 2,797 | |||
Net change in unrealized appreciation (depreciation) | (3,059,827 | ) | ||
Net realized and unrealized loss | (457,283 | ) | ||
Net increase in net assets resulting from operations | $ | 6,700,061 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
ULTRA SHORT DURATION FUND |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 7,157,344 | $ | 7,149,226 | ||||
Net realized gain (loss) on investments | 2,602,544 | (109,299 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (3,059,827 | ) | 3,824,596 | |||||
Net increase in net assets resulting from operations | 6,700,061 | 10,864,523 | ||||||
Distributions to shareholders: | ||||||||
A-Class | (731,059 | ) | (703,568 | ) | ||||
Institutional Class | (7,010,768 | ) | (7,411,376 | ) | ||||
Total distributions to shareholders | (7,741,827 | ) | (8,114,944 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 214,903,865 | 98,280,201 | ||||||
Institutional Class | 1,202,493,738 | 611,120,446 | ||||||
Distributions reinvested | ||||||||
A-Class | 721,960 | 698,604 | ||||||
Institutional Class | 6,114,053 | 6,175,476 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (90,021,904 | ) | (67,169,591 | ) | ||||
Institutional Class | (766,018,803 | ) | (603,110,371 | ) | ||||
Net increase from capital share transactions | 568,192,909 | 45,994,765 | ||||||
Net increase in net assets | 567,151,143 | 48,744,344 | ||||||
Net assets: | ||||||||
Beginning of year | 503,312,316 | 454,567,972 | ||||||
End of year | $ | 1,070,463,459 | $ | 503,312,316 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 21,545,976 | 9,879,376 | ||||||
Institutional Class | 120,556,717 | 61,791,120 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 72,382 | 70,360 | ||||||
Institutional Class | 613,063 | 622,640 | ||||||
Shares redeemed | ||||||||
A-Class | (9,023,382 | ) | (6,767,628 | ) | ||||
Institutional Class | (76,807,815 | ) | (60,780,621 | ) | ||||
Net increase in shares | 56,956,941 | 4,815,247 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
FINANCIAL HIGHLIGHTS |
ULTRA SHORT DURATION FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year | Year | Period | |||||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.98 | $ | 9.97 | $ | 10.00 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)b | .06 | .12 | .17 | |||||||||
Net gain (loss) on investments (realized and unrealized) | — | .03 | .02 | i | ||||||||
Total from investment operations | .06 | .15 | .19 | |||||||||
Less distributions from: | ||||||||||||
Net investment income | (.07 | ) | (.14 | ) | (.21 | ) | ||||||
Net realized gains | — | — | (.01 | ) | ||||||||
Total distributions | (.07 | ) | (.14 | ) | (.22 | ) | ||||||
Net asset value, end of period | $ | 9.97 | $ | 9.98 | $ | 9.97 | ||||||
| ||||||||||||
Total Return | 0.62 | % | 1.52 | % | 1.89 | % | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 188,416 | $ | 62,956 | $ | 31,154 | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | 0.63 | % | 1.20 | % | 2.05 | % | ||||||
Total expensese | 0.63 | % | 0.65 | % | 0.61 | % | ||||||
Net expensesf,g,h | 0.59 | % | 0.61 | % | 0.58 | % | ||||||
Portfolio turnover rate | 122 | % | 129 | % | 55 | % |
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) |
ULTRA SHORT DURATION FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Year | Year | Year | Year | Year | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.98 | $ | 9.96 | $ | 10.01 | $ | 10.04 | $ | 9.99 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)b | .09 | .15 | .28 | .24 | .17 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | — | .04 | (.04 | ) | — | .06 | ||||||||||||||
Total from investment operations | .09 | .19 | .24 | .24 | .23 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.10 | ) | (.17 | ) | (.28 | ) | (.27 | ) | (.18 | ) | ||||||||||
Net realized gains | — | — | (.01 | ) | — | c | — | |||||||||||||
Total distributions | (.10 | ) | (.17 | ) | (.29 | ) | (.27 | ) | (.18 | ) | ||||||||||
Net asset value, end of period | $ | 9.97 | $ | 9.98 | $ | 9.96 | $ | 10.01 | $ | 10.04 | ||||||||||
| ||||||||||||||||||||
Total Return | 0.87 | % | 1.88 | % | 2.37 | % | 2.48 | % | 2.24 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 882,047 | $ | 440,356 | $ | 423,414 | $ | 356,128 | $ | 426,592 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.88 | % | 1.47 | % | 2.54 | % | 2.44 | % | 1.73 | % | ||||||||||
Total expensese | 0.34 | % | 0.38 | % | 0.30 | % | 0.07 | % | 0.08 | % | ||||||||||
Net expensesf,g,h | 0.34 | % | 0.36 | % | 0.29 | % | 0.07 | % | 0.08 | % | ||||||||||
Portfolio turnover rate | 122 | % | 129 | % | 55 | % | 74 | % | 65 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
FINANCIAL HIGHLIGHTS (concluded) |
ULTRA SHORT DURATION FUND |
a | Since commencement of operations: November 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Distributions from realized gains are less than $0.01 per share. |
d | The per share data for the years ended September 30, 2016 through September 30, 2018 and the period October 1, 2018 to November 30, 2018 has been restated to reflect the reorganization of the Guggenheim Strategy Fund I with and into the Guggenheim Ultra Short Duration Fund effective November 30, 2018. In conjunction with the reorganization, Guggenheim Ultra Short Duration Fund issued 2.501601322 Institutional Class shares for every 1 share of Guggenheim Strategy Fund I. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
g | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 |
A-Class | 0.00%* | 0.00%* | — |
Institutional Class | 0.01% | 0.00%* | 0.00%* |
* | Less than 0.01% |
h | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 |
A-Class | 0.58% | 0.58% | 0.58% | N/A | N/A |
Institutional Class | 0.33% | 0.33% | 0.29% | 0.07% | 0.08% |
i | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the Fund. |
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Ultra Short Duration Fund (the “Fund”), a diversified investment company. At September 30, 2021, only A-Class and Institutional Class shares have been issued by the Fund.
Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
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 GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. 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.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued 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.
The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s close price from the applicable exchange, adjusted for the current day’s spreads.
The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.
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 GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are
THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
NOTES TO FINANCIAL STATEMENTS (continued) |
intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. 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.
(b) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Fund’s Schedule of Investments.
The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.
(d) Interest on When-Issued Securities
The Fund may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.
(e) Short Sales
When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(f) Futures Contracts
Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(g) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(h) Currency Translations
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(i) Forward Foreign Currency Exchange Contracts
The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
(j) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
(k) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.
(l) Distributions
The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (continued) |
(m) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(n) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.
(o) Cash
The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.
(p) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note 2 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Short Sales
A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Fund utilized derivatives for the following purposes:
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.
Futures Contracts
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following table represents the Fund’s use and volume of futures on a monthly basis:
Average Notional Amount | ||||||||
Use | Long | Short | ||||||
Hedge, Income | $ | — | $ | 5,269,802 |
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 over-the-counter (“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. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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.
The following table represents the Fund’s use and volume of total return swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Long | Short | ||||||
Income | $ | 258,059 | $ | 35,418,810 |
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.
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Pay Floating Rate | Receive Floating Rate | ||||||
Duration, Hedge | $ | — | $ | 18,740,000 |
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.
The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:
Average Value | ||||||||
Use | Purchased | Sold | ||||||
Hedge, Income | $ | 39,376,889 | $ | 168,423,130 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2021:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Interest rate swap contracts | Unrealized appreciation on OTC swap agreements | Variation margin on interest rate swap agreements |
Unamortized upfront premiums paid on interest rate swap agreements |
| |
Currency forward contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2021:
Asset Derivative Investments Value | |||||||||||||
| Swaps | Forward | Total Value at |
| |||||||||
$ | 194,612 | $ | 796,973 | $ | 991,585 |
Liability Derivative Investments Value | |||||||||||||
| Swaps | Forward | Total Value at |
| |||||||||
$ | 278,951 | $ | 1,456,615 | $ | 1,735,566 |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2021:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Interest rate futures contracts | Net realized gain (loss) on futures contracts |
Net change in unrealized appreciation (depreciation) on futures contracts | |
Interest rate/Credit swap contracts | Net realized gain (loss) on swap agreements |
Net change in unrealized appreciation (depreciation) on swap agreements | |
Currency forward contracts | Net realized gain (loss) on forward foreign currency exchange contracts |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2021:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations | ||||||||||||||||||||
| Futures | Swaps | Swaps | Forward | Total | |||||||||||||||
$ | 30,413 | $ | (3,399,198 | ) | $ | 5,900 | $ | 389,757 | $ | (2,973,128 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations | ||||||||||||||||||||
| Futures | Swaps | Swaps | Forward | Total | |||||||||||||||
$ | 1,125 | $ | (429,635 | ) | $ | — | $ | (3,093,354 | ) | $ | (3,521,864 | ) |
In conjunction with short sales and 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.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A fund’s indirect and direct exposure to foreign currencies subjects the Fund 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 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 GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 securities denominated 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.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Offsetting
In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Fixed income index swap agreements | $ | 188,498 | $ | — | $ | 188,498 | $ | — | $ | (188,498 | ) | $ | — | |||||||||||
Forward foreign currency exchange contracts | 796,973 | — | 796,973 | (677,172 | ) | (20,548 | ) | 99,253 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 1,456,615 | $ | — | $ | 1,456,615 | $ | (677,172 | ) | $ | (694,998 | ) | $ | 84,445 |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.
Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
BofA Securities, Inc. | Forward foreign currency exchange contracts | $ | 62,000 | $ | — | ||||
BofA Securities, Inc. | Interest rate swap agreements | 150,869 | — | ||||||
Goldman Sachs International | Forward foreign currency exchange contracts | 400,000 | — | ||||||
JPMorgan Chase Bank, N.A. | Forward foreign currency exchange contracts, Total return swap agreements | — | 290,000 | ||||||
Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts | 320,000 | — | ||||||
$ | 932,869 | $ | 290,000 |
Note 4 – 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 with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 — | 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.). |
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
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. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report. Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security. Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates. Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.25% of the average daily net assets of the Fund.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted a Distribution Plan related to the offering of A-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plan provides for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class shares.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 0.58 | % | 11/30/18 | 02/01/22 | ||||||||
Institutional Class | 0.33 | % | 11/30/18 | 02/01/22 |
GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:
| 2022 | 2023 | 2024 | Total | ||||||||||||
A-Class | $ | — | $ | 16,885 | $ | 40,455 | $ | 57,340 | ||||||||
Institutional Class | — | 35,542 | 50,032 | 85,574 |
For the year ended September 30, 2021, GI recouped $44,520 from the Fund.
For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
At September 30, 2021, GI and its affiliates owned 36% of the outstanding shares of the Fund.
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 6 – 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 (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Total | |||||||||
$ | 7,741,827 | $ | — | $ | 7,741,827 |
The tax character of distributions paid during the year ended September 30, 2020 was as follows:
| Ordinary | Long-Term | Total | |||||||||
$ | 8,114,944 | $ | — | $ | 8,114,944 |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:
| Undistributed | Undistributed | Net Unrealized | Accumulated | Other | Total | ||||||||||||||||||
$ | 53,214 | $ | — | $ | 1,508,877 | $ | (30,029 | ) | $ | (682,050 | ) | $ | 850,012 |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
NOTES TO FINANCIAL STATEMENTS (continued) |
For the year ended September 30, 2021, the following capital loss carryforward amounts were utilized:
| Utilized | |||
$ | 465,885 |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in certain bonds and swap agreements, foreign currency gains and losses, the deferral of qualified late-year losses, and the “mark-to-market” of certain derivatives. Additional differences may result from the tax treatment of bond premium/discount amortization, dividends payable, paydown reclasses, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences.
At September 30, 2021, 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 | Tax | Tax | Net Tax | ||||||||||||
$ | 1,083,437,699 | $ | 4,283,552 | $ | (2,777,028 | ) | $ | 1,506,524 |
Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Fund has elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Fund has also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2021, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2021:
| Ordinary | Capital | ||||||
$ | (30,029 | ) | $ | — |
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 7 – Securities Transactions
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| Purchases | Sales | ||||||
$ | 1,062,978,401 | $ | 698,044,399 |
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:
| Purchases | Sales | ||||||
$ | 5,173,208 | $ | 31,652,396 |
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| Purchases | Sales | Realized | |||||||||
$ | 81,108,201 | $ | — | $ | — |
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of September 30, 2021, were as follows:
Borrower | Maturity Date | Face Amount | Value | |||||||||
Medline Industries, Inc. | 08/06/22 | $ | 2,450,000 | $ | — | |||||||
VT TopCo, Inc. | 08/01/25 | 275,532 | 689 | |||||||||
$ | 2,725,532 | $ | 689 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 9 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted | Acquisition | Cost | Value | ||||||
Cascade Funding Mortgage Trust | |||||||||
2019-RM3, 2.80% (WAC) due 06/25/691 | 06/25/19 | $ | 342,964 | $ | 347,902 | ||||
FKRT | |||||||||
2020-C2A, 3.25% due 12/30/23 | 12/03/20 | 2,622,940 | 2,621,708 | ||||||
LSTAR Securities Investment Ltd. | |||||||||
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261 | 02/04/21 | 2,219,514 | 2,226,272 | ||||||
LSTAR Securities Investment Ltd. | |||||||||
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261 | 03/17/21 | 1,219,293 | 1,219,795 | ||||||
$ | 6,404,711 | $ | 6,415,677 |
1 | Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The allocated commitment fee amount for the Fund is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.
On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
Note 11 – COVID-19
The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Note 12 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Ultra Short Duration Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim Ultra Short Duration Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian, brokers, and paying agents or by other appropriate auditing procedures where replies from brokers were not received.
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2021
THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2022, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2021.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentage qualify as interest related dividends as permitted by IRC Section 871(k)(1). See qualified interest income column in the table below.
| Qualified | |||
81.98 | % |
Delivery of Shareholder Reports
Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/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.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
OTHER INFORMATION (Unaudited)(continued) |
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)
● Guggenheim High Yield Fund (“High Yield Fund”)
● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)
● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)
● Guggenheim Municipal Income Fund (“Municipal Income Fund”)
● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)
● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)
● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)
● Guggenheim World Equity Income Fund (“World Equity Income Fund”) | ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
● Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”)
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors
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and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
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Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.4 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021. |
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Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related
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services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.5 As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
5 | Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements. |
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In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s
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increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
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Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.
Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
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In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund
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business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.
Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.
Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
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Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee)
Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 158 | Current: Purpose Investments Funds (2013-present).
Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). | 157 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 157 | Current: US Global Investors (GROW) (1995-present). |
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - continued | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present). | 158 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Audit Committee) | Current: Retired. | 157 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present).
Former: SSGA Master Trust (1) (2018-2020). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 87 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald E. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 157 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014 (Chief Legal Officer)
Since 2007 (Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 89 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Assistant Treasurer | Since 2014 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - continued | |||
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 91 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2014 | Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our
THE GUGGENHEIM FUNDS ANNUAL REPORT | 93 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 95 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 97 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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9.30.2021
Guggenheim Funds Annual Report
Guggenheim Limited Duration Fund |
GuggenheimInvestments.com | LD-ANN-0921x0922 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
LIMITED DURATION FUND | 8 |
NOTES TO FINANCIAL STATEMENTS | 44 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 60 |
OTHER INFORMATION | 61 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 70 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 75 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 78 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1 |
| September 30, 2021 |
Dear Shareholder:
Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for Guggenheim Limited Duration Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.
The Investment Manager is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Fund. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Manager.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC,
Guggenheim Partners Investment Management, LLC,
October 31, 2021
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| September 30, 2021 |
Limited Duration Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2021 |
In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.
Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.
As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.
As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.
Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.
For the 12-month period ended September 30, 2021, the S&P 500® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
4 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2021 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index measures the performance of publicly issued investment grade corporate, U.S. Treasury and government agency securities with remaining maturities of one to three years.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
|
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.
The following tables illustrate the Fund’s costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
A-Class | 0.74% | 0.93% | $ 1,000.00 | $ 1,009.30 | $ 3.73 |
C-Class | 1.49% | 0.59% | 1,000.00 | 1,005.90 | 7.49 |
P-Class | 0.74% | 0.93% | 1,000.00 | 1,009.30 | 3.73 |
Institutional Class | 0.49% | 1.10% | 1,000.00 | 1,011.00 | 2.47 |
R6-Class | 0.49% | 1.06% | 1,000.00 | 1,010.60 | 2.47 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
A-Class | 0.74% | 5.00% | $ 1,000.00 | $ 1,021.36 | $ 3.75 |
C-Class | 1.49% | 5.00% | 1,000.00 | 1,017.60 | 7.54 |
P-Class | 0.74% | 5.00% | 1,000.00 | 1,021.36 | 3.75 |
Institutional Class | 0.49% | 5.00% | 1,000.00 | 1,022.61 | 2.48 |
R6-Class | 0.49% | 5.00% | 1,000.00 | 1,022.61 | 2.48 |
1 | Annualized and excludes expenses of the underlying funds in which the Fund invests. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratio for the Fund would be 0.73%, 1.48%, 0.73%, 0.48% and 0.48% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7 |
MANAGERS’ COMMENTARY (Unaudited) | September 30, 2021 |
To Our Shareholders
Guggenheim Limited Duration Fund (the “Fund”) is managed by a team of seasoned professionals, including Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.
Investment Approach
The Fund seeks to provide a high level of income consistent with preservation of capital and invests in a broad universe of fixed-income securities in an attempt to maximize yield and diversification (though, diversification neither assures a profit nor eliminates the risk of experiencing investment losses) and manage risk. The Fund employs a more active approach, offering an opportunity to potentially capitalize on changing relative values in fixed-income securities/sectors and offers access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.
Performance Review and Positioning
For the one year period ended September 30, 2021, Guggenheim Limited Duration Fund returned 1.38%1, compared with the 0.29% return of its benchmark, the Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index.
Interest rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the backs of accommodative fiscal and monetary policy. Outperformance versus the benchmark was driven by a combination of spread tightening and greater carry (the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant), which was partially offset by the Fund’s overweight duration positioning. The Fund’s overweight allocation to credit has been the largest driver of outperformance on the year, as credit continues its grind tighter on optimism in economic growth recovery and improving credit fundamentals. Measured on an absolute return basis, sectors with floating rate coupons like bank loans and much of structured credit have been standouts in performance, as they have benefitted from spread compression while being somewhat insulated from rising rates. The Fund’s allocation to these sectors coupled with its 2Y-10Y CMS curve caps positions helped mitigate the performance impact from the steepening in the yield curve.
Structured credit accounted for nearly 36% of the Fund at period end. The sector broadly and across sub-sectors continued to contribute positively and provided for relative outperformance to the benchmark. Spreads have now largely recovered from the shock of COVID-19, though still offer compelling relative value within the fixed income universe. Primary markets have been very active over the year, particularly in the collateralized loan obligation (CLO) sector, which is on track for a record setting year, having already priced $125 billion new issue deals and $311 billion total deals (including refinancings, resets, and re-issues). Spreads have been relatively muted in response to the massive amount of issuance, which speaks to volume of demand from investors in search of higher carry assets. We continue to look to invest in structurally senior securitized credit, as the sector continues to showcase wider spreads compared to similarly rated corporates. As such, we expect spreads could compress further as the economy rebounds and investors seek out the higher yields and carry offered by the sector.
The Fund remains overweight investment grade corporates, which comprised 28% of the fund at period end. The sector contributed positively to performance on both an absolute basis as well as on a duration-adjusted basis as it benefited from a combination of carry and spread tightening. Investment grade corporate credit spreads have benefitted from the back-up in rates as yield-focused buyers find the higher yielding profiles more attractive. In particular, the pace of flows into the investment grade corporate sector from overseas buyers has been greater than usual given the attractiveness of the currency hedge-adjusted yields attainable in the sector given higher rates. We continue to remain constructive on the sector given the supportive macro backdrop and low probability of any sustained selloff. However, we have incrementally reduced our exposure at the margin, rotating out of tighter spread names with limited total return potential in favor for higher carry sectors like structured credit.
Below-investment-grade corporate credit, including both high yield corporates and bank loans, comprise roughly 12% of the Fund. The Fund’s below-investment-grade allocation has continued to benefit from a combination of spread tightening and carry, contributing significantly to the portfolio return on the year. While we remain positive on long term economic fundamentals and associated outlook for a low default rate, we
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
MANAGERS’ COMMENTARY (Unaudited)(concluded) | September 30, 2021 |
have begun to pare exposure recently, as we have increasingly become cautious of valuations and the potential for seasonal weakness. Despite this, we still view the expected loss-adjusted return potential, primarily via carry, favorably within the context of the Fund and therefore continue to anticipate a continued meaningful portfolio allocation.
Overweight duration positioning negatively impacted performance on the period. U.S. Treasury yields rose as the 10- year ended the period about 80 basis points higher at 1.52%. Overall Fund duration ended the period at 2.0 years versus the benchmark’s duration of 1.9 years. We continue to remain optimistic on U.S. economic growth given potential for additional fiscal stimulus and believe that interest rates will remain relatively range bound as the Fed seeks to remain accommodative to ensure the economic recovery can continue amid the termination of certain fiscal stimulus measures and potential for increasing spread of the COVID-19 Delta variant headed into year end.
Given the current monetary and fiscal backdrop, we continue to view the credit default environment as benign and predict rates are likely to remain low and range bound for some time. As such, we continue to believe a portfolio allowance for both higher credit and duration risk is warranted. As credit spreads have neared historic tights, however, it has become increasingly important to ensure portfolios are prudently positioned as we seek out relative value across sectors. At this particular moment in the credit cycle against the backdrop of current valuations, we see value in rotating into higher carry instruments while maintaining similar credit quality where possible and shortening spread duration to lessen the Fund’s emphasis on credit spread compression.
During the reporting period, the Fund used interest rate options and swaps, equiity options, forwards and credit swaps to help manage duration positioning, foreign exchange risk, and credit exposure. Over the period, interest rate swaps detracted from performance while interest options contributed to performance. Options on equities contributed to performance. Total return swaps on fixed income ETFs and credit default swap index (CDX) positions added to performance. In addition, the Fund traded foreign-exchange derivatives, which were used for hedging purposes and operated effectively, but had a negative impact on performance over the period. Overall, derivative exposure detracted from performance during the period.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the one-year period ended September 30, 2021, investment in the Short Term Investment Vehicles benefited Fund performance.
Performance displayed represents past performance which is no guarantee of future results.
1 | Performance figures are based on Class A shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. |
The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2021 |
LIMITED DURATION FUND
OBJECTIVE: Seeks to provide a high level of income consistent with preservation of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.
Portfolio Composition by Quality Rating1 | |
Rating | % of Total |
Fixed Income Instruments | |
AAA | 21.1% |
AA | 12.5% |
A | 17.8% |
BBB | 22.9% |
BB | 6.4% |
B | 4.1% |
CCC | 0.4% |
CC | 0.2% |
NR2 | 6.8% |
Other Instruments | 7.8% |
Total Investments | 100.0% |
Inception Dates: | |
A-Class | December 16, 2013 |
C-Class | December 16, 2013 |
P-Class | May 1, 2015 |
Institutional Class | December 16, 2013 |
R6-Class | March 13, 2019 |
Ten Largest Holdings (% of Total Net Assets) | |
iShares Core U.S. Aggregate Bond ETF | 3.2% |
Uniform MBS 30 Year | 3.0% |
State of Israel, 5.50% | 1.2% |
State of Israel, 0.75% | 1.2% |
Cerberus Onshore CLO LLC, 1.50% | 1.2% |
Station Place Securitization Trust Series 2021-15, 0.68% due 12/22/21 | 1.0% |
Boeing Co., 4.88% | 0.9% |
OSAT Trust, 2.12% | 0.9% |
Shackleton CLO Ltd., 1.05% | 0.8% |
Czech Republic, 0.10% | 0.8% |
Top Ten Total | 14.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
1 | Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter. |
2 | NR (not rated) securities do not necessarily indicate low credit quality. |
10 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2021 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended September 30, 2021
| 1 Year | 5 Year | Since |
A-Class Shares | 1.38% | 2.75% | 2.67% |
A-Class Shares with sales charge‡ | (0.90%) | 2.28% | 2.37% |
C-Class Shares | 0.67% | 1.99% | 1.91% |
C-Class Shares with CDSC§ | (0.33%) | 1.99% | 1.91% |
Institutional Class Shares | 1.67% | 3.01% | 2.94% |
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index | 0.29% | 1.84% | 1.58% |
| 1 Year | 5 Year | Since |
P-Class Shares | 1.38% | 2.75% | 2.68% |
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index | 0.29% | 1.84% | 1.71% |
|
| 1 Year | Since |
R6-Class Shares |
| 1.64% | 3.61% |
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index |
| 0.29% | 2.49% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures |
‡ | Fund returns are calculated using the maximum sales charge of 2.25%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS | September 30, 2021 |
LIMITED DURATION FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 0.3% | ||||||||
Financial - 0.3% | ||||||||
KKR Acquisition Holdings I Corp. — Class A*,1 | 820,948 | $ | 8,004,243 | |||||
RXR Acquisition Corp. — Class A*,1 | 176,671 | 1,717,242 | ||||||
TPG Pace Beneficial II Corp.*,1 | 138,012 | 1,351,138 | ||||||
AfterNext HealthTech Acquisition Corp.*,1 | 135,000 | 1,344,600 | ||||||
MSD Acquisition Corp. — Class A*,1 | 136,871 | 1,327,649 | ||||||
Conyers Park III Acquisition Corp.*,1 | 125,300 | 1,254,253 | ||||||
Waverley Capital Acquisition Corp. *,1 | 99,000 | 976,140 | ||||||
Acropolis Infrastructure Acquisition Corp. — Class A*,1 | 86,600 | 838,288 | ||||||
TPG Pace Solutions Corp.*,1 | 81,407 | 818,140 | ||||||
Blue Whale Acquisition Corp. *,1 | 72,300 | 717,216 | ||||||
Colicity, Inc. — Class A*,1 | 41,581 | 406,246 | ||||||
Colicity, Inc.*,1 | 4,471 | 44,352 | ||||||
RXR Acquisition Corp.*,1 | 1,013 | 9,978 | ||||||
Total Financial | 18,809,485 | |||||||
Communications - 0.0% | ||||||||
Figs, Inc. — Class A*,13 | 43,750 | 1,624,875 | ||||||
Total Common Stocks | ||||||||
(Cost $19,852,276) | 20,434,360 | |||||||
PREFERRED STOCKS†† - 0.1% | ||||||||
Financial - 0.1% | ||||||||
American Financial Group, Inc., 4.50% due 09/15/60 | 102,409 | 2,794,742 | ||||||
First Republic Bank, 4.13% | 69,600 | 1,739,304 | ||||||
American Equity Investment Life Holding Co., 5.95% | 8,000 | 218,720 | ||||||
Total Financial | 4,752,766 | |||||||
Total Preferred Stocks | ||||||||
(Cost $4,514,775) | 4,752,766 | |||||||
WARRANTS† - 0.0% | ||||||||
KKR Acquisition Holdings I Corp. - Class A | ||||||||
Expiring 12/31/27*,1 | 205,236 | 197,006 | ||||||
Ginkgo Bioworks Holdings, Inc.* | ||||||||
Expiring 12/31/27 | 19,663 | 66,658 | ||||||
MSD Acquisition Corp. | ||||||||
Expiring 05/13/23*,1 | 27,374 | 31,480 | ||||||
Acropolis Infrastructure Acquisition Corp. | ||||||||
Expiring 03/31/26*,1 | 28,866 | 26,557 | ||||||
RXR Acquisition Corp. | ||||||||
Expiring 03/08/26*,1 | 35,331 | 26,498 | ||||||
Colicity, Inc. - Class A | ||||||||
Expiring 12/31/27*,1 | 8,315 | 6,901 | ||||||
Total Warrants | ||||||||
(Cost $337,247) | 355,100 | |||||||
EXCHANGE-TRADED FUNDS† - 3.2% | ||||||||
iShares Core U.S. Aggregate Bond ETF14 | 1,699,117 | 195,109,605 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $200,016,378) | 195,109,605 | |||||||
MUTUAL FUNDS† - 1.5% | ||||||||
Guggenheim Strategy Fund III2 | 1,196,003 | 30,067,520 | ||||||
Guggenheim Strategy Fund II2 | 1,195,423 | 29,873,632 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 2,932,375 | 29,235,779 | ||||||
Total Mutual Funds | ||||||||
(Cost $87,618,654) | 89,176,931 | |||||||
MONEY MARKET FUND† - 2.7% | ||||||||
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3 | 164,194,709 | 164,194,709 | ||||||
Total Money Market Fund | ||||||||
(Cost $164,194,709) | 164,194,709 | |||||||
Face | ||||||||
CORPORATE BONDS†† - 33.6% | ||||||||
Financial - 13.1% | ||||||||
F&G Global Funding | ||||||||
0.90% due 09/20/244 | 42,100,000 | 42,015,986 | ||||||
1.75% due 06/30/264 | 14,000,000 | 14,070,779 | ||||||
Societe Generale S.A. | ||||||||
1.79% due 06/09/274,5 | 28,000,000 | 27,835,793 | ||||||
1.49% due 12/14/264,5 | 10,500,000 | 10,378,745 | ||||||
3.88% due 03/28/244 | 350,000 | 373,836 | ||||||
Wells Fargo & Co. | ||||||||
2.88% due 10/30/305 | 25,000,000 | 26,037,239 | ||||||
3.90%5,6 | 11,150,000 | 11,498,437 | ||||||
Athene Global Funding | ||||||||
1.99% due 08/19/284 | 15,850,000 | 15,623,005 | ||||||
1.73% due 10/02/264 | 14,700,000 | 14,685,059 | ||||||
American International Group, Inc. | ||||||||
2.50% due 06/30/25 | 26,630,000 | 27,874,455 | ||||||
Equitable Financial Life Global Funding | ||||||||
1.40% due 07/07/254 | 15,000,000 | 15,075,988 | ||||||
1.80% due 03/08/284 | 12,000,000 | 11,912,567 | ||||||
Pershing Square Holdings Ltd 3.25%due 10/01/314 | 25,600,000 | 25,557,248 | ||||||
GA Global Funding Trust | ||||||||
1.95% due 09/15/284 | 16,600,000 | 16,343,587 | ||||||
1.63% due 01/15/264 | 7,300,000 | 7,361,127 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.75% due 05/07/254 | 20,850,000 | 21,850,238 | ||||||
BNP Paribas S.A. | ||||||||
1.32% due 01/13/274,5 | 21,350,000 | 21,034,563 | ||||||
2.22% due 06/09/264,5 | 400,000 | 410,357 | ||||||
Citizens Bank North America/Providence RI | ||||||||
2.25% due 04/28/25 | 20,000,000 | 20,792,989 | ||||||
Bank of America Corp. | ||||||||
2.59% due 04/29/315 | 19,650,000 | 20,034,036 | ||||||
Barclays Bank plc | ||||||||
1.70% due 05/12/22 | 18,450,000 | 18,595,628 |
12 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Credit Agricole S.A. | ||||||||
1.25% due 01/26/274,5 | 17,950,000 | $ | 17,689,042 | |||||
1.91% due 06/16/264,5 | 400,000 | 407,466 | ||||||
CIT Group, Inc. | ||||||||
3.93% due 06/19/245 | 15,200,000 | 15,897,148 | ||||||
4.75% due 02/16/24 | 1,000,000 | 1,069,000 | ||||||
Macquarie Group Ltd. | ||||||||
1.63% due 09/23/274,5 | 16,750,000 | 16,660,476 | ||||||
Ares Finance Company LLC | ||||||||
4.00% due 10/08/244 | 14,617,000 | 15,563,432 | ||||||
Cooperatieve Rabobank UA | ||||||||
1.34% due 06/24/264,5 | 15,000,000 | 14,977,685 | ||||||
JPMorgan Chase & Co. | ||||||||
1.47% due 09/22/275 | 15,000,000 | 14,897,016 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. | ||||||||
2.88% due 10/15/264 | 10,800,000 | 10,719,000 | ||||||
3.88% due 03/01/314 | 4,100,000 | 4,135,875 | ||||||
Regions Financial Corp. | ||||||||
2.25% due 05/18/25 | 14,000,000 | 14,544,646 | ||||||
CNO Global Funding | ||||||||
1.75% due 10/07/264 | 14,400,000 | 14,397,984 | ||||||
ABN AMRO Bank N.V. | ||||||||
1.54% due 06/16/274,5 | 14,000,000 | 13,914,811 | ||||||
Citigroup, Inc. | ||||||||
2.57% due 06/03/315 | 12,850,000 | 13,083,995 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | ||||||||
5.50% due 05/01/254 | 11,450,000 | 13,005,238 | ||||||
American Tower Corp. | ||||||||
1.60% due 04/15/26 | 12,500,000 | 12,545,763 | ||||||
BlackRock, Inc. | ||||||||
1.90% due 01/28/31 | 12,600,000 | 12,485,572 | ||||||
Deloitte LLP | ||||||||
4.35% due 11/17/23††† | 7,300,000 | 7,685,148 | ||||||
3.46% due 05/07/27††† | 4,500,000 | 4,687,695 | ||||||
Iron Mountain, Inc. | ||||||||
4.88% due 09/15/274 | 7,360,000 | 7,641,005 | ||||||
5.00% due 07/15/284 | 3,085,000 | 3,215,496 | ||||||
Standard Chartered plc | ||||||||
1.32% due 10/14/234,5 | 10,150,000 | 10,213,459 | ||||||
4.25% due 01/20/234,5 | 500,000 | 505,524 | ||||||
Essex Portfolio, LP | ||||||||
1.70% due 03/01/28 | 10,450,000 | 10,239,455 | ||||||
Apollo Management Holdings, LP | ||||||||
4.40% due 05/27/264 | 7,115,000 | 8,010,057 | ||||||
4.00% due 05/30/244 | 1,846,000 | 1,996,025 | ||||||
ING Groep N.V. | ||||||||
1.73% due 04/01/275 | 9,800,000 | 9,851,370 | ||||||
BPCE S.A. | ||||||||
1.65% due 10/06/264,5 | 9,500,000 | 9,507,669 | ||||||
OneMain Finance Corp. | ||||||||
3.50% due 01/15/27 | 7,050,000 | 7,033,221 | ||||||
6.13% due 03/15/24 | 1,500,000 | 1,602,750 | ||||||
7.13% due 03/15/26 | 50,000 | 57,937 | ||||||
First American Financial Corp. | ||||||||
4.00% due 05/15/30 | 7,860,000 | 8,677,333 | ||||||
Aviation Capital Group LLC | ||||||||
2.88% due 01/20/224 | 8,000,000 | 8,041,803 | ||||||
Markel Corp. | ||||||||
6.00%5,6 | 7,210,000 | 7,988,680 | ||||||
KKR Group Finance Company VI LLC | ||||||||
3.75% due 07/01/294 | 7,040,000 | 7,811,755 | ||||||
Morgan Stanley | ||||||||
2.19% due 04/28/265 | 7,000,000 | 7,228,592 | ||||||
3.77% due 01/24/295 | 361,000 | 399,139 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.50% due 04/01/25 | 6,900,000 | 7,415,853 | ||||||
FS KKR Capital Corp. | ||||||||
2.63% due 01/15/27 | 7,400,000 | 7,414,549 | ||||||
SBA Communications Corp. | ||||||||
3.13% due 02/01/294 | 6,500,000 | 6,280,625 | ||||||
3.88% due 02/15/27 | 700,000 | 725,375 | ||||||
Belrose Funding Trust | ||||||||
2.33% due 08/15/304 | 7,100,000 | 6,995,990 | ||||||
LPL Holdings, Inc. | ||||||||
4.00% due 03/15/294 | 4,450,000 | 4,570,595 | ||||||
4.63% due 11/15/274 | 2,000,000 | 2,075,000 | ||||||
Fidelity National Financial, Inc. | ||||||||
2.45% due 03/15/31 | 5,500,000 | 5,464,090 | ||||||
Fifth Third Bancorp | ||||||||
2.55% due 05/05/27 | 5,060,000 | 5,316,447 | ||||||
Manulife Financial Corp. | ||||||||
2.48% due 05/19/27 | 5,030,000 | 5,259,452 | ||||||
Brighthouse Financial Global Funding | ||||||||
0.81% (U.S. Secured Overnight Financing Rate + 0.76%) due 04/12/244,7 | 5,050,000 | 5,085,527 | ||||||
Westpac Banking Corp. | ||||||||
0.97% (3 Month USD LIBOR + 0.85%) due 01/11/227 | 5,000,000 | 5,012,082 | ||||||
MetLife, Inc. | ||||||||
3.85%5,6 | 4,620,000 | 4,845,225 | ||||||
Jefferies Finance LLC / JFIN Company-Issuer Corp. | ||||||||
5.00% due 08/15/284 | 4,300,000 | 4,364,500 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.50% due 11/15/254 | 3,880,000 | 3,909,100 | ||||||
5.50% due 04/15/294 | 275,000 | 266,999 | ||||||
Peachtree Corners Funding Trust | ||||||||
3.98% due 02/15/254 | 3,450,000 | 3,744,237 | ||||||
Bank of New York Mellon Corp. | ||||||||
4.70%5,6 | 3,010,000 | 3,303,475 | ||||||
Hunt Companies, Inc. | ||||||||
5.25% due 04/15/294 | 3,250,000 | 3,185,000 | ||||||
CNA Financial Corp. | ||||||||
4.50% due 03/01/26 | 2,298,000 | 2,593,513 | ||||||
Crown Castle International Corp. | ||||||||
3.30% due 07/01/30 | 2,188,000 | 2,329,835 | ||||||
Ameriprise Financial, Inc. | ||||||||
3.00% due 04/02/25 | 2,060,000 | 2,187,638 | ||||||
Equitable Holdings, Inc. | ||||||||
4.35% due 04/20/28 | 1,700,000 | 1,936,012 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Brookfield Finance, Inc. | ||||||||
3.90% due 01/25/28 | 1,400,000 | $ | 1,551,995 | |||||
Weyerhaeuser Co. | ||||||||
4.00% due 04/15/30 | 912,000 | 1,029,174 | ||||||
Trinity Acquisition plc | ||||||||
4.40% due 03/15/26 | 881,000 | 983,968 | ||||||
Newmark Group, Inc. | ||||||||
6.13% due 11/15/23 | 775,000 | 837,000 | ||||||
CNO Financial Group, Inc. | ||||||||
5.25% due 05/30/25 | 700,000 | 787,589 | ||||||
Old Republic International Corp. | ||||||||
3.88% due 08/26/26 | 700,000 | 774,724 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
1.27% (3 Month USD LIBOR + 1.14%) due 10/19/217 | 702,000 | 702,337 | ||||||
Equinix, Inc. | ||||||||
1.55% due 03/15/28 | 700,000 | 683,734 | ||||||
RenaissanceRe Finance, Inc. | ||||||||
3.70% due 04/01/25 | 400,000 | 430,906 | ||||||
Assurant, Inc. | ||||||||
4.90% due 03/27/28 | 350,000 | 404,791 | ||||||
BBVA USA | ||||||||
3.88% due 04/10/25 | 150,000 | 163,661 | ||||||
HUB International Ltd. | ||||||||
7.00% due 05/01/264 | 150,000 | 155,062 | ||||||
Greystar Real Estate Partners LLC | ||||||||
5.75% due 12/01/254 | 150,000 | 152,250 | ||||||
Total Financial | 800,688,234 | |||||||
Industrial - 4.6% | ||||||||
Boeing Co. | ||||||||
4.88% due 05/01/25 | 50,000,000 | 55,627,783 | ||||||
2.20% due 02/04/26 | 10,450,000 | 10,540,788 | ||||||
CNH Industrial Capital LLC | ||||||||
1.45% due 07/15/26 | 12,500,000 | 12,439,875 | ||||||
1.95% due 07/02/23 | 9,600,000 | 9,812,224 | ||||||
1.88% due 01/15/26 | 4,960,000 | 5,024,825 | ||||||
Siemens Financieringsmaatschappij N.V. | ||||||||
0.73% (3 Month USD LIBOR + 0.61%) due 03/16/224,7 | 20,410,000 | 20,466,167 | ||||||
Berry Global, Inc. | ||||||||
1.57% due 01/15/264 | 11,750,000 | 11,746,945 | ||||||
4.88% due 07/15/264 | 5,165,000 | 5,423,508 | ||||||
Sealed Air Corp. | ||||||||
1.57% due 10/15/264 | 16,450,000 | 16,349,372 | ||||||
SYNNEX Corp. | ||||||||
1.25% due 08/09/244 | 14,400,000 | 14,403,699 | ||||||
Ryder System, Inc. | ||||||||
3.35% due 09/01/25 | 10,600,000 | 11,419,656 | ||||||
3.75% due 06/09/23 | 1,350,000 | 1,422,343 | ||||||
Graphic Packaging International LLC | ||||||||
1.51% due 04/15/264 | 6,500,000 | 6,494,134 | ||||||
0.82% due 04/15/244 | 6,250,000 | 6,214,986 | ||||||
Silgan Holdings, Inc. | ||||||||
1.40% due 04/01/264 | 12,600,000 | 12,398,163 | ||||||
Teledyne Technologies, Inc. | ||||||||
2.25% due 04/01/28 | 12,000,000 | 12,211,449 | ||||||
Vontier Corp. | ||||||||
1.80% due 04/01/264 | 7,050,000 | 6,999,169 | ||||||
2.40% due 04/01/284 | 3,900,000 | 3,840,720 | ||||||
Standard Industries, Inc. | ||||||||
5.00% due 02/15/274 | 6,000,000 | 6,187,500 | ||||||
4.75% due 01/15/284 | 2,671,000 | 2,771,162 | ||||||
Penske Truck Leasing Company LP / PTL Finance Corp. | ||||||||
4.45% due 01/29/264 | 5,475,000 | 6,116,553 | ||||||
4.20% due 04/01/274 | 500,000 | 563,372 | ||||||
Owens Corning | ||||||||
3.88% due 06/01/30 | 5,910,000 | 6,509,195 | ||||||
GATX Corp. | ||||||||
3.85% due 03/30/27 | 2,900,000 | 3,196,169 | ||||||
4.00% due 06/30/30 | 2,550,000 | 2,842,207 | ||||||
3.50% due 03/15/28 | 200,000 | 215,939 | ||||||
New Enterprise Stone & Lime Company, Inc. | ||||||||
6.25% due 03/15/264 | 3,811,000 | 3,940,574 | ||||||
Jabil, Inc. | ||||||||
1.70% due 04/15/26 | 3,800,000 | 3,818,007 | ||||||
Textron, Inc. | ||||||||
2.45% due 03/15/31 | 3,250,000 | 3,252,845 | ||||||
Hardwood Funding LLC | ||||||||
2.37% due 06/07/28††† | 3,000,000 | 3,012,060 | ||||||
Weir Group plc | ||||||||
2.20% due 05/13/264 | 2,610,000 | 2,634,806 | ||||||
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | ||||||||
4.00% due 09/01/294 | 2,500,000 | 2,528,125 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
2.04% due 08/16/284 | 2,250,000 | 2,217,576 | ||||||
Xylem, Inc. | ||||||||
1.95% due 01/30/28 | 2,050,000 | 2,060,781 | ||||||
National Basketball Association | ||||||||
2.51% due 12/16/24††† | 1,900,000 | 1,957,380 | ||||||
Mueller Water Products, Inc. | ||||||||
4.00% due 06/15/294 | 1,300,000 | 1,345,760 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||
6.00% due 02/01/264 | 800,000 | 834,000 | ||||||
JELD-WEN, Inc. | ||||||||
6.25% due 05/15/254 | 535,000 | 564,425 | ||||||
Amsted Industries, Inc. | ||||||||
4.63% due 05/15/304 | 350,000 | 359,625 | ||||||
Summit Materials LLC / Summit Materials Finance Corp. | ||||||||
5.25% due 01/15/294 | 275,000 | 288,750 | ||||||
EnerSys | ||||||||
5.00% due 04/30/234 | 175,000 | 181,125 | ||||||
Harsco Corp. | ||||||||
5.75% due 07/31/274 | 125,000 | 129,531 | ||||||
Howmet Aerospace, Inc. | ||||||||
6.88% due 05/01/25 | 35,000 | 40,951 | ||||||
Total Industrial | 280,404,224 | |||||||
14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Consumer, Non-cyclical - 4.5% | ||||||||
Triton Container International Ltd. | ||||||||
1.15% due 06/07/244 | 26,000,000 | $ | 25,954,168 | |||||
0.80% due 08/01/234 | 14,550,000 | 14,537,278 | ||||||
2.05% due 04/15/264 | 1,800,000 | 1,805,085 | ||||||
Anthem, Inc. | ||||||||
1.50% due 03/15/26 | 29,000,000 | 29,231,105 | ||||||
Sysco Corp. | ||||||||
5.65% due 04/01/25 | 20,550,000 | 23,626,714 | ||||||
CoStar Group, Inc. | ||||||||
2.80% due 07/15/304 | 15,280,000 | 15,524,560 | ||||||
GXO Logistics, Inc. | ||||||||
1.65% due 07/15/264 | 15,000,000 | 14,885,250 | ||||||
Laboratory Corporation of America Holdings | ||||||||
1.55% due 06/01/26 | 13,700,000 | 13,720,895 | ||||||
BAT International Finance plc | ||||||||
1.67% due 03/25/26 | 13,000,000 | 13,001,812 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
4.63% due 11/01/244 | 8,818,000 | 8,970,992 | ||||||
4.88% due 11/01/264 | 3,750,000 | 3,841,950 | ||||||
Molina Healthcare, Inc. | ||||||||
5.38% due 11/15/22 | 9,500,000 | 9,794,025 | ||||||
4.38% due 06/15/284 | 1,115,000 | 1,156,812 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
3.38% due 08/31/274 | 11,200,000 | 10,768,800 | ||||||
PRA Health Sciences, Inc. | ||||||||
2.88% due 07/15/264 | 10,280,000 | 10,382,800 | ||||||
Altria Group, Inc. | ||||||||
2.35% due 05/06/25 | 8,000,000 | 8,291,992 | ||||||
Automatic Data Processing, Inc. | ||||||||
1.70% due 05/15/2814 | 7,800,000 | 7,881,713 | ||||||
Spectrum Brands, Inc. | ||||||||
5.75% due 07/15/25 | 6,780,000 | 6,949,500 | ||||||
BAT Capital Corp. | ||||||||
4.70% due 04/02/27 | 4,220,000 | 4,764,978 | ||||||
3.56% due 08/15/27 | 2,000,000 | 2,153,784 | ||||||
Jaguar Holding Company II / PPD Development, LP | ||||||||
4.63% due 06/15/254 | 6,400,000 | 6,648,000 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
3.55% due 03/20/30 | 5,350,000 | 5,845,732 | ||||||
3.05% due 01/15/26 | 400,000 | 427,661 | ||||||
Royalty Pharma plc | ||||||||
1.75% due 09/02/27 | 5,150,000 | 5,124,905 | ||||||
Element Fleet Management Corp. | ||||||||
1.60% due 04/06/244 | 5,050,000 | 5,121,992 | ||||||
US Foods, Inc. | ||||||||
6.25% due 04/15/254 | 3,750,000 | 3,933,562 | ||||||
4.75% due 02/15/294 | 1,011,000 | 1,037,539 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
4.13% due 03/25/25 | 4,200,000 | 4,619,376 | ||||||
DaVita, Inc. | ||||||||
4.63% due 06/01/304 | 3,086,000 | 3,174,293 | ||||||
3.75% due 02/15/314 | 800,000 | 779,000 | ||||||
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | ||||||||
5.63% due 08/15/264 | 3,826,000 | 3,933,511 | ||||||
Square, Inc. | ||||||||
2.75% due 06/01/264 | 2,350,000 | 2,382,077 | ||||||
Bunge Limited Finance Corp. | ||||||||
1.63% due 08/17/25 | 1,900,000 | 1,919,084 | ||||||
Hologic, Inc. | ||||||||
3.25% due 02/15/294 | 1,550,000 | 1,555,843 | ||||||
Avantor Funding, Inc. | ||||||||
4.63% due 07/15/284 | 1,050,000 | 1,105,177 | ||||||
Service Corporation International | ||||||||
3.38% due 08/15/30 | 750,000 | 749,063 | ||||||
Sabre GLBL, Inc. | �� | |||||||
7.38% due 09/01/254 | 250,000 | 266,863 | ||||||
9.25% due 04/15/254 | 225,000 | 260,053 | ||||||
Edwards Lifesciences Corp. | ||||||||
4.30% due 06/15/28 | 420,000 | 480,896 | ||||||
Smithfield Foods, Inc. | ||||||||
4.25% due 02/01/274 | 350,000 | 382,470 | ||||||
Total Consumer, Non-cyclical | 276,991,310 | |||||||
Communications - 3.1% | ||||||||
ViacomCBS, Inc. | ||||||||
4.95% due 01/15/31 | 13,560,000 | 16,181,560 | ||||||
4.75% due 05/15/25 | 8,080,000 | 9,042,905 | ||||||
4.20% due 05/19/32 | 4,100,000 | 4,684,325 | ||||||
Verizon Communications, Inc. | ||||||||
2.10% due 03/22/28 | 22,600,000 | 22,921,711 | ||||||
3.00% due 03/22/27 | 2,100,000 | 2,252,722 | ||||||
Level 3 Financing, Inc. | ||||||||
5.38% due 05/01/25 | 11,055,000 | 11,293,374 | ||||||
3.63% due 01/15/294 | 5,070,000 | 4,916,480 | ||||||
5.25% due 03/15/26 | 3,991,000 | 4,118,712 | ||||||
4.25% due 07/01/284 | 2,277,000 | 2,294,601 | ||||||
3.75% due 07/15/294 | 2,150,000 | 2,077,932 | ||||||
NTT Finance Corp. | ||||||||
1.59% due 04/03/284 | 24,000,000 | 23,739,237 | ||||||
T-Mobile USA, Inc. | ||||||||
2.25% due 02/15/264 | 8,150,000 | 8,241,688 | ||||||
3.50% due 04/15/25 | 5,000,000 | 5,384,804 | ||||||
2.63% due 04/15/26 | 3,200,000 | 3,272,000 | ||||||
3.88% due 04/15/30 | 540,000 | 597,191 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
2.25% due 01/15/29 | 11,700,000 | 11,679,958 | ||||||
2.80% due 04/01/31 | 3,250,000 | 3,253,581 | ||||||
Cogent Communications Group, Inc. | ||||||||
3.50% due 05/01/264 | 12,350,000 | 12,519,812 | ||||||
Ziggo BV | ||||||||
4.88% due 01/15/304 | 10,800,000 | 11,100,240 | ||||||
AT&T, Inc. | ||||||||
2.30% due 06/01/27 | 9,000,000 | 9,310,054 | ||||||
Netflix, Inc. | ||||||||
5.50% due 02/15/22 | 8,400,000 | 8,536,080 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Altice France S.A. | ||||||||
7.38% due 05/01/264 | 2,365,000 | $ | 2,454,184 | |||||
Virgin Media Vendor Financing Notes IV DAC | ||||||||
5.00% due 07/15/284 | 1,850,000 | 1,910,773 | ||||||
Thomson Reuters Corp. | ||||||||
3.35% due 05/15/26 | 1,550,000 | 1,672,893 | ||||||
Fox Corp. | ||||||||
3.05% due 04/07/25 | 1,360,000 | 1,447,005 | ||||||
AMC Networks, Inc. | ||||||||
4.75% due 08/01/25 | 500,000 | 512,500 | ||||||
4.25% due 02/15/29 | 225,000 | 223,734 | ||||||
CSC Holdings LLC | ||||||||
4.13% due 12/01/304 | 250,000 | 245,313 | ||||||
3.38% due 02/15/314 | 225,000 | 209,250 | ||||||
TripAdvisor, Inc. | ||||||||
7.00% due 07/15/254 | 400,000 | 424,000 | ||||||
Sirius XM Radio, Inc. | ||||||||
5.50% due 07/01/294 | 75,000 | 81,094 | ||||||
Match Group Holdings II LLC | ||||||||
4.63% due 06/01/284 | 75,000 | 78,188 | ||||||
Total Communications | 186,677,901 | |||||||
Technology - 2.5% | ||||||||
HCL America, Inc. | ||||||||
1.38% due 03/10/264 | 38,700,000 | 38,244,157 | ||||||
Microchip Technology, Inc. | ||||||||
2.67% due 09/01/23 | 22,900,000 | 23,740,742 | ||||||
0.98% due 09/01/244 | 8,750,000 | 8,738,076 | ||||||
NetApp, Inc. | ||||||||
2.38% due 06/22/27 | 17,800,000 | 18,559,842 | ||||||
Infor, Inc. | ||||||||
1.75% due 07/15/254 | 13,800,000 | 13,972,643 | ||||||
1.45% due 07/15/234 | 1,100,000 | 1,111,495 | ||||||
Oracle Corp. | ||||||||
2.30% due 03/25/28 | 12,400,000 | 12,670,669 | ||||||
Fidelity National Information Services, Inc. | ||||||||
1.65% due 03/01/28 | 11,000,000 | 10,850,950 | ||||||
Citrix Systems, Inc. | ||||||||
1.25% due 03/01/26 | 7,250,000 | 7,128,604 | ||||||
Broadcom, Inc. | ||||||||
4.15% due 11/15/30 | 5,790,000 | 6,411,728 | ||||||
NCR Corp. | ||||||||
5.13% due 04/15/294 | 2,850,000 | 2,939,062 | ||||||
Qorvo, Inc. | ||||||||
4.38% due 10/15/29 | 1,380,000 | 1,504,200 | ||||||
3.38% due 04/01/314 | 1,200,000 | 1,265,280 | ||||||
Leidos, Inc. | ||||||||
3.63% due 05/15/25 | 1,950,000 | 2,102,451 | ||||||
Twilio, Inc. | ||||||||
3.63% due 03/15/29 | 994,000 | 1,016,862 | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
3.25% due 02/15/29 | 810,000 | 830,250 | ||||||
MSCI, Inc. | ||||||||
3.88% due 02/15/314 | 379,000 | 397,476 | ||||||
Boxer Parent Company, Inc. | ||||||||
7.13% due 10/02/254 | 150,000 | 160,125 | ||||||
Total Technology | 151,644,612 | |||||||
Consumer, Cyclical - 2.3% | ||||||||
Hyatt Hotels Corp. | ||||||||
1.80% due 10/01/24 | 12,300,000 | 12,325,430 | ||||||
5.38% due 04/23/25 | 5,180,000 | 5,783,902 | ||||||
5.75% due 04/23/30 | 4,320,000 | 5,180,998 | ||||||
Marriott International, Inc. | ||||||||
4.63% due 06/15/30 | 7,320,000 | 8,354,605 | ||||||
5.75% due 05/01/25 | 6,610,000 | 7,556,677 | ||||||
2.13% due 10/03/22 | 2,345,000 | 2,372,874 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00% due 05/01/254 | 12,550,000 | 14,635,663 | ||||||
VF Corp. | ||||||||
2.80% due 04/23/27 | 11,650,000 | 12,365,753 | ||||||
Hanesbrands, Inc. | ||||||||
5.38% due 05/15/254 | 11,633,000 | 12,178,355 | ||||||
Alt-2 Structured Trust | ||||||||
2.95% due 05/14/31†††,7 | 12,230,188 | 12,134,548 | ||||||
Delta Air Lines Inc. / SkyMiles IP Ltd. | ||||||||
4.50% due 10/20/254 | 10,000,000 | 10,699,556 | ||||||
Choice Hotels International, Inc. | ||||||||
3.70% due 01/15/31 | 7,350,000 | 7,925,578 | ||||||
BorgWarner, Inc. | ||||||||
2.65% due 07/01/27 | 5,380,000 | 5,667,407 | ||||||
Hilton Domestic Operating Company, Inc. | ||||||||
3.63% due 02/15/324 | 5,400,000 | 5,319,000 | ||||||
4.00% due 05/01/314 | 300,000 | 304,500 | ||||||
American Airlines Class AA Pass Through Trust | ||||||||
3.35% due 10/15/29 | 2,931,716 | 2,951,402 | ||||||
3.00% due 10/15/28 | 1,792,418 | 1,786,414 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50% due 06/20/274 | 3,350,000 | 3,641,944 | ||||||
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. | ||||||||
5.88% due 03/01/27 | 2,300,000 | 2,397,750 | ||||||
Air Canada | ||||||||
3.88% due 08/15/264 | 2,350,000 | 2,369,858 | ||||||
Lowe’s Companies, Inc. | ||||||||
1.70% due 09/15/28 | 1,650,000 | 1,633,948 | ||||||
Wabash National Corp. | ||||||||
5.50% due 10/01/254 | 925,000 | 937,858 | ||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
5.75% due 04/15/254 | 700,000 | 734,895 | ||||||
Tempur Sealy International, Inc. | ||||||||
4.00% due 04/15/294 | 375,000 | 386,719 | ||||||
Aramark Services, Inc. | ||||||||
5.00% due 02/01/284 | 275,000 | 282,562 | ||||||
Powdr Corp. | ||||||||
6.00% due 08/01/254 | 125,000 | 131,250 | ||||||
Total Consumer, Cyclical | 140,059,446 | |||||||
16 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Basic Materials - 1.4% | ||||||||
Anglo American Capital plc | ||||||||
2.25% due 03/17/284 | 14,000,000 | $ | 13,903,898 | |||||
2.63% due 09/10/304 | 9,370,000 | 9,297,110 | ||||||
4.00% due 09/11/274 | 750,000 | 826,161 | ||||||
5.38% due 04/01/254 | 600,000 | 677,551 | ||||||
Newcrest Finance Pty Ltd. | ||||||||
3.25% due 05/13/304 | 14,960,000 | 15,882,358 | ||||||
Valvoline, Inc. | ||||||||
3.63% due 06/15/314 | 11,161,000 | 11,021,488 | ||||||
4.25% due 02/15/304 | 125,000 | 129,600 | ||||||
Kaiser Aluminum Corp. | ||||||||
4.63% due 03/01/284 | 9,643,000 | 9,956,398 | ||||||
Carpenter Technology Corp. | ||||||||
4.45% due 03/01/23 | 8,405,000 | 8,701,719 | ||||||
6.38% due 07/15/28 | 1,145,000 | 1,231,379 | ||||||
Arconic Corp. | ||||||||
6.00% due 05/15/254 | 7,811,000 | 8,206,861 | ||||||
Nucor Corp. | ||||||||
2.00% due 06/01/25 | 5,000,000 | 5,145,362 | ||||||
Alcoa Nederland Holding BV | ||||||||
5.50% due 12/15/274 | 1,700,000 | 1,824,831 | ||||||
Steel Dynamics, Inc. | ||||||||
2.40% due 06/15/25 | 1,050,000 | 1,092,431 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00% due 07/01/284 | 140,000 | 145,250 | ||||||
Total Basic Materials | 88,042,397 | |||||||
Utilities - 1.1% | ||||||||
Alexander Funding Trust | ||||||||
1.84% due 11/15/234 | 19,050,000 | 19,414,011 | ||||||
CenterPoint Energy, Inc. | ||||||||
0.70% (U.S. Secured Overnight Financing Rate + 0.65%) due 05/13/247 | 10,400,000 | 10,421,216 | ||||||
OGE Energy Corp. | ||||||||
0.70% due 05/26/23 | 10,200,000 | 10,200,792 | ||||||
Entergy Corp. | ||||||||
1.90% due 06/15/28 | 9,100,000 | 8,996,189 | ||||||
Terraform Global Operating LLC | ||||||||
6.13% due 03/01/264 | 6,170,000 | 6,347,388 | ||||||
Southern Co. | ||||||||
1.75% due 03/15/28 | 5,000,000 | 4,940,774 | ||||||
AES Corp. | ||||||||
3.30% due 07/15/254 | 4,250,000 | 4,514,435 | ||||||
Puget Energy, Inc. | ||||||||
2.38% due 06/15/284 | 3,600,000 | 3,597,620 | ||||||
Total Utilities | 68,432,425 | |||||||
Energy - 1.0% | ||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
2.16% due 03/31/344 | 20,000,000 | 19,626,973 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.50% due 05/15/30 | 8,330,000 | 9,592,049 | ||||||
5.63% due 03/01/25 | 500,000 | 566,961 | ||||||
5.00% due 03/15/27 | 300,000 | 344,732 | ||||||
BP Capital Markets plc | ||||||||
4.88%5,6 | 7,500,000 | 8,244,451 | ||||||
Rattler Midstream, LP | ||||||||
5.63% due 07/15/254 | 7,250,000 | 7,549,424 | ||||||
Occidental Petroleum Corp. | ||||||||
5.50% due 12/01/25 | 5,000,000 | 5,537,500 | ||||||
Valero Energy Corp. | ||||||||
2.15% due 09/15/27 | 3,100,000 | 3,120,067 | ||||||
2.85% due 04/15/25 | 1,750,000 | 1,842,497 | ||||||
2.70% due 04/15/23 | 500,000 | 516,081 | ||||||
Magellan Midstream Partners, LP | ||||||||
3.25% due 06/01/30 | 2,120,000 | 2,263,853 | ||||||
NuStar Logistics, LP | ||||||||
4.75% due 02/01/22 | 1,186,000 | 1,188,218 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
7.00% due 06/30/24 | 550,000 | 621,991 | ||||||
Gulfstream Natural Gas System LLC | ||||||||
4.60% due 09/15/254 | 400,000 | 443,270 | ||||||
Parkland Corp. | ||||||||
5.88% due 07/15/274 | 80,000 | 84,800 | ||||||
Total Energy | 61,542,867 | |||||||
Total Corporate Bonds | ||||||||
(Cost $2,015,702,957) | 2,054,483,416 | |||||||
ASSET-BACKED SECURITIES†† - 31.1% | ||||||||
Collateralized Loan Obligations - 20.1% | ||||||||
Shackleton CLO Ltd. | ||||||||
2017-8A, 1.05% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/274,7 | 51,331,785 | 51,319,471 | ||||||
2018-6RA, 1.15% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/284,7 | 28,548,087 | 28,534,558 | ||||||
Cerberus Onshore CLO LLC | ||||||||
2021-4A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/334,7 | 74,300,000 | 74,299,889 | ||||||
THL Credit Lake Shore MM CLO I Ltd. | ||||||||
2021-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/334,7 | 48,500,000 | 48,576,630 | ||||||
2021-1A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/334,7 | 6,250,000 | 6,274,486 | ||||||
BXMT Ltd. | ||||||||
2020-FL2, 0.99% (30 Day Average U.S. Secured Overnight Financing Rate + 1.01%, Rate Floor: 0.90%) due 02/15/384,7 | 25,122,000 | 25,090,439 | ||||||
2020-FL2, 1.24% (30 Day Average U.S. Secured Overnight Financing Rate + 1.26%, Rate Floor: 1.15%) due 02/15/384,7 | 14,310,000 | 14,278,811 | ||||||
2020-FL3, 1.92% (30 Day Average U.S. Secured Overnight Financing Rate + 1.86%, Rate Floor: 1.75%) due 03/15/374,7 | 4,500,000 | 4,497,956 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
2020-FL3, 2.32% (30 Day Average U.S. Secured Overnight Financing Rate + 2.26%, Rate Floor: 2.15%) due 03/15/374,7 | 2,000,000 | $ | 2,005,136 | |||||
2020-FL2, 1.49% (30 Day Average U.S. Secured Overnight Financing Rate + 1.51%, Rate Floor: 1.40%) due 02/15/384,7 | 2,000,000 | 1,995,403 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
2021-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/294,7 | 18,461,195 | 18,470,717 | ||||||
2018-4A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/264,7 | 8,277,916 | 8,279,103 | ||||||
2021-3A, 1.92% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/294,7 | 5,000,000 | 4,999,902 | ||||||
2021-2A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/294,7 | 4,000,000 | 3,961,728 | ||||||
2018-4A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/15/264,7 | 3,500,000 | 3,501,790 | ||||||
2019-3A, 0.98% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/274,7 | 2,781,040 | 2,781,280 | ||||||
Golub Capital Partners Clo 49M Ltd. | ||||||||
2021-49A, 1.63% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/334,7 | 36,500,000 | 36,475,027 | ||||||
CHCP Ltd. | ||||||||
2021-FL1, 1.22% (30 Day Average U.S. Secured Overnight Financing Rate + 1.16%, Rate Floor: 1.05%) due 02/15/384,7 | 34,750,000 | 34,721,074 | ||||||
Diamond CLO Ltd. | ||||||||
2021-1A, 1.33% (3 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 04/25/294,7 | 28,632,252 | 28,639,413 | ||||||
2018-1A, 1.64% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/304,7 | 6,000,000 | 5,994,027 | ||||||
LCM XXIV Ltd. | ||||||||
2021-24A, 1.11% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/304,7 | 31,250,000 | 31,265,628 | ||||||
Golub Capital Partners CLO 54M L.P | ||||||||
2021-54A, 1.65% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/334,7 | 29,000,000 | 29,001,949 | ||||||
Parliament Clo II Ltd. | ||||||||
2021-2A, 1.84% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 08/20/324,7 | 22,250,000 | 22,221,153 | ||||||
2021-2A, 1.50% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/324,7 | 5,250,000 | 5,245,841 | ||||||
2021-2A, 2.70% (3 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 08/20/324,7 | 500,000 | 498,674 | ||||||
Owl Rock CLO IV Ltd. | ||||||||
2021-4A, 1.74% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/334,7 | 24,250,000 | 24,274,158 | ||||||
2021-4A, 2.04% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/334,7 | 3,650,000 | 3,636,280 | ||||||
Golub Capital Partners CLO 16 Ltd. | ||||||||
2021-16A, 1.70% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/334,7 | 27,650,000 | 27,691,754 | ||||||
Golub Capital Partners CLO Ltd. | ||||||||
2018-36A, 1.42% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/314,7 | 27,500,000 | 27,348,084 | ||||||
ABPCI DIRECT LENDING FUND CLO V Ltd. | ||||||||
2021-5A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/314,7 | 15,500,000 | 15,460,929 | ||||||
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/314,7 | 11,500,000 | 11,481,656 | ||||||
HERA Commercial Mortgage Ltd. | ||||||||
2021-FL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/384,7 | 22,750,000 | 22,695,170 | ||||||
2021-FL1, 1.69% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/384,7 | 3,750,000 | 3,738,958 | ||||||
Cerberus Loan Funding XXVI, LP | ||||||||
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/314,7 | 23,000,000 | 22,999,945 | ||||||
2021-1A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/314,7 | 3,250,000 | 3,252,178 | ||||||
LoanCore Issuer Ltd. | ||||||||
2019-CRE2, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/364,7 | 8,550,000 | 8,525,960 | ||||||
2021-CRE4, 1.42% (30 Day Average U.S. Secured Overnight Financing Rate + 1.36%, Rate Floor: 1.25%) due 07/15/354,7 | 7,500,000 | 7,435,122 | ||||||
2018-CRE1, 1.21% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/284,7 | 4,056,267 | 4,054,841 | ||||||
2018-CRE1, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/284,7 | 3,500,000 | 3,498,787 |
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Cerberus Loan Funding XXXI, LP | ||||||||
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/324,7 | 13,500,000 | $ | 13,502,674 | |||||
2021-1A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/324,7 | 9,600,000 | 9,605,178 | ||||||
Golub Capital Partners CLO 33M Ltd. | ||||||||
2021-33A, 1.98% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/334,7 | 23,000,000 | 22,998,825 | ||||||
Madison Park Funding XLVIII Ltd. | ||||||||
2021-48A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/334,7 | 22,000,000 | 21,748,393 | ||||||
MidOcean Credit CLO VII | ||||||||
2020-7A, 1.17% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/294,7 | 20,500,000 | 20,506,351 | ||||||
Dryden 33 Senior Loan Fund | ||||||||
2020-33A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/294,7 | 10,613,479 | 10,611,684 | ||||||
2020-33A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/294,7 | 8,250,000 | 8,234,313 | ||||||
Cerberus Loan Funding XXXII, LP | ||||||||
2021-2A, 1.75% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/334,7 | 14,250,000 | 14,280,910 | ||||||
2021-2A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/334,7 | 4,000,000 | 4,003,613 | ||||||
Cerberus Loan Funding XXX, LP | ||||||||
2020-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/334,7 | 18,000,000 | 18,083,912 | ||||||
ABPCI Direct Lending Fund CLO II LLC | ||||||||
2021-1A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/324,7 | 15,250,000 | 15,230,600 | ||||||
2021-1A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 04/20/324,7 | 2,250,000 | 2,254,976 | ||||||
2021-1A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/324,7 | 300,000 | 300,960 | ||||||
BRSP 2021-FL1 Ltd. | ||||||||
2021-FL1, 2.24% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/384,7 | 10,000,000 | 10,004,452 | ||||||
2021-FL1, 1.99% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/384,7 | 6,400,000 | 6,405,734 | ||||||
Woodmont Trust | ||||||||
2020-7A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/324,7 | 16,250,000 | 16,341,414 | ||||||
ABPCI Direct Lending Fund IX LLC | ||||||||
2020-9A, 2.08% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/314,7 | 15,000,000 | 15,045,088 | ||||||
Venture XIV CLO Ltd. | ||||||||
2020-14A, 1.15% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/294,7 | 15,000,000 | 15,001,289 | ||||||
Fortress Credit Opportunities IX CLO Ltd. | ||||||||
2021-9A due 10/15/334,7 | 11,500,000 | 11,500,000 | ||||||
2017-9A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/294,7 | 2,982,000 | 2,982,000 | ||||||
AMMC CLO XI Ltd. | ||||||||
2020-11A, 1.83% due 04/30/314 | 14,300,000 | 14,279,674 | ||||||
Cerberus Loan Funding XXXIII, LP | ||||||||
2021-3A, 1.69% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/334,7 | 11,500,000 | 11,514,200 | ||||||
2021-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/334,7 | 2,000,000 | 1,999,994 | ||||||
Fortress Credit Opportunities XI CLO Ltd. | ||||||||
2018-11A, 1.30% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/314,7 | 13,450,000 | 13,346,178 | ||||||
GPMT Ltd. | ||||||||
2019-FL2, 1.38% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/364,7 | 12,693,158 | 12,686,361 | ||||||
Parliament Funding II Ltd. | ||||||||
2020-1A, 2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/304,7 | 12,500,000 | 12,546,572 | ||||||
ABPCI Direct Lending Fund CLO I LLC | ||||||||
2021-1A, 1.88% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/334,7 | 12,250,000 | 12,272,431 | ||||||
ACRES Commercial Realty Ltd. | ||||||||
2021-FL1, 1.88% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 06/15/364,7 | 11,200,000 | 11,087,876 | ||||||
Neuberger Berman CLO XVI-S Ltd. | ||||||||
2021-16SA, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/344,7 | 10,200,000 | 10,055,347 | ||||||
KREF | ||||||||
2021-FL2, 1.73% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 02/15/394,7 | 10,000,000 | 10,004,347 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Allegro CLO IX Ltd. | ||||||||
2018-3A, 1.29% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/314,7 | 10,000,000 | $ | 10,000,145 | |||||
Recette CLO Ltd. | ||||||||
2021-1A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/344,7 | 10,000,000 | 9,854,247 | ||||||
Marathon CLO V Ltd. | ||||||||
2017-5A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/274,7 | 9,221,688 | 9,215,496 | ||||||
610 Funding CLO 3 Ltd. | ||||||||
2018-3A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/284,7 | 9,136,694 | 9,137,066 | ||||||
Cerberus Loan Funding XXXV, LP | ||||||||
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/334,7 | 8,000,000 | 8,000,000 | ||||||
GoldenTree Loan Management US CLO 1 Ltd. | ||||||||
2021-9A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/334,7 | 7,000,000 | 6,979,148 | ||||||
2021-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/334,7 | 1,000,000 | 993,620 | ||||||
LoanCore 2021-CRE5 Issuer Ltd. | ||||||||
2021-CRE5, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/364,7 | 7,900,000 | 7,907,054 | ||||||
BDS 2021-FL8 | ||||||||
2021-FL8, 2.00% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/364,7 | 7,000,000 | 7,002,624 | ||||||
KREF Funding V LLC | ||||||||
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,7 | 7,048,133 | 6,976,947 | ||||||
0.15% due 06/25/26†††,8 | 27,272,727 | 33,546 | ||||||
NewStar Fairfield Fund CLO Ltd. | ||||||||
2018-2A, 1.40% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/304,7 | 6,529,571 | 6,477,478 | ||||||
BSPRT Issuer Ltd. | ||||||||
2021-FL6, 2.13% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/364,7 | 5,000,000 | 4,999,996 | ||||||
2018-FL4, 1.13% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 09/15/354,7 | 1,447,092 | 1,444,958 | ||||||
LCCM 2021-FL2 Trust | ||||||||
2021-FL2, 1.98% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/384,7 | 6,000,000 | 6,002,320 | ||||||
MF1 Multifamily Housing Mortgage Loan Trust | ||||||||
2021-FL6, 1.74% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/16/364,7 | 6,000,000 | 5,956,105 | ||||||
Neuberger Berman Loan Advisers CLO 40 Ltd. | ||||||||
2021-40A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/334,7 | 6,000,000 | 5,947,629 | ||||||
CIFC Funding Ltd. | ||||||||
2021-4A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/344,7 | 5,000,000 | 5,007,362 | ||||||
Owl Rock CLO II Ltd. | ||||||||
2021-2A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/334,7 | 5,000,000 | 4,988,598 | ||||||
ACRES Commercial Realty Ltd. | ||||||||
2021-FL1, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/364,7 | 4,800,000 | 4,751,864 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
2018-4A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/314,7 | 4,681,009 | 4,679,791 | ||||||
PFP Ltd. | ||||||||
2021-7, 1.50% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/14/384,7 | 4,599,770 | 4,588,136 | ||||||
VOYA CLO | ||||||||
2021-2A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/304,7 | 4,500,000 | 4,500,412 | ||||||
ACRE Commercial Mortgage Ltd. | ||||||||
2021-FL4, 1.19% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/374,7 | 4,500,000 | 4,488,779 | ||||||
Halcyon Loan Advisors Funding Ltd. | ||||||||
2017-3A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/274,7 | 4,220,586 | 4,220,111 | ||||||
PFP Ltd. | ||||||||
2021-7, 2.50% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/384,7 | 4,104,795 | 4,110,032 | ||||||
Avery Point VI CLO Ltd. | ||||||||
2021-6A, 1.47% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/05/274,7 | 4,000,000 | 3,995,998 | ||||||
Neuberger Berman Loan Advisers CLO 32 Ltd. | ||||||||
2021-32A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/324,7 | 4,000,000 | 3,995,861 |
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Magnetite XXIX Ltd. | ||||||||
2021-29A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/344,7 | 4,000,000 | $ | 3,988,411 | |||||
Owl Rock CLO VI Ltd. | ||||||||
2021-6A, 1.87% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/324,7 | 3,500,000 | 3,489,712 | ||||||
FS RIALTO | ||||||||
2021-FL2, 2.14% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/16/284,7 | 3,250,000 | 3,251,437 | ||||||
AMMC CLO XIV Ltd. | ||||||||
2021-14A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/294,7 | 3,250,000 | 3,249,836 | ||||||
STWD Ltd. | ||||||||
2019-FL1, 2.03% (30 Day Average U.S. Secured Overnight Financing Rate + 2.06%, Rate Floor: 1.95%) due 07/15/384,7 | 3,200,000 | 3,202,216 | ||||||
Golub Capital Partners CLO 17 Ltd. | ||||||||
2017-17A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/304,7 | 2,500,000 | 2,500,342 | ||||||
TRTX Issuer Ltd. | ||||||||
2019-FL3, 1.23% (30 Day Average U.S. Secured Overnight Financing Rate + 1.26%, Rate Floor: 1.15%) due 10/15/344,7 | 2,243,000 | 2,241,942 | ||||||
Greystone Commercial Real Estate Notes | ||||||||
2021-FL3, 1.73% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/394,7 | 2,200,000 | 2,199,008 | ||||||
STWD Ltd. | ||||||||
2021-FL2, 1.88% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/384,7 | 2,187,000 | 2,185,277 | ||||||
HGI CRE CLO Ltd. | ||||||||
2021-FL2, 1.85% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/19/264,7 | 2,000,000 | 2,000,000 | ||||||
Wind River CLO Ltd. | ||||||||
2017-2A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/274,7 | 1,832,777 | 1,832,616 | ||||||
Marathon CLO VII Ltd. | ||||||||
2017-7A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/28/254,7 | 1,576,808 | 1,576,706 | ||||||
BDS Ltd. | ||||||||
2020-FL5, 1.97% (30 Day Average U.S. Secured Overnight Financing Rate + 1.91%, Rate Floor: 1.80%) due 02/16/374,7 | 1,400,000 | 1,399,330 | ||||||
Newfleet CLO Ltd. | ||||||||
2018-1A, 1.08% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/284,7 | 1,395,932 | 1,395,066 | ||||||
Dryden 37 Senior Loan Fund | ||||||||
2015-37A, due 01/15/314,9 | 1,500,000 | 1,270,386 | ||||||
Northwoods Capital XII-B Ltd. | ||||||||
2018-12BA, 0.87% (3 Month USD LIBOR + 0.75%, Rate Floor: 0.75%) due 06/15/314,7 | 1,093,750 | 1,091,812 | ||||||
Treman Park CLO Ltd. | ||||||||
2015-1A, due 10/20/284,9 | 1,000,000 | 816,507 | ||||||
Oaktree CLO Ltd. | ||||||||
2017-1A, 1.00% (3 Month USD LIBOR + 0.87%) due 10/20/274,7 | 791,504 | 791,445 | ||||||
KVK CLO Ltd. | ||||||||
2017-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/284,7 | 703,197 | 703,197 | ||||||
TCP Waterman CLO Ltd. | ||||||||
2016-1A, 2.17% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 12/15/284,7 | 663,174 | 663,174 | ||||||
Newstar Commercial Loan Funding LLC | ||||||||
2017-1A, 2.62% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 03/20/274,7 | 540,918 | 541,012 | ||||||
Mountain View CLO Ltd. | ||||||||
2018-1A, 0.93% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/264,7 | 390,138 | 390,089 | ||||||
LCM XXII Ltd. | ||||||||
2018-22A, 0.73% (3 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 10/20/284,7 | 90,278 | 90,268 | ||||||
Copper River CLO Ltd. | ||||||||
2007-1A, due 01/20/219,10 | 500,000 | 17,115 | ||||||
OHA Credit Partners IX Ltd. | ||||||||
2013-9A, due 10/20/254,9 | 301,370 | 338 | ||||||
Total Collateralized Loan Obligations | 1,224,601,818 | |||||||
Financial - 3.4% | ||||||||
Station Place Securitization Trust | ||||||||
2020-16, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,4,7 | 30,000,000 | 30,000,000 | ||||||
2021-9, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 06/20/22†††,4,7 | 29,450,000 | 29,450,000 | ||||||
2021-3, 0.98% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,4,7 | 10,300,000 | 10,300,000 | ||||||
2021-SP1, 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,4,7 | 3,000,000 | 3,000,000 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
2021-WL2, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 03/25/54†††,4,7 | 2,000,000 | $ | 2,000,000 | |||||
2021-WL1, 0.94% (1 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 01/26/54†††,4,7 | 1,650,000 | 1,650,000 | ||||||
2021-WL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 01/26/54†††,4,7 | 1,250,000 | 1,250,000 | ||||||
2021-15, 0.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 09/26/224,7 | 61,500,000 | 61,500,000 | ||||||
Strategic Partners Fund VIII LP | ||||||||
2.59% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/10/25†††,7 | 23,500,000 | 23,500,470 | ||||||
3.09% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/10/25†††,7 | 4,000,000 | 4,000,360 | ||||||
HV Eight LLC | ||||||||
2.90% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25†††,7 | EUR | 21,000,000 | 24,294,265 | |||||
Madison Avenue Secured Funding Trust Series | ||||||||
2020-1, 1.71% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,4,7 | 8,000,000 | 8,000,000 | ||||||
Ceamer Finance LLC | ||||||||
3.69% due 03/22/31††† | 4,500,000 | 4,417,560 | ||||||
KKR Core Holding Company LLC | ||||||||
4.00% due 07/15/31††† | 3,650,000 | 3,600,725 | ||||||
Aesf Vi Verdi, LP | ||||||||
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24†††,7 | EUR | 2,163,556 | 2,505,134 | |||||
Total Financial | 209,468,514 | |||||||
Transport-Container - 1.9% | ||||||||
Triton Container Finance VIII LLC | ||||||||
2021-1A, 1.86% due 03/20/464 | 38,778,750 | 38,406,749 | ||||||
CLI Funding VI LLC | ||||||||
2020-3A, 2.07% due 10/18/454 | 16,783,333 | 16,867,062 | ||||||
2020-1A, 2.08% due 09/18/454 | 1,780,000 | 1,789,502 | ||||||
CLI Funding VIII LLC | ||||||||
2021-1A, 1.64% due 02/18/464 | 17,660,268 | 17,404,892 | ||||||
TIF Funding II LLC | ||||||||
2021-1A, 1.65% due 02/20/464 | 17,354,500 | 16,968,085 | ||||||
Textainer Marine Containers VII Ltd. | ||||||||
2021-1A, 1.68% due 02/20/464 | 10,772,667 | 10,601,678 | ||||||
2020-1A, 2.73% due 08/21/454 | 5,148,050 | 5,216,635 | ||||||
Textainer Marine Containers VIII Ltd. | ||||||||
2020-2A, 2.10% due 09/20/454 | 4,525,663 | 4,563,875 | ||||||
CAL Funding IV Ltd. | ||||||||
2020-1A, 2.22% due 09/25/454 | 3,431,250 | 3,458,276 | ||||||
Total Transport-Container | 115,276,754 | |||||||
Net Lease - 1.5% | ||||||||
Oak Street Investment Grade Net Lease Fund Series | ||||||||
2020-1A, 1.85% due 11/20/504 | 40,157,800 | 40,477,994 | ||||||
Capital Automotive LLC | ||||||||
2017-1A, 3.87% due 04/15/474 | 15,279,091 | 15,316,831 | ||||||
STORE Master Funding I LLC | ||||||||
2015-1A, 4.17% due 04/20/454 | 10,356,708 | 10,788,300 | ||||||
STORE Master Funding LLC | ||||||||
2021-1A, 2.86% due 06/20/514 | 6,941,313 | 6,977,184 | ||||||
CF Hippolyta LLC | ||||||||
2021-1A, 1.98% due 03/15/614 | 6,064,264 | 6,077,416 | ||||||
CMFT Net Lease Master Issuer LLC | ||||||||
2021-1, 2.91% due 07/20/514 | 3,000,000 | 2,995,542 | ||||||
2021-1, 2.51% due 07/20/514 | 2,500,000 | 2,487,827 | ||||||
CARS-DB4, LP | ||||||||
2020-1A, 3.19% due 02/15/504 | 3,990,833 | 4,079,822 | ||||||
2020-1A, 3.25% due 02/15/504 | 907,021 | 951,784 | ||||||
Capital Automotive REIT | ||||||||
2020-1A, 3.48% due 02/15/504 | 1,995,417 | 2,052,801 | ||||||
Total Net Lease | 92,205,501 | |||||||
Whole Business - 1.4% | ||||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
2019-1A, 4.19% due 06/07/494 | 25,389,540 | 25,832,080 | ||||||
Taco Bell Funding LLC | ||||||||
2021-1A, 1.95% due 08/25/514 | 18,750,000 | 18,729,169 | ||||||
SERVPRO Master Issuer LLC | ||||||||
2019-1A, 3.88% due 10/25/494 | 6,140,625 | 6,399,059 | ||||||
2021-1A, 2.39% due 04/25/514 | 5,985,000 | 6,009,586 | ||||||
ServiceMaster Funding LLC | ||||||||
2020-1, 2.84% due 01/30/514 | 9,203,750 | 9,363,536 | ||||||
Wingstop Funding LLC | ||||||||
2020-1A, 2.84% due 12/05/504 | 7,820,700 | 8,041,111 | ||||||
Arbys Funding LLC | ||||||||
2020-1A, 3.24% due 07/30/504 | 7,177,500 | 7,440,699 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
2019-1A, 3.67% due 10/25/494 | 1,723,750 | 1,850,984 | ||||||
Total Whole Business | 83,666,224 | |||||||
Transport-Aircraft - 1.3% | ||||||||
AASET US Ltd. | ||||||||
2018-2A, 4.45% due 11/18/384 | 15,581,927 | 15,134,760 | ||||||
Sapphire Aviation Finance I Ltd. | ||||||||
2018-1A, 4.25% due 03/15/404 | 10,097,914 | 9,970,482 | ||||||
KDAC Aviation Finance Ltd. | ||||||||
2017-1A, 4.21% due 12/15/424 | 9,356,679 | 9,321,580 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
2018-1, 4.13% due 06/15/434 | 8,016,896 | 7,994,902 | ||||||
MAPS Ltd. | ||||||||
2018-1A, 4.21% due 05/15/434 | 7,182,656 | 7,242,455 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
2021-1A, 3.47% due 01/15/464 | 6,981,126 | 7,210,660 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
2020-1A, 3.23% due 03/15/404 | 6,985,044 | 6,925,900 | ||||||
AIM Aviation Finance Ltd. | ||||||||
2015-1A, 4.21% due 02/15/404 | 4,605,630 | 3,910,640 | ||||||
Falcon Aerospace Ltd. | ||||||||
2019-1, 3.60% due 09/15/394 | 2,676,843 | 2,653,610 | ||||||
2017-1, 4.58% due 02/15/424 | 1,099,706 | 1,095,673 |
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Raspro Trust | ||||||||
2005-1A, 0.93% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/244,7 | 3,278,415 | $ | 3,278,412 | |||||
AASET Trust | ||||||||
2017-1A, 3.97% due 05/16/424 | 3,469,248 | 3,181,107 | ||||||
Total Transport-Aircraft | 77,920,181 | |||||||
Collateralized Debt Obligations - 0.8% | ||||||||
Anchorage Credit Funding 4 Ltd. | ||||||||
2021-4A, 2.72% due 04/27/394 | 24,650,000 | 24,653,476 | ||||||
Anchorage Credit Funding Ltd. | ||||||||
2021-13A, 2.88% due 07/27/394 | 8,500,000 | 8,501,591 | ||||||
2021-13A, 3.15% due 07/27/394 | 8,050,000 | 8,043,929 | ||||||
Anchorage Credit Funding 3 Ltd. | ||||||||
2021-3A, 2.87% due 01/28/394 | 9,750,000 | 9,750,306 | ||||||
Total Collateralized Debt Obligations | 50,949,302 | |||||||
Infrastructure - 0.6% | ||||||||
VB-S1 Issuer LLC | ||||||||
2020-1A, 3.03% due 06/15/504 | 31,500,000 | 32,829,618 | ||||||
Secured Tenant Site Contract Revenue Notes Series | ||||||||
2018-1A, 3.97% due 06/15/484 | 7,051,311 | 7,181,500 | ||||||
Total Infrastructure | 40,011,118 | |||||||
Single Family Residence - 0.1% | ||||||||
FirstKey Homes Trust | ||||||||
2021-SFR1, 2.19% due 08/17/384 | 4,000,000 | 3,981,629 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $1,897,721,560) | 1,898,081,041 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 18.7% | ||||||||
Residential Mortgage Backed Securities - 13.4% | ||||||||
CSMC Trust | ||||||||
2021-RPL1, 1.67% (WAC) due 09/27/604,7 | 39,385,120 | 39,491,042 | ||||||
2020-RPL5, 3.02% (WAC) due 08/25/604,7 | 16,643,715 | 16,871,597 | ||||||
2021-RPL4, 1.80% (WAC) due 12/27/604,7 | 9,957,763 | 9,989,013 | ||||||
2018-RPL9, 3.85% (WAC) due 09/25/574,7 | 8,246,970 | 8,555,470 | ||||||
2020-NQM1, 1.41% due 05/25/654,11 | 4,852,640 | 4,868,665 | ||||||
OSAT Trust | ||||||||
2021-RPL1, 2.12% due 05/25/654,11 | 53,649,438 | 53,645,044 | ||||||
NYMT Loan Trust 2021-SP1 | ||||||||
2021-SP1, 1.67% due 08/25/614,11 | 45,642,503 | 45,569,808 | ||||||
NRZ Advance Receivables Trust | ||||||||
2020-T2, 1.48% due 09/15/534 | 28,950,000 | 28,983,009 | ||||||
2020-T3, 1.32% due 10/15/524 | 12,450,000 | 12,459,285 | ||||||
Legacy Mortgage Asset Trust | ||||||||
2021-GS3, 1.75% due 07/25/614,11 | 26,311,974 | 26,333,337 | ||||||
2021-GS2, 1.75% due 04/25/614,11 | 10,183,482 | 10,193,361 | ||||||
Ocwen Master Advance Receivables Trust | ||||||||
2020-T1, 1.28% due 08/15/524 | 33,150,000 | 33,133,011 | ||||||
BRAVO Residential Funding Trust 2021-C | ||||||||
2021-C, 1.62% due 03/01/614,11 | 30,000,000 | 29,986,572 | ||||||
Towd Point Mortgage Trust | ||||||||
2017-6, 2.75% (WAC) due 10/25/574,7 | 13,486,663 | 13,747,418 | ||||||
2018-2, 3.25% (WAC) due 03/25/584,7 | 7,321,962 | 7,518,983 | ||||||
2017-5, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/574,7 | 5,676,978 | 5,676,934 | ||||||
2018-1, 3.00% (WAC) due 01/25/584,7 | 1,033,584 | 1,054,675 | ||||||
PRPM LLC | ||||||||
2021-5, 1.79% due 06/25/264,11 | 27,028,896 | 27,052,195 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes | ||||||||
2020-T1, 1.43% due 08/15/534 | 15,750,000 | 15,737,274 | ||||||
2020-APT1, 1.04% due 12/16/524 | 10,900,000 | 10,897,218 | ||||||
FKRT | ||||||||
2.21% due 11/30/58 | 25,700,000 | 25,706,939 | ||||||
Verus Securitization Trust | ||||||||
2020-5, 1.58% due 05/25/654,11 | 10,491,873 | 10,538,045 | ||||||
2021-3, 1.44% (WAC) due 06/25/664,7 | 6,458,920 | 6,451,265 | ||||||
2019-4, 2.64% due 11/25/594,11 | 4,798,080 | 4,867,825 | ||||||
2020-1, 2.42% due 01/25/604,11 | 2,964,912 | 3,000,284 | ||||||
Legacy Mortgage Asset Trust | ||||||||
2021-GS4, 1.65% due 11/25/604,11 | 23,565,671 | 23,533,264 | ||||||
LSTAR Securities Investment Ltd. | ||||||||
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/267,10 | 11,467,486 | 11,502,405 | ||||||
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/267,10 | 7,147,585 | 7,150,523 | ||||||
Soundview Home Loan Trust | ||||||||
2006-OPT5, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/367 | 13,778,102 | 13,578,883 | ||||||
2005-OPT3, 0.79% (1 Month USD LIBOR + 0.71%, Rate Floor: 0.71%) due 11/25/357 | 3,197,612 | 3,199,697 | ||||||
2006-1, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 02/25/367 | 1,855,339 | 1,855,548 | ||||||
CSMC Trust | ||||||||
2021-RPL7, 1.93% due 06/27/614 | 16,800,000 | 16,807,056 | ||||||
BRAVO Residential Funding Trust | ||||||||
2021-HE2, 0.90% (30 Day Average U.S. Secured Overnight Financing Rate + 0.85%, Rate Floor: 0.00%) due 11/25/694,7 | 4,730,744 | 4,730,743 | ||||||
2019-NQM1, 2.67% (WAC) due 07/25/594,7 | 3,975,939 | 3,992,235 | ||||||
2021-HE1, 1.00% (30 Day Average U.S. Secured Overnight Financing Rate + 0.95%, Rate Floor: 0.00%) due 01/25/704,7 | 3,912,481 | 3,909,700 | ||||||
2021-HE1, 0.90% (30 Day Average U.S. Secured Overnight Financing Rate + 0.85%, Rate Floor: 0.00%) due 01/25/704,7 | 2,937,680 | 2,937,680 | ||||||
2019-NQM2, 2.75% (WAC) due 11/25/594,7 | 1,105,969 | 1,112,838 | ||||||
New Residential Mortgage Loan Trust | ||||||||
2018-2A, 3.50% (WAC) due 02/25/584,7 | 9,252,070 | 9,616,360 | ||||||
2018-1A, 4.00% (WAC) due 12/25/574,7 | 2,675,351 | 2,854,831 | ||||||
2019-6A, 3.50% (WAC) due 09/25/594,7 | 1,988,669 | 2,091,712 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
2017-5A, 1.59% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 06/25/574,7 | 888,024 | $ | 893,541 | |||||
FKRT | ||||||||
2020-C2A, 3.25% due 12/30/23†††,10 | 15,055,608 | 15,055,608 | ||||||
PRPM 2021-8 LLC | ||||||||
2021-8, 1.74% (WAC) due 09/25/264,7 | 15,000,000 | 14,981,180 | ||||||
Home Equity Loan Trust | ||||||||
2007-FRE1, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/377 | 14,811,221 | 14,153,194 | ||||||
Cascade Funding Mortgage Trust | ||||||||
2018-RM2, 4.00% (WAC) due 10/25/687,10 | 8,450,587 | 8,767,568 | ||||||
2019-RM3, 2.80% (WAC) due 06/25/697,10 | 2,744,136 | 2,783,216 | ||||||
Structured Asset Securities Corporation Mortgage Loan Trust | ||||||||
2008-BC4, 0.72% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/377 | 9,131,631 | 9,115,864 | ||||||
2006-BC4, 0.43% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/367 | 979,699 | 969,289 | ||||||
2007-BC1, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 02/25/377 | 127,583 | 126,031 | ||||||
ZH Trust | ||||||||
2021-2, 2.35% due 10/17/274 | 10,000,000 | 9,994,200 | ||||||
NovaStar Mortgage Funding Trust Series | ||||||||
2007-2, 0.29% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/377 | 9,662,667 | 9,518,868 | ||||||
Verus Securitization Trust 2021-4 | ||||||||
2021-4, 1.35% (WAC) due 07/25/664,7 | 9,224,300 | 9,219,045 | ||||||
Verus Securitization Trust 2021-5 | ||||||||
2021-5, 1.37% (WAC) due 09/25/664,7 | 8,700,000 | 8,695,734 | ||||||
Alternative Loan Trust | ||||||||
2007-OA7, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 05/25/477 | 6,011,013 | 5,759,561 | ||||||
2007-OH3, 0.38% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.00%/0.29%) due 09/25/477 | 2,597,655 | 2,499,446 | ||||||
Banc of America Funding Trust | ||||||||
2015-R2, 0.35% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/374,7 | 7,477,745 | 7,360,213 | ||||||
CFMT LLC | ||||||||
2021-HB5, 1.37% (WAC) due 02/25/314,7 | 6,950,000 | 6,937,191 | ||||||
American Home Mortgage Investment Trust | ||||||||
2006-3, 0.45% (1 Month USD LIBOR + 0.36%, Rate Cap/Floor: 10.50%/0.36%) due 12/25/467 | 6,794,368 | 6,589,020 | ||||||
CIT Mortgage Loan Trust | ||||||||
2007-1, 1.44% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/374,7 | 5,951,113 | 6,001,295 | ||||||
2007-1, 1.54% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 10/25/374,7 | 213,450 | 214,595 | ||||||
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series | ||||||||
2005-W2, 0.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/357 | 5,774,936 | 5,777,036 | ||||||
Bear Stearns Asset Backed Securities I Trust | ||||||||
2006-HE9, 0.28% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/367 | 5,582,402 | 5,502,798 | ||||||
GS Mortgage-Backed Securities Trust | ||||||||
2020-NQM1, 1.38% (WAC) due 09/27/604,7 | 5,186,021 | 5,196,786 | ||||||
Morgan Stanley ABS Capital I Incorporated Trust | ||||||||
2007-HE3, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 12/25/367 | 2,639,511 | 1,770,805 | ||||||
2007-HE3, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/367 | 1,890,945 | 1,255,644 | ||||||
2007-HE5, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/377 | 1,821,030 | 1,041,492 | ||||||
2006-NC1, 0.66% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/357 | 963,157 | 963,645 | ||||||
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series | ||||||||
2005-R10, 0.73% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 01/25/367 | 4,663,162 | 4,660,057 | ||||||
Securitized Asset Backed Receivables LLC Trust | ||||||||
2007-HE1, 0.20% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 12/25/367 | 13,686,397 | 4,485,792 | ||||||
HarborView Mortgage Loan Trust | ||||||||
2006-14, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/477 | 2,535,863 | 2,409,282 | ||||||
2006-12, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/387 | 2,128,269 | 2,059,414 | ||||||
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series | ||||||||
2005-WHQ3, 1.03% (1 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 06/25/357 | 4,388,106 | 4,409,200 | ||||||
BRAVO Residential Funding Trust | ||||||||
2021-HE2, 1.10% (30 Day Average U.S. Secured Overnight Financing Rate + 1.05%, Rate Floor: 0.00%) due 11/25/694,7 | 4,344,117 | 4,344,117 | ||||||
Morgan Stanley Home Equity Loan Trust | ||||||||
2006-2, 0.65% (1 Month USD LIBOR + 0.56%, Rate Floor: 0.56%) due 02/25/367 | 4,078,383 | 4,061,924 |
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
ZH Trust | ||||||||
2021-1, 2.25% due 02/18/274 | 4,000,000 | $ | 4,004,404 | |||||
First NLC Trust | ||||||||
2005-4, 0.87% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/367 | 3,918,478 | 3,902,567 | ||||||
Starwood Mortgage Residential Trust | ||||||||
2020-1, 2.28% (WAC) due 02/25/504,7 | 3,778,846 | 3,811,304 | ||||||
SPS Servicer Advance Receivables Trust | ||||||||
2020-T2, 1.83% due 11/15/554 | 3,750,000 | 3,779,169 | ||||||
IXIS Real Estate Capital Trust | ||||||||
2006-HE1, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/367 | 5,424,258 | 3,602,687 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
2006-6, 0.43% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 09/25/367 | 2,855,992 | 2,847,252 | ||||||
2006-5, 0.67% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 08/25/367 | 648,794 | 645,306 | ||||||
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG | ||||||||
2006-HE1, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/367 | 3,350,000 | 3,322,247 | ||||||
Ellington Financial Mortgage Trust | ||||||||
2021-2, 1.67% (WAC) due 06/25/664,7 | 3,190,206 | 3,192,730 | ||||||
Structured Asset Investment Loan Trust | ||||||||
2006-3, 0.39% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/367 | 2,785,401 | 2,749,991 | ||||||
2005-2, 0.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 03/25/357 | 227,143 | 226,841 | ||||||
2005-1, 0.81% (1 Month USD LIBOR + 0.72%, Rate Floor: 0.72%) due 02/25/354,7 | 52,710 | 52,742 | ||||||
Residential Mortgage Loan Trust | ||||||||
2020-1, 2.38% (WAC) due 02/25/244,7 | 2,917,170 | 2,937,367 | ||||||
Nationstar Home Equity Loan Trust | ||||||||
2007-B, 0.31% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 04/25/377 | 2,924,362 | 2,915,577 | ||||||
Finance of America HECM Buyout | ||||||||
2021-HB1, 1.59% (WAC) due 02/25/314,7 | 2,850,000 | 2,845,695 | ||||||
Ellington Financial Mortgage Trust | ||||||||
2020-2, 1.64% (WAC) due 10/25/654,7 | 2,544,076 | 2,552,539 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
2019-IMC1, 2.72% (WAC) due 07/25/494,7 | 1,477,160 | 1,489,175 | ||||||
2007-WFH2, 0.69% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 03/25/377 | 1,019,088 | 1,017,699 | ||||||
FBR Securitization Trust | ||||||||
2005-2, 0.84% (1 Month USD LIBOR + 0.75%, Rate Cap/Floor: 14.00%/0.75%) due 09/25/357 | 2,335,146 | 2,335,988 | ||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||
2006-CB2, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/367 | 2,361,162 | 2,322,554 | ||||||
MFRA Trust | ||||||||
2021-INV1, 1.26% (WAC) due 01/25/564,7 | 2,236,784 | 2,236,935 | ||||||
GSAA Home Equity Trust | ||||||||
2006-3, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/367 | 2,754,652 | 1,833,864 | ||||||
ACE Securities Corporation Home Equity Loan Trust Series | ||||||||
2005-HE2, 1.11% (1 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 04/25/357 | 1,666,365 | 1,670,351 | ||||||
CSMC Series | ||||||||
2015-12R, 0.59% (WAC) due 11/30/374,7 | 1,435,488 | 1,434,141 | ||||||
2014-2R, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/464,7 | 116,835 | 115,542 | ||||||
COLT Mortgage Loan Trust | ||||||||
2021-2, 2.38% (WAC) due 08/25/664,7 | 1,500,000 | 1,491,669 | ||||||
Lehman XS Trust Series | ||||||||
2006-16N, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 11/25/467 | 1,539,919 | 1,485,815 | ||||||
Homeward Opportunities Fund I Trust | ||||||||
2019-3, 2.68% (WAC) due 11/25/594,7 | 1,241,307 | 1,248,874 | ||||||
JP Morgan Mortgage Acquisition Trust | ||||||||
2006-HE2, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/367 | 1,239,762 | 1,236,438 | ||||||
Morgan Stanley Capital I Incorporated Trust | ||||||||
2006-HE1, 0.67% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/367 | 1,075,568 | 1,065,852 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
2006-8, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/367 | 2,544,150 | 993,459 | ||||||
First Franklin Mortgage Loan Trust | ||||||||
2004-FF10, 1.36% (1 Month USD LIBOR + 1.28%, Rate Floor: 1.28%) due 07/25/347 | 707,743 | 709,789 | ||||||
Nomura Resecuritization Trust | ||||||||
2015-4R, 1.38% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/364,7 | 696,386 | 702,807 | ||||||
UCFC Manufactured Housing Contract | ||||||||
1997-2, 7.38% due 10/15/28 | 155,293 | 157,926 | ||||||
GE-WMC Asset-Backed Pass-Through Certificates Series | ||||||||
2005-2, 0.59% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 12/25/357 | 142,763 | 142,647 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
2010-R5, 1.76% due 06/26/364 | 64,793 | 60,312 | ||||||
Total Residential Mortgage Backed Securities | 815,914,650 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Government Agency - 3.9% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/10/2115 | 178,900,000 | $ | 184,001,512 | |||||
Freddie Mac Multifamily Structured Pass-Through Certificates | ||||||||
2018-K074, 3.60% due 02/25/28 | 14,000,000 | 15,718,566 | ||||||
2021-KJ33, 1.57% due 07/25/32 | 9,100,000 | 9,157,243 | ||||||
2018-K078, 3.92% due 06/25/28 | 3,350,000 | 3,847,147 | ||||||
2013-K035, 0.47% (WAC) due 08/25/237,8 | 99,818,553 | 585,486 | ||||||
Fannie Mae | ||||||||
3.59% due 02/01/29 | 10,200,000 | 11,171,605 | ||||||
1.71% due 08/01/31 | 3,751,000 | 3,694,320 | ||||||
3.21% due 08/01/27 | 2,088,450 | 2,288,090 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust | ||||||||
2020-3, 2.00% due 05/25/60 | 4,127,420 | 4,143,110 | ||||||
2020-2, 2.00% due 11/25/59 | 2,422,194 | 2,441,519 | ||||||
Fannie Mae-Aces | ||||||||
2020-M23, 1.74% due 03/25/35 | 3,840,000 | 3,739,325 | ||||||
2020-M23, 1.58% (WAC) due 03/25/357,8 | 8,686,052 | 1,102,254 | ||||||
Total Government Agency | 241,890,177 | |||||||
Commercial Mortgage Backed Securities - 1.4% | ||||||||
BX Commercial Mortgage Trust | ||||||||
2021-VOLT, 1.75% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/364,7 | 25,000,000 | 25,015,668 | ||||||
BXHPP Trust | ||||||||
2021-FILM, 1.18% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/364,7 | 8,250,000 | 8,257,423 | ||||||
Life Mortgage Trust | ||||||||
2021-BMR, 1.48% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/384,7 | 7,000,000 | 7,013,315 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2017-C38, 1.16% (WAC) due 07/15/507,8 | 24,552,903 | 1,121,938 | ||||||
2016-C37, 1.07% (WAC) due 12/15/497,8 | 31,814,213 | 976,652 | ||||||
2017-C42, 1.03% (WAC) due 12/15/507,8 | 14,716,544 | 704,275 | ||||||
2017-RB1, 1.40% (WAC) due 03/15/507,8 | 9,288,283 | 525,703 | ||||||
2015-LC22, 0.93% (WAC) due 09/15/587,8 | 20,204,831 | 521,729 | ||||||
2016-NXS5, 1.59% (WAC) due 01/15/597,8 | 5,294,807 | 266,315 | ||||||
Extended Stay America Trust | ||||||||
2021-ESH, 1.78% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/384,7 | 3,979,298 | 4,006,848 | ||||||
KKR Industrial Portfolio Trust | ||||||||
2021-KDIP, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/374,7 | 3,550,000 | 3,547,860 | ||||||
Motel Trust | ||||||||
2021-MTL6, 1.30% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 09/15/384,7 | 3,250,000 | 3,256,220 | ||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
2016-C4, 0.88% (WAC) due 12/15/497,8 | 37,809,920 | 1,293,356 | ||||||
2018-C8, 0.79% (WAC) due 06/15/517,8 | 42,097,029 | 1,273,258 | ||||||
2016-C2, 1.71% (WAC) due 06/15/497,8 | 7,141,676 | 377,935 | ||||||
2017-C5, 1.09% (WAC) due 03/15/507,8 | 3,373,707 | 141,181 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
2016-JP2, 1.94% (WAC) due 08/15/497,8 | 35,340,289 | 2,527,470 | ||||||
COMM Mortgage Trust | ||||||||
2015-CR24, 0.90% (WAC) due 08/10/487,8 | 61,231,517 | 1,559,536 | ||||||
2018-COR3, 0.58% (WAC) due 05/10/517,8 | 35,383,891 | 954,834 | ||||||
Banc of America Commercial Mortgage Trust | ||||||||
2017-BNK3, 1.24% (WAC) due 02/15/507,8 | 32,627,527 | 1,474,007 | ||||||
2016-UB10, 1.99% (WAC) due 07/15/497,8 | 14,589,471 | 981,423 | ||||||
BENCHMARK Mortgage Trust | ||||||||
2018-B2, 0.55% (WAC) due 02/15/517,8 | 122,084,672 | 2,360,263 | ||||||
DBJPM Mortgage Trust | ||||||||
2017-C6, 1.11% (WAC) due 06/10/507,8 | 58,043,068 | 2,325,112 | ||||||
UBS Commercial Mortgage Trust | ||||||||
2017-C2, 1.20% (WAC) due 08/15/507,8 | 28,498,692 | 1,343,089 | ||||||
2017-C5, 1.14% (WAC) due 11/15/507,8 | 13,661,635 | 588,310 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
2017-C34, 0.92% (WAC) due 11/15/527,8 | 23,941,716 | 926,870 | ||||||
2015-C27, 1.03% (WAC) due 12/15/477,8 | 30,848,595 | 864,816 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
2019-C15, 1.21% (WAC) due 03/15/527,8 | 19,863,037 | 1,182,451 | ||||||
2016-C6, 2.03% (WAC) due 01/15/497,8 | 6,318,280 | 453,921 | ||||||
BBCMS Mortgage Trust | ||||||||
2018-C2, 0.93% (WAC) due 12/15/517,8 | 29,712,888 | 1,420,659 | ||||||
BAMLL Commercial Mortgage Securities Trust | ||||||||
2012-PARK, 2.96% due 12/10/304 | 1,300,000 | 1,332,420 | ||||||
CD Mortgage Trust | ||||||||
2017-CD6, 1.06% (WAC) due 11/13/507,8 | 14,033,069 | 542,138 | ||||||
2016-CD1, 1.53% (WAC) due 08/10/497,8 | 6,202,772 | 334,861 | ||||||
CD Commercial Mortgage Trust | ||||||||
2017-CD4, 1.44% (WAC) due 05/10/507,8 | 16,688,375 | 850,151 | ||||||
CGMS Commercial Mortgage Trust | ||||||||
2017-B1, 0.96% (WAC) due 08/15/507,8 | 21,841,189 | 808,725 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2016-C2, 1.89% (WAC) due 08/10/497,8 | 6,525,525 | 449,052 | ||||||
2016-GC37, 1.85% (WAC) due 04/10/497,8 | 3,234,452 | 201,414 | ||||||
GS Mortgage Securities Trust | ||||||||
2017-GS6, 1.17% (WAC) due 05/10/507,8 | 11,406,586 | 589,174 | ||||||
BANK | ||||||||
2017-BNK6, 0.95% (WAC) due 07/15/607,8 | 14,843,706 | 540,767 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
2013-C17, 0.89% (WAC) due 01/15/477,8 | 21,694,958 | 296,570 | ||||||
Total Commercial Mortgage Backed Securities | 83,207,709 | |||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $1,136,222,296) | 1,141,012,536 | |||||||
SENIOR FLOATING RATE INTERESTS††,7 - 6.7% | ||||||||
Industrial - 1.4% | ||||||||
Berry Global, Inc. | ||||||||
1.86% (2 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26 | 21,625,214 | 21,490,057 |
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
SkyMiles IP Ltd. | ||||||||
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 | 16,867,590 | $ | 17,929,236 | |||||
Mileage Plus Holdings LLC | ||||||||
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 | 9,455,500 | 10,040,606 | ||||||
Filtration Group Corp. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 | 5,118,733 | 5,089,966 | ||||||
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25 | EUR | 2,375,051 | 2,744,571 | |||||
Wrench Group LLC | ||||||||
4.13% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26 | 6,168,448 | 6,160,738 | ||||||
TransDigm, Inc. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/22/24 | 4,023,066 | 3,977,807 | ||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25 | 1,220,953 | 1,205,691 | ||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25 | 636,631 | 628,609 | ||||||
Harsco Corporation | ||||||||
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 03/10/28 | 4,000,000 | 3,988,320 | ||||||
Charter Next Generation, Inc. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27 | 3,450,000 | 3,455,934 | ||||||
Standard Industries, Inc. | ||||||||
due 09/22/28 | 2,550,000 | 2,551,377 | ||||||
Ravago Holdings America, Inc. | ||||||||
2.64% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28 | 1,990,000 | 1,980,050 | ||||||
Tank Holdings Corp. | ||||||||
3.58% (1 Month USD LIBOR + 3.50% and Commercial Prime Lending Rate + 2.50%, Rate Floor: 3.50%) due 03/26/26 | 1,965,000 | 1,955,175 | ||||||
TAMKO Building Products, Inc. | ||||||||
3.11% (2 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26 | 1,786,329 | 1,775,165 | ||||||
Park River Holdings, Inc. | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27 | 997,500 | 993,141 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25 | 894,216 | 885,497 | ||||||
Reece Ltd. | ||||||||
2.14% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 01/04/27 | 725,745 | 721,209 | ||||||
BWAY Holding Co. | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 | 49,229 | 48,175 | ||||||
Total Industrial | 87,621,324 | |||||||
Communications - 1.1% | ||||||||
Internet Brands, Inc. | ||||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24 | 13,501,977 | 13,455,936 | ||||||
Playtika Holding Corp. | ||||||||
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28 | 9,950,000 | 9,942,040 | ||||||
WMG Acquisition Corp. | ||||||||
2.21% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28 | 10,000,000 | 9,939,600 | ||||||
Recorded Books, Inc. | ||||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25 | 9,005,342 | 9,008,133 | ||||||
McGraw Hill LLC | ||||||||
5.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28 | 7,000,000 | 7,014,980 | ||||||
ProQuest LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26 | 6,459,395 | 6,451,902 | ||||||
UPC Broadband Holding BV | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29 | 5,000,000 | 4,982,300 | ||||||
Zayo Group Holdings, Inc. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 | 1,500,000 | 1,486,005 | ||||||
Authentic Brands | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24 | 1,432,369 | 1,429,462 | ||||||
Altice US Finance I Corp. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26 | 463,125 | 456,178 | ||||||
Ziggo Financing Partnership | ||||||||
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28 | 400,000 | 396,668 | ||||||
Virgin Media Bristol LLC | ||||||||
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28 | 200,000 | 198,576 | ||||||
Total Communications | 64,761,780 | |||||||
Consumer, Non-cyclical - 0.9% | ||||||||
Option Care Health, Inc. | ||||||||
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26 | 12,355,682 | 12,349,504 | ||||||
California Cryobank | ||||||||
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/25††† | 9,974,359 | 9,924,487 | ||||||
Icon Luxembourg SARL | ||||||||
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 07/03/28 | 5,785,500 | 5,803,956 | ||||||
Spectrum Brands, Inc. | ||||||||
2.50% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28 | 4,975,000 | 4,960,473 | ||||||
Women’s Care Holdings, Inc. | ||||||||
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28 | 4,730,000 | 4,722,621 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Sigma Holding BV (Flora Food) | ||||||||
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25 | EUR | 3,700,000 | $ | 4,162,157 | ||||
Bombardier Recreational Products, Inc. | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27 | 3,183,337 | 3,154,496 | ||||||
Hearthside Group Holdings LLC | ||||||||
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25 | 2,089,286 | 2,090,602 | ||||||
PAREXEL International Corp. | ||||||||
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 09/27/24 | 1,040,581 | 1,039,696 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
2.50% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 02/22/28 | 798,500 | 798,300 | ||||||
Agiliti | ||||||||
3.00% due 01/04/26 | 750,000 | 745,313 | ||||||
Aramark Services, Inc. | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25 | 700,000 | 683,956 | ||||||
EyeCare Partners LLC | ||||||||
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27 | 496,250 | 492,965 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26 | 497,500 | 484,709 | ||||||
Froneri US, Inc. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27 | 444,375 | 438,820 | ||||||
Examworks Group, Inc. | ||||||||
4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/27/23 | 398,953 | 398,869 | ||||||
Pearl Intermediate Parent LLC | ||||||||
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/14/25 | 396,916 | 392,701 | ||||||
Outcomes Group Holdings, Inc. | ||||||||
3.38% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/24/25 | 388,715 | 381,232 | ||||||
US Foods, Inc. | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/27/23 | 338,856 | 336,738 | ||||||
Utz Quality Foods LLC | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/20/28 | 297,750 | 297,194 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/02/25 | 256,688 | 256,303 | ||||||
Total Consumer, Non-cyclical | 53,915,092 | |||||||
Consumer, Cyclical - 0.9% | ||||||||
Stars Group (Amaya) | ||||||||
2.25% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26 | 11,450,000 | 11,407,063 | ||||||
BGIS (BIFM CA Buyer, Inc.) | ||||||||
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26 | 10,932,039 | 10,877,379 | ||||||
Verisure Holding AB | ||||||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28 | EUR | 7,970,000 | 9,173,625 | |||||
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26 | EUR | 1,030,000 | 1,186,576 | |||||
Amaya Holdings BV | ||||||||
2.50% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26 | EUR | 4,500,000 | 5,208,625 | |||||
Truck Hero, Inc. | ||||||||
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28 | 4,975,000 | 4,961,518 | ||||||
Packers Holdings LLC | ||||||||
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28 | 3,980,162 | 3,959,425 | ||||||
New Trojan Parent, Inc. | ||||||||
3.75% (1 Week USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28 | 2,743,125 | 2,735,115 | ||||||
Entain Holdings (Gibraltar) Limited | ||||||||
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 03/29/27 | 1,496,250 | 1,493,452 | ||||||
Alterra Mountain Co. | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28 | 1,138,459 | 1,134,189 | ||||||
Murphy Oil USA, Inc. | ||||||||
2.25% (1 Month USD LIBOR + 1.75%, Rate Floor: 2.25%) due 01/31/28 | 698,250 | 698,250 | ||||||
Samsonite IP Holdings SARL | ||||||||
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/25/25 | 297,271 | 291,325 | ||||||
Cast & Crew Payroll LLC | ||||||||
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26 | 128,105 | 127,518 | ||||||
Total Consumer, Cyclical | 53,254,060 | |||||||
Technology - 0.9% | ||||||||
Project Boost Purchaser LLC | ||||||||
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26 | 13,216,875 | 13,209,738 | ||||||
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 | 823,393 | 818,889 | ||||||
Conair Holdings LLC | ||||||||
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28 | 10,000,000 | 10,004,200 | ||||||
Boxer Parent Co., Inc. | ||||||||
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 | 7,272,215 | 7,228,291 |
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Peraton Corp. | ||||||||
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28 | 6,815,750 | $ | 6,816,840 | |||||
Polaris Newco LLC | ||||||||
4.50% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28 | 6,000,000 | 6,011,280 | ||||||
Sabre GLBL, Inc. | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 | 3,026,418 | 2,988,043 | ||||||
Ascend Learning LLC | ||||||||
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24 | 1,935,375 | 1,936,343 | ||||||
MACOM Technology Solutions Holdings, Inc. | ||||||||
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24 | 1,549,149 | 1,541,403 | ||||||
EXC Holdings III Corp. | ||||||||
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24††† | 900,000 | 902,250 | ||||||
Dun & Bradstreet | ||||||||
3.34% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 | 728,448 | 727,537 | ||||||
Emerald TopCo, Inc. (Press Ganey) | ||||||||
3.63% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 | 508,291 | 504,799 | ||||||
TIBCO Software, Inc. | ||||||||
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26 | 348,237 | 345,409 | ||||||
Total Technology | 53,035,022 | |||||||
Financial - 0.8% | ||||||||
Citadel Securities, LP | ||||||||
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/02/28 | 11,442,500 | 11,332,194 | ||||||
AlixPartners, LLP | ||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28 | 9,950,000 | 9,919,553 | ||||||
Delos Finance SARL (International Lease Finance) | ||||||||
1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23 | 6,076,000 | 6,069,377 | ||||||
USI, Inc. | ||||||||
3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 | 5,973,701 | 5,929,973 | ||||||
Nexus Buyer LLC | ||||||||
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 | 5,386,329 | 5,384,390 | ||||||
HUB International Ltd. | ||||||||
2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 | 3,523,525 | 3,487,938 | ||||||
Jane Street Group LLC | ||||||||
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28 | 3,358,125 | 3,322,865 | ||||||
Focus Financial Partners LLC | ||||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24 | 1,190,769 | 1,181,339 | ||||||
Total Financial | 46,627,629 | |||||||
Basic Materials - 0.5% | ||||||||
Trinseo Materials Operating S.C.A. | ||||||||
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28 | 11,072,250 | 11,030,729 | ||||||
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/06/24 | 497,429 | 495,032 | ||||||
INEOS Ltd. | ||||||||
2.75% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26 | EUR | 8,100,000 | 9,313,311 | |||||
Invictus MD Strategies Corp. | ||||||||
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 | 6,424,925 | 6,404,879 | ||||||
GrafTech Finance, Inc. | ||||||||
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25 | 1,106,581 | 1,106,581 | ||||||
Total Basic Materials | 28,350,532 | |||||||
Bank Loans - 0.1% | ||||||||
Medline Borrower LP | ||||||||
due 09/28/28 | 9,050,000 | 9,004,750 | ||||||
Total Bank Loans | 9,004,750 | |||||||
Energy - 0.1% | ||||||||
ITT Holdings LLC | ||||||||
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 | 3,608,000 | 3,600,495 | ||||||
DT Midstream, Inc. | ||||||||
2.50% (6 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28 | 2,000,000 | 1,998,440 | ||||||
Venture Global Calcasieu Pass LLC | ||||||||
2.46% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26††† | 795,103 | 751,372 | ||||||
Moda Midstream LLC | ||||||||
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25 | 740,482 | 738,861 | ||||||
Total Energy | 7,089,168 | |||||||
Total Senior Floating Rate Interests | ||||||||
(Cost $404,362,288) | 403,659,357 | |||||||
FOREIGN GOVERNMENT DEBT†† - 4.2% | ||||||||
State of Israel | ||||||||
5.50% due 01/31/22 | ILS | 237,650,000 | 75,032,831 | |||||
0.75% due 07/31/22 | ILS | 239,770,000 | 74,886,375 | |||||
Czech Republic | ||||||||
0.10% due 04/17/22 | CZK | 1,094,000,000 | 49,672,894 | |||||
Japan Treasury Discount Bill | ||||||||
(0.11)% due 10/25/2112 | JPY | 2,018,700,000 | 18,140,103 | |||||
Providence of Ontario T-Bill | ||||||||
0.17% due 10/20/2112 | CAD | 13,451,000 | 10,619,960 | |||||
0.16% due 10/06/2112 | CAD | 5,554,000 | 4,385,528 | |||||
0.17% due 10/27/2112 | CAD | 3,179,000 | 2,509,914 | |||||
Government of Japan | ||||||||
(0.11)% due 11/01/2112 | JPY | 952,250,000 | 8,557,156 | |||||
(0.12)% due 10/18/2112 | JPY | 557,400,000 | 5,008,696 | |||||
(0.09)% due 10/04/2112 | JPY | 393,000,000 | 3,531,280 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
| Face | Value | ||||||
Providence of Quebec T-Bill | ||||||||
0.17% due 10/15/2112 | CAD | 2,850,000 | $ | 2,250,091 | ||||
0.17% due 10/22/2112 | CAD | 2,600,000 | 2,052,715 | |||||
Providence of Nova Scotia T-Bill | ||||||||
0.17% due 10/07/2112 | CAD | 2,000,000 | 1,579,217 | |||||
Providence of Newfoundland T-Bill | ||||||||
0.19% due 11/04/2112 | CAD | 1,700,000 | 1,342,146 | |||||
Total Foreign Government Debt | ||||||||
(Cost $258,813,285) | 259,568,906 | |||||||
MUNICIPAL BONDS†† - 0.1% | ||||||||
California - 0.1% | ||||||||
California Public Finance Authority Revenue Bonds | ||||||||
1.55% due 10/15/26 | 3,145,000 | 3,166,435 | ||||||
Total Municipal Bonds | ||||||||
(Cost $3,145,000) | 3,166,435 | |||||||
COMMERCIAL PAPER†† - 1.5% | ||||||||
Swedbank AB | ||||||||
0.05% due 10/07/2112 | 30,000,000 | 29,999,750 | ||||||
McCormick & Co., Inc. | ||||||||
0.14% due 10/04/214,12 | 20,000,000 | 19,999,767 | ||||||
Consolidated Edison Company of New York, Inc. | ||||||||
0.09% due 10/01/214,12 | 14,000,000 | 14,000,000 | ||||||
Prudential plc | ||||||||
0.06% due 10/01/214,12 | 10,000,000 | 10,000,000 | ||||||
Societe Generale S.A. | ||||||||
0.04% due 10/01/214,12 | 10,000,000 | 10,000,000 | ||||||
Fidelity National Information Services, Inc. | ||||||||
0.20% due 10/21/214,12 | 10,000,000 | 9,998,889 | ||||||
Total Commercial Paper | ||||||||
(Cost $93,998,406) | 93,998,406 | |||||||
Notional | ||||||||
OTC OPTIONS PURCHASED†† - 0.2% | ||||||||
Call Options on: | ||||||||
Interest Rate Options | ||||||||
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | 509,700,000 | 2,889,999 | ||||||
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61 | 177,800,000 | 704,088 | ||||||
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40 | 30,000,000 | 170,100 | ||||||
Total Interest Rate Options | 3,764,187 | |||||||
| Contracts | |||||||
Put Options on: | ||||||||
Equity Options | ||||||||
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $4,340.00 (Notional Value $188,670,252) | 438 | 5,875,770 | ||||||
Total Equity Options | 5,875,770 | |||||||
Total OTC Options Purchased | ||||||||
(Cost $6,869,039) | 9,639,957 | |||||||
Total Investments - 103.9% | ||||||||
(Cost $6,293,368,870) | $ | 6,337,633,525 | ||||||
Face | ||||||||
Collateralized Mortgage Obligations Sold Short†† - (3.1)% | ||||||||
Government Agency - (3.1)% | ||||||||
Uniform MBS 30 Year | ||||||||
due 11/10/2115 | $ | 178,900,000 | (189,413,953 | ) | ||||
Total Collateralized Mortgage Obligations Sold Short | ||||||||
(Proceeds $189,611,573) | (189,413,953 | ) | ||||||
Contracts | ||||||||
LISTED OPTIONS WRITTEN† - 0.0% | ||||||||
Call Options on: | ||||||||
Equity Options | ||||||||
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $118,848) | 32 | (16,480 | ) | |||||
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $122,562) | 33 | (20,295 | ) | |||||
Total Equity Options | (36,775 | ) | ||||||
Total Listed Options Written | ||||||||
(Premiums received $68,627) | (36,775 | ) | ||||||
OTC OPTIONS WRITTEN†† - 0.0% | ||||||||
Put Options on: | ||||||||
Equity Options | ||||||||
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $3,980.00 (Notional Value $188,670,252) | 438 | (2,047,650 | ) | |||||
Total OTC Options Written | ||||||||
(Premiums received $2,525,241) | (2,047,650 | ) | ||||||
Other Assets & Liabilities, net - (0.8)% | (40,181,632 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,105,953,515 |
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
Centrally Cleared Credit Default Swap Agreements Protection Purchased†† | |||||||||||||||||||||||||||
Counterparty | Exchange | Index | Protection | Payment | Maturity | Notional | Value | Upfront | Unrealized | ||||||||||||||||||
BofA Securities, Inc. | ICE | CDX.NA.HY.36.V1 | 5.00% | Quarterly | 06/20/26 | $ | 37,000,000 | $ | (3,410,536 | ) | $ | (3,379,495 | ) | $ | (31,041 | ) |
Centrally Cleared Interest Rate Swap Agreements†† | ||||||||||||||||||||||||||||
Counterparty | Exchange | Floating | Floating | Fixed | Payment | Maturity | Notional | Value | Upfront | Unrealized | ||||||||||||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 1.37% | Annually | 12/04/21 | $ | 177,800,000 | $ | 426,302 | $ | 65 | $ | 426,237 | ||||||||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 0.62% | Annually | 03/04/22 | 110,305,000 | 257,153 | — | 257,153 | ||||||||||||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 1.31% | Annually | 11/25/21 | 98,600,000 | 189,317 | 41 | 189,276 | ||||||||||||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 1.40% | Annually | 12/13/21 | 54,950,000 | 149,129 | 43 | 149,086 | ||||||||||||||||||
BofA Securities, Inc. | CME | Pay | Federal Funds Rate | 1.36% | Annually | 12/09/21 | 46,500,000 | 116,212 | 39 | 116,173 | ||||||||||||||||||
BofA Securities, Inc. | CME | Receive | 3-Month USD LIBOR | 1.65% | Quarterly | 03/17/31 | 140,000,000 | (1,511,998 | ) | 1,343 | (1,513,341 | ) | ||||||||||||||||
$ | (373,885 | ) | $ | 1,531 | $ | (375,416 | ) |
Total Return Swap Agreements | ||||||||||||||||||||||||
Counterparty | Index | Type | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||
OTC Fixed Income Index Swap Agreements Sold Short†† | ||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. | iShares Core U.S. Aggregate Bond ETF | Receive | 0.41% (3 Month USD LIBOR + 0.28%) | At Maturity | 10/19/21 | 650,000 | $ | 74,639,500 | $ | 760,500 | ||||||||||||||
BNP Paribas | iShares Core U.S. Aggregate Bond ETF | Receive | 0.41% (3 Month USD LIBOR + 0.28%) | At Maturity | �� | 10/22/21 | 438,250 | 50,324,247 | 736,260 | |||||||||||||||
BNP Paribas | iShares Core U.S. Aggregate Bond ETF | Receive | 0.41% (3 Month USD LIBOR + 0.28%) | At Maturity | 10/21/21 | 438,250 | 50,324,248 | 736,260 | ||||||||||||||||
JPMorgan Chase Bank, N.A. | iShares Core U.S. Aggregate Bond ETF | Receive | 0.36% (1 Month USD LIBOR + 0.28%) | At Maturity | 10/14/21 | 172,617 | 19,821,610 | 179,522 | ||||||||||||||||
$ | 195,109,605 | $ | 2,412,542 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
Forward Foreign Currency Exchange Contracts†† | ||||||||||||||||||||||||
Counterparty | Currency | Type | Quantity | Contract | Settlement | Unrealized | ||||||||||||||||||
Goldman Sachs International | ILS | Buy | 55,355,850 | 15,359,559 USD | 01/31/22 | $ | 1,859,562 | |||||||||||||||||
Morgan Stanley Capital Services LLC | EUR | Sell | 44,360,000 | 52,395,858 USD | 10/18/21 | 991,616 | ||||||||||||||||||
Morgan Stanley Capital Services LLC | JPY | Sell | 2,018,700,000 | 18,400,597 USD | 10/25/21 | 259,077 | ||||||||||||||||||
Goldman Sachs International | JPY | Sell | 952,250,000 | 8,684,965 USD | 11/01/21 | 126,916 | ||||||||||||||||||
Bank of America, N.A. | GBP | Sell | 3,210,000 | 4,430,095 USD | 10/18/21 | 104,326 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | EUR | Sell | 4,478,000 | 5,273,051 USD | 10/18/21 | 83,957 | ||||||||||||||||||
Goldman Sachs International | JPY | Sell | 557,400,000 | 5,075,953 USD | 10/18/21 | 67,000 | ||||||||||||||||||
UBS AG | JPY | Sell | 393,000,000 | 3,593,915 USD | 10/04/21 | 62,664 | ||||||||||||||||||
Citibank, N.A. | EUR | Sell | 2,165,000 | 2,534,334 USD | 12/31/21 | 21,037 | ||||||||||||||||||
BNP Paribas | CAD | Sell | 7,560,000 | 5,978,553 USD | 10/20/21 | 8,988 | ||||||||||||||||||
Citibank, N.A. | CAD | Sell | 2,850,000 | 2,253,322 USD | 10/15/21 | 2,877 | ||||||||||||||||||
Citibank, N.A. | CAD | Sell | 2,600,000 | 2,054,280 USD | 10/22/21 | 1,259 | ||||||||||||||||||
Citibank, N.A. | CZK | Sell | 164,100 | 7,546 USD | 11/05/21 | 43 | ||||||||||||||||||
UBS AG | CAD | Sell | 1,700,000 | 1,341,609 USD | 11/04/21 | (729 | ) | |||||||||||||||||
Goldman Sachs International | CAD | Sell | 2,000,000 | 1,578,364 USD | 10/07/21 | (910 | ) | |||||||||||||||||
Citibank, N.A. | CAD | Sell | 5,554,000 | 4,380,456 USD | 10/06/21 | (5,194 | ) | |||||||||||||||||
Citibank, N.A. | CAD | Sell | 3,179,000 | 2,504,912 USD | 10/27/21 | (5,285 | ) | |||||||||||||||||
Goldman Sachs International | CAD | Sell | 5,891,000 | 4,645,705 USD | 10/20/21 | (5,976 | ) | |||||||||||||||||
UBS AG | ILS | Sell | 94,203,167 | 29,213,998 USD | 08/01/22 | (190,404 | ) | |||||||||||||||||
Bank of America, N.A. | ILS | Sell | 13,124,200 | 3,890,958 USD | 01/31/22 | (191,487 | ) | |||||||||||||||||
Barclays Bank plc | CZK | Sell | 1,095,094,000 | 49,547,796 USD | 04/19/22 | (247,376 | ) | |||||||||||||||||
Goldman Sachs International | ILS | Sell | 147,370,024 | 45,686,215 USD | 08/01/22 | (313,592 | ) | |||||||||||||||||
Goldman Sachs International | ILS | Sell | 42,231,650 | 12,500,228 USD | 01/31/22 | (636,448 | ) | |||||||||||||||||
Barclays Bank plc | ILS | Sell | 250,720,750 | 77,269,647 USD | 01/31/22 | (720,137 | ) | |||||||||||||||||
$ | 1,271,784 |
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
~ | The face amount is denominated in U.S. dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Special Purpose Acquisition Company (SPAC). |
2 | Affiliated issuer. |
3 | Rate indicated is the 7-day yield as of September 30, 2021. |
4 | 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 $3,555,351,790 (cost $3,548,585,858), or 58.2% of total net assets. |
5 | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
6 | Perpetual maturity. |
7 | Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
8 | Security is an interest-only strip. |
9 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
10 | 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 $45,276,435 (cost $44,868,664), or 0.7% of total net assets — See Note 9. |
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 September 30, 2021. See table below for additional step information for each security. |
12 | Rate indicated is the effective yield at the time of purchase. |
13 | All or a portion of this security is pledged as listed options collateral at September 30, 2021. |
14 | All or a portion of this security is pledged as interest rate swap collateral at September 30, 2021. |
15 | Security is unsettled at period end and does not have a stated effective rate. |
BofA — Bank of America | |
CAD — Canadian Dollar | |
CDX.NA.HY.36.V1 — Credit Default Swap North American High Yield Series 36 Index Version 1 | |
CME — Chicago Mercantile Exchange | |
CMS — Constant Maturity Swap | |
CZK — Czech Koruna | |
EUR — Euro | |
EURIBOR — European Interbank Offered Rate | |
GBP — British Pound | |
ICE — Intercontinental Exchange | |
ILS — Israeli New Shekel | |
JPY — Japanese Yen | |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
REMIC — Real Estate Mortgage Investment Conduit | |
REIT — Real Estate Investment Trust | |
SARL — Société à Responsabilité Limitée | |
WAC — Weighted Average Coupon | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 20,434,360 | $ | — | $ | — | $ | 20,434,360 | ||||||||
Preferred Stocks | — | 4,752,766 | — | 4,752,766 | ||||||||||||
Warrants | 355,100 | — | — | 355,100 | ||||||||||||
Exchange-Traded Funds | 195,109,605 | — | — | 195,109,605 | ||||||||||||
Mutual Funds | 89,176,931 | — | — | 89,176,931 | ||||||||||||
Money Market Fund | 164,194,709 | — | — | 164,194,709 | ||||||||||||
Corporate Bonds | — | 2,025,006,585 | 29,476,831 | 2,054,483,416 | ||||||||||||
Asset-Backed Securities | — | 1,743,102,034 | 154,979,007 | 1,898,081,041 | ||||||||||||
Collateralized Mortgage Obligations | — | 1,125,956,928 | 15,055,608 | 1,141,012,536 | ||||||||||||
Senior Floating Rate Interests | — | 392,081,248 | 11,578,109 | 403,659,357 | ||||||||||||
Foreign Government Debt | — | 259,568,906 | — | 259,568,906 | ||||||||||||
Municipal Bonds | — | 3,166,435 | — | 3,166,435 | ||||||||||||
Commercial Paper | — | 93,998,406 | — | 93,998,406 | ||||||||||||
Options Purchased | — | 9,639,957 | — | 9,639,957 | ||||||||||||
Interest Rate Swap Agreements** | — | 1,137,925 | — | 1,137,925 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 3,589,322 | — | 3,589,322 | ||||||||||||
Fixed Income Index Swap Agreements** | — | 2,412,542 | — | 2,412,542 | ||||||||||||
Total Assets | $ | 469,270,705 | $ | 5,664,413,054 | $ | 211,089,555 | $ | 6,344,773,314 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Collateralized Mortgage Obligations Sold Short | $ | — | $ | 189,413,953 | $ | — | $ | 189,413,953 | ||||||||
Options Written | 36,775 | 2,047,650 | — | 2,084,425 | ||||||||||||
Credit Default Swap Agreements** | — | 31,041 | — | 31,041 | ||||||||||||
Interest Rate Swap Agreements** | — | 1,513,341 | — | 1,513,341 | ||||||||||||
Forward Foreign Currency Exchange Contracts** | — | 2,317,538 | — | 2,317,538 | ||||||||||||
Unfunded Loan Commitments (Note 8) | — | — | 28,373 | 28,373 | ||||||||||||
Total Liabilities | $ | 36,775 | $ | 195,323,523 | $ | 28,373 | $ | 195,388,671 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | September 30, 2021 |
LIMITED DURATION FUND |
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category | Ending Balance at | Valuation Technique | Unobservable | Input | Weighted | ||||||||||
Assets: | |||||||||||||||
Asset-Backed Securities | $ | 151,378,282 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | |||||||||
Asset-Backed Securities | 3,600,725 | Yield Analysis | Yield | 4.2 | % | — | |||||||||
Collateralized Mortgage Obligations | 15,055,608 | Model Price | Purchase Price | — | — | ||||||||||
Corporate Bonds | 17,342,283 | Option Adjusted Spread off the prior month end broker quote | Broker Quote | — | — | ||||||||||
Corporate Bonds | 12,134,548 | Yield Analysis | Yield | 3.2 | % | — | |||||||||
Senior Floating Rate Interests | 11,578,109 | Third Party Pricing | Broker Quote | — | — | ||||||||||
Total Assets | $ | 211,089,555 |
|
| |||||||||||
Liabilities: | |||||||||||||||
Unfunded Loan Commitments | $ | 28,373 | Model Price | Purchase Price | — | — |
Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security.
The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.
Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2021, the Fund had securities with a total value $10,977,307 transfer into Level 3 from Level 2 due to a lack of 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 year ended September 30, 2021:
Assets | Liabilities | |||||||||||||||||||||||
| Asset-Backed | Collateralized | Corporate | Senior Floating | Total Assets | Unfunded Loan | ||||||||||||||||||
Beginning Balance | $ | 98,361,270 | $ | 28,023,753 | $ | 4,682,550 | $ | — | $ | 131,067,573 | $ | (163,932 | ) | |||||||||||
Purchases/(Receipts) | 141,924,606 | 17,641,141 | 25,134,491 | 12,245,552 | 196,945,790 | (9,404 | ) | |||||||||||||||||
(Sales, maturities and paydowns)/Fundings | (95,872,175 | ) | (30,348,206 | ) | (269,812 | ) | (802,802 | ) | (127,292,995 | ) | 129,712 | |||||||||||||
Amortization of premiums/discounts | 6,804 | (4,072 | ) | (134,036 | ) | 17,578 | (113,726 | ) | — | |||||||||||||||
Total realized gains (losses) included in earnings | 296,105 | (19 | ) | — | 57,015 | 353,101 | — | |||||||||||||||||
Total change in unrealized appreciation (depreciation) included in earnings | (714,910 | ) | (256,989 | ) | 63,638 | 60,766 | (847,495 | ) | 15,251 | |||||||||||||||
Transfers into Level 3 | 10,977,307 | — | — | — | 10,977,307 | — | ||||||||||||||||||
Ending Balance | $ | 154,979,007 | $ | 15,055,608 | $ | 29,476,831 | $ | 11,578,109 | $ | 211,089,555 | $ | (28,373 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021 | $ | (714,910 | ) | $ | (7,076 | ) | $ | 63,638 | $ | 60,766 | $ | (597,582 | ) | $ | 15,251 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (concluded) | September 30, 2021 |
LIMITED DURATION FUND |
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, none are scheduled to decrease.
Name | Coupon Rate at | Next Rate Reset Date | Future Reset Rate | Future Reset Date | ||||||||||||
BRAVO Residential Funding Trust 2021-C 2021-C, 1.62% due 03/01/61 | 4.62 | % | 09/26/24 | 5.62 | % | 09/26/25 | ||||||||||
CSMC Trust 2020-NQM1, 1.41% due 05/25/65 | 2.41 | % | 09/26/24 | — | — | |||||||||||
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61 | 4.75 | % | 04/26/24 | 5.75 | % | 04/26/25 | ||||||||||
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61 | 4.75 | % | 05/26/24 | 5.75 | % | 05/26/25 | ||||||||||
Legacy Mortgage Asset Trust 2021-GS4 2021-GS4, 1.65% due 11/25/60 | 4.65 | % | 08/26/24 | 5.65 | % | 08/26/25 | ||||||||||
NYMT Loan Trust 2021-SP1 2021-SP1, 1.67% due 08/25/61 | 4.67 | % | 08/26/24 | 5.67 | % | 08/26/25 | ||||||||||
OSAT Trust 2021-RPL1, 2.12% due 05/25/65 | 4.20 | % | 07/26/24 | 5.99 | % | 07/26/25 | ||||||||||
PRPM LLC 2021-5, 1.79% due 06/25/26 | 4.79 | % | 06/26/24 | 5.79 | % | 06/26/25 | ||||||||||
Verus Securitization Trust 2020-5, 1.58% due 05/25/65 | 2.58 | % | 10/26/24 | — | — | |||||||||||
Verus Securitization Trust 2019-4, 2.64% due 11/25/59 | 3.64 | % | 10/26/23 | — | — | |||||||||||
Verus Securitization Trust 2020-1, 2.42% due 01/25/60 | 3.42 | % | 01/26/24 | — | — |
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 (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 29,379,083 | $ | 470,829 | $ | — | $ | — | $ | 23,720 | $ | 29,873,632 | 1,195,423 | $ | 470,831 | |||||||||||||||||
Guggenheim Strategy Fund III | 29,499,318 | 485,767 | — | — | 82,435 | 30,067,520 | 1,196,003 | 485,761 | ||||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 28,983,105 | 281,769 | — | — | (29,095 | ) | 29,235,779 | 2,932,375 | 281,766 | |||||||||||||||||||||||
$ | 87,861,506 | $ | 1,238,365 | $ | — | $ | — | $ | 77,060 | $ | 89,176,931 | $ | 1,238,358 |
36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LIMITED DURATION FUND |
STATEMENT OF ASSETS AND LIABILITIES |
September 30, 2021 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $6,205,750,216) | $ | 6,248,456,594 | ||
Investments in affiliated issuers, at value (cost $87,618,654) | 89,176,931 | |||
Foreign currency, at value (cost $4,427,849) | 4,427,902 | |||
Cash | 43,067,815 | |||
Segregated cash with broker | 4,177,661 | |||
Unamortized upfront premiums paid on interest rate swap agreements | 1,531 | |||
Unrealized appreciation on OTC swap agreements | 2,412,542 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 3,589,322 | |||
Prepaid expenses | 114,079 | |||
Receivables: | ||||
Securities sold | 540,652,444 | |||
Fund shares sold | 29,228,699 | |||
Interest | 25,514,897 | |||
Variation margin on interest rate swap agreements | 4,027,754 | |||
Dividends | 85,891 | |||
Variation margin on credit default swap agreements | 57,460 | |||
Foreign tax reclaims | 13,234 | |||
Total assets | 6,995,004,756 | |||
Liabilities: | ||||
Unfunded loan commitments, at value (Note 9) (commitment fees received $44,691) | 28,373 | |||
Securities sold short, at value (proceeds $189,611,573) | 189,413,953 | |||
Options written, at value (premiums received $2,593,868) | 2,084,425 | |||
Segregated cash due to broker | 15,910,657 | |||
Unamortized upfront premiums received on credit default swap agreements | 3,379,495 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 2,317,538 | |||
Payable for: | ||||
Securities purchased | 661,294,124 | |||
Fund shares redeemed | 9,650,379 | |||
Distributions to shareholders | 1,420,566 | |||
Management fees | 1,080,284 | |||
Swap settlement | 360,353 | |||
Fund accounting/administration fees | 321,208 | |||
Distribution and service fees | 284,122 | |||
Transfer agent/maintenance fees | 203,382 | |||
Protection fees on credit default swap agreements | 56,528 | |||
Trustees’ fees* | 7,976 | |||
Due to Investment Adviser | 227 | |||
Miscellaneous | 1,237,651 | |||
Total liabilities | 889,051,241 | |||
Net assets | $ | 6,105,953,515 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,040,579,777 | ||
Total distributable earnings (loss) | 65,373,738 | |||
Net assets | $ | 6,105,953,515 | ||
A-Class: | ||||
Net assets | $ | 855,473,261 | ||
Capital shares outstanding | 33,649,165 | |||
Net asset value per share | $ | 25.42 | ||
Maximum offering price per share (Net asset value divided by 97.75%) | $ | 26.01 | ||
C-Class: | ||||
Net assets | $ | 90,205,038 | ||
Capital shares outstanding | 3,550,405 | |||
Net asset value per share | $ | 25.41 | ||
P-Class: | ||||
Net assets | $ | 155,464,551 | ||
Capital shares outstanding | 6,114,804 | |||
Net asset value per share | $ | 25.42 | ||
Institutional Class: | ||||
Net assets | $ | 4,960,578,169 | ||
Capital shares outstanding | 195,156,882 | |||
Net asset value per share | $ | 25.42 | ||
R6-Class: | ||||
Net assets | $ | 44,232,496 | ||
Capital shares outstanding | 1,741,125 | |||
Net asset value per share | $ | 25.40 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 37 |
LIMITED DURATION FUND |
STATEMENT OF OPERATIONS |
Year Ended September 30, 2021 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 4,482,042 | ||
Dividends from securities of affiliated issuers | 1,238,358 | |||
Interest from securities of unaffiliated issuers | 97,042,119 | |||
Total investment income | 102,762,519 | |||
Expenses: | ||||
Management fees | 19,389,700 | |||
Distribution and service fees: | ||||
A-Class | 1,973,581 | |||
C-Class | 910,790 | |||
P-Class | 403,344 | |||
Transfer agent/maintenance fees: | ||||
A-Class | 417,230 | |||
C-Class | 88,829 | |||
P-Class | 163,078 | |||
Institutional Class | 2,970,471 | |||
R6-Class | 674 | |||
Fund accounting/administration fees | 3,304,666 | |||
Line of credit fees | 323,638 | |||
Professional fees | 302,780 | |||
Custodian fees | 186,944 | |||
Trustees’ fees* | 68,869 | |||
Interest expense | 39,087 | |||
Miscellaneous | 392,635 | |||
Recoupment of previously waived fees: | ||||
R6-Class | 3,723 | |||
Total expenses | 30,940,039 | |||
Less: | ||||
Expenses reimbursed by Adviser: | ||||
A Class | (328,197 | ) | ||
C Class | (79,876 | ) | ||
P Class | (145,793 | ) | ||
Institutional Class | (2,536,140 | ) | ||
R6 Class | (248 | ) | ||
Expenses waived by Adviser | (103,180 | ) | ||
Earnings credits applied | (7,231 | ) | ||
Total waived/reimbursed expenses | (3,200,665 | ) | ||
Net expenses | 27,739,374 | |||
Net investment income | 75,023,145 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | $ | 23,968,182 | ||
Investments sold short | (862,630 | ) | ||
Swap agreements | 4,268,042 | |||
Options purchased | 2,749,258 | |||
Forward foreign currency exchange contracts | 7,324,806 | |||
Foreign currency transactions | 1,984,615 | |||
Net realized gain | 39,432,273 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (17,947,150 | ) | ||
Investments in affiliated issuers | 77,060 | |||
Investments sold short | 197,620 | |||
Swap agreements | (8,419,143 | ) | ||
Options purchased | 1,280,928 | |||
Options written | 509,443 | |||
Forward foreign currency exchange contracts | (16,824,371 | ) | ||
Foreign currency translations | 19,097 | |||
Net change in unrealized appreciation (depreciation) | (41,106,516 | ) | ||
Net realized and unrealized loss | (1,674,243 | ) | ||
Net increase in net assets resulting from operations | $ | 73,348,902 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LIMITED DURATION FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 75,023,145 | $ | 57,288,219 | ||||
Net realized gain on investments | 39,432,273 | 40,958,989 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (41,106,516 | ) | 69,800,768 | |||||
Net increase in net assets resulting from operations | 73,348,902 | 168,047,976 | ||||||
Distributions to shareholders: | ||||||||
A-Class | (15,056,137 | ) | (9,531,615 | ) | ||||
C-Class | (1,100,964 | ) | (897,123 | ) | ||||
P-Class | (3,167,298 | ) | (1,705,392 | ) | ||||
Institutional Class | (82,692,217 | ) | (48,269,529 | ) | ||||
R6-Class | (842,004 | ) | (3,918,302 | ) | ||||
Total distributions to shareholders | (102,858,620 | ) | (64,321,961 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 537,507,580 | 359,178,012 | ||||||
C-Class | 27,038,454 | 27,892,729 | ||||||
P-Class | 68,322,487 | 91,629,526 | ||||||
Institutional Class | 3,456,236,145 | 1,908,540,024 | ||||||
R6-Class | 23,737,430 | 60,206,782 | ||||||
Distributions reinvested | ||||||||
A-Class | 12,214,080 | 7,676,372 | ||||||
C-Class | 884,729 | 718,998 | ||||||
P-Class | 3,160,020 | 1,700,377 | ||||||
Institutional Class | 65,470,318 | 38,678,924 | ||||||
R6-Class | 841,976 | 3,918,300 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (314,667,489 | ) | (329,100,339 | ) | ||||
C-Class | (23,334,185 | ) | (30,485,763 | ) | ||||
P-Class | (65,716,372 | ) | (54,176,385 | ) | ||||
Institutional Class | (1,449,568,811 | ) | (1,538,644,390 | ) | ||||
R6-Class | (11,439,188 | ) | (346,906,193 | ) | ||||
Net increase from capital share transactions | 2,330,687,174 | 200,826,974 | ||||||
Net increase in net assets | 2,301,177,456 | 304,552,989 | ||||||
Net assets: | ||||||||
Beginning of year | 3,804,776,059 | 3,500,223,070 | ||||||
End of year | $ | 6,105,953,515 | $ | 3,804,776,059 | ||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 39 |
LIMITED DURATION FUND |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| Year Ended | Year Ended | ||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 21,056,345 | 14,310,934 | ||||||
C-Class | 1,059,662 | 1,119,438 | ||||||
P-Class | 2,677,514 | 3,610,524 | ||||||
Institutional Class | 135,555,309 | 76,326,464 | ||||||
R6-Class | 931,064 | 2,435,956 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 478,808 | 307,849 | ||||||
C-Class | 34,690 | 28,862 | ||||||
P-Class | 123,858 | 68,147 | ||||||
Institutional Class | 2,567,621 | 1,550,215 | ||||||
R6-Class | 33,034 | 158,809 | ||||||
Shares redeemed | ||||||||
A-Class | (12,344,754 | ) | (13,271,088 | ) | ||||
C-Class | (915,145 | ) | (1,227,834 | ) | ||||
P-Class | (2,577,262 | ) | (2,192,351 | ) | ||||
Institutional Class | (56,850,821 | ) | (62,129,659 | ) | ||||
R6-Class | (448,608 | ) | (14,134,431 | ) | ||||
Net increase in shares | 91,381,315 | 6,961,835 |
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LIMITED DURATION FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.57 | $ | 24.68 | $ | 24.70 | $ | 24.86 | $ | 24.71 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .34 | .40 | .54 | .51 | .53 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .01 | i | .94 | .01 | (.09 | ) | .20 | |||||||||||||
Total from investment operations | .35 | 1.34 | .55 | .42 | .73 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.38 | ) | (.45 | ) | (.57 | ) | (.57 | ) | (.58 | ) | ||||||||||
Net realized gains | (.12 | ) | — | — | b | (.01 | ) | — | b | |||||||||||
Total distributions | (.50 | ) | (.45 | ) | (.57 | ) | (.58 | ) | (.58 | ) | ||||||||||
Net asset value, end of period | $ | 25.42 | $ | 25.57 | $ | 24.68 | $ | 24.70 | $ | 24.86 | ||||||||||
| ||||||||||||||||||||
Total Returnc | 1.38 | % | 5.51 | % | 2.27 | % | 1.69 | % | 2.95 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 855,473 | $ | 625,386 | $ | 570,353 | $ | 627,570 | $ | 509,410 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.32 | % | 1.60 | % | 2.18 | % | 2.07 | % | 2.14 | % | ||||||||||
Total expensesd | 0.79 | % | 0.84 | % | 0.83 | % | 0.81 | % | 0.86 | % | ||||||||||
Net expensese,f,g | 0.74 | % | 0.77 | % | 0.75 | % | 0.75 | % | 0.81 | % | ||||||||||
Portfolio turnover rate | 80 | % | 123 | % | 72 | % | 45 | % | 55 | % |
C-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.55 | $ | 24.66 | $ | 24.68 | $ | 24.84 | $ | 24.70 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .15 | .21 | .35 | .33 | .35 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .02 | i | .95 | .02 | (.10 | ) | .18 | |||||||||||||
Total from investment operations | .17 | 1.16 | .37 | .23 | .53 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.19 | ) | (.27 | ) | (.39 | ) | (.38 | ) | (.39 | ) | ||||||||||
Net realized gains | (.12 | ) | — | — | b | (.01 | ) | — | b | |||||||||||
Total distributions | (.31 | ) | (.27 | ) | (.39 | ) | (.39 | ) | (.39 | ) | ||||||||||
Net asset value, end of period | $ | 25.41 | $ | 25.55 | $ | 24.66 | $ | 24.68 | $ | 24.84 | ||||||||||
| ||||||||||||||||||||
Total Returnc | 0.67 | % | 4.72 | % | 1.51 | % | 0.94 | % | 2.18 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 90,205 | $ | 86,143 | $ | 85,100 | $ | 70,981 | $ | 50,743 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.58 | % | 0.85 | % | 1.42 | % | 1.34 | % | 1.41 | % | ||||||||||
Total expensesd | 1.58 | % | 1.61 | % | 1.60 | % | 1.59 | % | 1.65 | % | ||||||||||
Net expensese,f,g | 1.49 | % | 1.52 | % | 1.50 | % | 1.51 | % | 1.56 | % | ||||||||||
Portfolio turnover rate | 80 | % | 123 | % | 72 | % | 45 | % | 55 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
LIMITED DURATION FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.57 | $ | 24.68 | $ | 24.70 | $ | 24.86 | $ | 24.72 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .34 | .40 | .54 | .52 | .47 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .01 | i | .94 | .01 | (.10 | ) | .24 | |||||||||||||
Total from investment operations | .35 | 1.34 | .55 | .42 | .71 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.38 | ) | (.45 | ) | (.57 | ) | (.57 | ) | (.57 | ) | ||||||||||
Net realized gains | (.12 | ) | — | — | b | (.01 | ) | — | b | |||||||||||
Total distributions | (.50 | ) | (.45 | ) | (.57 | ) | (.58 | ) | (.57 | ) | ||||||||||
Net asset value, end of period | $ | 25.42 | $ | 25.57 | $ | 24.68 | $ | 24.70 | $ | 24.86 | ||||||||||
| ||||||||||||||||||||
Total Return | 1.38 | % | 5.50 | % | 2.27 | % | 1.69 | % | 2.93 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 155,465 | $ | 150,623 | $ | 108,691 | $ | 189,965 | $ | 92,503 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.33 | % | 1.60 | % | 2.18 | % | 2.12 | % | 1.89 | % | ||||||||||
Total expensesd | 0.83 | % | 0.90 | % | 0.88 | % | 0.87 | % | 0.92 | % | ||||||||||
Net expensese,f,g | 0.74 | % | 0.77 | % | 0.75 | % | 0.75 | % | 0.81 | % | ||||||||||
Portfolio turnover rate | 80 | % | 123 | % | 72 | % | 45 | % | 55 | % |
Institutional Class | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.56 | $ | 24.67 | $ | 24.69 | $ | 24.85 | $ | 24.71 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | .40 | .46 | .60 | .58 | .59 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .03 | i | .95 | .01 | (.11 | ) | .19 | |||||||||||||
Total from investment operations | .43 | 1.41 | .61 | .47 | .78 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (.45 | ) | (.52 | ) | (.63 | ) | (.62 | ) | (.64 | ) | ||||||||||
Net realized gains | (.12 | ) | — | — | b | (.01 | ) | — | b | |||||||||||
Total distributions | (.57 | ) | (.52 | ) | (.63 | ) | (.63 | ) | (.64 | ) | ||||||||||
Net asset value, end of period | $ | 25.42 | $ | 25.56 | $ | 24.67 | $ | 24.69 | $ | 24.85 | ||||||||||
| ||||||||||||||||||||
Total Return | 1.67 | % | 5.77 | % | 2.52 | % | 1.95 | % | 3.21 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,960,578 | $ | 2,911,309 | $ | 2,421,315 | $ | 2,629,316 | $ | 1,637,509 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 1.58 | % | 1.85 | % | 2.43 | % | 2.35 | % | 2.36 | % | ||||||||||
Total expensesd | 0.56 | % | 0.59 | % | 0.57 | % | 0.56 | % | 0.61 | % | ||||||||||
Net expensese,f,g | 0.49 | % | 0.52 | % | 0.50 | % | 0.50 | % | 0.56 | % | ||||||||||
Portfolio turnover rate | 80 | % | 123 | % | 72 | % | 45 | % | 55 | % |
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LIMITED DURATION FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
R6-Class | Year Ended | Year Ended | Period Ended | |||||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $ | 25.55 | $ | 24.66 | $ | 24.58 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)a | .40 | .48 | .31 | |||||||||
Net gain (loss) on investments (realized and unrealized) | .02 | i | .93 | .14 | ||||||||
Total from investment operations | .42 | 1.41 | .45 | |||||||||
Less distributions from: | ||||||||||||
Net investment income | (.45 | ) | (.52 | ) | (.37 | ) | ||||||
Net realized gains | (.12 | ) | — | — | ||||||||
Total distributions | (.57 | ) | (.52 | ) | (.37 | ) | ||||||
Net asset value, end of period | $ | 25.40 | $ | 25.55 | $ | 24.66 | ||||||
| ||||||||||||
Total Return | 1.64 | % | 5.78 | % | 1.83 | % | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 44,232 | $ | 31,315 | $ | 314,764 | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | 1.58 | % | 1.96 | % | 2.24 | % | ||||||
Total expensesd | 0.49 | % | 0.53 | % | 0.51 | % | ||||||
Net expensese,f,g | 0.49 | % | 0.52 | % | 0.50 | % | ||||||
Portfolio turnover rate | 80 | % | 123 | % | 72 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | Distributions from realized gains are less than $0.01 per share. |
c | Total return does not reflect the impact of any applicable sales charges. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
f | The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | — | 0.00%* | 0.00%* | — | — | |
C-Class | — | 0.00%* | — | — | 0.00%* | |
P-Class | — | 0.00%* | 0.00%* | — | 0.00%* | |
Institutional Class | — | 0.00%* | 0.00%* | — | — | |
R6-Class | 0.01% | 0.00%* | 0.00%*,h | — | — |
* | Less than 0.01%. |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be: |
| 09/30/21 | 09/30/20 | 09/30/19 | 09/30/18 | 09/30/17 | |
A-Class | 0.73% | 0.75% | 0.75% | 0.75% | 0.79% | |
C-Class | 1.48% | 1.50% | 1.50% | 1.50% | 1.54% | |
P-Class | 0.73% | 0.75% | 0.75% | 0.75% | 0.79% | |
Institutional Class | 0.48% | 0.50% | 0.50% | 0.50% | 0.54% | |
R6-Class | 0.48% | 0.50% | 0.50%h | N/A | N/A |
h | Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
i | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).
This report covers the Limited Duration Fund (the “Fund”), a diversified investment company. At September 30, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.
Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
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 Trust. 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.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.
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.
The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s close price from the applicable exchange, adjusted for the current day’s spreads.
The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.
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 GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. 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.
(b) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the
THE GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
NOTES TO FINANCIAL STATEMENTS (continued) |
borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Fund’s Schedule of Investments.
The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.
(d) Interest on When-Issued Securities
The Fund may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.
(e) Short Sales
When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(f) Options
Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
(g) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(h) Currency Translations
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(i) Forward Foreign Currency Exchange Contracts
The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
(j) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
(k) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
NOTES TO FINANCIAL STATEMENTS (continued) |
(l) Distributions
The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.
(m) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.
(n) Earnings Credits
Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.
(o) Cash
The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.
(p) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
(q) Special Purpose Acquisition Companies
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.
Note 2 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
48 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Short Sales
A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Fund utilized derivatives for the following purposes:
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 following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:
Average Notional Amount | ||||||||
Use | Call | Put | ||||||
Duration, Hedge | $ | 882,633,333 | $ | 32,230,303 |
The risk in writing a call option is that a 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 a 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 a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Fund’s use and volume of call/put options written on a monthly basis:
Average Notional Amount | ||||||||
Use | Call | Put | ||||||
Hedge | $ | 20,118 | $ | 32,230,303 |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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.
The following table represents the Fund’s use and volume of total return swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Long | Short | ||||||
Index exposure, Income | $ | 4,013,543 | $ | 197,402,429 |
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.
The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Pay Floating Rate | Receive Floating Rate | ||||||
Duration, Hedge | $ | 591,888,333 | $ | 81,666,667 |
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 event 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 selling the credit protection. For a fund utilizing 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, a 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.
50 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:
Average Notional Amount | ||||||||
Use | Protection Purchased | Protection Sold | ||||||
Income, Index exposure | $ | 2,650,000 | $ | 9,250,000 |
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.
The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:
Average Value | ||||||||
Use | Purchased | Sold | ||||||
Hedge, Income | $ | 186,281,362 | $ | 598,357,002 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2021:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Interest Rate swap contracts | Investments in unaffiliated issuers, at value |
|
Unamortized upfront premiums paid on interest rate swap agreements | ||
Unrealized appreciation on OTC swap agreements | ||
Variation margin on interest rate swaps agreements | ||
Variation margin on credit default swap agreements | ||
Credit default swap contracts | Variation margin on credit default swap agreements | Unamortized upfront premiums received on credit default swap agreements |
Equity option contracts | Investments in unaffiliated issuers, at value | Options written, at value |
Currency forward contracts | Unrealized appreciation on forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2021:
Asset Derivative Investments Value | ||||||||||||||||||||||||||||
| Swaps | Swaps | Options | Options | Forward | Options | Total Value at | |||||||||||||||||||||
$ | 3,550,467 | $ | — | $ | — | $ | 5,875,770 | $ | 3,589,322 | $ | 3,764,187 | $ | 16,779,746 |
Liability Derivative Investments Value | ||||||||||||||||||||||||||||
| Swaps | Swaps | Options | Options | Forward | Options | Total Value at | |||||||||||||||||||||
$ | 1,513,341 | $ | 31,041 | $ | 2,084,425 | $ | — | $ | 2,317,538 | $ | — | $ | 5,946,345 |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2021:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Interest/Credit swap contracts | Net realized gain (loss) on swap agreements |
Net change in unrealized appreciation (depreciation) on swap agreements | |
Equity/Interest Rate option contracts | Net realized gain (loss) on options purchased |
Net change in unrealized appreciation (depreciation) on options purchased | |
Net change in unrealized appreciation (depreciation) on options written | |
Currency forward contracts | Net realized gain (loss) on forward foreign currency exchange contracts |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2021:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||
| Swaps | Swaps | Options | Options | Forward | Options | Total | |||||||||||||||||||||
$ | 3,942,418 | $ | 325,624 | $ | — | $ | 2,749,258 | $ | 7,324,806 | $ | — | $ | 14,342,106 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||
| Swaps | Swaps | Options | Options | Forward | Options | Total | |||||||||||||||||||||
$ | (8,392,914 | ) | $ | (26,229 | ) | $ | 509,443 | $ | 490,560 | $ | (16,824,371 | ) | $ | 790,368 | $ | (23,453,143 | ) |
52 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
In conjunction with short sales and 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.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A 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 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.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Offsetting
In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a
THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (continued) |
counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Fixed income index swap agreements | $ | 2,412,542 | $ | — | $ | 2,412,542 | $ | — | $ | (2,220,000 | ) | $ | 192,542 | |||||||||||
Forward foreign currency exchange contracts | 3,589,322 | — | 3,589,322 | (1,149,132 | ) | (2,316,552 | ) | 123,638 | ||||||||||||||||
Options purchased | 9,639,957 | — | 9,639,957 | (2,120,074 | ) | (6,564,105 | ) | 955,778 |
Gross Amounts Not Offset | ||||||||||||||||||||||||
Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Forward foreign currency exchange contracts | $ | 2,317,538 | $ | — | $ | 2,317,538 | $ | (1,221,556 | ) | $ | (770,000 | ) | $ | 325,982 | ||||||||||
Options written | 2,047,650 | — | 2,047,650 | (2,047,650 | ) | — | — |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.
Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Barclays Bank plc | Forward foreign currency exchange contracts | $ | 770,000 | $ | — | ||||
BNP Paribas | Total return swap agreements | — | 1,340,000 | ||||||
BofA Securities, Inc. | Credit default swap agreements | 3,407,661 | — | ||||||
BofA Securities, Inc. | Interest rate swap agreements | — | 4,199,091 | ||||||
Citibank, N.A. | Forward foreign currency exchange contracts, Options | — | 3,461,566 | ||||||
Goldman Sachs International | Forward foreign currency exchange contracts, Options | — | 4,810,000 | ||||||
JPMorgan Chase Bank, N.A. | Forward foreign currency exchange contracts, Total return swap agreements | — | 880,000 | ||||||
Morgan Stanley Capital Services LLC | Forward foreign currency exchange contracts, Options | — | 1,220,000 | ||||||
4,177,661 | 15,910,657 |
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 4 – 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 with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. 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 — | 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. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.
Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.39% of the average daily net assets of the Fund.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
| Limit | Effective | Contract | |||||||||
A-Class | 0.75 | % | 12/01/13 | 02/01/23 | ||||||||
C-Class | 1.50 | % | 12/01/13 | 02/01/23 | ||||||||
P-Class | 0.75 | % | 05/01/15 | 02/01/23 | ||||||||
Institutional Class | 0.50 | % | 12/01/13 | 02/01/23 | ||||||||
R6-Class | 0.50 | % | 03/13/19 | 02/01/23 |
GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:
| 2022 | 2023 | 2024 | Fund | ||||||||||||
A-Class | $ | 451,627 | $ | 360,600 | $ | 332,853 | $ | 1,145,080 | ||||||||
C-Class | 78,366 | 70,291 | 80,424 | 229,081 | ||||||||||||
P-Class | 194,676 | 124,505 | 146,751 | 465,932 | ||||||||||||
Institutional Class | 1,856,165 | 1,680,554 | 2,560,156 | 6,096,875 | ||||||||||||
R6-Class | 5,739 | 21,838 | 493 | 28,070 |
For the year ended September 30, 2021, GI recouped $3,723 from the Fund.
If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the Fund waived $72,757 related to investments in affiliated funds.
For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.
Note 6 – 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.
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
The tax character of distributions paid during the year ended September 30, 2021 was as follows:
| Ordinary | Long-Term | Total | |||||||||
$ | 92,120,762 | $ | 10,737,858 | $ | 102,858,620 |
The tax character of distributions paid during the year ended September 30, 2020 was as follows:
| Ordinary | Long-Term | Total | |||||||||
$ | 64,321,961 | $ | — | $ | 64,321,961 |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:
| Undistributed | Undistributed | Net Unrealized | Accumulated | Other | Total | ||||||||||||||||||
$ | 16,681,166 | $ | 11,405,003 | $ | 44,907,190 | $ | — | $ | (7,619,621 | ) | $ | 65,373,738 |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, foreign currency gains and losses, the “mark-to-market” of certain derivatives, reclassification of distributions, losses deferred due to wash sales, paydown reclasses, dividends payable, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, income accruals on certain investments and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 57 |
NOTES TO FINANCIAL STATEMENTS (continued) |
At September 30, 2021, 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 | Tax | Tax | Net Tax | ||||||||||||
$ | 6,103,269,678 | $ | 70,557,714 | $ | (25,686,160 | ) | $ | 44,871,554 |
Note 7 – Securities Transactions
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
| Purchases | Sales | ||||||
$ | 5,528,559,091 | $ | 3,491,357,820 |
For the year ended September 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:
| Purchases | Sales | ||||||
$ | 786,848 | $ | 787,136 |
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
| Purchases | Sales | Realized | |||||||||
$ | 243,424,575 | $ | 5,492,492 | $ | 151,174 |
Note 8 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
Borrower | Maturity Date | Face Amount | Value | |||||||||
BGIS (BIFM CA Buyer, Inc.) | 06/01/26 | $ | 969,388 | $ | 4,847 | |||||||
KKR Core Holding Company LLC | 07/15/31 | 14,600,000 | — | |||||||||
Medline Industries, Inc. | 08/06/22 | 14,450,000 | — | |||||||||
Venture Global Calcasieu Pass LLC | 08/19/26 | 427,737 | 23,526 | |||||||||
$ | 30,447,125 | $ | 28,373 |
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
Note 9 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted Securities | Acquisition Date | Cost | Value | |||||||||
Cascade Funding Mortgage Trust | ||||||||||||
2018-RM2, 4.00% (WAC) due 10/25/681 | 11/02/18 | $ | 8,433,175 | $ | 8,767,568 | |||||||
Cascade Funding Mortgage Trust | ||||||||||||
2019-RM3, 2.80% (WAC) due 06/25/691 | 06/25/19 | 2,743,714 | 2,783,216 | |||||||||
Copper River CLO Ltd. | ||||||||||||
2007-1A, due 01/20/212 | 05/09/14 | 14,020 | 17,115 | |||||||||
FKRT | ||||||||||||
2020-C2A, 3.25% due 12/30/23 | 12/03/20 | 15,062,684 | 15,055,608 | |||||||||
LSTAR Securities Investment Ltd. | ||||||||||||
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261 | 02/04/21 | 11,467,486 | 11,502,405 | |||||||||
LSTAR Securities Investment Ltd. | ||||||||||||
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261 | 03/17/21 | 7,147,585 | 7,150,523 | |||||||||
$ | 44,868,664 | $ | 45,276,435 |
1 | Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
2 | Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.
The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.
On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.
Note 11 – COVID-19
The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
Note 12 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 59 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Guggenheim Limited Duration Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Guggenheim Limited Duration Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodians, transfer agent, brokers, and paying agents or by other appropriate auditing procedures where replies from brokers or paying agents were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
November 29, 2021
60 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2022, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2021.
The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Qualified | Dividend | Qualified | Qualified | ||||||||||||
0.19 | % | 0.24 | % | 75.44 | % | 100.00 | % |
With respect to the taxable year ended September 30, 2021, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| From long-term | From long-term capital | ||||||
$ | 10,737,858 | $ | — |
Delivery of Shareholder Reports
Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 61 |
OTHER INFORMATION (Unaudited)(continued) |
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/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.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Funds Trust Contracts Review Committee
Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
● | Guggenheim Alpha Opportunity Fund | ● | Guggenheim Capital Stewardship Fund |
● | Guggenheim Diversified Income Fund | ● | Guggenheim Floating Rate Strategies Fund |
● | Guggenheim High Yield Fund | ● | Guggenheim Investment Grade Bond Fund |
● | Guggenheim Large Cap Value Fund | ● | Guggenheim Limited Duration Fund |
● | Guggenheim Macro Opportunities Fund | ● | Guggenheim Market Neutral Real Estate Fund |
● | Guggenheim Municipal Income Fund | ● | Guggenheim Risk Managed Real Estate Fund |
● | Guggenheim Small Cap Value Fund | ● | Guggenheim SMid Cap Value Fund |
● | Guggenheim StylePlus—Large Core Fund | ● | Guggenheim StylePlus—Mid Growth Fund |
● | Guggenheim Total Return Bond Fund | ● | Guggenheim Ultra Short Duration Fund |
● | Guggenheim World Equity Income Fund |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)
62 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).
GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;1 (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).2 Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.3
Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.4 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
1 | GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board. |
2 | The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.” |
3 | Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund. |
4 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 63 |
OTHER INFORMATION (Unaudited)(continued) |
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.
Advisory Agreements
Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.5 As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
5 | Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements. |
64 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.
In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.
High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 65 |
OTHER INFORMATION (Unaudited)(continued) |
Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee6 and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.
In addition, the Committee made the following observations:
High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
6 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
66 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.
Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 67 |
OTHER INFORMATION (Unaudited)(continued) |
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Sub-Advisory Agreement
Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.
With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.
The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.
Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.
68 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(concluded) |
Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 69 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2014 (Trustee)
Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 158 | Current: Purpose Investments Funds (2013-present).
Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2019 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present).
Former: Senior Leader, TIAA (1987-2012). | 157 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present).
Former: Infinity Property & Casualty Corp. (2014-2018). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2019 (Trustee)
Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 157 | Current: US Global Investors (GROW) (1995-present).
Former: Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2014 | Current: Of Counsel, Momkus LLP (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 158 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present).
Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee) | Current: Retired. | 157 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2014 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 157 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 71 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE |
|
|
|
| |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2018 (Trustee)
Since 2014 (Chief Legal Officer)
Since 2007 (Vice President) | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager. |
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2018 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Assistant Treasurer | Since 2014 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2014 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2014 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 73 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2014 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2014 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2014 | Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 77 |
LIQUIDITY RISK MANAGEMENT PROGRAM |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the
“Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk.
In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020 to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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Item 2. | Code of Ethics. |
The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.
Item 3. | Audit Committee Financial Expert. |
The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Sandra G. Sponem. Ms. Sponem is “independent,” meaning that she is not an “interested person” of the Registrant (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended) and she does not accept any consulting, advisory, or other compensatory fee from the Registrant (except in her capacity as a Board or committee member).
(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the Audit Committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the audit committee or Board of Trustees.)
Item 4. | Principal Accountant Fees and Services. |
(a) | Audit Fees: the aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements, or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $670,931 and $673,431 for the fiscal years ended September 30, 2021 and September 30, 2020, respectively. |
(b) | Audit-Related Fees: the aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item 4 were $0 and $0 for fiscal years ended September 30, 2021 and September 30, 2020, respectively. |
(c) | Tax Fees: the aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice and tax planning including preparation of tax returns and distribution assistance were $230,260 and $253,428 for the fiscal years ended September 30, 2021 and September 30, 2020, respectively. These services consisted of (i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution calculations. |
(d) | All Other Fees: the aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 and $0 for the fiscal years ended September 30, 2021 and September 30, 2020, respectively. |
(e) | Audit Committee Pre-Approval Policies and Procedures. |
(1) | Audit Committee pre-approval policies and procedures: |
To fulfill its responsibilities and duties the Audit Committee (the “Committee”) shall:
1. | Pre-Approval Policy (Trusts). Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,” to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X). |
(a) | The categories of services to be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions for Audit Committee Charter (collectively, “Identified Services”). |
(b) | The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000. |
(c) | For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such Identified Services on behalf of the Committee. |
(d) | For Identified Services with estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee. |
(e) | All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Principal/Chief Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form. The Trust’s CAO will determine whether such services are included within the list of services that have received the general pre-approval of the Committee. |
(f) | The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services under which pre-approval was obtained). |
2. | Pre-Approval Policy (Adviser or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X). |
(a) | The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next Committee meeting. |
(b) | For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee. |
a. | Pre-Approval Requirements |
i. | Categories of Services to be Reviewed and Considered for Pre-Approval |
1. | Audit Services |
a. | Annual financial statement audits |
b. | Seed audits (related to new product filings, as required) |
c. | SEC and regulatory filings and consents |
2. | Audit-Related Services |
a. | Accounting consultations |
b. | Fund merger/reorganization support services |
c. | Other accounting related matters |
d. | Agreed upon procedures reports |
e. | Attestation reports |
f. | Other internal control reports |
3. | Tax Services |
a. | Recurring tax services: |
i. | Preparation of Federal and state income tax returns, including extensions |
ii. | Preparation of calculations of taxable income, including fiscal year tax designations |
iii. | Preparation of annual Federal excise tax returns (if applicable) |
iv. | Preparation of calendar year excise distribution calculations |
v. | Calculation of tax equalization on an as-needed basis |
vi. | Preparation of monthly/quarterly estimates of tax undistributed position for closed-end funds |
vii. | Preparation of the estimated excise distribution calculations on an as-needed basis |
viii. | Preparation of calendar year shareholder reporting designations on Form 1099 |
ix. | Preparation of quarterly Federal, state and local and franchise tax estimated tax payments on an as-needed basis |
x. | Preparation of state apportionment calculations to properly allocate Fund taxable income among the states for state tax filing purposes |
xi. | Assistance with management’s identification of passive foreign investment companies (PFICs) for tax purposes |
b. | Permissible non-recurring tax services upon request: |
i. | Assistance with determining ownership changes which impact a Fund’s utilization of loss carryforwards |
ii. | Assistance with corporate actions and tax treatment of complex securities and structured products |
iii. | Assistance with IRS ruling requests and calculation of deficiency dividends |
iv. | Conduct training sessions for the Adviser’s internal tax resources |
v. | Assistance with Federal, state, local and international tax planning and advice regarding the tax consequences of proposed or actual transactions |
vi. | Tax services related to amendments to Federal, state and local returns and sales and use tax compliance |
vii. | RIC qualification reviews |
viii. | Tax distribution analysis and planning |
ix. | Tax authority examination services |
x. | Tax appeals support services |
xi. | Tax accounting methods studies |
xii. | Fund merger, reorganization and liquidation support services |
xiii. | Tax compliance, planning and advice services and related projects |
xiv. | Assistance with out of state residency status |
xv. | Provision of tax compliance services in India for Funds with direct investments in India |
(2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) | Not applicable. |
(g) | Non-Audit Fees. The aggregate non-audit fees billed by the registrant's accountant for the most recent fiscal year and the preceding years for services rendered to the registrant, the investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant were $230,260 and $253,428, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant. |
(h) | Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence. |
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
The Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Mangers of Closed-end Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.
Item 11. | Controls and Procedures. |
(a) | The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. | Exhibits. |
(a)(1) | The registrant’s code of ethics pursuant to Item 2 of Form N-CSR attached. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Guggenheim Funds Trust | |
By (Signature and Title)* | /s/ Brian E. Binder | |
Brian E. Binder, President and Chief Executive Officer | ||
Date | December 9, 2021 |
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/ Brian E. Binder | |
Brian E. Binder, President and Chief Executive Officer | ||
Date | December 9, 2021 | |
By (Signature and Title)* | /s/ John L. Sullivan | |
John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer | ||
Date | December 9, 2021 |
* | Print the name and title of each signing officer under his or her signature. |